--------------------------------------------------------------------------------
SMALL CAP STOCK PORTFOLIO For the Period ended 6/30/00
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
--------------------------------------------------------------------------------
MARKET REVIEW
The Russell 2000 Index returned 3.04% for the six months ended June 30, 2000,
outperforming the S&P 500 Index's -0.42% return for the same period. During the
first half of the year, small cap value companies (+5.85%) topped small cap
growth companies (+1.22%), and volatility figured as one of the main stories in
almost every asset class. Small cap stocks charged into year 2000 fueled by
strong performance at the end of 1999. During the first quarter, small caps
(+7.08%) outperformed large caps (+2.29%) by a considerable margin. Investors
continued to have a healthy appetite for tech-related names -- as the strong
global economy charged along -- and growth stocks set the pace, as the Russell
2000 Growth (+9.28%) topped the Russell 2000 Value (+3.82%). However, the sharp
pull back in technology, communications and biotech shares in March, April and
May erased much of the progress made earlier in the year. The second quarter
represented a reversal of fortune, as small company stocks (-3.78%) lagged large
company stocks (-2.66%), and the Russell 2000 Value (+1.95%) outperformed the
Russell 2000 Growth (-7.37%). The market responded somewhat nervously to mixed
economic data, and reacted severely to earnings disappointments, during the
second quarter. Though volatility did not halt rampant M&A activity or the flow
of assets into small cap funds, it had a serious impact on the number of IPO
deals, as a number of companies delayed their scheduled debuts for fear of an
unfavorable reception.
PORTFOLIO REVIEW
The Portfolio lagged its benchmark for the six months ended June 30, 2000. Both
stock selection and sector allocation detracted from return as the portfolio
underperformed in ten of seventeen sectors. Holdings that had the most positive
impact on performance included Human Genome Sciences (pharmaceuticals),
Power-One (hardware) and Exar Corp (software). Holdings that had the most
negative impact on performance included Checkfree Holdings (capital markets),
Mediaplex (services) and Geon Co. (industrial cyclical). The Portfolio's
holdings in the (i) pharmaceuticals, (ii) finance and (iii) consumer cyclical
sectors contributed most to overall return, while holdings in the (i) software &
services, (ii) services and (iii) health services & systems sectors were
detractors.
OUTLOOK
We believe that volatility will be a fixture in the small cap market,
particularly in high growth sectors like technology, services, biotech and
communications. We also expect to see the market broaden as more sectors of the
economy achieve positive results. For this reason we believe that multi-sector
exposure, which positions the Portfolio to participate in a broad market rally,
remains the most prudent approach for this core strategy.
DENISE E. HIGGINS
STEPHEN J. RICH
Portfolio Managers
J.P. Morgan Investment Management Inc.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
--------------------------------------------------------
<S> <C>
1. Human Genome Sciences Inc. 1.6
--------------------------------------------------------
2. Advanced Fibre Communication 1.3
--------------------------------------------------------
3. Exar 1.3
--------------------------------------------------------
4. CH Robison 1.0
--------------------------------------------------------
5. Power-One 1.0
--------------------------------------------------------
6. Valassis Communications 1.0
--------------------------------------------------------
7. Atmi 1.0
--------------------------------------------------------
8. Mettler Toledo 1.0
--------------------------------------------------------
9. Kopin 1.0
--------------------------------------------------------
10. On Assignment 1.0
--------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
--------------------------------------------
<S> <C>
Other 18.4
--------------------------------------------
Software & Services 16.5
--------------------------------------------
Industrial Cyclicals 15.6
--------------------------------------------
Pharmaceuticals 8.7
--------------------------------------------
Hardware 8.7
--------------------------------------------
Conumer Cyclical 7.8
--------------------------------------------
Services 7.0
--------------------------------------------
Semiconductor 6.8
--------------------------------------------
Energy 5.4
--------------------------------------------
Finance 5.1
--------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------
Average Annual Return2
Inception 5/1/96 (for the period ended
6/30/00)
--------------------------------------- -------------- --------------------------- -----------------------
<S> <C> <C> <C>
1 Year 3 Year Since inception
--------------------------------------- -------------- --------------------------- -----------------------
Small Cap Stock Portfolio,
managed by JPMIM 37.46% 15.90% 15.30%
--------------------------------------- -------------- --------------------------- -----------------------
Russell 2000 Index1 14.48% 10.69% 11.47%
--------------------------------------- -------------- --------------------------- -----------------------
</TABLE>
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 "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 6/30/00
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
--------------------------------------------------------------------------------
MARKET REVIEW
The supply/demand factors that pushed bond yields lower earlier in the year
(Treasury buyback and recommended changes to the Government Sponsored
Enterprises) gave way, in the second half, to the reality of stronger growth and
rising inflationary signals. Following strong GDP and inflationary reports, the
Fed tightened monetary policy in mid-May by 50 basis points to 6.50%. In
response, the economic reports prompted additional projected tightening needs to
slow U.S. growth and tame inflation. That, in turn, caused spread sectors to
deteriorate early in the second quarter, with investment grade corporate debt
reaching the highest spread level in 81 years outside of recession.
However, growth and inflationary indicators for the remainder of 2000 were more
mixed, suggesting that inflation (excluding the impact of recent increases in
energy prices) is not accelerating sharply. As a result, the Fed did not change
policy at their June meeting and market expectations of future Fed tightening
moderated significantly as the 2000 ended.
PORTFOLIO REVIEW
As we anticipated the yield curve inversion, the rally in long Treasury bonds
and widening of spreads earlier in the year, we positioned the portfolio
accordingly by extending duration in the portfolio. With the anticipated further
U.S.
government fiscal surplus in the second half
of the year and related paydown of U.S. Treasuries, we maintained a modest long
duration position mostly concentrated in the longer maturity sector of the yield
curve. Additionally, we started the year off overweighting Treasuries by
reducing allocations to investment grade corporate bonds and selling off the
portfolio's agency notes. We maintained the portfolio's underweight position in
investment grade corporate bonds during the period, but moved to a more neutral
position near the end of the reporting period. We reduced the portfolio's
exposure to Treasuries at the end of the period by adding to mortgage backed
securities and residential mortgages.
OUTLOOK
We believe that global growth has peaked and that the likely path for the U.S.
economy is for a "soft landing" slowdown, with GDP growth moving below 4% in the
coming months. Inflation pressures will remain contained. Fed tightening of
monetary policy is nearly done, with one final move of 25bps before year-end
still likely. Interest rates will remain in a range roughly around current
levels, with short rates responding to any further moves by the Fed.
HARRIET T. HUBER
WILLIAM G. TENNILLE
Portfolio Managers
J.P. Morgan Investment Management Inc.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
CREDIT QUALITY
As of 6/30/00
-----------------------------------------------------------
<S> <C>
Treasury 15.23%
-----------------------------------------------------------
Agency 45.93
-----------------------------------------------------------
AAA 20.26
-----------------------------------------------------------
AA 3.06
-----------------------------------------------------------
A 8.80
-----------------------------------------------------------
BBB 5.57
-----------------------------------------------------------
BB 1.15
-----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
As of 6/30/00
[Bar Graph]
--------------------------------------------------------------------
<S> <C>
U.S. Agency & Corp.- Mortg. Backed 55.7%
--------------------------------------------------------------------
U.S. Treasury & Agency 18.6
--------------------------------------------------------------------
Corporate Investment Grade 15.7
--------------------------------------------------------------------
Asset Backed Securities 8.3
--------------------------------------------------------------------
Corporate High Yield 0.9
--------------------------------------------------------------------
Emerging Market Debt 0.8
--------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
Average Annual Return2
Inception 5/1/96 (for the period ended 6/30/00)
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 3 Year Since inception
--------------------------------------- ----------- ------------------------------- -------------------
Quality Bond Portfolio,
managed by JPMIM 4.23% 5.47% 5.99%
--------------------------------------- ----------- ------------------------------- -------------------
Salomon Brothers BIG Index1 4.57% 6.04% 6.59%
--------------------------------------- ----------- ------------------------------- -------------------
</TABLE>
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.
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 6/30/00
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
------------------------------------------------------------------------------
MARKET REVIEW
The U.S. Equity market cycled erratically during the first six months of the
year between growth stocks and value stocks based on the announced economic
data. Weak data lead to powerful rallies in technology and other growth stocks.
Data reflecting a strong economy caused a surge in lower priced value stocks.
While value stocks outperformed dramatically at the beginning of the period,
growth stocks came back strong in June and managed to outperform value for the
second quarter (Russell 1000 Growth -2.7% vs. Russell 1000 Value -4.69%). The
market's reaction to the data flow is based entirely on the impact the economy
has on and interest rates. The U.S. Federal Reserve raised rates several times
in the first half of the year and continues to monitor the situation. Higher
rates are just beginning to slow the economy somewhat which will start to impact
corporate earnings. Any earnings disappointments at the company level are being
penalized heavily across all sectors. We believe that the second quarter is
evidence that the market is transitioning from the strong momentum focus it had
in 1999, to a more balanced environment.
PORTFOLIO REVIEW
The fund's performance during the period was positively impacted by stock
selection within the hardware and semi-conductor sectors. The portfolios
underweight position in Qualcomm Inc. contributed positively to its performance
as the company announced a weakening in chip sales and a less positive outlook
for its third generation CDMA wireless sales. Industrial cyclical and finance
sectors were among the worst performers during the first half of the year. The
slowdown of the U.S. economy has led several companies to pre-announce second
quarter earnings below expectations, and has started to negatively impact share
prices, with the financial sector taking the worst hit, down 15% for June. In
Industrial cyclicals, Rohm & Haas and Honeywell had second quarter earnings
disappointments, and in the insurance sector, earnings warnings deflated shares
of Aon Corp earlier in the year.
Overall, the pharmaceuticals and capital markets sectors moved ahead as
investors continued their rotation out of "new economy" stocks. As a
consequence, the software and services, telecommunications and technology
sectors fell. While the pharmaceuticals and capital markets sectors posted a
positive return for the six month period, holdings such as Oracle and Microsoft
pulled down performance as the latter was roiled with detailed announcements of
Judge Jackson's ruling against the company in the lengthy anti-trust suit.
Individual security selection contributed to the portfolio's overall
performance. The portfolio ended the period with an overweight position in Intel
which posted a positive total return for the six months ending June 30, 2000.
OUTLOOK
The strategy for the portfolio remains unchanged and we continue to be fully
invested and largely sector neutral. We anticipate that another short-term rate
rise is still possible for the second half of the year. The economy has been
slowing, as share prices of more speculative equity were disproportionately
impacted toward the end of the first quarter. We expect the slowdown to continue
as evidenced by the recent cooling of the overheated rate of late 1999 and early
2000.
PEGGY ADAMS
MICHAEL J. KELLY
Portfolio Managers
J.P. Morgan Investment Management Inc.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
--------------------------------------------------------
<S> <C>
1. Exxon Mobil Corp. 4.0
--------------------------------------------------------
2. Cisco Systems Inc. 3.9
--------------------------------------------------------
3. Microsoft Corp. 3.9
--------------------------------------------------------
4. Intel Corp. 3.5
--------------------------------------------------------
5. General Electric Co. 3.4
--------------------------------------------------------
6. Tyco Intl. Ltd. New 3.1
--------------------------------------------------------
7. Sun Microsystems Inc. 2.9
--------------------------------------------------------
8. Eli Lilly & Co. 1.9
--------------------------------------------------------
9. Wal-Mart Stores Inc. 1.9
--------------------------------------------------------
10. America Online Inc. 1.9
--------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
--------------------------------------------------------------------
<S> <C>
Hardware & Semiconductor 19.2%
--------------------------------------------------------------------
Other 17.9
--------------------------------------------------------------------
Industrial Cyclical 14.1
--------------------------------------------------------------------
Pharmaceuticals 10.1
--------------------------------------------------------------------
Software & Services 8.8
--------------------------------------------------------------------
Telecommunications 7.3
--------------------------------------------------------------------
Energy 6.4
--------------------------------------------------------------------
Services 5.9
--------------------------------------------------------------------
Consumer Stable 5.3
--------------------------------------------------------------------
Capital Services 5.0
--------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
Average Annual Return2
Inception 5/1/96 (for the period ended
6/30/00)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 3 Year Since inception
--------------------------------------- --------------------------- --------------------------- --------------------
Select Equity Portfolio,
managed by JPMIM (2.40)% 13.59% 16.65%
--------------------------------------- --------------------------- --------------------------- --------------------
S&P 500 Index1 7.24% 19.64% 23.06%
--------------------------------------- --------------------------- --------------------------- --------------------
</TABLE>
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 "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 6/30/00
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
--------------------------------------------------------------------------------
MARKET REVIEW
The U.S. Equity market cycled erratically across the first six months of the
year between growth stocks and value stocks based on the announced economic
data. Weak data led to powerful rallies in technology and other growth stocks.
Data reflecting a strong economy caused a surge in lower priced value stocks.
While value stocks outperformed dramatically throughout the first half of the
period, growth stocks came back strong in June and managed to outperform value
for the second quarter (Russell 1000 Growth -2.7% vs. Russell 1000 Value
-4.69%). The market's reaction to the data flow is based entirely on the impact
the economy has on interest rates. The U.S. Federal Reserve raised rates several
times in the quarter and continues to monitor the situation. Higher rates are
just beginning to slow the economy somewhat which will start to impact corporate
earnings. Any earnings disappointements at the company level are being penalized
heavily across all sectors, and will continue to affect the market.
PORTFOLIO REVIEW
Stock selection within the energy sector added to returns as an overweight
position in oil and gas price sensitive stocks like Global Marine benefited
performance. The pharmaceuticals sector benefited from an overweighting of Alza,
which proved beneficial when the company announced several new drugs, the most
important being the receipt of FDA approval on Concerta, a once-a-day treatment
for children with Attention Deficit Disorder. Drugs, Chemicals and Services
holdings were among the strongest performers earlier this year. Drugs benefited
from an overweight in Human Genome Sciences and an underweighting in Johnson &
Johnson earlier this year. Human Genome Sciences proved to be a positive
contributor in the first quarter as the company announced a new patent for a
gene that is believed to be the entry point for the AIDS virus.
The stock also benefited from market enthusiasm for genomic stocks in general.
Industrial cyclical and finance sectors were among the worst performers during
the second quarter. The rising interest rate environment has led many financial
services stocks to continue to underperform and resulted in a 15% decline for
the sector in June. In Industrial cyclicals, Rohm & Haas and Honeywell had
second quarter earnings disappointments. In the Insurance sector, earnings
warnings deflated shares of Aon Corp earlier this year.
OUTLOOK
The strategy for the portfolio remains unchanged and we continue to be fully
invested and sector neutral. We anticipate that another short-term rate rise is
still possible for the second half of the year. The economy has been slowing, as
share prices of more speculative equity were disproportionately impacted toward
the end of the first quarter. We expect the slowdown to continue as evidenced by
the recent cooling of the overheated rate of late 1999 and early 2000.
JOHN M. DEVLIN, JR.
JAMES WIESS
Portfolio Managers
J.P. Morgan Investment Management Inc.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
--------------------------------------------------------------------
<S> <C>
1. Intel Corp. 4.5
--------------------------------------------------------------------
2. Cisco Systems Inc. 4.5
--------------------------------------------------------------------
3. Microsoft Corp. 4.3
--------------------------------------------------------------------
4. General Electric Co. 4.1
--------------------------------------------------------------------
5. Exxon Mobil Corp. 2.8
--------------------------------------------------------------------
6. Wal-Mart Stores Inc. 2.4
--------------------------------------------------------------------
7. Citigroup Inc. 2.2
--------------------------------------------------------------------
8. Sun Microsystems, Inc. 2.1
--------------------------------------------------------------------
9. Eli Lilly & Co. 1.8
--------------------------------------------------------------------
10. Texas Instruments, Inc. 1.7
--------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
-----------------------------------------------------------------
<S> <C>
Hardware & Semiconductors 23.1
-----------------------------------------------------------------
Other 19.2
-----------------------------------------------------------------
Industrial Cyclicals 10.1
-----------------------------------------------------------------
Pharmaceuticals 9.9
-----------------------------------------------------------------
Software & Services 7.4
-----------------------------------------------------------------
Telecommunications 7.0
-----------------------------------------------------------------
Energy 6.2
-----------------------------------------------------------------
Capital Markets 5.9
-----------------------------------------------------------------
Retail 5.7
-----------------------------------------------------------------
Consumer Staples 5.5
-----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
Average Annual Return2
Inception 5/1/96 (for the period ended 6/30/00)
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 3 Year Since inception
--------------------------------------- ------------------ ------------------------------------ ---------------------
Large Cap Stock Portfolio,
managed by JPMIM 2.09% 18.72% 22.37%
--------------------------------------- ------------------ ------------------------------------ ---------------------
S&P 500 Index1 7.24% 19.64% 23.06%
--------------------------------------- ------------------ ------------------------------------ ---------------------
</TABLE>
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 "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 6/30/00
MANAGED BY J.P. MORGAN INVESTMENT MANAGEMENT
Letter to Policyholders
----------------------------------------------------------------------------
MARKET REVIEW
International equity markets were highly correlated during the quarter, with
sentiment dominated by the likely actions of the Federal Reserve, and the debate
between investors predicting a hard vs. a soft landing for the U.S. economy.
`New economy' sectors, particularly TMT (Technology, Media and Telecom), were
volatile over the period. Performance, particularly in Europe, was strong during
the first quarter, but very weak during the second quarter, as much of the
market moved into the more `value' orientated sectors.
PORTFOLIO REVIEW
Against this background, your portfolio underperformed its benchmark over the
period. We focus on three sources of potential added value; country/regional
allocation, stock selection and currency management. In aggregate, the macro
decisions (country currency) were positive over the period, although stock
selection held back performance. Stock choices in Japan have been positive,
particularly in the media and telecoms sectors. For example, an overweight
position in DDI was positive for performance. The company announced plans to
merge with KDD and IDO to form a leading telecom carrier, providing a strong
competitor to NTT Docomo. Decisions in continental Europe and the U.K. were,
however, less beneficial. While overweight positions in Alcatel (France,
Technology) and Reckitt Benckiser (U.K., Consumer Non-Durable) helped
performance, holding UPC (Netherlands, Media and Leisure) which suffered from
concerns over future sources of funding, and Equant (France, Technology) which
suffered from pricing pressure, held back performance.
OUTLOOK
In general, the Fed's policy regarding inflation risk and the market's
perception of the Fed's actions will continue to drive overall sentiment. Within
the international equity market universe, we continue to favor the U.K. market.
Short-term interest rates appear to be peaking, and sterling should fall
modestly from its current overvalued levels. Both of these factors should be
supportive of the markets. The Continental European markets do not look as
attractively valued, but expectations of economic growth are being revised
upwards. The equity markets could, however, be held back due to investor
concerns over the valuation of the technology/telecom sectors. We are becoming
more cautious about the Japanese market. Growth has picked up, but may not be
enough to cope with a potential tightening of monetary policy. While the
longer-term valuation remains reasonable, the shorter-term news flow could be
difficult.
NIGEL EMMETT
PAUL QUINSEE
Portfolio Managers
J.P. Morgan Investment Management Inc.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
----------------------------------------------------------------
<S> <C>
1. Vodafone Airtouch 2.7
----------------------------------------------------------------
2. BP Amoco 2.3
----------------------------------------------------------------
3. Nokia 2.2
----------------------------------------------------------------
4. Ericsson 1.7
----------------------------------------------------------------
5. Nippon Telegraph & Telephone 1.7
----------------------------------------------------------------
6. Alcatel 1.7
----------------------------------------------------------------
7. Koninklijke Philips Elec. 1.4
----------------------------------------------------------------
8. Total Fina 1.3
----------------------------------------------------------------
9. Glaxo Wellcome 1.3
----------------------------------------------------------------
10. Fujitsu 1.2
----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
Sector Allocation
As of 6/30/00
[Bar Graph]
----------------------------------------------------------------
<S> <C>
Japan 27.7
----------------------------------------------------------------
United Kingdom 20.1
----------------------------------------------------------------
Other 11.1
----------------------------------------------------------------
France 9.9
----------------------------------------------------------------
Switzerland 7.5
----------------------------------------------------------------
Germany 6.9
----------------------------------------------------------------
Netherlands 6.0
----------------------------------------------------------------
Sweden 3.9
----------------------------------------------------------------
Italy 3.7
----------------------------------------------------------------
Spain 3.2
----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
Average Annual Return2
Inception 5/1/96 (for the period ended
6/30/00)
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 3 Year Since inception
--------------------------------------- ---------------------- ---------------------------- --------------------------
International Equity Portfolio,
managed by JPMIM 16.66% 10.41% 12.20%
--------------------------------------- ---------------------- ---------------------------- --------------------------
MSCI EAFE Index1 17.38% 10.42% 10.04%
--------------------------------------- ---------------------- ---------------------------- --------------------------
</TABLE>
1 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.
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 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 6/30/00
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
------------------------------------------------------------------------------
This period proved to be a very difficult credit environment, characterized by
rising borrowing costs and reduced access to capital for many companies. Fragile
market conditions, low issuances of new high yield bonds, and heavy outflows
from high yield bond mutual funds resulted in lackluster performance and wider
spreads. In fact, the yield spread, or difference, between lower-rated, high
yield bonds and 10-year Treasury notes remained at historically wide levels for
most of this reporting period, increasing to where high yield bonds (represented
by the Merrill Lynch High Yield Master Index) were yielding roughly 5.65% more
than Treasurys.
We placed a higher degree of emphasis on better quality
securities, increasing the portfolio's weighting of high-grade
corporate/investment grade bonds overall. Since current coupon mortgage rates
increased by nearly 60 basis points to more than 8%, we identified what we
believe are compelling opportunities to capture attractive yield in the
mortgage-backed securities market. We added to this asset class, thereby raising
the overall credit quality of the portfolio. In addition, we increased the
percentage of equity-related securities, primarily convertible bonds issued by
technology and wireless-telecommunications companies. Finally, we reduced the
number of companies represented in the portfolio by culling the portfolio of
underperforming securities and increasing our exposure to the holdings that we
favor, including certain oil and gas companies.
If the Fed is successful in engineering a "soft landing" for the economy and in
slowing consumer demand, we believe high yield securities are apt to provide
good returns, and accordingly, we expect to increase our exposure to this asset
class. We will continue to place emphasis on the securities issued by select
wireless-telecommunications companies, as we anticipate strong growth and
further consolidation in this industry sector. Likewise, we continue to favor
securities associated with companies in oil and natural gas, since we believe
oil and gas prices are likely to remain above historical averages throughout the
remainder of the year. In general, we expect that the Fed's attempts to slow
U.S. economic growth will continue to impact the market. As sufficient evidence
of an economic slowdown becomes more apparent in the second half of this year,
the Fed is likely to abandon its tightening posture.
CHRISTOPHER J. TOWLE
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
------------------------------------------------------------------
<S> <C>
1. GNMA Pool #528207 6.7
------------------------------------------------------------------
2. GNMA Pool #529158 5.5
------------------------------------------------------------------
3. U.S. Treasury Note 4.1
------------------------------------------------------------------
4. Iron Mountain 1.5
------------------------------------------------------------------
5. Devon Energy 1.2
------------------------------------------------------------------
6. Elan Corp. 1.1
------------------------------------------------------------------
7. Roche Holdings 1.0
------------------------------------------------------------------
8. Solectron Corp. 1.0
------------------------------------------------------------------
9. Harrahs Operating 0.9
------------------------------------------------------------------
10. Sinclair Broadcasting 0.9
------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
As of 6/30/00
[Bar Graph]
--------------------------------------------------------------------------------
<S> <C>
High Yield 54.8
--------------------------------------------------------------------------------
Convertibles 18.2
--------------------------------------------------------------------------------
U.S. Government Securities 17.2
--------------------------------------------------------------------------------
Investment Grade 6.8
--------------------------------------------------------------------------------
Conv. Preferred Stk. 2.4
--------------------------------------------------------------------------------
Preferred Stock 0.5
--------------------------------------------------------------------------------
Common Stock 0.1
--------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
Average Annual Return1
Inception 5/1/96 (for the period ended 6/30/00)
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 3 Year Since inception
--------------------------------------- -------------- ----------------------------------- -----------------------
Bond Debenture Portfolio,
managed by Lord, Abbett 3.91% 6.19% 9.41%
--------------------------------------- -------------- ----------------------------------- -----------------------
First Boston High
Yield Index2 (.40)% 3.10% 5.91%
--------------------------------------- -------------- ----------------------------------- -----------------------
Salomon Brothers
BIG Index3 4.57% 6.04% 6.59%
--------------------------------------- -------------- ----------------------------------- -----------------------
Merrill Lynch
Convertible Index4 28.31% 19.54% 17.82%
--------------------------------------- -------------- ----------------------------------- -----------------------
</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.
2The 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.
4The 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 6/30/00
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
-------------------------------------------------------------------------------
The strong performance of our mid-cap value funds relative to the S&P Mid-Cap
400 BARRA Value Index was driven by solid gains in our stocks of healthcare,
energy and select consumer companies. In the energy sector, we benefited from
our exposure to natural gas companies. With natural gas prices currently high
during what is normally a seasonally weak period, increasing demand for natural
gas from electric generators and a shrinking reserve base, we remain very
optimistic on the outlook for natural gas. Additionally, our holdings in stocks
of insurance companies helped performance in the financial services sector.
We were able to sidestep the recent correction in the technology sector by
investing selectively in stocks of medical technology companies that remained
afloat based on their solid fundamentals, healthy profits and realistic profit
projections. Nevertheless, we did have a few disappointments in the portfolio.
In particular, while high oil prices benefited many of our energy holdings, they
did not bode well for our holdings in the transportation sector, where companies
found it difficult to pass on rising fuel costs. Additionally, a few retail and
food company stocks in the consumer non-durables sector underperformed, holding
down performance in that area. In many cases though, the problems were generally
company specific and our broad diversification muted their impact on the
portfolio.
Momentum investing in technology appears to have fizzled out, and investors are
turning to solid values with quantifiable earnings. We believe the trend toward
fundamental investing will continue as more investors discover companies with
exceptional values and strong business prospects, especially those presented by
mid-cap stocks. Many mid-sized companies have shown promising business
developments and many of these stocks are selling at appealing discounts when
compared to stocks of large companies.
EDWARD VON DER LINDE
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
------------------------------------------------------
<S> <C>
1. Caremark Rx Inc. 3.6
------------------------------------------------------
2. EOG Resources Inc. 3.3
------------------------------------------------------
3. St. Jude Medical, Inc. 3.3
------------------------------------------------------
4. CBRL Group Inc. 3.1
------------------------------------------------------
5. Oxford Health Plans 3.1
------------------------------------------------------
6. R&B Falcon Corp. 2.9
------------------------------------------------------
7. Dynergy Inc. 2.8
------------------------------------------------------
8. XL Capital Ltd. Class A 2.7
------------------------------------------------------
9. Santa Fe Snyder Corp. 2.6
------------------------------------------------------
10. Kerr-McGee Corp. 2.6
------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
-----------------------------------------------------------------
<S> <C>
Heath Care 17.3
-----------------------------------------------------------------
Energy 17.2
-----------------------------------------------------------------
Utilities 14.8
-----------------------------------------------------------------
Materials and Processing 11.2
-----------------------------------------------------------------
Financial Services 10.9
-----------------------------------------------------------------
Consumer Non-Cyclical 8.8
-----------------------------------------------------------------
Other 8.1
-----------------------------------------------------------------
Basic Industry 6.5
-----------------------------------------------------------------
Consumer Cyclicals 2.6
-----------------------------------------------------------------
Consumer Staples 2.6
-----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
Average Annual Return1
Inception 8/20/97 (for the period ended 6/30/00)
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
1 Year Since inception
--------------------------------------- --------------------- ------------------------------------------
Mid-Cap Value Portfolio,
managed by Lord, Abbett 11.57% 10.17%
--------------------------------------- --------------------- ------------------------------------------
S&P 400 Midcap2 16.95% 17.85%
--------------------------------------- --------------------- ------------------------------------------
</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 S&P 400 Midcap Index consists of 400 domestic stocks of midsize companies
in the U.S. market. The Index does not include fees and 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.
Index return since inception is as of 8/22/97.
<PAGE>
-------------------------------------------------------------------------------
LARGE CAP RESEARCH PORTFOLIO For the Period ended 6/30/00
MANAGED BY LORD, ABBETT & CO.
Letter to Policyholders
-------------------------------------------------------------------------------
Utility stocks, a lead indicator of a change in monetary policy, were the star
performers of the large cap style in the second quarter. We selectively added to
the sector in a defensive stance in preparation for a slowdown in the economy
and because we believed the Fed was near the end of its recent round of
tightenings. A development in the utilities sector involving the convergence of
electric and gas power also benefited several of our holdings. Sector
overweights in the high-performing healthcare and utilities sectors, together
with an underweight in the weak-performing communications services sector, also
added relative performance.
At the onset of the second quarter, we had already begun to reduce the
portfolio's exposure to many "new economy" stocks in the technology,
telecommunications and media sectors due to high valuations and some concerns
over inflated expectations on the sustainability of current business
fundamentals. In exchange, we made select investments in undervalued "old
economy" stocks in basic industries, utilities and financial services
(especially insurance stocks) where we saw more intrinsic value. We maintained
this weighting shift throughout the second quarter.
Your overweight position in consumer cyclical stocks detracted from performance
this quarter. General Motors Corp. and Federated Department Stores were two
weaker performing stocks.
The second quarter brought a shift in attitudes toward equity investing.
Throughout 1999 and the opening months of this year investors were caught up in
a price and earnings growth-driven "momentum market." They bought a company's
stock simply because its price was going up and its earnings were growing at a
faster rate than other companies. They all but ignored the sustainability of
corporate earnings, valuations, and interest rates. But, toward the end of the
first quarter, this pattern began to change. Investors in late March seemed to
wake up to the risks of "momentum" investing. In April and May, equity markets
experienced a considerable turnaround. Whereas the technology rich NASDAQ index
had previously led the market, it fell by some 37 percent from its March peak to
the end of May. By contrast, the broad S&P 500 Index fell only 10 percent, and
the Dow Jones Industrial Average (DJIA) fell less than five percent.
Uncertainty persisted throughout the quarter with respect to the ultimate
economic and market impact of the Fed's initiatives. Investors reacted abruptly
to economic and corporate earnings announcements. Focus on consumer-oriented
factors, such as retail sales, housing, investor confidence and employment,
signaled economic slowing from the extremely high levels of prior periods. Hope
for a "soft landing" emerged. Momentum-oriented sectors, such as technology,
returned to favor in June. Nevertheless, a renewed sensitivity to risk and
wariness about fundamentals challenged many investors' decisions.
The investing environment now seems suited to a moderately defensive strategy
consistent with a slowdown in the economy, but not an absolute downturn.
Investors' clear new preference for stable sectors suggests a renewed interest
in earnings predictability, valuations, and financial strength -- qualities that
are well suited to a slower growth environment. At the same time, concern over
value has led investors to reconsider small and particularly medium
capitalization issues which investors have neglected, at least relatively
speaking. Signs of a slowdown in economic growth confirm the desirability of a
cautious approach and a renewed attention to investment fundamentals and value.
ROBERT MORRIS
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
-----------------------------------------------------
<S> <C>
1. Exxon Mobil Corp. 4.8
-----------------------------------------------------
2. ACE Ltd. 2.8
-----------------------------------------------------
3. Duke Energy Corp. 2.4
-----------------------------------------------------
4. H.J. Heinz Co. 2.1
-----------------------------------------------------
5. M&T Bank Corporation 2.0
-----------------------------------------------------
6. Boeing Co. 2.0
-----------------------------------------------------
7. First Data Corp. 2.0
-----------------------------------------------------
8. The Coastal Corp. 1.9
-----------------------------------------------------
9. Morgan Stanley Dean Witter 1.9
-----------------------------------------------------
10. Ceridian Corp. 1.9
-----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
-------------------------------------------------------------------
<S> <C>
Other 21.9
-------------------------------------------------------------------
Financial Services 17.3
-------------------------------------------------------------------
Technology 16.2
-------------------------------------------------------------------
Health Care 8.4
-------------------------------------------------------------------
Utilities 8.1
-------------------------------------------------------------------
Energy 7.3
-------------------------------------------------------------------
Integrated Oils 7.2
-------------------------------------------------------------------
Consumer Cyclicals 4.9
-------------------------------------------------------------------
Consumer Services 4.5
-------------------------------------------------------------------
Basic Industry 4.2
-------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
Average Annual Return1
Inception 8/20/97 (for the period ended 6/30/00)
------------------------------------------------------------------------------------------------
<S> <C> <C>
1 Year Since inception
--------------------------------------- ------------------------------- ------------------------
Large Cap Research Portfolio,
managed by Lord, Abbett 5.35% 13.46%
--------------------------------------- ------------------------------- ------------------------
S&P 500 Index2 7.24% 18.85%
--------------------------------------- ------------------------------- ------------------------
</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.
2The 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.
Index return since inception is as of 8/22/97.
<PAGE>
Cova Series Trust
Small Cap Stock Portfolio
--------------------------------------------------------------------------------
DEVELOPING GROWTH PORTFOLIO For the Period ended 6/30/00
Managed by Lord, Abbett & Co.
Letter to Policyholders
--------------------------------------------------------------------------------
Healthcare sector stocks, coupled with the decision to underweight this area
versus the Russell 2000 Growth Index, impeded performance. Hooper Holmes, a
provider of home-based medical exams for insurance applicants, lost significant
value after warning that analyst expectations were overly optimistic due to the
overall poor performance in the life insurance industry. Although this company
has hurt performance lately, this holding had been extremely advantageous to the
portfolio historically. Given our strong fundamental outlook for this company,
we will add to our position on this present weakness. Strong performance was
experienced by a top ten holding, Coherent, a provider of electro-optical
systems and medical instruments. It is interesting to note that the stocks
within this sector that contributed most favorably to the index's return were
companies with market capitalizations ranging from $4-$11 billion. Our market
cap constraints precluded us from investing in these particular companies.
Stock selection within the Financials sector detracted from performance. S1
Corp., a provider of internet-based financial services, has been plagued by the
area's extreme stock price movements. Although the price of the stock has
declined significantly during this year, S1 was one of the largest contributors
to performance during 1999. S1, having established strong alliances with global
banking giants, is positioned uniquely within the area of internet based
banking, continuing to make this holding a prudent investment.
Technology holdings have also affected performance. Although under-weighting the
sector relative to the benchmark proved to be advantageous, stock selection
within this sector detracted from performance. Igate Capital, an information
technology consulting firm, experienced difficulty during the quarter. Although
the stock price has been down recently, we are adding to our position to take
advantage of the temporary sell-off. However, some technology stocks did add
value. Nvidia, a designer of graphics processors and software, contributed
positively, having rapidly appreciated to one of your largest holdings. The
company has been profitable supporting the computer gaming industry -- a large
and rapidly growing segment within the tech sector.
Your largest holding, Plantronics, a manufacturer of telephone headsets, was one
of the largest contributors to performance during the quarter. Plantronics has
been a major holding for several quarters and while it experienced significant
performance difficulties in the third quarter of 1999, we continued to hold the
stock as we believed that the company's fundamental outlook remained strong. Our
ability not to be swayed by the market's fickle nature was ultimately rewarded.
As we move into the second half of the year, we believe the volatility in the
market is likely to continue in the short-term and liquidity and earnings
shortfalls will continue to be concerns for small company investors. However,
once the market begins to slow, we believe we will begin to see many smaller
companies experience some double-digit growth. Regardless of market conditions,
we will continue to execute our disciplined investment approach remaining
focused on finding the highest quality companies possible for the portfolio.
STEPHEN J. MCGRUDER
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
---------------------------------------------------------
<S> <C>
1. Plantronics, Inc. 4.3
---------------------------------------------------------
2. Teletech Holdings 2.4
---------------------------------------------------------
3. Radisys Corp. 1.9
---------------------------------------------------------
4. Coherent Inc. 1.9
---------------------------------------------------------
5. Timberland Company 1.8
---------------------------------------------------------
6. OM Group Inc. 1.7
---------------------------------------------------------
7. Sawtech Inc. 1.5
---------------------------------------------------------
8. Nvidia Corp. 1.4
---------------------------------------------------------
9. Core Laboratories 1.4
---------------------------------------------------------
10. Ann Taylor Stores Corp. 1.3
---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
--------------------------------------------------------------------
<S> <C>
Technology 29.3
--------------------------------------------------------------------
Financial Services 13.4
--------------------------------------------------------------------
Consumer Cyclicals 12.2
--------------------------------------------------------------------
Other 12.2
--------------------------------------------------------------------
Health Care 10.1
--------------------------------------------------------------------
Energy 6.3
--------------------------------------------------------------------
Producer Durables 5.0
--------------------------------------------------------------------
Materials and Processing 4.1
--------------------------------------------------------------------
Consumer Discretionary 4.0
--------------------------------------------------------------------
Consumer Services 3.4
--------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
Average Annual Return2
Inception 8/20/97 (for the period ended 6/30/00)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
1 Year Since inception
--------------------------------------- ------------------------------------- -------------------------
Developing Growth Portfolio,
managed by Lord Abbett .97% 10.02%
--------------------------------------- ------------------------------------- -------------------------
Russell 2000 Index1 14.48% 9.36%
--------------------------------------- ------------------------------------- -------------------------
</TABLE>
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.
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.
3The 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.
Index return since inception is as of 8/22/97.
<PAGE>
-------------------------------------------------------------------------------
LORD ABBETT GROWTH AND INCOME PORTFOLIO For the Period ended 6/30/00
Managed by Lord, Abbett & Co.
Letter to Policyholders
-------------------------------------------------------------------------------
Utility stocks, a lead indicator of a change in monetary policy, were the star
performers of the large cap style in the second quarter. We selectively added to
the sector in a defensive stance in preparation for a slowdown in the economy
and because we believed the Fed was near the end of its recent round of
tightenings. A development in the utilities sector involving the convergence of
electric and gas power also benefited several of our holdings. Throughout the
quarter, our relatively large exposure to oil service companies paid off well,
as rising oil prices helped boost the price of many of these stocks. Our careful
stock picking and general overweighting in stocks of consumer non-cyclical
companies, particularly healthcare companies, also significantly buoyed
performance for the quarter.
At the onset of the second quarter, we had already begun to reduce the
portfolio's exposure to many "new economy" stocks in the technology,
telecommunications and media sectors due to high valuations and some concerns
over inflated expectations on the sustainability of current business
fundamentals. In exchange, we made select investments in undervalued "old
economy" stocks in basic industries, utilities and financial services
(especially insurance stocks) where we saw more intrinsic value. We maintained
this weighting shift throughout the second quarter.
Our move to basic industries (paper, chemicals, and metals) proved to be a bit
premature and worked against our performance for the quarter. However, if the
U.S. economy slows later this year, we believe investors will begin to
anticipate a more balanced global economic growth environment that should favor
the performance of these stocks. Restructuring and consolidation of production
capacity in many of these markets is also occurring and will ultimately aid
pricing and profit margins.
The second quarter brought a shift in attitudes toward equity investing.
Throughout 1999 and the opening months of this year investors were caught up in
a price and earnings growth-driven "momentum market." They bought a company's
stock simply because its price was going up and its earnings were growing at a
faster rate than other companies. They all but ignored the sustainability of
corporate earnings, valuations, and interest rates. But, toward the end of the
first quarter, this pattern began to change. Investors in late March seemed to
wake up to the risks of "momentum" investing. In April and May, equity markets
experienced a considerable turnaround. Whereas the technology rich NASDAQ index
had previously led the market, it fell by some 37 percent from its March peak to
the end of May. By contrast, the broad S&P 500 Index fell only 10 percent, and
the Dow Jones Industrial Average (DJIA)fell less than five percent.
Uncertainty persisted throughout the quarter with respect to the ultimate
economic and market impact of the Fed's initiatives. Investors reacted abruptly
to economic and corporate earnings announcements. Focus on consumer-oriented
factors, such as retail sales, housing, investor confidence and employment,
signaled economic slowing from the extremely high levels of prior periods. Hope
for a "soft landing" emerged. Momentum-oriented sectors, such as technology,
returned to favor in June. Nevertheless, a renewed sensitivity to risk and
wariness about fundamentals challenged many investors' decisions.
The investing environment now seems suited to a moderately defensive strategy
consistent with a slowdown in the economy, but not an absolute downturn.
Investors' clear new preference for stable sectors suggests a renewed interest
in earnings predictability, valuations, and financial strength -- qualities that
are well suited to a slower growth environment. At the same time, concern over
value has led investors to reconsider small and particularly medium
capitalization issues which investors have neglected, at least relatively
speaking. Signs of a slowdown in economic growth confirm the desirability of a
cautious approach and a renewed attention to investment fundamentals and value.
W. THOMAS HUDSON JR.
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
------------------------------------------------------------
<S> <C>
1. Exxon-Mobil Corp. 2.8
------------------------------------------------------------
2. American Home Products 2.8
------------------------------------------------------------
3. The Coastal Corp. 2.8
------------------------------------------------------------
4. BP Amoco PLC Spon. ADR 2.7
------------------------------------------------------------
5. ACE Ltd. 2.5
------------------------------------------------------------
6. American General Corp. 2.4
------------------------------------------------------------
7. Schlumberger Ltd. 2.2
------------------------------------------------------------
8. Total Fina S.A. ADR 2.2
------------------------------------------------------------
9. Duke Energy Corp. 2.2
------------------------------------------------------------
10. Minnesota Mining and Manufacturing 2.2
------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
------------------------------------------------------------------
<S> <C>
Financial Services 19.1
------------------------------------------------------------------
Other 16.8
------------------------------------------------------------------
Technology 12.7
------------------------------------------------------------------
Health Care 9.5
------------------------------------------------------------------
Consumer Services 8.6
------------------------------------------------------------------
Integrated Oils 7.7
------------------------------------------------------------------
Utilities 7.7
------------------------------------------------------------------
Energy 6.7
------------------------------------------------------------------
Telecommunications 5.8
------------------------------------------------------------------
Materials and Processing 5.4
------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
Average Annual Return1
Inception 1/8/99 (for the period ended
6/30/00)
------------------------------------------------------------------------------------------
<S> <C> <C>
1 Year Since inception
-------------------------------------------- ---------------------------- ----------------
Lord Abbett Growth and Income
Portfolio, managed by Lord, Abbett (0.56%) 5.99%
-------------------------------------------- ---------------------------- ----------------
S&P 500 Index2 7.24% 10.66%
-------------------------------------------- ---------------------------- ----------------
</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 6/30/00
Managed by the Mississippi Valley Advisors
Division of FIRMCO
Letter to Policyholders
--------------------------------------------------------------------------------
Market volatility continued during the second quarter of 2000 culminating in an
important change in market psychology. Investors appear to be returning to
fundamental investment criteria in valuing securities -- criteria such as
earnings and cash flow. A return to the basics bolstered the returns of your
portfolio relative to the overall market during this period. The Standard &
Poor's 500 fell -2.65% during the second quarter, bringing the six month return
to -0.42%. The technology heavy NASDAQ decline was even more dramatic at -13.3%
for the quarter after having fallen 29% from the end of March through the end of
May. Smaller stocks continued to outperform larger companies as the Standard &
Poor's SmallCap 600 rose +6.9%. Fixed income securities, as measured by the
(Lehman Bros. Intermediate Government/Corporate or Lehman Brothers 7-year
tax-exempt index) returned (3.2%/3.2%).
Future market direction will likely be influenced by the Federal Reserve and the
direction of interest rates. The Fed is currently "on hold pending further
information on the strength of our economy. We believe the U.S. economy is
incredibly resilient and it will likely require further interest rate moves to
accomplish the Fed's goal. In this environment we will continue to focus our
stock selection on those companies that are providing products or services that
are in demand regardless of the level of rates."
Currently the entire Treasury yield curve is trading below the Fed Funds rate of
6.5%; apparently the market is discounting an easing of credit at the next Fed
meeting, which occurs on August 22. We believe that this is a very optimistic
view and that rates on Treasuries are below a sustainable level given the strong
economic environment that is present today.
BOB BERNSTEIN
Portfolio Manager
Mississippi Valley Advisors Division of FIRMCO
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
--------------------------------------------------------
<S> <C> <C> <C> <C>
1. FNMA (6.0%, 11/01/13) 4.0%
--------------------------------------------------------
2. U.S. Treasury Note (7.25%, 5/15/04) 3.1%
--------------------------------------------------------
3. U.S. Treasury Note (6.625%, 5/15/07) 3.1%
--------------------------------------------------------
4. Millipore Corp. 2.1%
--------------------------------------------------------
5. U.S. Treasury Note (6.0%, 8/15/09) 2.0%
--------------------------------------------------------
6. Norwest Financial (6.625%, 7/15/04) 2.0%
--------------------------------------------------------
7. Lilly, Eli & Company 1.9%
--------------------------------------------------------
8. DuPont E I De Nem (8.25%, 9/15/06) 1.6%
--------------------------------------------------------
9. Sysco Corp. 1.6%
--------------------------------------------------------
10. Cisco Systems 1.6%
--------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
-------------------------------------------------------------------------
<S> <C>
U.S. Gov't & Agency Securities 19.7
-------------------------------------------------------------------------
Technology 14.0
-------------------------------------------------------------------------
Interest Sensitive 13.0
-------------------------------------------------------------------------
Consumer Growth 13.0
-------------------------------------------------------------------------
Corporate Debt 12.2
-------------------------------------------------------------------------
Other 11.1
-------------------------------------------------------------------------
Industrial Cyclicals 7.0
-------------------------------------------------------------------------
Consumer Staples 5.0
-------------------------------------------------------------------------
Energy 3.0
-------------------------------------------------------------------------
Capital Goods 2.0
-------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
Average Annual Return2
Inception 7/1/97 (for the period ended
6/30/00)
-------------------------------------------------------------------------------------
<S> <C> <C>
1 Year Since inception
--------------------------------------- -------------------------- ------------------
Balanced Portfolio,
managed by MVA (.13)% 8.77%
--------------------------------------- -------------------------- ------------------
S&P 500 Index1 7.24% 19.64%
--------------------------------------- -------------------------- ------------------
Salomon Brothers BIG Index3 4.57% 6.04%
--------------------------------------- -------------------------- ------------------
</TABLE>
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 "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.
3 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.
<PAGE>
------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO For the Period ended 6/30/00
MANAGED BY THE MISSISSIPPI VALLEY ADVISORS
DIVISION OF FIRMCO
Letter to Policyholders
------------------------------------------------------------------------------
The Equity Income Portfolio seeks to provide an above average level of income
consistent with long-term capital appreciation. We believe our strength is in
stock selection, and will therefore typically maintain a well-diversified
portfolio among numerous economic sectors.
Early 2000 saw large cap growth stocks continue their outperformance, becoming
even more expensive versus value stocks. Value stocks underperformed the S&P 500
until March when Fed rate increases began to scare the markets, driving
investors toward value names. In this very concentrated market, we see above
average returns in energy, selected electric utilities, and technology stocks.
Retailers and industrial cyclicals remain the weakest sectors due in part to
concern that the Federal Reserve will slow the economy.
With short-term interest rates approaching 7%, stock prices will continue to be
volatile over the summer months. However, volatility creates opportunities to
buy top quality companies with proven management teams at attractive prices. As
always, the Fund's focus is high quality companies with predictable sales,
earnings and cash flow growth, strong balance sheets and innovative management.
Ongoing market volatility should force investors to seek companies with strong
underlying fundamentals rather than chase the hottest new internet story.
We continue to believe the value sector holds well above average return
potential over the next year or two, especially with many worldwide economies
strengthening and the U.S. economy continuing to maintain its solid growth. Many
value stocks are in the financial services industries, which should see good
performance when the Fed completes its rate increases. Moreover, having been out
of favor for nearly four years, value stocks truly deserve the name.
JOHN H. BLIXEN
Portfolio Manager
Mississippi Valley Advisors Division of FIRMCO
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
--------------------------------------------------------
<S> <C>
1. Baxter Intl. Inc. 2.2
--------------------------------------------------------
2. Heinz H.J. 2.2
--------------------------------------------------------
3. First Data Corp. 2.2
--------------------------------------------------------
4. Pharmacia 2.1
--------------------------------------------------------
5. Intel Corp. 2.1
--------------------------------------------------------
6. Duke Energy 2.1
--------------------------------------------------------
7. GTE Corp. 2.1
--------------------------------------------------------
8. SLM Holding Corp. 2.1
--------------------------------------------------------
9. Citigroup Inc. 2.0
--------------------------------------------------------
10. Phillips Petroleum 2.0
--------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
Sector Allocation
As of 6/30/00
[Bar Graph]
---------------------------------------------------------------------
<S> <C>
Interest Sensitive 38.8
---------------------------------------------------------------------
Consumer Growth 15.2
---------------------------------------------------------------------
Technology 11.9
---------------------------------------------------------------------
Industrial Cyclicals 8.6
---------------------------------------------------------------------
Energy 8.5
---------------------------------------------------------------------
Consumer Staples 7.3
---------------------------------------------------------------------
Other 3.9
---------------------------------------------------------------------
Capital Goods 3.1
---------------------------------------------------------------------
Consumer Cylicals 2.7
---------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------
Average Annual Return1
Inception 7/1/97 (for the period ended 6/30/00)
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
1 Year Since inception
-------------------------------------- --------------------------------------- --------------------------
Equity Income Portfolio,
managed by MVA (10.67)% 6.96%
-------------------------------------- --------------------------------------- --------------------------
Russell 1000 Index2 9.14% 20.01%
-------------------------------------- --------------------------------------- --------------------------
</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 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.
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.
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 6/30/00
MANAGED BY THE MISSISSIPPI VALLEY ADVISORS
DIVISION OF FIRMCO
Letter to Policyholders
--------------------------------------------------------------------------------
The Mercantile Growth and Income Fund posted a (1.72%) total return during the
first six months of the year. This compares to a -0.42% return for the Standard
& Poor's 500 Index and a -4.07% return for the Standard & Poor's Barra Value
Index. Based on the Fund's profile, an appropriate benchmark is a fifty-fifty
blend of these two indexes.
Within the technology sector, we emphasized companies benefiting from
accelerating unit growth in internet infrastructure and wireless communications.
Specific holdings that contributed to the Fund's strong relative performance
were Intel, the world leader in semiconductor chips; Nortel Networks, the
leading provider of fiber optic technology for the telecommunications industry;
and Nokia, the largest global producer of cellular phones.
Strength in the Fund's holdings in the capital goods sector was paced by
Millipore, a manufacturer of products used to analyze and purify liquids and
gases. In the microelectronics segment, Millipore has been a beneficiary of a
strong semi conductor capital equipment cycle while the company's
biopharmaceutical segment should benefit from increased research and development
activity in genomics and monclonal antibodies.
With short-term interest rates approaching 7%, stock prices will continue to be
volatile over the summer months. However, volatility creates opportunities to
buy top quality companies with proven management teams at attractive prices. As
always, the Growth and Income Fund's focus is high quality companies with
predictable sales, earnings and cash flow growth, strong balance sheets and
innovative management. Ongoing market volatility should force investors to seek
companies with strong underlying fundamentals rather than chase the hottest new
internet story. Investor rotation back to quality stocks should equate to even
better relative performance for the Growth and Income Fund.
BOB BERNSTEIN
Portfolio Manager
Mississippi Valley Advisors Division of FIRMCO
<TABLE>
<CAPTION>
TOP 10 PORTFOLIO HOLDINGS BY MARKET VALUE
As of 6/30/00
% of net assets
----------------------------------------------------------
<S> <C>
1. Eli Lilly & Company 3.2
----------------------------------------------------------
2. Schering Plough 2.6
----------------------------------------------------------
3. Cisco Systems 2.5
----------------------------------------------------------
4. General Electric 2.5
----------------------------------------------------------
5. MBNA Corp. 2.4
----------------------------------------------------------
6. Heinz, H.J. 2.4
----------------------------------------------------------
7. Microsoft Corp. 2.3
----------------------------------------------------------
8. Millipore Co. 2.3
----------------------------------------------------------
9. Intel Corp. 2.3
----------------------------------------------------------
10. Merck & Company 2.3
----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
SECTOR ALLOCATION
As of 6/30/00
[Bar Graph]
--------------------------------------------------------------------
<S> <C>
Technology 27.1
--------------------------------------------------------------------
Consumer Growth 24.3
--------------------------------------------------------------------
Interest Sensitive 22.3
--------------------------------------------------------------------
Industrial Cyclicals 9.1
--------------------------------------------------------------------
Consumer Staples 7.5
--------------------------------------------------------------------
Energy 5.1
--------------------------------------------------------------------
Capital Goods 4.6
--------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
Average Annual Return2
Inception 7/1/97 (for the period ended 6/30/00)
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
1 Year Since inception
------------------------------------------- -------------------------------- ----------------------------
Growth & Income Equity Portfolio,
managed by MVA .30% 12.41%
------------------------------------------- -------------------------------- ----------------------------
S&P 500 Index1 7.24% 19.64%
------------------------------------------- -------------------------------- ----------------------------
</TABLE>
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 "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>
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 93.6%
ADVERTISING - 0.1%
Obie Media Corp.*................................................................ 11,700 $ 93,600
Promotions.com, Inc.*............................................................. 9,900 49,500
-----------
143,100
-----------
APPAREL RETAILERS - 0.1%
Pacific Sunwear of California, Inc.*.............................................. 8,600 161,250
-----------
AUTOMOTIVE - 1.0%
Borg-Warner Automotive, Inc....................................................... 8,700 305,587
Lithia Motors, Inc.*............................................................. 15,200 203,300
Monaco Coach Corp.*.............................................................. 20,500 279,312
National R.V. Holdings, Inc.*.................................................... 18,500 194,250
Sonic Automotive, Inc.*.......................................................... 10,900 116,494
-----------
1,098,943
-----------
BANKING - 2.9%
American Capital Strategies, Ltd.................................................. 7,100 169,512
Bank United Corp................................................................. 27,300 960,619
Capital Crossing Bank*............................................................ 8,000 82,000
City National Corp................................................................ 9,700 344,350
Commercial Federal Corp.......................................................... 20,450 318,253
Hamilton Bancorp, Inc.*.......................................................... 14,300 250,250
Medallion Financial Corp.......................................................... 7,100 109,606
MicroFinancial, Inc............................................................... 6,500 65,000
National Commerce Bancorp........................................................ 19,700 316,431
Pacific Century Financial Corp................................................... 14,800 216,450
Sterling Bancshares, Inc.......................................................... 5,700 61,631
Summit Bancshares, Inc............................................................ 5,200 89,700
Sun Bancorp, Inc.*............................................................... 15,254 91,524
Westamerica Bancorp............................................................... 7,000 182,875
-----------
3,258,201
-----------
BEVERAGES, FOOD & TOBACCO - 1.2%
American Italian Pasta Co.*...................................................... 13,700 283,419
Beringer Wine Estates Holdings, Inc.*............................................. 9,400 331,937
Keebler Foods Co................................................................. 20,800 772,200
-----------
1,387,556
-----------
BUILDING MATERIALS - 0.8%
Caprock Communications Corp.*.................................................... 17,000 331,500
Elcor Corp....................................................................... 20,950 481,850
Omnicare, Inc.................................................................... 10,400 94,250
-----------
907,600
-----------
CHEMICALS - 4.5%
Albemarle Corp................................................................... 26,100 515,475
Bush Boake Allen, Inc.*........................................................... 6,600 288,750
General Chemical Group, Inc.*.................................................... 29,900 20,556
Gentek, Inc...................................................................... 39,020 436,536
Geon Co. (The)................................................................... 43,900 812,150
Georgia Gulf Corp................................................................ 36,300 755,494
Minerals Technologies, Inc....................................................... 19,400 892,400
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS - CONTINUED
Solutia, Inc..................................................................... 19,400 $ 266,750
Wellman, Inc..................................................................... 66,200 1,071,612
-----------
5,059,723
-----------
COMMERCIAL SERVICES - 6.1%
Core Laboratories N.V............................................................ 10,900 316,100
Diamond Technology Partners, Inc.*................................................ 8,300 730,400
Digitas Inc.*..................................................................... 5,300 86,456
Diversa Corp.*.................................................................... 4,800 159,000
Exelixis, Inc.*................................................................... 7,400 246,975
Gene Logic, Inc.*................................................................. 3,600 128,475
iBEAM Broadcasting Corp.*........................................................ 26,800 482,400
Media Metrix, Inc.*............................................................... 2,500 63,594
NetRatings, Inc.*................................................................ 16,100 412,562
On Assignment, Inc.*............................................................. 35,600 1,085,800
Orchid Biosciences, Inc.*........................................................ 18,300 694,829
StorageNetworks, Inc.*............................................................ 2,000 180,500
Trimeris, Inc.*................................................................... 6,400 447,600
Universal Compression Holdings, Inc.*............................................. 6,400 214,400
Valassis Communications, Inc.*................................................... 29,800 1,136,125
Wind River Systems, Inc.*........................................................ 12,100 458,287
-----------
6,843,503
-----------
COMMUNICATIONS - 4.7%
Advanced Fibre Communications, Inc.*............................................. 32,700 1,481,719
L-3 Communications Holdings, Inc.*................................................ 6,700 382,319
LifeMinders, Inc.*................................................................ 5,300 156,681
Metawave Communications Corp*..................................................... 7,900 210,831
Netro Corp.*...................................................................... 5,500 315,562
ONI Systems Corp.*................................................................ 2,400 281,287
Plantronics, Inc.*................................................................ 1,800 207,900
Polycom, Inc.*.................................................................... 9,100 856,254
Seachange International, Inc.*................................................... 13,950 402,806
Titan Corp. (The)*................................................................ 7,200 322,200
Turnstone Systems, Inc.*.......................................................... 2,100 347,911
U.S. Wireless Corp.*................................................................ 900 19,237
Ulticom, Inc.*.................................................................... 2,500 60,039
Williams Communications Group, Inc.*.............................................. 6,900 228,994
-----------
5,273,740
-----------
COMPUTER SOFTWARE & PROCESSING - 15.5%
Accrue Software, Inc.*............................................................ 9,600 340,800
Aether Systems, Inc.*............................................................. 1,700 348,500
Agile Software Corp.*............................................................ 12,400 876,525
Allaire Corp.*.................................................................... 1,000 36,750
Alteon Websystems, Inc.*.......................................................... 5,100 510,319
Art Technology Group, Inc.*....................................................... 9,700 979,094
ARTISTdirect, Inc.,*.............................................................. 5,500 17,187
Certicom Corp.................................................................... 10,200 698,541
CheckFree Holdings Corp.*........................................................ 13,200 680,625
Clarent Corp.*................................................................... 12,300 879,450
Click2Learn.com, Inc.*........................................................... 21,600 380,700
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Small Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - CONTINUED
Computer Horizons Corp.*......................................................... 32,200 $ 432,687
Corillian Corp*................................................................... 9,600 159,600
E. Piphany, Inc.*................................................................. 2,600 278,687
eFunds Corp.*.................................................................... 18,375 213,609
eSPEED, Inc. - Class A*.......................................................... 19,000 825,312
Excalibur Technologies Corp.*..................................................... 9,000 359,437
FASTNET Corp.*................................................................... 11,600 43,500
Gartner Group, Inc. - Class A.................................................... 28,700 344,400
Healthgate Data Corp.*........................................................... 19,300 31,362
Informatica Corp*................................................................ 10,600 868,537
Information Resources Engineering, Inc.*............................................ 100 2,525
Informix Corp.*.................................................................. 33,300 247,669
ISS Group, Inc.*.................................................................. 4,400 434,431
Keynote Systems, Inc.*............................................................ 7,600 536,275
Mediaplex, Inc.*................................................................. 20,500 395,906
Metasolv Software, Inc.*.......................................................... 3,800 167,200
Net Perceptions, Inc.*........................................................... 11,800 187,325
Nuance Communications Inc.*....................................................... 1,300 108,306
Packeteer, Inc.*................................................................. 10,500 305,812
Peregrine Systems, Inc.*......................................................... 17,900 620,906
Precise Software Solutions Ltd.*.................................................. 2,400 57,600
PRI Automation, Inc.*............................................................. 7,500 490,429
Quest Software, Inc.*............................................................. 2,400 132,900
Quokka Sports, Inc.*.............................................................. 9,500 76,297
Retek Inc.*...................................................................... 11,700 374,400
Sequoia Software Corp*............................................................ 8,100 132,637
SmartForce Plc - ADR*............................................................ 13,600 652,800
Software Technologies Corp.*..................................................... 12,900 395,869
Sonic Foundry, Inc.*............................................................. 11,900 238,000
Source Information Management Co. (The)*......................................... 17,400 265,350
Tumbleweed Communications Corp.*................................................. 10,300 524,012
Verio Inc.*....................................................................... 4,500 266,062
Vicinity Corp.*................................................................... 5,000 98,125
Watchguard Technologies, Inc.*................................................... 11,200 615,300
Websense, Inc.*................................................................... 4,800 120,600
WebTrends Corp.*................................................................. 10,600 410,087
Witness Systems, Inc.*........................................................... 15,400 375,375
-----------
17,537,820
-----------
COMPUTERS & INFORMATION - 1.4%
Accelerated Networks, Inc.*....................................................... 1,400 59,062
Cirrus Logic, Inc.*.............................................................. 12,000 192,000
Fargo Electronics*............................................................... 17,800 63,412
M-Systems Flash Disk Pioneer Ltd.*................................................ 8,100 630,787
Visual Networks, Inc.*........................................................... 21,100 601,350
-----------
1,546,611
-----------
COSMETICS & PERSONAL CARE - 0.5%
Alberto-Culver Co. - Class B..................................................... 18,300 559,294
-----------
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - 1.5%
Cleco Corp....................................................................... 27,800 $ 931,300
CMS Energy Corp.................................................................. 35,200 778,800
-----------
1,710,100
-----------
ELECTRICAL EQUIPMENT - 0.6%
Capstone Turbine Corp.*........................................................... 2,100 94,631
Rayovac Corp.*................................................................... 27,500 615,312
-----------
709,943
-----------
ELECTRONICS - 8.3%
ACT Manufacturing, Inc.*......................................................... 14,700 682,632
ATMI, Inc.*...................................................................... 23,800 1,106,700
C-Cube Microsystems Inc.*........................................................ 21,700 425,862
DDI Corp.*....................................................................... 26,700 760,950
Exar Corp.*...................................................................... 16,850 1,469,109
Genesis Microchip Inc.*........................................................... 5,500 98,312
Integrated Circuit Systems, Inc.*................................................ 14,500 248,312
JNI Corp.*........................................................................ 3,000 94,875
Lattice Semiconductor Corp.*..................................................... 11,700 808,763
Manufacturers' Services Ltd.*..................................................... 5,300 108,981
MMC Networks, Inc.*............................................................... 5,700 304,594
New Focus, Inc.*.................................................................. 3,800 312,075
Power-One, Inc.*................................................................. 10,000 1,139,375
Silicon Image, Inc.*.............................................................. 7,500 374,063
Silicon Laboratories Inc.*........................................................ 3,100 164,688
Stratos Lightwave, Inc.*.......................................................... 2,575 71,778
TranSwitch Corp.*................................................................. 2,600 200,688
Virata Corp.*..................................................................... 7,400 441,225
Vyyo Inc.*........................................................................ 6,900 186,300
World Access, Inc.*.............................................................. 32,600 360,638
-----------
9,359,920
-----------
ENTERTAINMENT & LEISURE - 1.5%
Anchor Gaming*................................................................... 18,100 867,669
Boca Resorts, Inc.*.............................................................. 14,700 145,163
Concord Camera Corp.*............................................................. 2,600 54,275
JAKKS Pacific, Inc.*............................................................. 20,800 306,800
Ticketmaster Online-City - Class B*.............................................. 22,400 357,000
-----------
1,730,907
-----------
FINANCIAL SERVICES - 2.6%
Allied Capital Corp.............................................................. 41,400 703,800
Amcv Capital Trust I*............................................................. 3,900 162,825
American Home Mortgage Holdings, Inc.*........................................... 16,300 74,369
Donaldson, Lufkin & Jenrette, Inc................................................. 5,000 212,188
Doral Financial Corp............................................................. 24,400 279,075
Gabelli Asset Management, Inc.*.................................................. 11,600 290,000
Heller Financial, Inc............................................................ 33,300 682,650
LendingTree, Inc.*................................................................ 4,200 31,500
Ocwen Financial Corp.*........................................................... 28,900 160,756
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Small Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES - CONTINUED
Southwest Securities Group, Inc................................................... 8,100 $ 301,725
Web Street, Inc.*................................................................ 10,400 26,000
-----------
2,924,888
-----------
FOREST PRODUCTS & PAPER - 1.6%
Buckeye Technologies, Inc.*...................................................... 22,400 491,400
Caraustar Industries, Inc........................................................ 47,500 718,438
Universal Forest Products, Inc................................................... 39,100 537,625
-----------
1,747,463
-----------
HEALTH CARE PROVIDERS - 0.8%
Accredo Health, Inc.*............................................................ 13,550 468,322
Community Health Care*............................................................ 5,300 85,794
Hooper Holmes, Inc............................................................... 38,500 308,000
-----------
862,116
-----------
HEAVY CONSTRUCTION - 0.5%
Mcdermott International, Inc..................................................... 66,800 588,675
-----------
HEAVY MACHINERY - 2.4%
Applied Science and Technology, Inc.*............................................ 12,600 326,025
Dycom Industries, Inc.*........................................................... 6,450 296,700
IDEX Corp........................................................................ 11,100 350,344
Lam Research Corp.*.............................................................. 14,700 551,250
Manitowoc Company, Inc............................................................ 6,600 176,550
Optimal Robotics Corp.*.......................................................... 13,500 518,063
Smith International, Inc.*........................................................ 7,000 509,688
-----------
2,728,620
-----------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 0.5%
Furniture Brands International, Inc.*............................................. 9,000 136,125
Stanley Furniture Co., Inc.*..................................................... 21,100 464,200
-----------
600,325
-----------
HOUSEHOLD PRODUCTS - 0.2%
Snap-On, Inc...................................................................... 7,800 207,675
-----------
INDUSTRIAL - DIVERSIFIED - 1.4%
Shaw Group, Inc.*................................................................ 20,900 984,913
Symyx Technologies Inc.*......................................................... 14,200 605,053
-----------
1,589,966
-----------
INSURANCE - 2.1%
E. W. Blanch Holdings, Inc....................................................... 10,500 213,281
Fremont General Corp............................................................. 37,500 147,656
HealthExtras, Inc.*.............................................................. 22,900 123,088
MIIX Group, Inc................................................................... 3,700 44,400
Nationwide Financial Services, Inc. - Class A.................................... 21,800 716,675
Protective Life Corp............................................................. 13,400 356,775
Quotesmith.com, Inc.*............................................................ 23,200 50,026
RenaissanceRe Holdings Ltd....................................................... 10,400 453,050
StanCorp Financial Group, Inc..................................................... 8,600 276,275
-----------
2,381,226
-----------
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
LODGING - 0.3%
Aztar Corp.*..................................................................... 16,000 $ 248,000
Extended Stay America, Inc.*..................................................... 13,900 128,575
-----------
376,575
-----------
MEDIA - BROADCASTING & PUBLISHING - 1.9%
Entercom Communications Corp.*................................................... 12,400 604,500
Hearst-Argyle Television, Inc.*.................................................. 12,700 247,650
Insight Communications Co., Inc.*................................................ 15,400 240,625
Spanish Broadcasting System, Inc.*............................................... 39,700 816,331
World Gate Communications, Inc.*................................................. 15,600 276,900
-----------
2,186,006
-----------
MEDICAL BIO - TECHNOLOGY - 0.8%
Affymetrix, Inc.*................................................................. 4,500 743,063
Maxygen Inc.*..................................................................... 3,000 170,297
-----------
913,360
-----------
MEDICAL SUPPLIES - 4.4%
Aclara Biosciences Inc.*.......................................................... 2,200 112,063
August Technology Corp.*.......................................................... 3,700 60,819
Cyberonics, Inc.*................................................................. 7,800 93,600
Cytyc Corp.*...................................................................... 1,800 96,075
Eclipse Surgical Technologies, Inc.*............................................. 32,900 143,938
Enzon, Inc.*...................................................................... 5,500 233,750
Exfo Electro-Optical Engineering, Inc.*........................................... 1,000 43,875
I-STAT Corp.*.................................................................... 21,500 374,906
Kopin Corp.*..................................................................... 15,800 1,094,150
Meade Instruments Corp.*......................................................... 13,500 339,188
Mettler-Toledo International, Inc.*.............................................. 27,500 1,100,000
MKS Instruments, Inc.*........................................................... 12,300 481,238
Molecular Devices Corp.*.......................................................... 1,400 96,863
ORATEC Interventions, Inc*........................................................ 8,700 290,363
ResMed, Inc.*.................................................................... 11,600 310,300
Sonic Innovations, Inc*........................................................... 5,000 92,813
Therma-Wave Inc.*................................................................. 1,200 26,775
-----------
4,990,716
-----------
METALS - 0.7%
Gulf Island Fabrication, Inc.*.................................................... 5,800 98,600
Mueller Industries*.............................................................. 20,100 562,800
Schnitzer Steel Industries, Inc.................................................. 10,000 158,750
-----------
820,150
-----------
OIL & GAS - 3.8%
Atmos Energy Corp................................................................ 26,400 462,000
Cooper Cameron Corp.*............................................................ 11,100 732,600
Global Industries, Ltd.*......................................................... 11,500 217,063
Kinder Morgan, Inc............................................................... 15,100 521,894
National-Oilwell, Inc.*.......................................................... 32,700 1,075,013
Newfield Exploration Co.*........................................................ 24,200 946,825
Spinnaker Exploration Co.*........................................................ 9,900 253,688
Unit Corp.*....................................................................... 8,800 118,800
-----------
4,327,883
-----------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Small Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 6.5%
Abgenix, Inc.*.................................................................... 5,400 $ 647,241
Akorn, Inc.*..................................................................... 31,200 247,650
Allscripts, Inc.*................................................................ 12,000 276,000
Bindley Western Industries, Inc.................................................. 20,000 528,750
Charles River Laboratories Int'l., Inc.*.......................................... 3,300 73,219
Corixa Corp.*..................................................................... 8,800 377,850
Gilead Sciences, Inc.*............................................................ 1,700 120,913
Human Genome Sciences, Inc.*..................................................... 13,805 1,840,653
IDEC Pharmaceuticals Corp.*....................................................... 7,300 856,381
ILEX Oncology, Inc.*.............................................................. 5,100 179,775
Ligand Pharmaceuticals*.......................................................... 50,100 660,694
Millennium Pharmaceuticals, Inc.*................................................. 1,100 123,063
Neurocrine Biosciences, Inc.*.................................................... 11,900 423,194
Vertex Pharmaceuticals Inc.*...................................................... 8,900 937,838
Vical, Inc.*...................................................................... 1,400 26,950
-----------
7,320,171
-----------
REAL ESTATE - 4.0%
Arden Realty Group, Inc. (REIT).................................................. 21,600 507,600
Centerpoint Properties Corp. (REIT)............................................... 9,500 387,125
CoStar Group Inc.*................................................................ 7,900 197,994
Cousins Properties, Inc. (REIT).................................................. 15,800 608,300
General Growth Properties, Inc. (REIT)........................................... 17,300 549,275
Macerich Co. (The) (REIT)........................................................ 12,300 271,369
Manufactured Home Communities, Inc. (REIT)....................................... 20,900 500,294
Mills Corp. (REIT)............................................................... 13,500 253,969
Misson West Properties Inc. (REIT)............................................... 22,600 237,300
Post Properties, Inc. (REIT)..................................................... 23,567 1,036,948
-----------
4,550,174
-----------
RETAILERS - 1.5%
Alloy Online, Inc.*.............................................................. 18,300 205,875
BJ's Wholesale Club, Inc.*........................................................ 3,800 125,400
Cost Plus, Inc.*................................................................. 19,200 550,800
School Specialty, Inc.*.......................................................... 35,700 662,681
Stamps.com, Inc.*................................................................ 13,800 100,913
-----------
1,645,669
-----------
TELEPHONE SYSTEMS - 3.5%
Choice One Communications, Inc.*................................................. 11,000 448,938
Digital Island, Inc.*............................................................. 8,600 418,175
ECtel Ltd.*....................................................................... 4,200 96,600
Flag Telecom Holdings Ltd.*....................................................... 9,400 139,825
GoAmerica, Inc.*.................................................................. 8,700 134,306
IBasis, Inc.*.................................................................... 20,900 900,006
ITC DeltaCom, Inc.*.............................................................. 15,300 341,381
MGC Communications, Inc.*........................................................ 12,000 719,250
Motient Corp*.................................................................... 23,400 367,088
Net2Phone, Inc.*.................................................................. 8,000 285,500
TeleCorp PCS Inc.*................................................................ 3,600 145,125
-----------
3,996,194
-----------
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
TEXTILES, CLOTHING & FABRICS - 0.3%
Genesco Inc.*.................................................................... 11,000 $ 176,688
Vans, Inc.*...................................................................... 13,400 195,975
-----------
372,663
-----------
TRANSPORTATION - 2.5%
American Classic Voyages Co.*.................................................... 15,100 311,438
C.H. Robinson Worldwide, Inc..................................................... 23,300 1,153,350
GATX Corp......................................................................... 7,300 248,200
PNV.net, Inc.*.................................................................... 9,300 12,788
Werner Enterprises, Inc.......................................................... 40,175 464,523
Willis Lease Finance Corp.*...................................................... 31,900 199,375
Wisconsin Central Transport Corp.*............................................... 34,600 449,800
-----------
2,839,474
-----------
WATER COMPANIES - 0.6%
E-Town Corp....................................................................... 9,500 631,156
-----------
Total Common Stocks (Cost $90,715,994) 105,889,356
-----------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
-------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 14.3%
$1,335,090 American Express Centurion Bank, 6.65%,
due 07/10/00(a)..................................................... $ 1,335,090
1,375,726 Bank of America, 6.67%,
due 03/22/01(a)..................................................... 1,375,726
667,545 Royal Bank of Scotland, 6.85%,
due 07/05/00(a)..................................................... 667,545
2,670,180 American Express Centurion Bank, 7%,
due 07/07/00(a)..................................................... 2,670,180
667,545 First Union National Bank, 6.9%,
due 05/09/01(a)..................................................... 667,545
1,633,879 Fleet National Bank, 7.125%,
due 10/31/00(a)..................................................... 1,633,879
1,335,090 Goldman Sachs, 6.64875%,
due 08/17/00(a)..................................................... 1,335,090
1,335,090 Janus Money Market Fund(a)............................................ 1,335,090
3,887,014 Merrimac Cash Fund-Premium Class(a)................................... 3,887,014
1,335,090 BNP Paribas, 6.75%, due 07/05/00(a)................................... 1,335,090
------------
Total Short-Term Investments
(Cost $16,242,249) 16,242,249
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 107.9%
(Cost $106,958,243) 122,131,605
Other Assets and Liabilities (net) -
(7.9%) (8,942,461)
-------------
TOTAL NET ASSETS - 100.0% $ 113,189,144
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Represents investment of collateral received from securities
lending transactions.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE>
Cova Series Trust
Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
PAR VALUE
AMOUNT SECURITY DESCRIPTION COUPON MATURITY (NOTE 1)
-----------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
DOMESTIC BONDS & DEBT SECURITIES - 95.7%
ASSET BACKED SECURITIES - 8.1%
$ 400,000 California Infrastructure......................... 6.420% 09/25/2008 $ 388,814
1,500,000 Carco Auto Loan Master Trust...................... 5.780% 03/15/2004 1,465,867
360,000 Citibank Credit Card Master Trust................. 5.500% 02/15/2006 341,037
1,230,000 Citibank Credit Card Master Trust................. 6.150% 03/10/2011 1,120,930
730,000 Ford Credit Auto Loan Master Trust................ 5.500% 02/15/2003 723,105
1,800,000 Ford Credit Auto Owner Trust...................... 6.820% 06/17/2002 1,798,317
595,000 Money Store Home Equity Trust (The)............... 6.485% 12/15/2038 569,132
500,000 Nationsbank Card Master Trust..................... 6.450% 04/15/2003 500,042
500,000 Peco Energy Transition Trust...................... 5.800% 03/01/2007 475,637
-----------
7,382,881
-----------
AUTOMOTIVE - 0.0%
25,000 Federal - Mogul Corp.............................. 7.750% 07/01/2006 18,202
-----------
BANKING - 4.1%
2,000,000 Chase Manhattan Corp.............................. 9.750% 11/01/2001 2,063,140
225,000 Fleet Capital Ltd................................. 7.920% 12/11/2026 197,253
10,000 NationsBank Corp.................................. 7.250% 10/15/2025 9,036
1,500,000 Wachovia Corp..................................... 6.700% 06/21/2004 1,464,864
-----------
3,734,293
-----------
BEVERAGES, FOOD & TOBACCO - 0.7%
455,000 J Seagram & Sons.................................. 7.600% 12/15/2028 431,522
250,000 Smithfield Foods, Inc............................. 7.625% 02/15/2008 225,000
-----------
656,522
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS - 12.9%
209,951 Chase Manhattan Bank - First Union National....... 7.134% 07/15/2007 208,273
2,000,000 Chase Manhattan Bank - First Union National....... 7.439% 07/15/2009 1,994,818
1,980,000 Commercial Mortgage Acceptance Corp............... 6.030% 03/15/2008 1,822,956
890,000 Credit Suisse First Boston Mortgage Securities
Corp............................................ 7.290% 09/15/2009 878,503
1,959,096 First Nationwide Trust............................ 6.500% 01/19/2029 1,813,525
1,655,000 First Union Commercial Mortgage................... 6.070% 10/15/2008 1,517,344
240,000 First Union-Lehman Brothers Commercial............ 6.600% 05/18/2007 232,177
1,730,000 First Union-Lehman Brothers Commercial............ 6.650% 12/18/2007 1,652,629
1,500,000 Morgan Stanley Capital, Inc....................... 6.170% 10/03/2008 1,377,849
299,278 Ocwen Residential MBS Corp. (144A)(a)............. 7.000% 10/25/2040 293,237
-----------
11,791,311
-----------
COMMUNICATIONS - 1.2%
1,070,000 TCI Communications, Inc........................... 7.875% 02/15/2026 1,065,776
-----------
ELECTRIC UTILITIES - 0.3%
250,000 Columbus Southern Power........................... 6.850% 10/03/2005 240,979
-----------
FINANCIAL SERVICES - 2.8%
650,000 Citigroup Capital................................. 7.750% 12/01/2036 590,921
1,500,000 General Motors Acceptance Corp.................... 5.500% 01/14/2002 1,460,698
500,000 General Motors Acceptance Corp.................... 6.750% 11/04/2004 486,662
-----------
2,538,281
-----------
INDUSTRIAL - DIVERSIFIED - 0.5%
495,000 Armstrong World Industries, Inc................... 6.350% 08/15/2003 436,335
-----------
MEDIA - BROADCASTING & PUBLISHING - 2.0%
250,000 Fox Liberty Networks LLC.......................... 8.875% 08/15/2007 249,375
30,000 News America Holdings, Inc........................ 7.700% 10/30/2025 27,296
500,000 Time Warner, Inc.................................. 7.975% 08/15/2004 510,000
1,000,000 Turner Broadcasting Systems, Inc.................. 7.400% 02/01/2004 996,095
-----------
1,782,766
-----------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
PAR VALUE
AMOUNT SECURITY DESCRIPTION COUPON MATURITY (NOTE 1)
-----------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
OIL & GAS - 1.2%
$ 600,000 Coastal Corp...................................... 6.500% 05/15/2006 $ 569,035
200,000 Dynegy, Inc....................................... 6.875% 07/15/2002 197,912
65,000 Enron Corp........................................ 6.950% 07/15/2028 57,325
300,000 National Fuel Gas Co.............................. 6.214% 08/12/2027 291,248
-----------
1,115,520
-----------
TELEPHONE SYSTEMS - 2.0%
250,000 Global Crossing Hldg. Ltd. (144A)(a).............. 9.125% 11/15/2006 240,625
455,000 Liberty Media Group............................... 8.250% 02/01/2030 418,896
100,000 U.S. Cellular Corp................................ 7.250% 08/15/2007 95,199
1,100,000 WorldCom, Inc..................................... 7.750% 04/01/2027 1,096,565
-----------
1,851,285
-----------
TRANSPORTATION - 0.3%
375,000 Union Pacific Corp................................ 6.625% 02/01/2029 310,800
-----------
U.S. GOVERNMENT AGENCY - 3.3%
2,630,000 Federal National Mortgage Association............. 7.250% 01/15/2010 2,655,992
402,000 Federal National Mortgage Association(b).......... 7.125% 01/15/2030 404,234
-----------
3,060,226
-----------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 41.4%
20,754 Federal Home Loan Mortgage Corp................... 8.000% 09/01/2008 20,805
215,039 Federal Home Loan Mortgage Corp................... 6.500% 07/15/2016 212,590
877,043 Federal National Mortgage Association............. 6.500% 06/01/2014 845,988
76,936 Federal National Mortgage Association............. 6.500% 08/01/2014 74,212
26,330 Federal National Mortgage Association............. 6.500% 09/01/2014 25,398
214,908 Federal National Mortgage Association............. 6.500% 09/01/2014 207,298
140,080 Federal National Mortgage Association............. 6.500% 12/01/2014 135,120
625,136 Federal National Mortgage Association............. 6.500% 12/01/2014 603,001
89,044 Federal National Mortgage Association............. 6.500% 01/01/2015 85,891
824,020 Federal National Mortgage Association............. 6.500% 02/01/2015 794,842
799,576 Federal National Mortgage Association............. 7.000% 03/01/2015 784,756
345,330 Federal National Mortgage Association............. 7.000% 03/01/2015 338,929
886,472 Federal National Mortgage Association............. 7.000% 03/01/2015 870,042
828,557 Federal National Mortgage Association............. 7.000% 03/01/2015 813,200
21,652 Federal National Mortgage Association............. 8.500% 07/01/2019 22,067
377,388 Federal National Mortgage Association............. 7.500% 12/01/2022 372,313
838,560 Federal National Mortgage Association............. 7.000% 06/01/2028 809,803
415,264 Federal National Mortgage Association............. 6.000% 07/01/2028 379,983
399,787 Federal National Mortgage Association............. 7.000% 08/01/2028 386,077
844,608 Federal National Mortgage Association............. 7.000% 09/01/2028 815,643
80,628 Federal National Mortgage Association............. 6.000% 10/01/2028 73,777
313,565 Federal National Mortgage Association............. 6.000% 12/01/2028 286,925
271,037 Federal National Mortgage Association............. 7.500% 06/01/2029 267,392
713,263 Federal National Mortgage Association............. 7.500% 06/01/2029 703,670
55,085 Federal National Mortgage Association............. 7.500% 07/01/2029 54,344
738,927 Federal National Mortgage Association............. 7.000% 08/01/2029 713,586
283,934 Federal National Mortgage Association............. 7.500% 08/01/2029 280,115
96,730 Federal National Mortgage Association............. 7.500% 08/01/2029 95,429
395,051 Federal National Mortgage Association............. 7.000% 09/01/2029 381,503
501,290 Federal National Mortgage Association............. 7.500% 09/01/2029 494,547
406,755 Federal National Mortgage Association............. 7.500% 09/01/2029 401,284
34,902 Federal National Mortgage Association............. 7.500% 09/01/2029 34,433
310,748 Federal National Mortgage Association............. 7.500% 09/01/2029 306,569
665,156 Federal National Mortgage Association............. 7.500% 09/01/2029 656,210
158,000 Federal National Mortgage Association............. 8.000% 09/01/2029 158,753
399,317 Federal National Mortgage Association............. 7.500% 10/01/2029 393,946
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
PAR VALUE
AMOUNT SECURITY DESCRIPTION COUPON MATURITY (NOTE 1)
-----------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - CONTINUED
$ 630,003 Federal National Mortgage Association............. 7.500% 10/01/2029 $ 621,530
726,079 Federal National Mortgage Association............. 7.500% 10/01/2029 716,313
568,859 Federal National Mortgage Association............. 7.500% 10/01/2029 561,208
868,463 Federal National Mortgage Association............. 7.500% 10/01/2029 856,782
289,419 Federal National Mortgage Association............. 7.500% 11/01/2029 285,526
52,275 Federal National Mortgage Association............. 8.000% 11/01/2029 52,524
30,155 Federal National Mortgage Association............. 8.000% 11/01/2029 30,299
25,680 Federal National Mortgage Association............. 7.000% 12/01/2029 24,800
565,122 Federal National Mortgage Association............. 7.500% 01/01/2030 557,521
490,431 Federal National Mortgage Association............. 7.500% 01/01/2030 483,835
832,462 Federal National Mortgage Association............. 7.500% 01/01/2030 821,265
317,832 Federal National Mortgage Association............. 7.500% 02/01/2030 313,557
990,001 Federal National Mortgage Association............. 7.500% 02/01/2030 976,685
314,633 Federal National Mortgage Association............. 8.000% 02/01/2030 316,134
997,135 Federal National Mortgage Association............. 8.000% 02/01/2030 1,001,889
848,459 Federal National Mortgage Association............. 8.000% 02/01/2030 852,505
421,289 Federal National Mortgage Association............. 7.500% 04/01/2030 415,623
944,404 Federal National Mortgage Association............. 7.000% 05/01/2030 912,017
141,388 Federal National Mortgage Association............. 7.500% 06/01/2030 139,486
999,900 Federal National Mortgage Association............. 8.000% 06/01/2030 1,004,668
499,950 Federal National Mortgage Association............. 8.000% 06/01/2030 502,334
2,125,000 Federal National Mortgage Association(c).......... 7.000% 07/17/2030 2,050,620
4,390,000 Federal National Mortgage Association(c).......... 7.500% 07/17/2030 4,325,511
39,687 Government National Mortgage Association.......... 9.000% 01/15/2020 41,013
26,407 Government National Mortgage Association.......... 8.000% 03/15/2026 26,677
65,497 Government National Mortgage Association.......... 7.500% 02/15/2027 65,096
2,633,462 Government National Mortgage Association.......... 6.500% 12/15/2028 2,499,890
28,732 Government National Mortgage Association.......... 8.000% 12/15/2029 29,063
86,033 Government National Mortgage Association.......... 8.000% 01/15/2030 87,023
885,235 Government National Mortgage Association.......... 8.000% 02/15/2030 895,422
25,824 Government National Mortgage Association.......... 8.000% 02/15/2030 26,121
27,396 Government National Mortgage Association.......... 8.000% 04/15/2030 27,711
25,839 Government National Mortgage Association.......... 8.000% 04/15/2030 26,137
948,317 Government National Mortgage Association.......... 8.000% 06/15/2030 959,230
946,216 Government National Mortgage Association.......... 8.000% 06/15/2030 957,105
500,000 Government National Mortgage Association.......... 8.000% 06/15/2030 505,754
-----------
37,869,315
-----------
U.S. TREASURY SECURITIES - 14.9%
5,000 U.S. Treasury Note................................ 6.000% 08/15/2004 4,955
2,750,000 U.S. Treasury Note................................ 5.500% 05/15/2009 2,630,548
1,810,000 U.S. Treasury Note................................ 6.500% 02/15/2010 1,872,219
1,715,000 U.S. Treasury Bond(d)............................. 8.875% 02/15/2019 2,203,240
5,653,000 U.S. Treasury Bond................................ 6.750% 08/15/2026 6,076,975
335,000 U.S. Treasury Bond................................ 6.500% 11/15/2026 349,552
1,300,000 U.S. Treasury Bond - Strip Principal(d)........... 9.125% 05/15/2018 431,410
-----------
13,568,899
-----------
Total Domestic Bonds & Debt Securities (Cost
$87,901,855) 87,423,391
-----------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
PAR VALUE
AMOUNT SECURITY DESCRIPTION COUPON MATURITY (NOTE 1)
-----------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FOREIGN BONDS & DEBT SECURITIES - 1.6%
CANADA - 0.6%
$ 80,000 Gulf Canada Resources Ltd. (Yankee)............... 8.250% 03/15/2017 $ 73,800
500,000 Quebec Province (Global).......................... 7.500% 09/15/2029 492,010
-----------
565,810
-----------
CHANNEL ISLANDS - 0.5%
420,000 HSBC Capital Funding LT (144A) (Yankee)........... 10.176% 12/29/2049 450,849
-----------
COLOMBIA - 0.2%
195,000 Colombia (Republic of) (Global)................... 9.750% 04/23/2009 153,563
-----------
NETHERLANDS - 0.2%
250,000 KPNQwest B.V. (Yankee)............................ 8.125% 06/01/2009 236,250
-----------
PHILIPPINE ISLANDS - 0.1%
90,000 Philippines (Republic of) (Global) (Yankee)....... 10.625% 03/16/2025 77,175
-----------
Total Foreign Bonds & Debt Securities (Cost
$1,546,559) 1,483,647
-----------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
PAR VALUE
AMOUNT SECURITY DESCRIPTION (NOTE 1)
-----------------------------------------------------------------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS - 8.0%
$ 200,000 Canadian Imperial Bank........................ $ 199,842
582,103 American Express Centurion Bank, 6.65%, due
07/10/00(e)................................. 582,103
291,051 Royal Bank of Scotland, 6.85%, due
07/05/00(e)................................. 291,051
1,164,205 American Express Centurion Bank, 7%, due
07/07/00(e)................................. 1,164,205
291,051 First Union National Bank, 6.9%, due
05/09/01(e)................................. 291,051
1,312,195 Fleet National Bank, 7.125%, due
10/31/00(e)................................. 1,312,195
582,104 Goldman Sachs, 6.64875%, due 08/17/00(e)...... 582,104
582,103 Janus Money Market Fund(e).................... 582,103
1,694,748 Merrimac Cash Fund-Premium Class(e)........... 1,694,748
582,103 BNP Paribas, 6.75%, due 07/05/00(e)........... 582,103
-----------
Total Short-Term Investments
(Cost $7,281,668) 7,281,505
-----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS - 105.3%
(Cost $96,730,082) 96,188,543
Other Assets and Liabilities (net) -
(5.3%) (4,817,889)
-------------
TOTAL NET ASSETS - 100.0% $ 91,370,654
=============
</TABLE>
PORTFOLIO FOOTNOTES:
(a) 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.
(b) Assets segregated for purchase for purchase price of delayed delivery or
when-issued security.
(c) Security purchased on a delayed or when-issued basis. (See note 1 to
financial statements)
(d) Held as collateral for open futures contracts.
(e) Represents investment of collateral received from securities lending
transactions.
Yankee - U.S. Dollar denominated bonds issued by non-U.S. companies in the U.S.
See notes to financial statements
<PAGE>
Cova Series Trust
Select Equity Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 97.7%
AUTOMOTIVE - 0.8%
Ford Motor Co..................................................................... 27,100 $ 1,165,300
Lear Corp.*....................................................................... 43,400 868,000
Visteon Corp.*..................................................................... 3,548 43,023
------------
2,076,323
------------
BANKING - 4.3%
Astoria Financial Corp............................................................ 22,100 569,075
Bank One Corp..................................................................... 41,100 1,091,719
Capital One Financial Corp........................................................ 64,400 2,873,850
Dime Bancorp, Inc................................................................. 41,600 655,200
First Union Corp.................................................................. 84,400 2,094,175
KeyCorp........................................................................... 37,400 659,175
U.S. Bancorp..................................................................... 140,100 2,696,925
------------
10,640,119
------------
BEVERAGES, FOOD & TOBACCO - 3.6%
Coca-Cola Co. (The)............................................................... 37,400 2,148,162
Philip Morris Co., Inc........................................................... 159,500 4,236,719
Quaker Oats Co. (The)............................................................. 17,800 1,337,225
Seagrams Co., Ltd................................................................. 18,500 1,073,000
------------
8,795,106
------------
CHEMICALS - 2.6%
Air Products & Chemicals, Inc..................................................... 95,600 2,945,675
Praxair, Inc...................................................................... 31,500 1,179,281
Rohm & Haas Co.................................................................... 62,300 2,149,350
------------
6,274,306
------------
COMMERCIAL SERVICES - 0.5%
Cendant Corp.*.................................................................... 90,775 1,270,850
------------
COMMUNICATIONS - 2.0%
Allegiance Telecom, Inc.*......................................................... 13,000 832,000
Lucent Technologies, Inc.......................................................... 38,245 2,266,016
QUALCOMM, Inc.*.................................................................... 8,500 510,000
Tellabs Inc.*..................................................................... 19,100 1,307,156
------------
4,915,172
------------
COMPUTER SOFTWARE & PROCESSING - 13.6%
America Online, Inc.*............................................................. 84,400 4,452,100
Automatic Data Processing, Inc.................................................... 23,200 1,242,650
Cisco Systems, Inc.*............................................................. 151,200 9,610,650
Citrix Systems, Inc.*............................................................. 31,000 587,062
Computer Associates International, Inc............................................ 56,600 2,897,212
Microsoft Corp.*................................................................. 120,000 9,600,000
Oracle Corp.*..................................................................... 37,400 3,143,937
Parametric Technology Corp.*...................................................... 53,100 584,100
Siebel Systems, Inc.*.............................................................. 7,800 1,275,787
------------
33,393,498
------------
COMPUTERS & INFORMATION - 7.2%
Compaq Computer Corp.............................................................. 45,400 1,160,537
Dell Computer Corp.*.............................................................. 39,000 1,923,187
EMC Corp. Mass*................................................................... 42,800 3,292,925
International Business Machines Corp.............................................. 11,700 1,281,881
Quantum Corp. - DLT & Storage*................................................... 112,500 1,089,844
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTERS & INFORMATION - CONTINUED
Seagate Technology, Inc.*......................................................... 33,400 $ 1,837,000
Sun Microsystems, Inc.*........................................................... 79,400 7,220,437
------------
17,805,811
------------
COSMETICS & PERSONAL CARE - 0.8%
Gillette Co....................................................................... 53,200 1,858,675
------------
ELECTRIC UTILITIES - 0.8%
CP&L, Energy Inc.................................................................. 17,700 565,294
PG&E Corp......................................................................... 36,200 891,425
Wisconsin Energy Corp............................................................. 26,600 527,012
------------
1,983,731
------------
ELECTRICAL EQUIPMENT - 3.4%
General Electric Co.............................................................. 159,600 8,458,800
------------
ELECTRONICS - 6.8%
Altera Corp.*...................................................................... 8,300 846,081
Applied Materials, Inc.*........................................................... 9,800 888,125
Intel Corp........................................................................ 64,600 8,636,212
Micron Technology, Inc.*.......................................................... 12,200 1,074,363
Motorola, Inc..................................................................... 66,902 1,735,031
Texas Instruments, Inc............................................................ 50,600 3,475,588
------------
16,655,400
------------
ENVIRONMENTAL CONTROLS - 1.2%
Republic Services, Inc.*.......................................................... 79,300 1,268,800
Waste Management, Inc............................................................. 89,674 1,703,806
------------
2,972,606
------------
FINANCIAL SERVICES - 5.0%
CIT Group, Inc. (The)............................................................. 54,700 888,875
Citigroup, Inc.................................................................... 68,500 4,127,125
E*Trade Group, Inc.*.............................................................. 59,300 978,450
Federal Home Loan Mortgage Corp................................................... 24,000 972,000
Federal National Mortgage Association............................................. 25,400 1,325,563
Goldman Sachs Group, Inc. (The)................................................... 41,400 3,927,825
------------
12,219,838
------------
FOREST PRODUCTS & PAPER - 0.8%
Smurfit-Stone Container Corp.*................................................... 154,583 1,990,256
------------
HEALTH CARE PROVIDERS - 0.3%
Tenet Healthcare Corp............................................................. 29,700 801,900
------------
HEAVY MACHINERY - 1.4%
Baker Hughes, Inc................................................................. 59,600 1,907,200
Cooper Industries, Inc............................................................ 47,100 1,533,694
------------
3,440,894
------------
HOUSEHOLD PRODUCTS - 1.3%
Clorox Co......................................................................... 34,100 1,528,106
Procter & Gamble Co............................................................... 29,200 1,671,700
------------
3,199,806
------------
INDUSTRIAL - DIVERSIFIED - 3.7%
Honeywell International Inc....................................................... 40,649 1,369,363
Tyco International Ltd........................................................... 162,920 7,718,335
------------
9,087,698
------------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Select Equity Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - 3.9%
Allstate Corp..................................................................... 47,000 $ 1,045,750
Ambac Financial Group, Inc........................................................ 65,800 3,606,663
American International Group...................................................... 19,400 2,279,500
Aon Corp.......................................................................... 30,800 956,725
Cigna Corp........................................................................ 18,000 1,683,000
------------
9,571,638
------------
LODGING - 0.3%
Marriott International, Inc. - Class A............................................ 20,700 746,494
------------
MEDIA - BROADCASTING & PUBLISHING - 2.5%
Comcast Corp.*.................................................................... 58,900 2,385,450
Fox Entertainment Group, Inc. - Class A*.......................................... 46,800 1,421,550
MediaOne Group, Inc.*.............................................................. 8,600 570,298
Time Warner, Inc.................................................................. 22,900 1,740,400
------------
6,117,698
------------
MEDICAL SUPPLIES - 0.8%
C.R. Bard, Inc.................................................................... 15,900 765,188
PE Corp - PE Biosystems Group..................................................... 17,000 1,119,875
------------
1,885,063
------------
METALS - 0.9%
Alcoa, Inc........................................................................ 25,016 725,464
Allegheny Technologies, Inc....................................................... 67,700 1,218,600
Phelps Dodge Corp.................................................................. 6,500 241,719
------------
2,185,783
------------
OIL & GAS - 6.0%
Anadarko Petroleum Corp........................................................... 25,600 1,262,400
Columbia Energy Group............................................................. 18,300 1,200,938
Dynegy, Inc....................................................................... 18,500 1,263,781
Exxon Mobil Corp................................................................. 124,510 9,774,035
Global Marine, Inc.*.............................................................. 43,700 1,231,794
------------
14,732,948
------------
PHARMACEUTICALS - 9.9%
Alza Corp.*....................................................................... 46,400 2,743,400
American Home Products Corp....................................................... 25,700 1,509,875
Amgen, Inc.*...................................................................... 18,400 1,292,600
Bristol-Myers Squibb Co........................................................... 42,200 2,458,150
Eli Lilly & Co.................................................................... 47,400 4,734,075
Merck & Co., Inc................................................................... 9,700 743,263
Pfizer, Inc....................................................................... 81,750 3,924,000
Pharmacia Corp.................................................................... 84,674 4,376,587
Schering-Plough Corp.............................................................. 49,800 2,514,900
------------
24,296,850
------------
RETAILERS - 4.8%
Abercrombie & Fitch Co.*.......................................................... 66,400 809,250
Circuit City Stores, Inc.......................................................... 20,200 670,388
Gap, Inc.......................................................................... 27,200 850,000
Home Depot, Inc................................................................... 21,800 1,088,638
Target Corp....................................................................... 38,100 2,209,800
TJX Companies, Inc................................................................ 83,200 1,560,000
Wal-Mart Stores, Inc.............................................................. 79,300 4,569,663
------------
11,757,739
------------
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONE SYSTEMS - 8.0%
AT&T Corp......................................................................... 61,800 $ 1,954,425
Global Crossing Ltd.*............................................................. 50,000 1,315,625
GTE Corp.......................................................................... 32,900 2,048,025
Level 3 Communications, Inc.*..................................................... 21,900 1,927,200
Liberty Media Group*............................................................. 129,700 3,145,225
Qwest Communications Int'l., Inc.*................................................ 32,200 1,599,938
SBC Communications Corp........................................................... 76,577 3,311,955
Sprint Corp (PCS Group)*.......................................................... 26,600 1,582,700
WorldCom, Inc*.................................................................... 59,271 2,719,057
------------
19,604,150
------------
TRANSPORTATION - 0.5%
Union Pacific Corp................................................................ 36,200 1,346,188
------------
Total Common Stocks (Cost $228,864,409) 240,085,340
------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
-----------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 5.0%
$1,018,071 American Express Centurion Bank, 6.65%,
due 07/10/00(a)....................... $ 1,018,071
1,018,071 Bank of America, 6.67%, due
03/22/01(a)........................... 1,018,071
509,033 Royal Bank of Scotland, 6.85%,
due 07/05/00(a)....................... 509,033
2,036,141 American Express Centurion Bank 7%,
due 07/07/00(a)....................... 2,036,141
509,035 First Union National Bank, 6.9%,
due 05/09/01(a)....................... 509,035
1,276,900 Fleet National Bank, 7.125%, due
10/31/00(a)........................... 1,276,900
1,018,071 Goldman Sachs, 6.64875%, 08/17/00(a).... 1,018,071
1,018,071 Janus Money Market Fund(a).............. 1,018,071
2,964,036 Merrimac Cash Fund-Premium Class(a)..... 2,964,036
1,018,071 BNP Paribas, 6.75%, due 07/05/00(a)..... 1,018,071
-----------
Total Short-Term Investments
(Cost $12,385,500) 12,385,500
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 102.7%
(Cost $241,249,909) 252,470,840
Other Assets and Liabilities (net) -
(2.7%) (6,618,954)
-------------
TOTAL NET ASSETS - 100.0% $ 245,851,886
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Represents investment of collateral received from securities
lending transactions.
See notes to financial statements
<PAGE>
Cova Series Trust
Large Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 97.8%
ADVERTISING - 0.1%
DoubleClick Inc.*.................................................................. 4,900 $ 186,812
------------
AEROSPACE & DEFENSE - 0.1%
B.F. Goodrich Company (The)........................................................ 7,400 252,062
------------
AIRLINES - 0.0%
Delta Air Lines, Inc............................................................... 1,400 70,787
Northwest Airlines Corp.*.......................................................... 2,100 63,919
------------
134,706
------------
APPAREL RETAILERS - 0.2%
The Limited, Inc.................................................................. 20,400 441,150
------------
AUTOMOTIVE - 2.1%
Dana Corp......................................................................... 13,700 290,269
Delphi Automotive Systems Corp.................................................... 31,100 452,894
Ford Motor Co..................................................................... 53,400 2,296,200
Ford Motor Co.(a).................................................................. 3,700 159,100
General Motors Corp............................................................... 28,000 1,625,750
Goodyear Tire & Rubber Co......................................................... 13,100 262,000
Paccar, Inc........................................................................ 4,400 174,625
Rockwell International Corp....................................................... 14,100 444,150
Visteon Corp.*..................................................................... 6,992 84,776
------------
5,789,764
------------
BANKING - 3.1%
Associates First Capital Corp..................................................... 31,400 700,612
Bank One Corp..................................................................... 34,200 908,437
Banknorth Group, Inc............................................................... 5,800 88,812
Capital One Financial Corp......................................................... 7,900 352,537
Comerica, Inc...................................................................... 5,300 237,837
Compass Bancshares, Inc............................................................ 2,600 44,362
Dime Bancorp, Inc.................................................................. 7,600 119,700
First Tennessee National Corp...................................................... 5,300 87,781
First Union Corp.................................................................. 48,800 1,210,850
Firstar Corp...................................................................... 23,800 501,287
Fleet Boston Financial Corp........................................................ 9,400 319,600
Golden West Financial Corp......................................................... 4,800 195,900
Greenpoint Financial Corp.......................................................... 4,700 88,125
Hibernia Corp. - Class A........................................................... 4,900 53,287
KeyCorp........................................................................... 21,400 377,175
Marshall And Ilsley Corp........................................................... 4,800 199,200
Mercantile Bankshares Corp......................................................... 2,800 83,475
North Fork Bancorp., Inc........................................................... 6,500 98,312
PNC Bank Corp..................................................................... 14,600 684,375
Providian Financial Corp........................................................... 5,000 450,000
Southtrust Corp.................................................................... 6,800 153,850
Summit Bancorp..................................................................... 7,200 177,300
TCF Financial Corp................................................................. 2,500 64,219
U.S. Bancorp...................................................................... 33,000 635,250
Union Planters Corp................................................................ 5,500 153,656
Washington Mutual, Inc............................................................ 24,700 713,212
------------
8,699,151
------------
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
BEVERAGES, FOOD & TOBACCO - 3.7%
Bestfoods......................................................................... 13,600 $ 941,800
Coca-Cola Co. (The)................................................................ 9,100 522,681
General Mills, Inc................................................................. 8,300 317,475
Hershey Foods Corp................................................................. 1,600 77,900
HJ Heinz Co....................................................................... 19,200 840,000
Kellogg Co........................................................................ 21,000 624,750
Nabisco Holdings Corp.............................................................. 1,800 94,500
Philip Morris Co., Inc........................................................... 129,200 3,431,875
Quaker Oats Co. (The).............................................................. 7,300 548,412
Seagrams Co., Ltd................................................................. 36,900 2,140,200
Unilever N.V. - New York Shares................................................... 15,900 683,700
------------
10,223,293
------------
CHEMICALS - 1.2%
Air Products & Chemicals, Inc..................................................... 26,800 825,775
Dow Chemical Co................................................................... 19,100 576,581
PPG Industries, Inc............................................................... 10,300 456,419
Praxair, Inc...................................................................... 10,900 408,069
Rohm & Haas Co.................................................................... 27,900 962,550
------------
3,229,394
------------
COMMERCIAL SERVICES - 0.5%
Cendant Corp.*.................................................................... 98,700 1,381,800
------------
COMMUNICATIONS - 2.5%
Allegiance Telecom, Inc.*.......................................................... 3,400 217,600
Corning Inc........................................................................ 2,700 728,662
JDS Uniphase Corp*................................................................... 200 23,975
Lucent Technologies, Inc.......................................................... 24,400 1,445,700
Nortel Networks Corp.............................................................. 42,600 2,907,450
QUALCOMM, Inc.*.................................................................... 5,400 324,000
Tellabs Inc.*..................................................................... 18,800 1,286,625
------------
6,934,012
------------
COMPUTER SOFTWARE & PROCESSING - 12.7%
Adobe Systems, Inc................................................................. 4,500 585,000
America Online, Inc.*............................................................. 68,100 3,592,275
Autodesk, Inc...................................................................... 2,300 79,781
BMC Software, Inc.*............................................................... 10,500 383,086
Cisco Systems, Inc.(b)*.......................................................... 193,700 12,312,056
Citrix Systems, Inc.*.............................................................. 8,000 151,500
Computer Associates International, Inc............................................ 23,200 1,187,550
Microsoft Corp.*................................................................. 149,500 11,960,000
Networks Associates, Inc.*......................................................... 4,000 81,500
Oracle Corp.*..................................................................... 26,700 2,244,469
Siebel Systems, Inc.*.............................................................. 7,700 1,259,431
Symantec Corp.*.................................................................... 2,600 140,237
VERITAS Software Corp.*............................................................ 9,300 1,051,045
------------
35,027,930
------------
COMPUTERS & INFORMATION - 7.2%
Apple Computer, Inc.*............................................................. 13,600 712,300
Compaq Computer Corp.............................................................. 63,400 1,620,662
Dell Computer Corp.*.............................................................. 91,400 4,507,162
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Large Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTERS & INFORMATION - CONTINUED
Electronic Data Systems Corp....................................................... 2,400 $ 99,000
EMC Corp. Mass*................................................................... 11,600 892,475
Hewlett-Packard Co................................................................ 26,500 3,309,187
International Business Machines Corp.............................................. 14,200 1,555,787
Lexmark International Group, Inc.*................................................. 6,000 403,500
Seagate Technology, Inc.*......................................................... 14,900 819,500
Sun Microsystems, Inc.*........................................................... 64,900 5,901,844
------------
19,821,417
------------
COSMETICS & PERSONAL CARE - 0.8%
Estee Lauder Co.................................................................... 4,300 212,581
Gillette Co....................................................................... 54,000 1,886,625
------------
2,099,206
------------
ELECTRIC UTILITIES - 1.5%
Allegheny Energy, Inc.............................................................. 4,800 131,400
Cinergy Corp....................................................................... 8,100 206,044
CMS Energy Corp.................................................................... 6,200 137,175
Consolidated Edison, Inc.......................................................... 10,100 299,212
CP&L, Energy Inc.................................................................. 16,100 514,194
Dominion Resources, Inc.............................................................. 100 4,287
DTE Energy Co...................................................................... 9,200 281,175
Edison International.............................................................. 16,900 346,450
Entergy Corp...................................................................... 11,000 299,062
FPL Group, Inc..................................................................... 8,300 410,850
GPU, Inc........................................................................... 6,900 186,731
NiSource, Inc...................................................................... 5,800 108,025
PG&E Corp......................................................................... 18,400 453,100
Pinnacle West Capital Corp......................................................... 5,000 169,375
PPL Corp........................................................................... 8,000 175,500
TXU Corp.......................................................................... 14,900 439,550
Wisconsin Energy Corp.............................................................. 6,900 136,706
------------
4,298,836
------------
ELECTRICAL EQUIPMENT - 4.3%
Emerson Electric Co............................................................... 11,200 676,200
General Electric Co.(c).......................................................... 212,700 11,273,100
------------
11,949,300
------------
ELECTRONICS - 8.5%
Advanced Micro Devices, Inc.*...................................................... 5,500 424,875
Altera Corp.*........................................................................ 100 10,194
Applied Materials, Inc.*.......................................................... 30,700 2,782,187
Intel Corp.(c).................................................................... 93,700 12,526,519
Lattice Semiconductor Corp.*....................................................... 2,700 186,637
Motorola, Inc..................................................................... 87,000 2,528,437
National Semiconductor Corp.*...................................................... 8,200 465,350
Texas Instruments, Inc............................................................ 68,600 4,711,962
------------
23,636,161
------------
ENTERTAINMENT & LEISURE - 0.5%
Eastman Kodak Co.................................................................. 19,100 1,136,450
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT & LEISURE - CONTINUED
Hasbro, Inc........................................................................ 7,900 $ 118,994
International Game Technology*..................................................... 4,100 108,650
------------
1,364,094
------------
FINANCIAL SERVICES - 6.9%
A.G. Edwards, Inc.................................................................. 1,900 74,100
Ameritrade Holding Corp*........................................................... 5,700 66,262
Bear Stearns Co., Inc.............................................................. 3,900 162,337
Charles Schwab & Corp............................................................. 67,471 2,268,712
Charter One Financial, Inc......................................................... 8,500 195,500
CIT Group, Inc. (The)............................................................. 11,300 183,625
Citigroup, Inc................................................................... 100,100 6,031,025
E*Trade Group, Inc.*.............................................................. 12,900 212,850
Federal Home Loan Mortgage Corp................................................... 28,300 1,146,150
Federal National Mortgage Association............................................. 41,500 2,165,781
Financial Security Assurance Holdings Ltd............................................ 500 37,938
Franklin Resources, Inc........................................................... 11,100 337,163
Goldman Sachs Group, Inc. (The)................................................... 19,900 1,888,013
Lehman Brothers Holdings, Inc...................................................... 5,600 529,550
Merrill Lynch & Co., Inc.......................................................... 18,400 2,116,000
Morgan Stanley Dean Witter & Co................................................... 11,800 982,350
Paine Webber Group, Inc............................................................ 4,600 209,300
Regions Financial Corp............................................................. 6,100 121,238
TD Waterhouse Group, Inc.*........................................................ 17,500 302,969
------------
19,030,863
------------
FOOD RETAILERS - 0.3%
Kroger Co.*....................................................................... 38,900 858,231
------------
FOREST PRODUCTS & PAPER - 0.9%
Bowater, Inc....................................................................... 1,500 66,188
Fort James Corp................................................................... 11,900 275,188
Georgia-Pacific Corp............................................................... 4,700 123,375
International Paper Co............................................................ 16,500 491,906
Kimberly-Clark Corp............................................................... 19,300 1,107,338
Smurfit-Stone Container Corp.*.................................................... 13,100 168,663
Temple Inland, Inc................................................................. 3,600 151,200
------------
2,383,858
------------
HEALTH CARE PROVIDERS - 0.7%
HCA-The Healthcare Corp........................................................... 10,500 318,938
Medtronic, Inc.................................................................... 18,900 941,456
Tenet Healthcare Corp............................................................. 20,000 540,000
Wellpoint Health Networks, Inc.*................................................... 4,000 289,750
------------
2,090,144
------------
HEAVY MACHINERY - 0.9%
Baker Hughes, Inc.................................................................. 9,000 288,000
Caterpillar Inc................................................................... 19,200 650,400
Cooper Industries, Inc............................................................. 8,000 260,500
Deere & Co......................................................................... 7,200 266,400
Eaton Corp......................................................................... 6,300 422,100
Grainger (W.W.), Inc................................................................. 500 15,406
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Large Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEAVY MACHINERY - CONTINUED
Ingersoll-Rand Co................................................................. 11,200 $ 450,800
Parker-Hannifin Corp............................................................... 4,100 140,425
------------
2,494,031
------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 0.1%
Johnson Controls, Inc.............................................................. 4,100 210,381
------------
HOUSEHOLD PRODUCTS - 1.3%
Clorox Co......................................................................... 12,900 578,081
Procter & Gamble Co............................................................... 53,700 3,074,325
------------
3,652,406
------------
INDUSTRIAL - DIVERSIFIED - 1.8%
Honeywell International Inc....................................................... 50,300 1,694,481
ITT Industries, Inc................................................................ 7,700 233,888
Tyco International Ltd............................................................ 61,900 2,932,513
------------
4,860,882
------------
INSURANCE - 3.5%
Aetna, Inc......................................................................... 8,600 552,013
Allstate Corp..................................................................... 70,900 1,577,525
Ambac Financial Group, Inc......................................................... 6,200 339,838
American General Corp.............................................................. 1,400 85,400
American International Group....................................................... 9,700 1,139,750
Aon Corp.......................................................................... 15,800 490,788
AXA Financial, Inc................................................................ 24,700 839,800
Cigna Corp........................................................................ 10,200 953,700
Hartford Financial Services Group, Inc............................................ 16,000 895,000
John Hancock Financial Services, Inc.*............................................ 30,800 729,575
Lincoln National Corp............................................................. 14,900 538,263
MBIA, Inc.......................................................................... 8,800 424,050
Torchmark Corp.................................................................... 11,600 286,375
UnitedHealth Group, Inc............................................................ 8,800 754,600
------------
9,606,677
------------
LODGING - 0.4%
Marriott International, Inc. - Class A............................................ 11,600 418,325
Starwood Hotels & Resorts Worldwide, Inc.......................................... 17,700 571,931
------------
990,256
------------
MEDIA - BROADCASTING & PUBLISHING - 3.0%
Comcast Corp.*.................................................................... 35,500 1,437,750
Fox Entertainment Group, Inc. - Class A*.......................................... 10,000 303,750
Gannett Co., Inc................................................................... 9,300 556,256
Knight-Ridder, Inc................................................................. 4,900 260,619
MediaOne Group, Inc.*............................................................. 40,300 2,672,444
New York Times Co.................................................................. 5,200 205,400
Time Warner, Inc.................................................................. 38,200 2,903,200
------------
8,339,419
------------
MEDICAL SUPPLIES - 0.8%
Agilent Technologies, Inc.*....................................................... 10,800 796,500
Baxter International, Inc............................................................ 500 35,156
Becton Dickinson & Co............................................................. 14,900 427,444
Boston Scientific Corp.*............................................................. 600 13,163
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
MEDICAL SUPPLIES - CONTINUED
C.R. Bard, Inc..................................................................... 1,700 $ 81,813
Forest Laboratories, Inc.*......................................................... 5,400 545,400
Guidant Corp.*..................................................................... 1,100 54,450
PE Corp - PE Biosystems Group........................................................ 400 26,350
St. Jude Medical, Inc.*............................................................ 3,900 178,913
------------
2,159,189
------------
METALS - 0.6%
Alcoa, Inc........................................................................ 45,200 1,310,800
Allegheny Technologies, Inc........................................................ 7,800 140,400
Nucor Corp......................................................................... 4,200 139,388
------------
1,590,588
------------
OIL & GAS - 6.1%
Chevron Corp...................................................................... 19,300 1,636,881
Columbia Energy Group.............................................................. 4,100 269,063
Conoco Inc. - Class B............................................................. 16,800 412,650
Cooper Cameron Corp.*.............................................................. 1,400 92,400
Devon Energy Corp.................................................................. 2,500 140,469
Dynegy, Inc........................................................................ 4,800 327,900
El Paso Energy Corp................................................................ 7,300 371,844
Exxon Mobil Corp................................................................. 100,000 7,850,000
Global Marine, Inc.*............................................................... 5,000 140,938
Phillips Petroleum Co.............................................................. 3,800 192,613
Royal Dutch Petroleum Co.......................................................... 58,600 3,607,563
Texaco, Inc....................................................................... 16,300 867,975
Union Pacific Resources Group, Inc................................................ 15,400 338,800
Williams Companies, Inc........................................................... 12,200 508,588
------------
16,757,684
------------
PHARMACEUTICALS - 9.5%
Abbott Laboratories............................................................... 43,600 1,942,925
Alza Corp.*....................................................................... 19,100 1,129,288
American Home Products Corp....................................................... 51,400 3,019,750
Bristol-Myers Squibb Co........................................................... 77,600 4,520,200
Eli Lilly & Co.................................................................... 49,000 4,893,875
Genzyme Corp.*..................................................................... 2,700 160,481
Incyte Pharmaceuticals, Inc.*...................................................... 1,000 82,188
Johnson & Johnson.................................................................. 2,900 295,438
Merck & Co., Inc.................................................................. 15,600 1,195,350
Pfizer, Inc....................................................................... 76,600 3,676,800
Pharmacia Corp.................................................................... 61,800 3,194,288
Schering-Plough Corp.............................................................. 39,700 2,004,850
Watson Pharmaceutical, Inc.*....................................................... 3,400 182,750
------------
26,298,183
------------
RESTAURANTS - 0.1%
McDonald's Corp.................................................................... 9,300 306,319
------------
RETAILERS - 5.1%
Circuit City Stores, Inc........................................................... 9,600 318,600
Federated Department Stores, Inc.*................................................ 11,400 384,750
Gap, Inc.......................................................................... 45,900 1,434,375
Home Depot, Inc................................................................... 36,000 1,797,750
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Large Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
RETAILERS - CONTINUED
J.C. Penney Co., Inc.............................................................. 14,200 $ 261,813
Lowes Co., Inc.................................................................... 15,500 636,469
May Department Stores Co. (The)................................................... 18,200 436,800
Nordstrom, Inc..................................................................... 1,800 43,425
Sears, Roebuck and Co............................................................. 14,100 460,013
Target Corp....................................................................... 23,600 1,368,800
TJX Companies, Inc................................................................ 17,800 333,750
Wal-Mart Stores, Inc............................................................. 114,700 6,609,588
------------
14,086,133
------------
TELEPHONE SYSTEMS - 6.2%
Alltel Corp........................................................................ 8,400 520,275
AT&T Corp......................................................................... 41,100 1,299,788
Bell Atlantic Corp................................................................ 27,500 1,397,344
Global Crossing Ltd.*............................................................. 33,500 881,469
GTE Corp.......................................................................... 42,500 2,645,625
Liberty Media Group*.............................................................. 55,800 1,353,150
SBC Communications Corp........................................................... 94,400 4,082,800
Sprint Corp (PCS Group)*........................................................... 1,300 77,350
US West Inc........................................................................ 5,100 437,325
WorldCom, Inc*.................................................................... 99,700 4,573,738
------------
17,268,864
------------
TEXTILES, CLOTHING & FABRICS - 0.1%
Jones Apparel Group, Inc.*........................................................ 10,200 239,700
------------
TRANSPORTATION - 0.5%
Burlington Northern Santa Fe Corp................................................. 21,200 486,275
C.H. Robinson Worldwide, Inc......................................................... 600 29,700
CSX Corp........................................................................... 5,900 125,006
FedEx Corp.*....................................................................... 7,600 288,800
Norfolk Southern Corp............................................................. 12,800 190,400
Union Pacific Corp................................................................ 10,700 397,906
------------
1,518,087
------------
Total Common Stocks (Cost $248,740,104) 270,210,983
------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
--------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 4.7%
$ 1,076,736 American Express Centurion Bank, 6.65%,
due 07/10/00(d)....................... $ 1,076,736
934,227 Bank of America, 6.67%,
due 03/22/01(d)....................... 934,227
538,368 Royal Bank of Scotland, 6.85%,
due 07/05/00(d)....................... 538,368
2,153,472 American Express Centurion Bank, 7%,
due 07/07/00(d)....................... 2,153,472
538,368 First Union(d).......................... 538,368
1,492,985 Fleet National Bank, 7.125%,
due 10/31/00(d)....................... 1,492,985
1,076,736 Goldman Sachs, 6.64875%,
due 08/17/00(d)....................... 1,076,736
1,076,736 Janus Money Market Fund(d).............. 1,076,736
3,134,836 Merrimac Cash Fund-Premium Class(d)..... 3,134,836
1,076,736 BNP Paribas, 6.75%, due 07/05/00(d)..... 1,076,736
------------
Total Short-Term Investments
(Cost $13,099,200) 13,099,200
------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION PAR (NOTE 1)
----------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY SECURITIES - 0.2%
U.S. Treasury Note at 5.625%, due
2/28/01 (Cost $522,798)(c)............ $525,000... $ 522,375
----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 102.7%
(Cost $262,362,102) 283,832,558
Other Assets and Liabilities (net) -
(2.7%) (7,545,268)
-------------
TOTAL NET ASSETS - 100.0% $ 276,287,290
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Security purchased on a delayed or when-issued basis. (See note 1 to
financial statements)
(b) Assets segregated for purchase for purchase price of delayed delivery or
when-issued security.
(c) Held as collateral for open futures contracts.
(d) Represents investment of collateral received from securities lending
transactions.
See notes to financial statements
<PAGE>
Cova Series Trust
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS - 98.1%
AUSTRALIA - 2.8%
AMP Ltd........................................................................... 35,200 $ 359,938
Broken Hill Proprietary Co., Ltd.................................................. 29,800 354,013
CSR Ltd........................................................................... 83,591 233,299
Lend Lease Corp., Ltd............................................................. 24,400 312,729
National Australia Bank Ltd....................................................... 25,616 429,853
News Corp., Ltd. (The) - Preferred................................................ 78,946 957,556
Southcorp Holdings Ltd........................................................... 108,400 314,277
Telstra Corp., Ltd............................................................... 127,183 518,674
Westpac Banking Corp. Ltd......................................................... 38,947 282,291
WMC Ltd........................................................................... 29,051 130,584
-----------
3,893,214
-----------
AUSTRIA - 0.2%
Bank of Austria AG................................................................. 3,991 195,171
-----------
BELGIUM - 0.4%
Agfa Gevaert N.V................................................................... 3,324 73,916
Audiofina.......................................................................... 2,040 262,016
Real Software...................................................................... 2,000 128,439
Ubizen*............................................................................ 3,940 137,842
-----------
602,213
-----------
DENMARK - 0.3%
Novo Nordisk A/S - B............................................................... 2,381 406,914
-----------
FINLAND - 2.8%
Nokia Oyj......................................................................... 59,504 3,048,499
Sampo Insurance Co. Plc............................................................ 3,366 137,118
Stora Enso Oyj.................................................................... 56,284 516,691
Tietoenator Corp................................................................... 4,762 159,525
-----------
3,861,833
-----------
FRANCE - 10.1%
Alcatel........................................................................... 34,935 2,300,433
Alstom............................................................................ 11,379 308,771
Aventis............................................................................ 6,298 461,501
AXA Co............................................................................. 2,573 406,926
BNP Paribas........................................................................ 8,390 810,615
Carrefour SA....................................................................... 4,946 339,437
Christian Dior SA.................................................................. 1,900 432,523
Coface............................................................................. 1,592 152,593
Coflexip SA........................................................................ 1,912 232,747
Compagnie de Saint Goban........................................................... 1,400 190,013
Danone............................................................................. 7,186 957,402
Equant N.V.*...................................................................... 10,332 421,481
Fimatex*.......................................................................... 14,659 218,066
France Telecom SA.................................................................. 2,811 394,452
Genset SA*......................................................................... 3,226 231,909
Lafarge SA......................................................................... 6,050 472,032
Lagardere Groupe................................................................... 4,285 328,574
LVMH (Louis Vuitton Moet Hennessy)*.................................................. 789 326,627
Renault SA......................................................................... 8,154 372,023
Rhodia, SA........................................................................ 11,971 201,946
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE - CONTINUED
Suez Lyonnaise Des Eaux SA......................................................... 4,657 $ 819,095
Total FINA ELF.................................................................... 11,587 1,783,646
Usinor............................................................................ 15,427 188,975
Vivendi........................................................................... 18,137 1,607,180
-----------
13,958,967
-----------
GERMANY - 7.2%
Allianz AG......................................................................... 3,155 1,149,146
BASF AG........................................................................... 20,507 834,395
Bayer AG.......................................................................... 21,262 831,489
Brokat Infosystems AG*............................................................. 2,004 156,548
Carrier1 International SA*......................................................... 3,415 189,850
Consors Discount Broker AG*........................................................ 2,808 250,979
DaimlerChrysler AG................................................................. 6,801 358,206
Deutsche Bank AG.................................................................. 11,075 917,169
Deutsche Lufthansa AG............................................................. 10,307 242,042
Deutsche Telekom AG............................................................... 16,114 920,538
E. On............................................................................. 12,107 132,434
Intershop Communications AG*......................................................... 515 235,411
Lycos Europe N.V.*................................................................ 16,290 153,017
Marschollek, Lautenschlaeger und Partner AG.......................................... 600 252,469
Marschollek, Lautenschlaeger und
Partner AG - Preferred............................................................. 920 462,074
New E. On.......................................................................... 2,736 586,030
PrimaCom AG*....................................................................... 4,031 177,731
ProSieben Media AG - Preferred..................................................... 1,721 216,095
Schering AG........................................................................ 8,982 494,171
Siemens AG......................................................................... 7,546 1,139,172
Volkswagen AG...................................................................... 4,079 156,389
-----------
9,855,355
-----------
HONG KONG - 2.0%
Bank of East Asia, Ltd........................................................... 137,800 321,748
Cable & Wireless HKT Ltd......................................................... 124,800 274,583
Cheung Kong (Holdings) Ltd........................................................ 27,000 298,757
Hong Kong Electric............................................................... 125,500 404,122
Hutchison Whampoa Ltd............................................................. 87,000 1,093,806
SmarTone Telecommunications Holdings Ltd.......................................... 83,500 184,787
Sunevision Holdings Ltd. (144A)*(a).............................................. 203,500 163,170
-----------
2,740,973
-----------
IRELAND - 0.4%
CRH Plc............................................................................ 6,717 121,683
Jefferson Smurfit Group Plc*...................................................... 99,046 170,884
Trintech Group Plc (ADR)*......................................................... 11,115 215,205
-----------
507,772
-----------
ITALY - 3.8%
Banca Fideuram SpA................................................................ 28,036 429,691
Banca Popolare Di Milano.......................................................... 38,802 276,706
Bipop-Carire SpA.................................................................. 36,050 284,724
Credito Emiliano SpA.............................................................. 73,935 211,891
ENI SpA.......................................................................... 140,881 815,608
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
International Equity Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
ITALY - CONTINUED
Fiat SpA........................................................................... 9,790 $ 255,331
Mediolanum SpA.................................................................... 22,410 366,234
Saipem SpA........................................................................ 48,900 291,067
San Paolo - IMI SpA............................................................... 34,873 584,951
Telecom Italia Mobile SpA......................................................... 77,073 792,673
Telecom Italia SpA................................................................ 46,763 643,649
Unicredito Italiano SpA........................................................... 45,509 219,410
-----------
5,171,935
-----------
JAPAN - 27.7%
Advantest Corp..................................................................... 1,400 312,329
Aiful Corp......................................................................... 1,500 138,383
Aiful Corp. (144A)(a)................................................................ 750 69,192
Ajinomoto Co., Inc................................................................ 44,000 564,475
Asahi Bank Ltd.................................................................... 14,002 58,909
Bank of Fukuoka Ltd............................................................... 46,000 313,291
Bank of Tokyo - Mitsubishi Ltd. (The)............................................. 58,000 700,858
Bridgestone Corp.................................................................. 23,000 487,077
Daiwa Securities Group, Inc....................................................... 20,000 264,126
DDI Corp.............................................................................. 18 173,191
EBARA Corp........................................................................ 48,000 650,656
Fuji Bank, Ltd.................................................................... 53,000 402,962
Fuji Heavy Industries Ltd......................................................... 49,000 355,910
Fujitsu Ltd....................................................................... 49,000 1,696,349
Hitachi Ltd....................................................................... 52,000 750,495
Hitachi Software Engineering Co., Ltd.............................................. 1,300 141,024
Honda Motor Co., Ltd.............................................................. 14,000 476,747
Industrial Bank of Japan.......................................................... 37,000 280,615
Ito-Yokado Co., Ltd................................................................ 4,000 240,732
Kaken Pharmaceutical Co. Ltd...................................................... 11,000 85,190
Kawasaki Steel Corp.............................................................. 144,000 206,471
MACNICA, Inc....................................................................... 1,300 201,113
Marui Co., Ltd.................................................................... 18,000 344,684
Matsushita Electric Industry...................................................... 33,000 856,051
Minebea Co., Ltd.................................................................. 65,000 815,489
Mitsubishi Chemical Corp......................................................... 264,000 1,083,294
Mitsubishi Corp.................................................................. 112,000 1,013,187
Mitsubishi Estate Co., Ltd........................................................ 35,000 412,037
NAMCO Ltd.......................................................................... 7,600 273,861
NEC Corp.......................................................................... 41,000 1,287,897
Nintendo Co. Ltd................................................................... 2,500 436,751
Nippon Meat Packers, Inc.......................................................... 22,000 321,668
Nippon Telegraph and Telephone Corp.................................................. 174 2,314,310
Nippon Yusen Kabushiki Kaisha.................................................... 208,000 1,000,660
Nishimatsu Construction Co........................................................ 87,000 343,043
Nissan Motor Co., Ltd.*.......................................................... 144,000 848,976
Nisshin Steel Co., Ltd............................................................ 93,000 101,764
Nomura Securities Co., Ltd........................................................ 30,000 734,365
Omron Corp......................................................................... 6,000 163,003
Oriental Land Co., Ltd............................................................. 2,300 234,968
Orix Corp.......................................................................... 2,280 336,591
Osaka Gas Co., Ltd............................................................... 113,000 325,111
Paris Miki, Inc.................................................................... 3,370 219,347
Pioneer Corp...................................................................... 16,000 623,337
Promise Co., Ltd................................................................... 4,200 332,006
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN - CONTINUED
Ricoh Corp., Ltd.................................................................. 21,000 $ 444,722
Rohm Co............................................................................ 2,400 701,821
Sanwa Bank Ltd. (The).............................................................. 4,942 39,439
Snow Brand Milk Product Co Ltd.................................................... 45,000 241,958
Softbank Corp...................................................................... 2,600 353,174
Softbank Corp. - new*.............................................................. 2,000 298,085
Sony Corp......................................................................... 16,900 1,578,247
Sumitomo Bakelite Co., Ltd........................................................ 19,000 250,382
Sumitomo Bank, Ltd................................................................ 29,000 355,627
Sumitomo Rubber Industries Ltd.................................................... 65,000 391,803
Sumitomo Trust & Banking Co., Ltd................................................. 51,000 363,220
Suzuki Motor Corp................................................................. 18,000 232,280
Taiheiyo Cement Corp.............................................................. 57,000 119,366
Takeda Chemical Industries........................................................ 18,774 1,232,592
Takefuji Corp...................................................................... 2,200 265,843
TDK Corp........................................................................... 2,000 287,520
Tokio Marine & Fire Insurance Co. Ltd............................................. 24,000 277,106
Tokuyama Corp..................................................................... 34,000 246,958
Tokyo Electric Power Co., Inc..................................................... 19,600 477,936
Tokyo Electron Ltd................................................................. 4,000 547,873
Tokyo Gas Co., Ltd................................................................ 99,000 278,294
Tokyo Steel Manufacturing Co., Ltd................................................ 41,200 134,859
Toppan Printing Co., Ltd.......................................................... 53,000 560,947
Tostem Corp....................................................................... 33,000 538,534
Toyo Trust & Banking Co., Ltd..................................................... 70,000 236,393
Toyota Motor Co................................................................... 34,104 1,553,838
Uny Co. Ltd....................................................................... 37,000 511,320
Welfide Corp...................................................................... 16,000 204,962
West Japan Railway Co................................................................ 227 920,762
Yamanouchi Pharmaceutical......................................................... 21,000 1,146,967
Yasuda Fire & Marine Insurance Co., Ltd........................................... 39,000 205,650
York-Benimaru Co., Ltd............................................................. 4,000 113,197
-----------
38,104,170
-----------
NETHERLANDS - 5.7%
ASM Lithography Holding N.V.*...................................................... 6,014 259,514
Getronics N.V..................................................................... 12,789 197,971
Heineken N.V...................................................................... 10,660 651,373
ING Groep N.V..................................................................... 12,722 863,338
Koninklijke (Royal) Phillips Electronics N.V...................................... 39,391 1,865,160
Koninklijke KPN N.V............................................................... 25,674 1,152,910
Koninklijke Numico, N.V............................................................ 9,078 428,102
Royal Dutch Petroleum Co.......................................................... 19,493 1,216,331
United Pan-Europe Communications N.V.*............................................ 15,709 412,413
Ver Ned Uitgeversbedr ver Bezit.................................................... 2,900 150,379
Ver Ned Uitgeversbedr ver Bezit (144A)(a).......................................... 2,400 124,451
Versatel Telecom International N.V.*............................................... 7,798 328,873
VIA NET.WORKS, Inc.*.............................................................. 13,608 239,996
-----------
7,890,811
-----------
NEW ZEALAND - 0.3%
Fletcher Challenge Building Ltd................................................... 12,709 13,528
Fletcher Challenge Energy.......................................................... 6,359 20,816
Lion Nathan Ltd................................................................... 34,656 77,534
Telecom New Zealand............................................................... 70,857 248,634
-----------
360,512
-----------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
International Equity Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
PORTUGAL - 0.3%
PT Multimedia Servicos*............................................................ 3,736 $ 186,210
PT Multimedia.com*................................................................. 3,736 28,755
Telecel-Comunicacoes Pessoai, SA*................................................. 13,632 207,754
-----------
422,719
-----------
SINGAPORE - 0.7%
Chartered Semiconductor Manufacturing Ltd.*....................................... 11,000 96,095
DBS Group Holdings Ltd............................................................ 37,705 484,264
Singapore Press Holdings Ltd...................................................... 25,000 390,512
Venture Manufacturing Ltd.......................................................... 3,000 30,547
-----------
1,001,418
-----------
SPAIN - 3.2%
Banco Bilbao Vizcaya SA........................................................... 34,765 513,163
Banco Santander Central Hispano SA................................................ 67,272 712,506
Endesa SA......................................................................... 44,801 871,288
Indra Sistemas SA.................................................................. 7,954 182,669
Repsol SA......................................................................... 25,517 509,950
Telefonica SA*.................................................................... 76,891 1,658,251
-----------
4,447,827
-----------
SWEDEN - 3.5%
Autoliv, Inc. - Class B........................................................... 11,138 274,354
Investor AB*...................................................................... 14,446 198,511
Skandia Forsakrings AB............................................................ 53,104 1,411,020
Skandinaviska Enskilda Banken..................................................... 35,960 428,535
Tele1 Europe Holding AB*.......................................................... 14,326 176,441
Telefonaktiebolaget LM Ericsson AB............................................... 117,656 2,341,313
-----------
4,830,174
-----------
SWITZERLAND - 7.4%
ABB Ltd............................................................................ 3,914 470,109
Compagnie Financiere Richemont AG - Units A.......................................... 201 543,427
Credit Suisse Group................................................................ 3,682 734,996
Fantastic Corp.*................................................................... 5,588 54,632
Givaudan*............................................................................ 143 43,676
Nestle S.A........................................................................... 787 1,580,681
Novartis AG........................................................................ 1,049 1,667,456
Roche Holding AG..................................................................... 143 1,396,924
SGS Societe Generale de Surveillance Holding S.A.*................................... 161 279,294
Swatch Group AG...................................................................... 228 290,891
Swiss Life........................................................................... 470 281,896
Swisscom AG........................................................................ 2,016 700,689
UBS AG............................................................................. 7,492 1,101,494
Zurich Allied AG................................................................... 2,124 1,053,115
-----------
10,199,280
-----------
UNITED KINGDOM - 19.3%
3i Group Plc...................................................................... 18,249 375,404
ARM Holdings Plc*................................................................. 33,407 358,023
AstraZeneca Group Plc.............................................................. 9,050 422,614
BAE Systems Plc................................................................... 55,209 344,308
Bank of Scotland.................................................................. 33,800 321,560
BG Group Plc...................................................................... 56,811 367,198
Billiton Plc...................................................................... 69,966 284,891
Bookham Technology Plc*............................................................ 1,400 81,504
BP Amoco Plc..................................................................... 327,752 3,145,389
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM - CONTINUED
British Airways Plc............................................................... 21,100 $ 121,368
British American Tobacco Plc...................................................... 17,108 114,203
British Sky Broadcasting Group Plc*............................................... 24,600 481,102
British Telecommunications Plc.................................................... 59,614 770,630
Cable & Wireless Plc.............................................................. 15,885 269,065
Cadbury Schweppes Plc............................................................. 75,109 493,425
Carlton Communications Plc........................................................ 14,655 188,558
Celltech Group Plc*................................................................ 9,400 182,128
CMG Plc........................................................................... 11,300 160,101
Compass Group Plc................................................................. 21,586 284,434
FirstGroup Plc.................................................................... 22,800 81,449
Glaxo Wellcome Plc................................................................ 59,107 1,724,092
Glynwed International Plc......................................................... 51,702 185,479
Granada Group Plc................................................................. 25,000 249,760
Great Universal Stores Plc........................................................ 34,287 220,576
Hanson Plc........................................................................ 55,634 393,276
Hays Plc.......................................................................... 51,400 286,708
Hilton Group Plc.................................................................. 47,392 166,430
HSBC Holdings Plc................................................................. 92,450 1,057,259
Imperial Chemical Industries Plc.................................................. 17,100 135,763
Johnson Matthey Plc................................................................ 6,328 89,082
Kingfisher Plc.................................................................... 26,300 239,459
Lloyds TSB Group Plc............................................................. 104,848 990,341
Marconi Plc....................................................................... 44,549 579,931
MFI Furniture Group Plc........................................................... 90,755 88,264
National Power Plc................................................................ 31,040 197,808
New Dixons Group Plc.............................................................. 49,918 203,259
Northern Foods Plc................................................................ 53,034 95,530
Nycomed Amersham Plc.............................................................. 27,867 276,716
Ocean Group Plc................................................................... 12,200 201,292
Pearson Plc....................................................................... 11,244 357,421
Prudential Corp................................................................... 33,367 488,914
Reckitt Benckiser................................................................. 32,686 366,128
Reuters Group Plc................................................................. 24,242 413,554
Royal & Sun Alliance Insurance Group Plc.......................................... 82,681 536,912
Royal Bank of Scotland............................................................ 30,845 516,392
Schroders Plc...................................................................... 6,800 122,283
Scottish Power Plc................................................................ 44,363 376,053
Severn Trent Plc.................................................................. 15,566 169,766
Smith & Nephew Plc................................................................ 47,100 173,960
SmithKline Beecham Plc............................................................ 87,060 1,139,921
Standard Chartered PLC............................................................ 23,492 292,657
Tesco Plc........................................................................ 112,423 349,709
The Sage Group Plc................................................................ 29,007 234,907
TI Group Plc...................................................................... 29,100 158,575
Trinity Mirror Plc................................................................ 11,500 102,705
United News & Media Plc............................................................ 9,800 140,925
Vodafone Group Plc............................................................... 918,517 3,712,259
Williams Plc...................................................................... 35,400 206,302
Woolwich Plc...................................................................... 38,950 164,937
WPP Group Plc..................................................................... 22,106 322,907
-----------
26,575,566
-----------
UNITED STATES - 0.0%
NTL Inc.*............................................................................ 275 16,143
-----------
Total Common and Preferred Stocks (Cost $124,389,413) 135,042,967
-----------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
International Equity Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------
PAR VALUE
AMOUNT SECURITY DESCRIPTION (NOTE 1)
------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS - 8.5%
UNITED STATES - 8.5%
$ 938,909 American Express Centurion Bank, 6.65%, due
07/10/00(b)...................................... $ 938,909
953,540 Bank of America, 6.67%, due 03/22/01(b)............ 953,540
469,454 Royal Bank of Scotland, 6.85%, due 07/05/00(b)..... 469,454
1,877,818 American Express Centurion Bank, 7%, due
07/07/00(b)...................................... 1,877,818
469,452 First Union National Bank, 6.9%, due 05/09/01(b)... 469,452
1,162,981 Fleet National Bank, 7.125%, due 10/31/00(b)....... 1,162,981
938,909 Goldman Sachs, 6.64875%, due 08/17/00(b)........... 938,909
938,908 Janus Money Market Fund(b)......................... 938,908
2,733,564 Merrimac Cash Fund-Premium Class(b)................ 2,733,564
938,909 BNP Paribas, 6.75%, due 07/05/00(b)................ 938,909
200,000 US Tresury Bill, 5.725%, due 10/12/00(c)........... 196,724
60,000 US Tresury Bill, 5.73%, due 10/12/00............... 59,016
----------
Total Short-Term Investments
(Cost $11,678,184) 11,678,184
----------
<CAPTION>
------------------------------------------------------------------------------------
PAR VALUE
AMOUNT SECURITY DESCRIPTION COUPON MATURITY (NOTE 1)
------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FOREIGN BONDS & DEBT
SECURITIES - 0.1%
BERMUDA - 0.1%
Y10,000,000 AB International Cayman Trust
(Cost $60,741).............. 0.500% 08/01/2007 112,725
----------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
TOTAL INVESTMENTS - 106.7%
(Cost $136,128,338) 146,833,876
Other Assets and Liabilities (net) -
(6.6%) (9,108,979)
-------------
TOTAL NET ASSETS - 100.0% $ 137,724,897
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) 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.
(b) Represents investment of collateral received from securities lending
transactions.
(c) Held as collateral for open futures contracts.
ADR - American Depositary Receipt
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
DOMESTIC BONDS & DEBT
SECURITIES - 79.8%
ADVERTISING - 2.8%
$ 1,000,000 Ackerley Group, Inc. (The).... 9.000% 01/15/2009 $ 922,500
505,000 Interpublic Group of
Companies, Inc. (The)
Convertible (144A)(a)....... 1.800% 09/16/2004 595,900
95,000 Interpublic Group of
Companies, Inc. (The)
Convertible................. 1.800% 09/16/2004 112,100
300,000 Interpublic Group of
Companies, Inc. (The)
Convertible (144A)(a)....... 1.870% 06/01/2006 290,250
1,500,000 Lamar Media Corp.............. 9.625% 12/01/2006 1,515,000
1,275,000 R.H. Donnelly Corp............ 9.125% 06/01/2008 1,206,469
------------
4,642,219
------------
AEROSPACE & DEFENSE - 1.6%
1,000,000 BE Aerospace, Inc............. 9.875% 02/01/2006 955,000
850,000 Dyncorp, Inc.................. 9.500% 03/01/2007 650,250
500,000 L-3 Communications Corp....... 10.375% 05/01/2007 511,250
500,000 United Defense Industries,
Inc......................... 8.750% 11/15/2007 465,000
------------
2,581,500
------------
AIRLINES - 0.9%
1,000,000 America West Airlines, Inc.... 10.750% 09/01/2005 962,500
650,000 Continental Airlines, Inc..... 8.000% 12/15/2005 601,250
------------
1,563,750
------------
AUTOMOTIVE - 3.3%
1,000,000 Collins & Aikman Corp......... 11.500% 04/15/2006 967,500
500,000 Dura Operating Corp........... 9.000% 05/01/2009 437,500
1,000,000 Ford Motor Credit Corp.
Convertible................. 7.875% 06/15/2010 999,820
1,200,000 Navistar International
Corp........................ 8.000% 02/01/2008 1,107,000
1,100,000 Oshkosh Truck Corp............ 8.750% 03/01/2008 1,028,500
1,000,000 Safelite Glass Corp.(b)....... 9.875% 12/15/2006 13,750
1,000,000 Tenneco Automotive Inc........ 11.625% 10/15/2009 895,000
------------
5,449,070
------------
BUILDING MATERIALS - 1.0%
1,000,000 American Standard Inc.*....... 8.250% 06/01/2009 962,500
750,000 Kevco, Inc.................... 10.375% 12/01/2007 183,750
500,000 Nortek, Inc................... 8.875% 08/01/2008 455,000
------------
1,601,250
------------
CABLE - 6.7%
1,500,000 Century Communications
Corp........................ 9.500% 03/01/2005 1,455,000
1,000,000 Charter Communications
Holdings LLC................ 8.625% 04/01/2009 883,750
1,250,000 Charter Communications
Holdings LLC................ 10.000% 04/01/2009 1,212,500
500,000 CSC Holdings, Inc............. 9.250% 11/01/2005 505,625
300,000 CSC Holdings, Inc............. 10.500% 05/15/2016 320,250
1,500,000 EchoStar Communications Corp.
Convertible (144A)(a)....... 4.875% 01/01/2007 1,425,000
500,000 FrontierVision................ 11.000% 10/15/2006 507,500
1,000,000 FrontierVision LP/Capital..... 0%, 11.875% ++ 09/15/2007 870,000
1,000,000 Mediacom LLC.................. 8.500% 04/15/2008 925,000
1,000,000 NTL Inc. Convertible
(144A)(a)................... 5.750% 12/15/2009 790,000
1,000,000 NTL, Inc...................... 10.000% 02/15/2007 950,000
1,000,000 NTL, Inc...................... 0%, 12.375% ++ 10/01/2008 640,000
750,000 Renaissance Media Group....... 0%, 10.000% ++ 04/15/2008 513,750
------------
10,998,375
------------
CHEMICALS - 1.7%
1,000,000 Huntsman Corp. (144A)(a)...... 9.500% 07/01/2007 915,000
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CHEMICALS - CONTINUED
$ 1,000,000 Lyondell Chemical Corp........ 9.625% 05/01/2007 $ 987,500
1,000,000 Scotts Co. (The) (144A)(a).... 8.625% 01/15/2009 965,000
------------
2,867,500
------------
COMMERCIAL SERVICES - 3.1%
500,000 Affemetrix, Inc.
Convertible................. 4.750% 02/15/2007 384,375
1,000,000 Allied Waste North America,
Inc......................... 7.875% 01/01/2009 857,500
750,000 Avis Group Holdings, Inc...... 11.000% 05/01/2009 785,625
2,500,000 Iron Mountain, Inc............ 10.125% 10/01/2006 2,512,500
622,000 Unicco Service Co............. 9.875% 10/15/2007 597,120
------------
5,137,120
------------
COMMUNICATIONS - 4.8%
500,000 Crown Castle Int'l. Corp...... 10.750% 08/01/2011 497,518
1,000,000 ICG Holdings, Inc............. 0%, 13.500% ++ 09/15/2005 972,500
400,000 Logix Communications
Enterprises................. 12.250% 06/15/2008 158,000
1,500,000 McLeod USA, Inc............... 9.500% 11/01/2008 1,473,750
2,000,000 Nextel Communications, Inc.... 0%, 9.950% ++ 02/15/2008 1,475,000
700,000 Nextel Communications, Inc.
Convertible (144A)(a)....... 5.250% 01/15/2010 710,500
1,250,000 Sprint Spectrum L.P........... 0%, 12.500% ++ 08/15/2006 1,203,144
500,000 Time Warner Telecom, LLC...... 9.750% 07/15/2008 486,250
900,000 Williams Communications Group,
Inc......................... 10.875% 10/01/2009 884,250
------------
7,860,912
------------
COMPUTER SOFTWARE & PROCESSING - 2.4%
600,000 Affiliated Computer Services,
Inc. Convertible
(144A)(a)................... 4.000% 03/15/2005 589,500
400,000 Arbor Software Corp.
Convertible (144A)(a)....... 4.500% 03/15/2005 353,000
250,000 Globix Corp................... 12.500% 02/01/2010 206,250
1,000,000 Juniper Networks, Inc.
Convertible................. 4.750% 03/15/2007 1,093,750
350,000 Mercury Interactive Corp.
Convertible (144A)(a)....... 4.750% 07/01/2007 370,562
600,000 Orbital Imaging Corp.
(144A)(a)................... 11.625% 03/01/2005 277,500
200,000 PSINet, Inc................... 11.500% 11/01/2008 189,000
750,000 Verio Inc..................... 10.625% 11/15/2009 835,312
------------
3,914,874
------------
COMPUTERS & INFORMATION - 2.4%
1,500,000 National Data Corp.
Convertible................. 5.000% 11/01/2003 1,245,000
2,540,000 Solectron Corp Convertible.... + 05/08/2020 1,612,900
400,000 Solectron Corp. Convertible... + 01/27/2019 271,500
1,200,000 Solectron Corp. Convertible
(144A)(a)................... + 01/27/2019 814,500
------------
3,943,900
------------
CONTAINERS & PACKAGING - 0.7%
250,000 Fonda Group, Inc.............. 9.500% 03/01/2007 200,000
1,000,000 U.S. Can Corp................. 10.125% 10/15/2006 1,030,000
------------
1,230,000
------------
COSMETICS & PERSONAL CARE - 0.4%
750,000 Chattem, Inc.................. 8.875% 04/01/2008 603,750
------------
ELECTRIC UTILITIES - 0.8%
74,859 Midland Cogeneration Venture
L.P......................... 10.330% 07/23/2002 76,644
1,250,000 PP&L Resources, Inc........... 6.550% 03/01/2006 1,195,596
------------
1,272,240
------------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
ELECTRONICS - 1.8%
$ 1,000,000 Cypress Semiconductor Corp.
Convertible................. 4.000% 02/01/2005 $ 1,151,250
500,000 Cypress Semiconductor Corp.... 3.750% 07/01/2005 481,250
125,000 Lattice Semiconductor Corp.
Convertible (144A)(a)....... 4.750% 11/01/2006 225,000
650,000 Sci Systems, Inc.
Convertible................. 3.000% 03/15/2007 641,062
500,000 Vitesse Semiconductor
Convertible (144A)(a)....... 4.000% 03/15/2005 465,000
------------
2,963,562
------------
ENERGY - 0.1%
1,000,000 AEI Holding Co., Inc.
(144A)(a)................... 10.500% 12/15/2005 205,000
------------
ENTERTAINMENT & LEISURE - 2.0%
1,700,000 Harrah's Operating Co.,
Inc......................... 7.500% 01/15/2009 1,579,169
500,000 Loews Cineplex Entertainment
Corp........................ 8.875% 08/01/2008 237,500
1,500,000 Mohegan Tribal Gaming......... 8.750% 01/01/2009 1,432,500
------------
3,249,169
------------
FINANCIAL SERVICES - 0.8%
1,000,000 Accuride Corp................. 9.250% 02/01/2008 845,000
500,000 Merrill Lynch & Co., Inc...... 1.500% 12/15/2005 569,375
------------
1,414,375
------------
FOREST PRODUCTS & PAPER - 1.4%
1,000,000 International Paper Co........ 8.125% 07/08/2005 1,009,845
1,250,000 Packaging Corp. of America.... 9.625% 04/01/2009 1,246,875
------------
2,256,720
------------
HEALTH CARE PROVIDERS - 1.3%
1,000,000 Leiner Health Products
Group....................... 9.625% 07/01/2007 725,000
500,000 Prime Medical Services,
Inc......................... 8.750% 04/01/2008 417,500
1,000,000 Tenet Healthcare Corp......... 8.625% 01/15/2007 960,000
------------
2,102,500
------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 1.7%
1,000,000 D.R. Horton, Inc.............. 10.000% 04/15/2006 992,500
1,000,000 Lennar Corp................... 7.625% 03/01/2009 866,833
1,000,000 MDC Holdings, Inc............. 8.375% 02/01/2008 890,000
------------
2,749,333
------------
LODGING - 1.1%
1,000,000 Aztar Corporation............. 8.875% 05/15/2007 947,500
1,000,000 Park Place Entertainment
Corp........................ 7.875% 12/15/2005 942,500
------------
1,890,000
------------
MEDIA - BROADCASTING & PUBLISHING - 4.2%
1,000,000 Allbritton Communications
Co.......................... 9.750% 11/30/2007 965,000
350,000 Capstar Broadcasting Corp..... 9.250% 07/01/2007 358,750
200,000 Clear Channel Communications,
Inc......................... 1.500% 12/01/2002 195,750
500,000 Cumulus Media, Inc............ 10.375% 07/01/2008 425,000
450,000 EZ Communications, Inc........ 9.750% 12/01/2005 474,887
1,000,000 Fox Liberty Networks LLC...... 8.875% 08/15/2007 997,500
400,000 Gray Communications Systems,
Inc......................... 10.625% 10/01/2006 400,000
1,000,000 Interep National Radio Sales,
Inc......................... 10.000% 07/01/2008 890,000
425,000 K-III Communications Corp..... 10.250% 06/01/2004 427,125
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
MEDIA - CONTINUED
$ 1,591,000 Sinclair Broadcast Group,
Inc......................... 10.000% 09/30/2005 $ 1,527,360
350,000 Young Broadcasting, Inc....... 11.750% 11/15/2004 357,875
------------
7,019,247
------------
MEDICAL SUPPLIES - 0.6%
1,000,000 Fisher Scientific
International, Inc.......... 9.000% 02/01/2008 920,000
------------
METALS - 0.8%
1,000,000 Armco Inc..................... 9.000% 09/15/2007 947,500
500,000 WCI Steel, Inc................ 10.000% 12/01/2004 467,500
------------
1,415,000
------------
OIL & GAS - 4.7%
750,000 Chesapeake Energy Corp........ 9.625% 05/01/2005 731,250
750,000 Cross Timbers Royalty Trust... 9.250% 04/01/2007 733,125
2,000,000 Devon Energy Corp.
Convertible................. 4.950% 08/15/2008 1,925,000
1,000,000 HS Resources, Inc............. 9.875% 12/01/2003 1,002,500
150,000 KCS Energy, Inc.(b)........... 11.000% 01/15/2003 143,250
1,000,000 Kerr-McGee Corp.
Convertible................. 5.250% 02/15/2010 1,156,250
500,000 Parker Drilling Corp.
Convertible................. 5.500% 08/01/2004 411,250
500,000 Pogo Producing Co............. 8.750% 05/15/2007 475,000
750,000 Swift Energy Co.
Convertible................. 6.250% 11/15/2006 729,375
500,000 Vintage Petroleum, Inc........ 8.625% 02/01/2009 481,250
------------
7,788,250
------------
PHARMACEUTICALS - 1.6%
750,000 Ivax Corp. Convertible........ 5.500% 05/15/2007 970,312
1,800,000 Roche Holdings, Inc.
Convertible (144A)(a)....... + 01/19/2015 1,624,500
------------
2,594,812
------------
RETAILERS - 0.4%
250,000 Costco Wholesale Corp.
Convertible................. + 08/19/2017 207,188
500,000 Costco Wholesale Corp.
Convertible (144A)(a)....... + 08/19/2017 414,375
------------
621,563
------------
TELEPHONE SYSTEMS - 7.7%
350,000 AMSC Acquisition Co., Inc..... 12.250% 04/01/2008 274,750
400,000 Exodus Communications, Inc.
Convertible (144A)(a)....... 4.750% 07/15/2008 572,000
25,000 Exodus Communications, Inc.
(144A)(a)................... 4.750% 07/15/2008 35,750
750,000 Exodus Communications, Inc.
(144A)(a)................... 10.750% 12/15/2009 727,500
750,000 Exodus Communications, Inc.
Convertible (144A)(a)....... 11.625% 07/15/2010 752,344
1,000,000 Hyperion Telecommunications,
Inc......................... 12.250% 09/01/2004 1,015,000
1,000,000 Intermedia Communications of
Florida, Inc................ 9.500% 03/01/2009 955,000
1,000,000 Level 3 Communications, Inc.
(144A)(a)................... 11.000% 03/15/2008 995,000
400,000 MasTec, Inc................... 7.750% 02/01/2008 370,000
1,000,000 Metromedia Fiber Network,
Inc......................... 10.000% 12/15/2009 990,000
1,000,000 NEXTLINK Communications,
Inc......................... 10.750% 11/15/2008 990,000
250,000 Price Communications Wireless,
Inc......................... 9.125% 12/15/2006 253,750
1,000,000 Qwest Communications Int'l.,
Inc......................... 7.500% 11/01/2008 972,051
1,000,000 SBA Communications Corp....... 0%, 12.000% ++ 03/01/2008 710,000
1,000,000 Triton PCS, Inc............... 0%, 11.000% ++ 05/01/2008 730,000
2,000,000 United States Cellular Corp.
Convertible................. + 06/15/2015 1,195,000
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
TELEPHONE SYSTEMS - CONTINUED
$ 1,000,000 Viatel, Inc................... 11.250% 04/15/2008 $ 745,000
500,000 VoiceStream Wireless Corp..... 10.375% 11/15/2009 520,000
------------
12,803,145
------------
TEXTILES, CLOTHING & FABRICS - 0.3%
500,000 Interface, Inc................ 9.500% 11/15/2005 437,500
------------
TRANSPORTATION - 0.4%
600,000 Commscope, Inc. (144A)(a)..... 4.000% 12/15/2006 654,000
------------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 12.2%
10,992,366 Government National Mortgage
Association................. 8.000% 05/15/2030 11,128,000
8,994,154 Government National Mortgage
Association................. 8.000% 05/15/2030 9,105,133
------------
20,233,133
------------
U.S. TREASURY SECURITIES - 4.1%
7,500,000 U.S. Treasury Note............ 4.750% 11/15/2008 6,813,285
------------
Total Domestic Bonds & Debt
Securities (Cost
$138,661,198) 131,797,054
------------
FOREIGN BONDS & DEBT
SECURITIES - 12.6%
ARGENTINA - 0.6%
1,000,000 Telefonica de Argentina S.A.
(U.S.$) (144A)(a)........... 9.125% 05/07/2008 932,500
------------
BERMUDA - 1.5%
2,500,000 Elan Finance Corp. Convertible
(U.S. $) (144A)(a).......... + 12/14/2018 1,825,000
750,000 Global Crossing Holdings Ltd.
(U.S.$)..................... 9.625% 05/15/2008 731,250
------------
2,556,250
------------
BRAZIL - 0.3%
500,000 Globo Comunicacoes
Participation (U.S.$)
(144A)(a)................... 10.625% 12/05/2008 421,250
------------
CANADA - 2.4%
1,000,000 Clearnet Communications, Inc.
(Yankee).................... 0%, 10.125% ++ 05/01/2009 605,000
1,500,000 Gulf Canada Resources Ltd.
(Yankee).................... 8.375% 11/15/2005 1,492,500
1,000,000 Rogers Cantel, Inc.
(Yankee).................... 8.300% 10/01/2007 982,500
1,000,000 Tembec Industries, Inc.
(Yankee).................... 8.625% 06/30/2009 965,000
------------
4,045,000
------------
CHINA - 0.1%
250,000 Cathay International Ltd.
(U.S.$) (144A)(a)........... 13.500% 04/15/2008 126,250
------------
LUXEMBOURG - 0.5%
1,000,000 Millicom International
Cellular S.A. (Yankee)
(144A)(a)................... 0%, 13.500% ++ 06/01/2006 855,000
------------
MEXICO - 0.7%
500,000 Satelites Mexicanos S.A.
(Yankee).................... 10.125% 11/01/2004 336,250
1,000,000 TV Azteca S.A. (Yankee)....... 10.500% 02/15/2007 900,000
------------
1,236,250
------------
NETHERLANDS - 2.8%
1,000,000 ASM Lithography Holding N.V.
(U.S.$) (144A)(a)........... 4.250% 11/30/2004 1,337,500
550,000 STMicroelectronics N.V.
Convertible (U.S.$)......... + 09/22/2009 933,625
2,700,000 United Pan-Europe
Communications N.V.
(Yankee).................... 0%, 12.500% ++ 08/01/2009 1,370,250
500,000 United Pan-Europe
Communications N.V.
(Yankee).................... 11.250% 11/01/2009 442,500
500,000 Versatel Telecom International
N.V. (Yankee)............... 11.875% 07/15/2009 495,000
------------
4,578,875
------------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SINGAPORE - 0.3%
$ 525,000 Flextronics Int'l. Ltd.
(U.S.$) (144A)(a)........... 9.875% 07/01/2010 $ 531,562
------------
SWITZERLAND - 1.3%
500,000 Credit Suisse First Boston
Convertible (Yankee)........ 2.625% 04/20/2003 468,125
600,000 Credit Suisse First Boston
Convertible (Yankee)........ 2.250% 03/16/2004 555,750
2,000,000 Roche Holdings, Inc.
Convertible
(U.S.$)(144A)(a)............ + 04/20/2010 1,052,500
------------
2,076,375
------------
UNITED KINGDOM - 2.1%
550,000 Diamond Cable Communication
Plc (Yankee)................ 0%, 10.750% ++ 02/15/2007 422,125
1,000,000 Esprit Telecom Group Plc
(Yankee).................... 10.875% 06/15/2008 685,000
1,000,000 RSL Communications Plc
(Yankee).................... 12.000% 11/01/2008 745,000
750,000 Swiss Life Finance Ltd.
(U.S.$) (144A)(a)........... 2.000% 05/20/2003 747,188
1,500,000 Telewest Communications Plc
(Yankee).................... 0%, 9.250% ++ 04/15/2009 813,750
------------
3,413,063
------------
Total Foreign Bonds & Debt
Securities (Cost
$21,733,785) 20,772,375
------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
COMMON AND PREFERRED STOCKS -
2.8%
BANKING - 0.1%
$ 10,000 Coastal Finance, Inc.
Preferred................... $ 226,875
------------
CHEMICALS - 0.4%
15,000 Monsanto Co. Convertible
Preferred................... 678,750
------------
ELECTRIC UTILITIES - 1.1%
16,000 AES Trust VII Convertible
Preferred (144A)(a)*........ 950,500
20,000 TXU Corp. Convertible
Preferred................... 777,500
------------
1,728,000
------------
ELECTRONICS - 0.0%
66 DecisionOne Corp(b)........... 1
------------
FOREST PRODUCTS & PAPER - 0.2%
10,000 Georgia-Pacific Group
Convertible Preferred....... 320,000
------------
HEAVY MACHINERY - 0.1%
10,000 Ingersoll-Rand Co. Convertible
Preferred................... 203,750
------------
INSURANCE - 0.3%
25,000 AmerUs Life Holdings, Inc.
Convertible Preferred....... 539,062
------------
MEDIA - BROADCASTING & PUBLISHING - 0.5%
10,000 Cox Communication, Inc.
Preferred................... 614,375
8,500 Sinclair Broadcast Group, Inc.
Convertible Preferred....... 263,500
------------
877,875
------------
TELEPHONE SYSTEMS - 0.1%
1,533 Intermedia Communications,
Inc.*....................... 45,607
2,015 Viatel, Inc. Convertible
Preferred*.................. 57,553
------------
103,160
------------
Total Common and Preferred
Stocks (Cost $5,605,088) 4,677,473
------------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------
PAR/SHARE SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
WARRANTS - 0.1%
COMMUNICATIONS - 0.1%
$ 522 NTL, Inc. (expiring
10/14/08)*.................. $ 33,995
450 Splitrock Services, Inc.
(expiring 07/15/08)*........ 83,925
------------
117,920
------------
COMPUTER SOFTWARE & PROCESSING - 0.0%
600 Orbital Imaging Corp.
(expiring 03/01/05)
(144A)(a)*.................. 12,075
------------
MEDICAL SUPPLIES - 0.0%
250 Urohealth Systems, Inc.
(expiring 04/10/04)
(144a)(a)*.................. 3
------------
TELEPHONE SYSTEMS - 0.0%
350 Motient Corporation (expiring
01/01/08) (144A)(a)*........ 14,044
------------
Total Warrants (Cost $7,898) 144,042
------------
<CAPTION>
-----------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS - 5.2%
$ 705,561 American Express Centurion
Bank, 6.65%, due
07/10/00(c)................. $ 705,561
924,894 Bank of America, 6.67%, due
03/22/01(c)................. 924,894
352,785 Royal Bank of Scotland, 6.85%,
due 07/05/00(c)............. 352,785
1,411,132 American Express Centurion
Bank, 7%, due 07/07/00(c)... 1,411,132
352,786 First Union National Bank,
6.9%, due 05/09/01(c)....... 352,786
1,265,609 Fleet National Bank, 7.125%,
due 10/31/00(c)............. 1,265,609
705,562 Goldman Sachs, 6.64875%, due
08/17/00(c)................. 705,562
705,565 Janus Money Market Fund(c).... 705,565
1,454,199 Merrimac Cash Fund-Premium
Class(c).................... 1,454,199
705,563 BNP Paribas, 6.75%, due
07/05/00(c)................. 705,563
------------
Total Short-Term Investments
(Cost $8,583,656) 8,583,656
------------
</TABLE>
<TABLE>
<C> <S> <C>
TOTAL INVESTMENTS - 100.5%
(Cost $174,591,625) 165,974,600
Other Assets and Liabilities (net) -
(0.5%) (809,066)
-------------
TOTAL NET ASSETS - 100.0% $ 165,165,534
=============
</TABLE>
PORTFOLIO FOOTNOTES:
(a) 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.
(b) Security is in Bankruptcy or is in default.
* Non-income producing security.
(c) Represents investment of collateral received from securities lending
transactions.
+ Zero coupon bond
++ Security is a "step-up" bond where coupon increases or steps up at a
predetermined date. Rates shown are current coupon and next coupon rate
when security steps up.
Yankee - U.S. Dollar denominated bonds issued by non-U.S. companies in the U.S.
See notes to financial statements
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
JUNE 30, 2000
--------------------------------------------------------------------------------
The following table summarizes the portfolio composition of long-term
debt holdings at June 30, 2000, 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 16.3%
AA 2.0
A 2.2
BBB 13.7
BB 15.8
B 39.3
CCC 1.8
NR 8.9
-----
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, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 96.0%
AIRLINES - 0.9%
AMR Corp.*........................................................................ 13,600 $ 359,550
-----------
AUTOMOTIVE - 0.9%
Genuine Parts Co.................................................................. 18,500 370,000
-----------
BEVERAGES, FOOD & TOBACCO - 9.8%
Archer-Daniels-Midland Co......................................................... 39,200 384,650
Corn Products International, Inc.................................................. 24,000 636,000
Dean Foods Co..................................................................... 19,700 624,244
Del Monte Foods Co.*.............................................................. 20,500 139,656
IBP, Inc.......................................................................... 38,100 588,169
Smithfield Foods, Inc.*........................................................... 20,600 578,087
Universal Foods Corp.............................................................. 46,800 865,800
-----------
3,816,606
-----------
CHEMICALS - 4.9%
Crompton Corp..................................................................... 65,300 799,925
IMC Global, Inc................................................................... 56,600 735,800
Potash Corporation of Saskatchewan, Inc............................................ 7,100 391,831
-----------
1,927,556
-----------
CONTAINERS & PACKAGING - 5.5%
American National Can Group, Inc.................................................. 36,300 612,562
Ball Corp......................................................................... 25,500 820,781
Pactiv Corporation*............................................................... 88,600 697,725
-----------
2,131,068
-----------
ELECTRIC UTILITIES - 11.5%
Constellation Energy Group, Inc................................................... 10,100 328,881
FirstEnergy Corp.................................................................. 32,300 755,012
IPALCO Enterprises, Inc........................................................... 31,100 625,887
Niagara Mohawk Holdings, Inc.*.................................................... 47,500 662,031
Northeast Utilities............................................................... 30,900 672,075
Reliant Energy, Inc............................................................... 20,100 594,206
Scana Corp........................................................................ 12,038 290,417
TECO Energy, Inc.................................................................. 28,800 577,800
-----------
4,506,309
-----------
FINANCIAL SERVICES - 1.6%
CIT Group, Inc. (The)............................................................. 38,400 624,000
-----------
FOOD RETAILERS - 1.0%
Delhaize America, Inc............................................................. 21,300 376,744
-----------
HEALTH CARE PROVIDERS - 7.7%
Caremark Rx, Inc.*............................................................... 203,900 1,389,069
Oxford Health Plans, Inc.*........................................................ 50,300 1,197,769
Trigon Healthcare, Inc.*........................................................... 8,300 427,969
-----------
3,014,807
-----------
HOUSEHOLD PRODUCTS - 2.0%
Snap-On, Inc...................................................................... 29,700 790,762
-----------
INSURANCE - 7.2%
Ace Ltd........................................................................... 20,500 574,000
PartnerRe Ltd..................................................................... 14,900 528,019
Transatlantic Holdings, Inc........................................................ 7,900 661,625
XL Capital Ltd.................................................................... 19,300 1,044,612
-----------
2,808,256
-----------
MEDICAL SUPPLIES - 9.6%
Acuson Corp.*..................................................................... 57,200 772,200
Boston Scientific Corp.*.......................................................... 30,700 673,481
St. Jude Medical, Inc.*........................................................... 28,000 1,284,500
Varian Medical Systems, Inc.*..................................................... 25,500 997,688
-----------
3,727,869
-----------
OIL & GAS - 22.0%
Amerada Hess Corp.................................................................. 8,800 543,400
Dynegy, Inc....................................................................... 16,092 1,099,285
Eastern Enterprises............................................................... 10,900 686,700
<CAPTION>
------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - CONTINUED
ENSCO International, Inc.......................................................... 18,800 $ 673,275
EOG Resources, Inc................................................................ 38,500 1,289,750
Kerr-Mcgee Corp................................................................... 17,000 1,001,938
R&B Falcon Corp.*................................................................. 47,600 1,121,575
Santa Fe Snyder Corp.*............................................................ 89,800 1,021,475
Southwest Gas Corp................................................................ 30,400 532,000
Valero Energy Corp................................................................ 19,200 609,600
-----------
8,578,998
-----------
REAL ESTATE - 2.1%
Healthcare Realty Trust, Inc. (REIT).............................................. 47,855 816,526
-----------
RESTAURANTS - 3.1%
CBRL Group, Inc................................................................... 82,600 1,213,188
-----------
RETAILERS - 4.3%
Consolidated Stores Corp.*........................................................ 70,700 848,400
J.C. Penney Co., Inc.............................................................. 44,100 813,094
-----------
1,661,494
-----------
TEXTILES, CLOTHING & FABRICS - 1.9%
Polymer Group, Inc................................................................ 74,400 688,200
V.F. Corp.......................................................................... 2,300 54,769
-----------
742,969
-----------
Total Common Stocks (Cost $34,382,915) 37,466,702
-----------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
--------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 0.6%
$19,836 American Express Centurion Bank, 6.65%,
due 07/10/00(a)....................... $ 19,836
19,836 Bank of America, 6.67%, due
03/22/01(a)........................... 19,836
9,918 Royal Bank of Scotland, 6.85%, due
07/05/00(a)........................... 9,918
39,672 American Express Centurion Bank 7%,
due 07/07/00(a)....................... 39,672
9,918 First Union National Bank, 6.9%,
due 05/09/01(a)....................... 9,918
24,880 Fleet National Bank, 7.125%, due
10/31/00(a)........................... 24,880
19,836 Goldman Sachs, 6.64875%, 08/17/00(a).... 19,836
19,836 Janus Money Market Fund(a).............. 19,836
57,752 Merrimac Cash Fund-Premium Class(a)..... 57,752
19,836 BNP Paribas, 6.75%, due 07/05/00(a)..... 19,836
-----------
Total Short-Term Investments
(Cost $241,320) 241,320
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 96.6%
(Cost $34,624,235) 37,708,022
Other Assets and Liabilities (net) -
3.4% 1,335,031
-------------
TOTAL NET ASSETS - 100.0% $ 39,043,053
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Represents investment of collateral received from securities
lending transactions.
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE>
Cova Series Trust
Large Cap Research Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 93.7%
AEROSPACE & DEFENSE - 2.0%
Boeing Co........................................................................ 19,300 $ 806,981
-----------
AUTOMOTIVE - 1.9%
Ford Motor Co..................................................................... 5,700 245,100
General Motors Corp............................................................... 8,440 490,047
Visteon Corp.*...................................................................... 746 9,049
-----------
744,196
-----------
BANKING - 9.5%
Bank One Corp.................................................................... 13,100 347,969
Chase Manhattan Corp............................................................. 11,925 549,295
First Tennessee National Corp.................................................... 30,300 501,844
Fleet Boston Financial Corp...................................................... 13,495 458,830
M&T Bank Corp..................................................................... 1,800 810,000
Mellon Financial Corp............................................................ 17,800 648,587
Wells Fargo Co................................................................... 12,650 490,187
-----------
3,806,712
-----------
BEVERAGES, FOOD & TOBACCO - 3.0%
Archer-Daniels-Midland Co........................................................ 36,600 359,137
HJ Heinz Co...................................................................... 19,100 835,625
-----------
1,194,762
-----------
COMMUNICATIONS - 1.0%
Lucent Technologies, Inc.......................................................... 6,900 408,825
-----------
COMPUTER SOFTWARE & PROCESSING - 7.5%
BMC Software, Inc.*............................................................... 6,400 233,500
Cadence Design Systems, Inc.*.................................................... 30,900 629,587
Ceridian Corp.*.................................................................. 31,800 765,187
Computer Sciences Corp.*.......................................................... 5,500 410,781
Electronics for Imaging, Inc.*.................................................... 7,700 194,906
First Data Corp.................................................................. 15,800 784,075
-----------
3,018,036
-----------
COMPUTERS & INFORMATION - 4.1%
Apple Computer, Inc.*............................................................. 7,800 408,525
Compaq Computer Corp............................................................. 28,600 731,087
Solectron Corp.*................................................................. 12,500 523,438
-----------
1,663,050
-----------
ELECTRIC UTILITIES - 8.1%
CP&L, Energy Inc.................................................................. 9,520 304,045
Dominion Resources, Inc.......................................................... 13,600 583,100
Duke Energy Corp................................................................. 16,900 952,738
FPL Group, Inc................................................................... 13,350 660,825
Unicom Corp...................................................................... 19,700 762,144
-----------
3,262,852
-----------
ELECTRONICS - 0.7%
General Motors Corp. - Class H*................................................... 1,128 98,982
Motorola, Inc..................................................................... 6,600 191,813
-----------
290,795
-----------
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES - 2.4%
Knight Trading Group, Inc.*....................................................... 7,200 $ 214,650
Morgan Stanley Dean Witter & Co................................................... 9,200 765,900
-----------
980,550
-----------
FOOD RETAILERS - 1.2%
Safeway, Inc.*................................................................... 10,800 487,350
-----------
FOREST PRODUCTS & PAPER - 4.2%
Bowater, Inc..................................................................... 11,600 511,850
International Paper Co........................................................... 16,100 479,981
Packaging Corp. of America*...................................................... 69,500 703,688
-----------
1,695,519
-----------
HEALTH CARE PROVIDERS - 1.8%
HCA-The Healthcare Corp.......................................................... 23,400 710,775
-----------
HEAVY MACHINERY - 5.7%
Baker Hughes, Inc................................................................ 19,900 636,800
Deere & Co....................................................................... 19,600 725,200
Eaton Corp........................................................................ 8,800 589,600
Pall Corp........................................................................ 17,900 331,150
-----------
2,282,750
-----------
INDUSTRIAL - DIVERSIFIED - 1.8%
Honeywell International Inc....................................................... 6,700 225,706
Minnesota Mining & Manufacturing Co. (3M)......................................... 6,000 495,000
-----------
720,706
-----------
INSURANCE - 7.6%
Ace Ltd.......................................................................... 35,400 991,200
American General Corp............................................................. 9,450 576,450
Aon Corp......................................................................... 19,400 602,613
Cigna Corp........................................................................ 2,300 215,050
UnitedHealth Group, Inc........................................................... 7,800 668,850
-----------
3,054,163
-----------
MEDIA - BROADCASTING & PUBLISHING - 3.7%
Dow Jones & Co., Inc.............................................................. 7,900 578,675
Time Warner, Inc.................................................................. 5,300 402,800
Viacom Inc - Class B*............................................................. 7,670 522,998
-----------
1,504,473
-----------
METALS - 1.2%
Alcoa, Inc....................................................................... 16,600 481,400
-----------
OFFICE EQUIPMENT - 1.2%
Harris Corp., Inc................................................................. 9,700 317,675
Xerox Corp........................................................................ 7,400 153,550
-----------
471,225
-----------
OIL & GAS - 12.9%
BP Amoco Plc (ADR)............................................................... 10,220 578,069
Coastal Corp..................................................................... 12,720 774,330
Exxon Mobil Corp................................................................. 24,420 1,916,970
Schlumberger Ltd.................................................................. 9,600 716,400
Tosco Corp....................................................................... 12,600 356,738
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Large Cap Research Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - CONTINUED
Total S.A. (ADR).................................................................. 5,100 $ 391,744
Transocean Sedco Forex, Inc....................................................... 8,187 437,493
-----------
5,171,744
-----------
PHARMACEUTICALS - 4.4%
Alza Corp.*....................................................................... 7,800 461,175
American Home Products Corp...................................................... 12,100 710,875
Pharmacia Corp................................................................... 11,662 602,780
-----------
1,774,830
-----------
RETAILERS - 2.7%
Consolidated Stores Corp.*....................................................... 42,200 506,400
Federated Department Stores, Inc.*............................................... 17,000 573,750
-----------
1,080,150
-----------
TELEPHONE SYSTEMS - 3.7%
Alltel Corp....................................................................... 6,500 402,594
AT&T Corp........................................................................ 16,350 517,069
Bell Atlantic Corp............................................................... 11,400 579,263
-----------
1,498,926
-----------
TRANSPORTATION - 1.4%
United Parcel Service, Inc. - Class B............................................. 9,300 548,700
-----------
Total Common Stocks (Cost $37,101,203) 37,659,470
-----------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 9.9%
$ 327,014 American Express Centurion Bank, 6.65%,
due 07/10/00(a)....................... $ 327,014
327,014 Bank of America, 6.67%,
due 03/22/01(a)....................... 327,014
163,507 Royal Bank of Scotland, 6.85%,
due 07/05/00(a)....................... 163,507
654,027 American Express Centurion Bank, 7%,
due 07/07/00(a)....................... 654,027
163,507 First Union National Bank, 6.9%,
due 05/09/01(a)....................... 163,507
410,149 Fleet National Bank, 7.125%,
due 10/31/00(a)....................... 410,149
327,014 Goldman Sachs, 6.64875%,
due 08/17/00(a)....................... 327,014
327,014 Janus Money Market Fund(a).............. 327,014
952,076 Merrimac Cash Fund-Premium Class(a)..... 952,076
327,014 BNP Paribas, 6.75%,
due 07/05/00(a)....................... 327,014
-----------
Total Short-Term Investments
(Cost $3,978,336) 3,978,336
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 103.6%
(Cost $41,079,540) 41,637,806
Other Assets and Liabilities (net) -
(3.6%) (1,442,195)
-------------
TOTAL NET ASSETS - 100.0% $ 40,195,611
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Represents investment of collateral received from securities
lending transactions.
ADR - American Depositary Receipt
See notes to financial statements
<PAGE>
Cova Series Trust
Developing Growth Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 93.3%
AEROSPACE & DEFENSE - 0.9%
Orbital Sciences Corp.*.......................................................... 30,700 $ 374,156
-----------
AIRLINES - 1.3%
Frontier Airlines, Inc.*......................................................... 13,700 196,081
Skywest, Inc...................................................................... 8,900 329,856
-----------
525,937
-----------
APPAREL RETAILERS - 2.8%
AnnTaylor Stores Corp.*.......................................................... 16,400 543,250
Children's Place Retail Stores, Inc.*............................................ 13,500 276,750
Pacific Sunwear of California, Inc.*............................................. 17,550 329,062
-----------
1,149,062
-----------
BEVERAGES, FOOD & TOBACCO - 0.7%
Horizon Organic Holding Corp.*.................................................... 6,000 63,750
Smithfield Foods, Inc.*........................................................... 5,500 154,344
Twinlab Corp.*.................................................................... 8,500 54,187
-----------
272,281
-----------
BUILDING MATERIALS - 0.6%
Elcor Corp........................................................................ 9,900 227,700
-----------
CHEMICALS - 1.9%
H.B. Fuller Co.................................................................... 2,400 109,350
OM Group, Inc.................................................................... 15,500 682,000
-----------
791,350
-----------
COMMERCIAL SERVICES - 13.7%
Aegis Communications Group, Inc.*................................................ 41,800 42,218
Butler International, Inc.*....................................................... 6,250 53,125
CDI Corp.*........................................................................ 3,700 75,387
Core Laboratories N.V. (ADR)*.................................................... 19,000 551,000
Cornell Corrections, Inc.*....................................................... 10,100 80,800
Corporate Executive Board Co.*.................................................... 8,900 532,887
Diamond Technology Partners, Inc.*................................................ 5,650 497,200
Etinuum, Inc.*.................................................................... 4,800 27,000
First Consulting Group, Inc.*..................................................... 5,800 32,262
G & K Services, Inc.............................................................. 12,600 315,787
ICOS Corp.*....................................................................... 9,500 418,000
Iron Mountain, Inc.*............................................................. 14,800 503,200
Labor Ready, Inc.*................................................................ 8,700 57,638
MarchFirst, Inc.*................................................................. 9,012 164,469
Maxim Pharmaceuticals, Inc.*...................................................... 3,100 159,262
Memberworks, Inc.*................................................................ 6,600 221,925
Modis Professional Services, Inc.*............................................... 10,300 91,412
NCO Group, Inc.*.................................................................. 6,200 143,375
On Assignment, Inc.*.............................................................. 8,900 271,450
Pharmaceutical Product Development, Inc.*......................................... 2,900 60,900
Steiner Leisure Ltd.*............................................................ 10,200 230,775
Student Advantage, Inc.*......................................................... 30,100 220,106
TeleTech Holdings, Inc.*......................................................... 27,500 854,219
-----------
5,604,397
-----------
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS - 7.4%
ADC Telecommunications, Inc.*..................................................... 1,548 $ 129,838
Cable Design Technologies Corp.*.................................................. 8,000 268,000
Comtech Telecommunications Corp.*................................................. 7,800 128,700
Netro Corp.*...................................................................... 1,900 109,012
Plantronics, Inc.*............................................................... 15,200 1,755,600
Sawtek, Inc.*.................................................................... 10,900 627,431
-----------
3,018,581
-----------
COMPUTER SOFTWARE & PROCESSING - 16.4%
3DO Co. (The)*.................................................................... 9,700 76,085
Activision, Inc.*................................................................. 9,200 59,800
Acxiom Corp.*.................................................................... 18,200 495,950
Cambridge Technology Partners, Inc.*............................................. 38,600 336,546
CheckFree Holdings Corp.*......................................................... 4,500 232,031
CIBER, Inc.*...................................................................... 8,900 117,925
Corillian Corp*................................................................... 3,400 56,525
CyberSource Corp.*................................................................ 6,500 89,781
Dendrite International, Inc.*..................................................... 6,700 223,194
eCollege.com Inc.*............................................................... 10,800 47,250
eLoyalty Corp.*................................................................... 4,500 57,375
eMerge Interactive, Inc. - Class A*............................................... 6,600 118,387
ePresence, Inc.*.................................................................. 2,500 18,203
Exchange Applications, Inc.*...................................................... 6,200 165,075
iGate Capital Corp.*............................................................. 18,700 257,125
IMRglobal Corp.*.................................................................. 4,900 64,006
InfoCure Corp.*................................................................... 7,000 39,375
Jupiter Communications, Inc.*..................................................... 5,400 124,200
Landmark Systems Corp.*........................................................... 9,800 58,800
Lionbridge Technologies, Inc.*.................................................... 8,000 78,000
Manhattan Associates, Inc.*....................................................... 6,100 152,500
Manugistics Group, Inc.*.......................................................... 4,200 196,350
Multex.com, Inc.*................................................................. 6,200 156,162
National Computer Systems, Inc................................................... 10,900 536,825
National Instruments Corp.*....................................................... 6,250 272,656
Netopia, Inc.*.................................................................... 3,300 132,825
Optio Software, Inc.*............................................................. 5,600 33,513
Pegasus Systems, Inc.*........................................................... 15,850 172,369
Phoenix Technologies Ltd.*........................................................ 7,900 128,869
Primus Knowledge Solutions, Inc.*................................................. 2,400 108,000
Project Software & Development, Inc.*............................................. 4,500 81,000
Proxicom, Inc.*................................................................... 2,200 105,325
RadiSys Corp.*................................................................... 13,900 788,825
Ravisent Technologies, Inc.*...................................................... 6,600 46,612
Renaissance Worldwide, Inc.*..................................................... 19,000 29,687
Rudolph Technologies, Inc.*....................................................... 1,300 50,375
S1 Corp.*........................................................................ 15,300 356,681
Switchboard Inc.*................................................................. 7,500 75,000
Sykes Enterprises, Inc.*......................................................... 15,600 200,850
Technology Solutions Co.*......................................................... 9,500 58,781
THQ, Inc.*........................................................................ 7,550 92,016
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Developing Growth Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE & PROCESSING - CONTINUED
Verio Inc.*....................................................................... 3,900 $ 148,200
Vicinity Corp.*................................................................... 2,400 47,100
-----------
6,686,154
-----------
COMPUTERS & INFORMATION - 5.3%
Advanced Digital Information Corp.*.............................................. 27,000 430,312
Analogic Corp..................................................................... 5,100 204,000
Cyberian Outpost, Inc.*........................................................... 9,800 47,162
Fvc.com, Inc.*.................................................................... 8,600 66,650
InFocus Corp.*.................................................................... 7,400 238,187
Insight Enterprises, Inc.*........................................................ 8,600 510,087
MICROS Systems, Inc.*............................................................ 10,500 194,906
MicroTouch Systems, Inc.*......................................................... 7,400 63,825
ScanSoft, Inc.*.................................................................. 15,428 43,391
Xircom, Inc.*..................................................................... 7,400 351,500
-----------
2,150,020
-----------
ELECTRIC UTILITIES - 0.3%
Independent Energy Holdings Plc (ADR)*........................................... 12,400 103,075
-----------
ELECTRICAL EQUIPMENT - 1.8%
Ampex Corp.*..................................................................... 27,100 45,731
Moog, Inc. - Class A*............................................................. 3,800 100,225
Technitrol, Inc................................................................... 5,400 523,125
Universal Electronics Inc.*....................................................... 2,800 68,775
-----------
737,856
-----------
ELECTRONICS - 5.2%
American Xtal Technology, Inc.*................................................... 3,000 129,750
Artesyn Technologies, Inc.*...................................................... 10,400 289,250
CellStar Corp.*.................................................................. 45,500 126,549
Dionex Corp.*..................................................................... 2,200 58,850
EMS Technologies, Inc.*........................................................... 7,600 136,800
Helix Technology Corp............................................................. 1,500 58,500
Lecroy Corp.*..................................................................... 7,900 78,012
NVIDIA Corp.*..................................................................... 9,000 572,062
Pioneer-Standard Electronics, Inc................................................. 3,600 53,100
SLI, Inc......................................................................... 17,000 206,125
Three-Five Systems, Inc.*......................................................... 6,850 404,150
-----------
2,113,148
-----------
ENTERTAINMENT & LEISURE - 0.9%
Bally Total Fitness Holdings Corp.*............................................... 6,900 175,087
Championship Auto Racing Teams, Inc.*............................................. 6,900 175,950
Cinar Corp.(a)*................................................................... 6,300 33,579
-----------
384,616
-----------
FINANCIAL SERVICES - 0.3%
Federal Agricultural Mortgage Corp.*.............................................. 9,400 136,888
-----------
FOOD RETAILERS - 1.4%
Whole Foods Market, Inc.*........................................................ 11,100 458,569
Wild Oats Markets, Inc.*.......................................................... 8,250 103,641
-----------
562,210
-----------
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTH CARE PROVIDERS - 1.5%
Apria Healthcare Group Inc.*..................................................... 16,500 $ 202,125
Healthcare Services Group, Inc.*................................................. 11,750 52,875
Hooper Holmes, Inc............................................................... 27,700 221,600
Matria Healthcare, Inc.*......................................................... 30,000 137,814
-----------
614,414
-----------
HEAVY CONSTRUCTION - 0.3%
McGrath Rentcorp.................................................................. 6,200 105,400
-----------
HEAVY MACHINERY - 0.7%
Flow International Corp.*......................................................... 9,100 91,000
Semitool, Inc.*.................................................................. 10,200 176,588
-----------
267,588
-----------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 0.3%
Crossmann Communities, Inc.*...................................................... 8,400 138,600
-----------
INDUSTRIAL - DIVERSIFIED - 0.1%
Identix, Inc.*.................................................................... 3,800 59,613
-----------
INSURANCE - 0.5%
Advance Paradigm, Inc.*.......................................................... 10,300 211,150
-----------
MEDIA - BROADCASTING & PUBLISHING - 0.5%
NBC Internet, Inc. - Class A*....................................................... 300 3,750
Regent Communications, Inc.*..................................................... 14,800 127,188
Salem Communications Corp. - Class A*............................................. 8,900 82,604
-----------
213,542
-----------
MEDICAL BIO - TECHNOLOGY - 0.2%
MedQuist, Inc.*................................................................... 2,123 72,175
-----------
MEDICAL SUPPLIES - 6.1%
Armor Holdings, Inc.*............................................................ 17,800 231,400
Arrow International, Inc......................................................... 10,000 335,000
ATS Medical, Inc.*............................................................... 18,100 264,713
Coherent, Inc.*................................................................... 9,100 763,263
Hanger Orthopedic Group, Inc.*................................................... 13,800 68,138
Ionics, Inc.*..................................................................... 5,200 159,250
Meade Instruments Corp.*.......................................................... 5,800 145,725
Orthofix International N.V.*...................................................... 9,900 176,963
SonoSite, Inc.*................................................................... 6,600 190,163
Theragenics Corp.*............................................................... 15,000 128,438
Therma-Wave Inc.*................................................................. 1,500 33,469
-----------
2,496,522
-----------
METALS - 1.7%
Matthews International Corp....................................................... 6,600 191,400
Stillwater Mining Co.*........................................................... 18,200 507,325
-----------
698,725
-----------
OIL & GAS - 4.9%
Evergreen Resources, Inc.*....................................................... 10,500 311,063
Exco Resources Inc.*.............................................................. 7,400 74,000
Louis Dreyfus Natural Gas Corp.*................................................. 14,400 450,900
Seitel, Inc.*..................................................................... 9,600 78,000
Stone Energy Corp.*............................................................... 6,000 358,500
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Developing Growth Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS - CONTINUED
Superior Energy Services, Inc.*.................................................. 12,100 $ 125,538
TransMontaigne Oil Co.*.......................................................... 20,200 123,725
Vintage Petroleum, Inc........................................................... 20,900 471,556
-----------
1,993,282
-----------
PHARMACEUTICALS - 3.2%
Albany Molecular Research, Inc.*.................................................. 3,500 190,531
Barr Laboratories, Inc.*.......................................................... 3,750 168,047
Corixa Corp.*..................................................................... 7,100 304,856
ILEX Oncology, Inc.*.............................................................. 3,700 130,425
Kos Pharmaceuticals, Inc.*........................................................ 3,800 61,038
Noven Pharmaceuticals, Inc*....................................................... 4,300 129,269
PathoGenesis Corp.*.............................................................. 11,700 304,200
-----------
1,288,366
-----------
REAL ESTATE - 0.4%
Catellus Development Corp.*....................................................... 4,200 63,000
Healthcare Realty Trust, Inc. (REIT).............................................. 4,700 80,194
-----------
143,194
-----------
RESTAURANTS - 0.6%
CEC Entertainment Inc.*........................................................... 4,500 115,313
P.F. Chang's China Bistro*........................................................ 4,500 143,719
-----------
259,032
-----------
RETAILERS - 2.9%
Alloy Online, Inc.*............................................................... 9,700 109,125
Ames Department Stores, Inc.*..................................................... 8,000 62,000
Cost Plus, Inc.*.................................................................. 4,350 124,791
Fatbrain.com Inc.*................................................................ 8,300 54,729
iGo Corp.*....................................................................... 10,300 39,913
MSC Industrial Direct Co., Inc.*................................................. 18,500 387,344
Tuesday Morning Corp.*............................................................ 6,300 66,150
ValueVision International, Inc. - Class A*....................................... 12,200 292,800
Zany Brainy, Inc.*............................................................... 16,600 43,575
-----------
1,180,427
-----------
TELEPHONE SYSTEMS - 2.9%
Boston Communications Group, Inc.*................................................ 9,300 130,200
Clearnet Communications Inc.*.................................................... 13,000 360,953
GST Telecommunications, Inc.(a)*.................................................. 8,900 3,894
Lightbridge, Inc.*................................................................ 7,400 176,675
MGC Communications, Inc.*......................................................... 5,800 347,638
Talk.com, Inc.*.................................................................. 24,400 141,825
-----------
1,161,185
-----------
TEXTILES, CLOTHING & FABRICS - 4.8%
Cutter & Buck, Inc.*.............................................................. 6,800 53,975
Kenneth Cole Productions, Inc.*................................................... 6,600 264,000
Quiksilver, Inc.*................................................................ 20,800 323,700
Shoe Carnival, Inc.*............................................................. 10,700 66,875
Tarrant Apparel Group*........................................................... 14,000 125,125
Timberland Co. (The)*............................................................ 10,400 736,450
Tropical Sportswear International Corp.*......................................... 14,000 245,000
Vans, Inc.*....................................................................... 9,900 144,788
-----------
1,959,913
-----------
<CAPTION>
-----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION - 0.8%
American Classic Voyages Co.*..................................................... 8,300 $ 171,188
Railworks Corp.*.................................................................. 9,500 77,188
Wabtec Corp....................................................................... 7,969 82,678
-----------
331,054
-----------
Total Common Stocks (Cost $36,672,223) 38,031,613
-----------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
---------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 7.7%
$257,002 American Express Centurion Bank, 6.65%,
due 07/10/00(b)....................... $ 257,002
257,002 Bank of America, 6.67%, due
03/22/01(b)........................... 257,002
128,501 Royal Bank of Scotland, 6.85%,
due 07/05/00(b)....................... 128,501
514,004 American Express Centurion Bank 7%,
due 07/07/00(b)....................... 514,004
128,501 First Union National Bank, 6.9%,
due 05/09/01(b)....................... 128,501
322,342 Fleet National Bank, 7.125%, due
10/31/00(b)........................... 322,342
257,002 Goldman Sachs, 6.64875%, 08/17/00(b).... 257,002
257,002 Janus Money Market Fund(b).............. 257,002
748,242 Merrimac Cash Fund-Premium Class(b)..... 748,242
257,002 BNP Paribas, 6.75%, due 07/05/00(b)..... 257,002
-----------
Total Short-Term Investments
(Cost $3,126,600) 3,126,600
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 101.0%
(Cost $39,798,822) 41,158,213
Other Assets and Liabilities (net) -
(1.0%) (389,930)
-------------
TOTAL NET ASSETS - 100.0% $ 40,768,283
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Security is in Bankruptcy.
(b) Represents investment of collateral received from securities
lending transactions.
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, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 93.8%
AEROSPACE & DEFENSE - 0.7%
Boeing Co........................................................................ 150,000 $ 6,271,875
------------
AUTOMOTIVE - 1.4%
General Motors Corp............................................................... 80,000 4,645,000
TRW Inc.......................................................................... 160,000 6,940,000
------------
11,585,000
------------
BANKING - 6.2%
Bank One Corp.................................................................... 280,000 7,437,500
Chase Manhattan Corp............................................................. 315,000 14,509,687
Fleet Boston Financial Corp...................................................... 460,000 15,640,000
Wells Fargo Co................................................................... 380,000 14,748,036
------------
52,335,223
------------
BEVERAGES, FOOD & TOBACCO - 1.3%
Archer-Daniels-Midland Co...................................................... 1,100,000 10,793,750
------------
CHEMICALS - 2.9%
Dow Chemical Co.................................................................. 510,000 15,395,625
Rohm & Haas Co................................................................... 250,000 8,625,000
------------
24,020,625
------------
COMPUTER SOFTWARE & PROCESSING - 4.6%
Cadence Design Systems, Inc.*.................................................... 400,000 8,150,000
Computer Sciences Corp.*.......................................................... 80,000 5,975,000
First Data Corp.................................................................. 210,000 10,421,250
Oracle Corp.*.................................................................... 170,000 14,290,625
------------
38,836,875
------------
COMPUTERS & INFORMATION - 4.2%
Apple Computer, Inc.*............................................................ 160,000 8,380,000
Compaq Computer Corp............................................................. 380,000 9,713,750
International Business Machines Corp............................................. 100,000 10,956,250
Sun Microsystems, Inc.*........................................................... 70,000 6,365,625
------------
35,415,625
------------
COSMETICS & PERSONAL CARE - 0.7%
Avon Products, Inc............................................................... 140,000 6,230,000
------------
ELECTRIC UTILITIES - 7.7%
Dominion Resources, Inc.......................................................... 420,000 18,007,500
Duke Energy Corp................................................................. 325,000 18,321,875
FirstEnergy Corp................................................................. 550,000 12,856,250
Reliant Energy, Inc.............................................................. 150,000 4,438,756
Unicom Corp...................................................................... 280,000 10,832,500
------------
64,456,881
------------
ELECTRONICS - 1.5%
General Motors Corp. - Class H*................................................... 11,881 1,042,558
Texas Instruments, Inc........................................................... 166,000 11,402,125
------------
12,444,683
------------
FINANCIAL SERVICES - 3.3%
Federal National Mortgage Association............................................ 270,000 14,090,625
Morgan Stanley Dean Witter & Co.................................................. 160,000 13,320,000
------------
27,410,625
------------
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOOD RETAILERS - 1.4%
Safeway, Inc.*................................................................... 260,000 $ 11,732,500
------------
FOREST PRODUCTS & PAPER - 1.9%
Bowater, Inc..................................................................... 260,000 11,472,500
International Paper Co........................................................... 140,000 4,184,760
------------
15,657,260
------------
HEALTH CARE PROVIDERS - 1.4%
HCA-The Healthcare Corp.......................................................... 400,000 12,150,000
------------
HEAVY MACHINERY - 1.8%
Deere & Co....................................................................... 412,700 15,273,117
------------
HOUSEHOLD PRODUCTS - 1.2%
Black & Decker Corp.............................................................. 250,000 9,828,125
------------
INDUSTRIAL - DIVERSIFIED - 4.6%
Honeywell International Inc...................................................... 400,000 13,475,000
Minnesota Mining & Manufacturing Co. (3M)........................................ 220,000 18,150,000
United Technologies Corp......................................................... 120,000 6,851,138
------------
38,476,138
------------
INSURANCE - 12.9%
Ace Ltd.......................................................................... 750,000 21,000,000
American General Corp............................................................ 330,000 20,130,000
Aon Corp......................................................................... 550,000 17,084,375
Cigna Corp....................................................................... 130,000 12,155,000
Jefferson-Pilot Corp............................................................. 250,000 14,109,375
St. Paul Co...................................................................... 250,000 8,531,250
UnitedHealth Group, Inc.......................................................... 175,000 15,006,250
------------
108,016,250
------------
MEDIA - BROADCASTING & PUBLISHING - 4.7%
Dow Jones & Co., Inc............................................................. 220,000 16,115,000
MediaOne Group, Inc.*............................................................ 130,000 8,620,788
Viacom Inc - Class B*............................................................ 220,000 15,001,250
------------
39,737,038
------------
MEDICAL SUPPLIES - 0.5%
Baxter International, Inc......................................................... 60,000 4,219,630
------------
METALS - 2.5%
Alcoa, Inc....................................................................... 530,000 15,370,600
USX - U.S. Steel Group, Inc...................................................... 300,000 5,568,750
------------
20,939,350
------------
OIL & GAS - 14.4%
BP Amoco Plc (ADR)............................................................... 400,000 22,625,000
Coastal Corp..................................................................... 380,000 23,132,500
Exxon Mobil Corp................................................................. 300,000 23,550,000
Schlumberger Ltd................................................................. 250,000 18,656,250
Tosco Corp....................................................................... 300,000 8,493,750
Total S.A. (ADR)................................................................. 240,000 18,435,000
Transocean Sedco Forex, Inc...................................................... 110,000 5,878,125
------------
120,770,625
------------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Lord Abbett Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 4.3%
American Home Products Corp...................................................... 400,000 $ 23,500,000
Pharmacia Corp................................................................... 240,000 12,397,450
------------
35,897,450
------------
RETAILERS - 1.8%
Consolidated Stores Corp.*....................................................... 580,000 6,960,000
Federated Department Stores, Inc.*............................................... 240,000 8,100,000
------------
15,060,000
------------
TELEPHONE SYSTEMS - 5.3%
Alltel Corp...................................................................... 170,000 10,529,375
AT&T Corp......................................................................... 36,500 1,154,312
Bell Atlantic Corp............................................................... 250,000 12,703,125
SBC Communications Corp.......................................................... 200,000 8,650,000
WorldCom, Inc*................................................................... 250,000 11,468,750
------------
44,505,562
------------
TRANSPORTATION - 0.6%
United Parcel Service, Inc. - Class B............................................. 85,000 5,015,000
------------
Total Common Stocks (Cost $749,779,079) 787,079,207
------------
</TABLE>
<TABLE>
<S> <C> <C>
CONVERTIBLE PREFERRED STOCKS - 2.5%
BEVERAGES, FOOD & TOBACCO - 1.3%
Seagram Co. Ltd.......................... 200,000 10,750,000
------------
ELECTRIC UTILITIES - 1.2%
Houston Industries, Inc................... 80,000 9,950,000
------------
Total Convertible Preferred Stocks (Cost
$17,843,874) 20,700,000
------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION (NOTE 1)
--------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 5.4%
$ 3,739,678 American Express Centurion Bank, 6.65%,
due 07/10/00(a)....................... $ 3,739,678
4,189,690 Bank of America, 6.67%,
due 03/22/01(a)....................... 4,189,690
1,869,838 Royal Bank of Scotland, 6.85%,
due 07/05/00(a)....................... 1,869,838
7,479,349 American Express Centurion Bank, 7%,
due 07/07/00(a)....................... 7,479,349
1,869,837 First Union National Bank, 6.9%,
due 05/09/01(a)....................... 1,869,837
3,640,413 Fleet National Bank, 7.125%,
due 10/31/00(a)....................... 3,640,413
3,739,676 Goldman Sachs, 6.64875%,
due 08/17/00(a)....................... 3,739,676
3,739,675 Janus Money Market Fund(a).............. 3,739,675
11,487,783 Merrimac Cash Fund-Premium Class(a)..... 11,487,783
3,739,676 BNP Paribas, 6.75%, due 07/05/00 (a).... 3,739,676
------------
Total Short-Term Investments
(Cost $45,495,615) 45,495,615
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 101.7%
(Cost $813,118,568) 853,274,822
Other Assets and Liabilities (net) -
(1.7%) (13,862,664)
-------------
TOTAL NET ASSETS - 100.0% $ 839,412,158
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Represents investment of collateral received from securities
lending transactions.
ADR - American Depositary Receipt
See notes to financial statements
<PAGE>
Cova Series Trust
Balanced Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 58.4%
AEROSPACE & DEFENSE - 0.6%
General Dynamics Corp.............................................................. 1,200 $ 62,700
---------
BANKING - 1.9%
Chase Manhattan Corp............................................................... 2,070 95,349
First Union Corp................................................................... 3,880 96,273
---------
191,622
---------
BEVERAGES, FOOD & TOBACCO - 3.9%
HJ Heinz Co........................................................................ 3,400 148,750
Ralston-Ralston Purina Group....................................................... 4,200 83,737
Sysco Corp......................................................................... 3,625 152,703
---------
385,190
---------
BUILDING MATERIALS - 1.8%
Martin Marietta Materials, Inc..................................................... 1,400 56,612
Masco Corp......................................................................... 6,815 123,096
---------
179,708
---------
CHEMICALS - 2.8%
Millipore Corp..................................................................... 2,760 208,035
Solutia, Inc....................................................................... 4,990 68,612
---------
276,647
---------
COMMUNICATIONS - 1.6%
Nokia Corp. (ADR).................................................................... 800 39,950
Nortel Networks Corp............................................................... 1,800 122,850
---------
162,800
---------
COMPUTER SOFTWARE & PROCESSING - 5.1%
BMC Software, Inc.*................................................................ 2,700 98,508
Cisco Systems, Inc.*............................................................... 2,400 152,550
First Data Corp.................................................................... 2,390 118,604
Microsoft Corp.*................................................................... 1,685 134,800
---------
504,462
---------
COMPUTERS & INFORMATION - 2.8%
Compaq Computer Corp............................................................... 2,210 56,493
Dell Computer Corp.*............................................................... 1,350 66,572
Electronic Data Systems Corp......................................................... 800 33,000
Hewlett-Packard Co................................................................... 950 118,631
---------
274,696
---------
CONTAINERS & PACKAGING - 1.8%
Avery-Dennison Corp................................................................ 1,810 121,496
Crown Cork & Seal, Inc............................................................. 3,480 52,200
---------
173,696
---------
COSMETICS & PERSONAL CARE - 1.2%
Estee Lauder Co.................................................................... 1,230 60,808
Gillette Co........................................................................ 1,640 57,297
---------
118,105
---------
ELECTRIC SERVICES - 0.7%
AES Corp.*......................................................................... 1,600 73,000
---------
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - 1.3%
Cinergy Corp....................................................................... 2,460 $ 62,576
Duke Energy Corp................................................................... 1,110 62,576
---------
125,152
---------
ELECTRICAL EQUIPMENT - 1.2%
General Electric Co................................................................ 2,325 123,225
---------
ELECTRONICS - 4.4%
Adaptec, Inc.*..................................................................... 2,520 57,330
Altera Corp.*........................................................................ 810 82,569
Applied Materials, Inc.*............................................................. 530 48,031
Intel Corp........................................................................... 775 103,608
KLA-Tencor Corp.*.................................................................. 1,260 73,789
Maxim Integrated Products, Inc.*..................................................... 940 63,861
---------
429,188
---------
ENTERTAINMENT & LEISURE - 0.6%
Carnival Corp...................................................................... 2,800 54,600
---------
FINANCIAL SERVICES - 4.2%
Heller Financial, Inc.............................................................. 2,895 59,348
MBNA Corp.......................................................................... 5,490 148,916
Morgan Stanley Dean Witter & Co...................................................... 900 74,925
SLM Holding Corp................................................................... 3,563 133,390
---------
416,579
---------
FOREST PRODUCTS & PAPER - 0.9%
Mead Corp.......................................................................... 3,430 86,608
---------
HEAVY MACHINERY - 0.6%
Illinois Tool Works, Inc........................................................... 1,060 60,420
---------
HOUSEHOLD PRODUCTS - 0.9%
Energizer Holdings, Inc.*.......................................................... 3,200 58,400
Procter & Gamble Co.................................................................. 600 34,350
---------
92,750
---------
MEDIA - BROADCASTING & PUBLISHING - 0.5%
Time Warner, Inc..................................................................... 670 50,920
---------
MEDICAL SUPPLIES - 2.4%
Agilent Technologies, Inc.*.......................................................... 362 26,698
Baxter International, Inc.......................................................... 1,980 139,219
C.R. Bard, Inc..................................................................... 1,440 69,300
---------
235,217
---------
METALS - 1.1%
Alcoa, Inc......................................................................... 3,600 104,400
---------
OIL & GAS - 3.4%
Murphy Oil Corp.................................................................... 1,060 63,004
Ocean Energy, Inc.*................................................................ 6,505 92,290
Transocean Sedco Forex, Inc........................................................ 1,100 58,781
USX - Marathon Group............................................................... 4,940 123,809
---------
337,884
---------
PHARMACEUTICALS - 5.7%
Bristol-Myers Squibb Co............................................................ 1,945 113,296
Eli Lilly & Co..................................................................... 1,880 187,765
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Balanced Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - CONTINUED
Merck & Co., Inc................................................................... 1,550 $ 118,769
Schering-Plough Corp............................................................... 2,725 137,613
---------
557,443
---------
RESTAURANTS - 0.6%
Tricon Global Restaurants, Inc.*................................................... 2,140 60,455
---------
RETAILERS - 3.2%
Consolidated Stores Corp.*......................................................... 3,573 42,876
Lowes Co., Inc..................................................................... 2,400 98,550
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
RETAILERS - CONTINUED
Office Depot, Inc.*................................................................ 8,395 $ 52,469
Wal-Mart Stores, Inc............................................................... 2,090 120,436
---------
314,331
---------
TELEPHONE SYSTEMS - 3.2%
GTE Corp........................................................................... 1,700 105,825
SBC Communications Corp............................................................ 2,400 103,800
WorldCom, Inc*..................................................................... 2,250 103,219
---------
312,844
---------
Total Common Stocks (Cost $5,521,066) 5,764,642
---------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CORPORATE DEBT - 12.2%
BANKING - 2.0%
$200,000 Norwest Financial............. 6.625% 07/15/2004 $ 195,052
----------
CHEMICALS - 1.6%
150,000 Du Pont (E.I.) de Nemours and
Co.......................... 8.250% 09/15/2006 157,426
----------
ENTERTAINMENT & LEISURE - 1.4%
150,000 Walt Disney Co. (The)......... 5.250% 11/10/2003 141,857
----------
FINANCIAL SERVICES - 5.8%
150,000 Associates Corp. of North
America..................... 5.800% 04/20/2004 140,693
150,000 General Motors Acceptance
Corp........................ 6.850% 06/17/2004 146,798
150,000 Household Finance Corp........ 6.000% 05/01/2004 141,475
150,000 Merrill Lynch & Co., Inc...... 6.550% 08/01/2004 145,317
----------
574,283
----------
RETAILERS - 1.4%
150,000 J.C. Penney Co., Inc.......... 7.600% 04/01/2007 132,913
----------
Total Corporate Debt (Cost
$1,289,481) 1,201,531
----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 19.7%
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 7.0%
30,252 Federal Home Loan Mortgage
Corp........................ 6.500% 01/01/2012 29,194
29,373 Federal National Mortgage
Association................. 6.000% 03/01/2011 27,796
414,641 Federal National Mortgage
Association................. 6.000% 11/01/2013 392,370
71,429 Federal National Mortgage
Association................. 7.000% 02/01/2016 69,781
113,296 Government National Mortgage
Association................. 6.000% 01/15/2011 107,777
31,269 Government National Mortgage
Association................. 6.500% 03/15/2024 29,683
32,482 Government National Mortgage
Association................. 7.000% 07/20/2027 31,419
----------
688,020
----------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Balanced Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
PAR SECURITY VALUE
AMOUNT DESCRIPTION COUPON MATURITY (NOTE 1)
-------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES - 12.7%
$150,000 U.S. Treasury Note............ 6.375% 08/15/2002 $ 149,813
300,000 U.S. Treasury Note............ 7.250% 05/15/2004 309,375
300,000 U.S. Treasury Note............ 6.625% 05/15/2007 306,281
150,000 U.S. Treasury Note............ 6.125% 08/15/2007 149,156
150,000 U.S. Treasury Note............ 5.625% 05/15/2008 144,703
200,000 U.S. Treasury Note............ 6.000% 08/15/2009 198,438
----------
1,257,766
----------
Total U.S. Government and
Agency Obligations (Cost
$2,009,708) 1,945,786
----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS - 90.3%
(Cost $8,820,254) 8,911,959
Other Assets and Liabilities (net) -
9.7% 952,172
-------------
TOTAL NET ASSETS - 100.0% $ 9,864,131
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
ADR - American Depositary Receipt
See notes to financial statements
<PAGE>
Cova Series Trust
Equity Income Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 92.8%
AEROSPACE & DEFENSE - 1.9%
General Dynamics Corp............................................................. 1,200 $ 62,700
Raytheon Co....................................................................... 3,400 66,087
----------
128,787
----------
BANKING - 10.8%
Chase Manhattan Corp.............................................................. 2,850 131,278
Comerica, Inc..................................................................... 2,800 125,650
First Union Corp.................................................................. 4,000 99,250
Mellon Financial Corp............................................................. 3,700 134,819
National City Corp................................................................ 4,600 78,487
PNC Bank Corp..................................................................... 1,800 84,375
Union Planters Corp............................................................... 3,400 94,987
----------
748,846
----------
BEVERAGES, FOOD & TOBACCO - 5.8%
HJ Heinz Co....................................................................... 3,500 153,125
Ralston-Ralston Purina Group...................................................... 4,500 89,719
Sara Lee Corp..................................................................... 4,600 88,837
Sysco Corp........................................................................ 1,700 71,613
----------
403,294
----------
BUILDING MATERIALS - 3.7%
Martin Marietta Materials, Inc.................................................... 1,600 64,700
Masco Corp........................................................................ 6,500 117,406
Sherwin Williams Co............................................................... 3,500 74,156
----------
256,262
----------
CHEMICALS - 1.0%
Solutia, Inc...................................................................... 5,000 68,750
----------
COMPUTER SOFTWARE & PROCESSING - 4.9%
BMC Software, Inc.*............................................................... 1,600 58,375
First Data Corp................................................................... 3,000 148,875
Sungard Data Systems, Inc.*....................................................... 4,200 130,200
----------
337,450
----------
COMPUTERS & INFORMATION - 3.7%
Hewlett-Packard Co................................................................ 1,000 124,875
International Business Machines Corp.............................................. 1,200 131,475
----------
256,350
----------
CONTAINERS & PACKAGING - 1.4%
Crown Cork & Seal, Inc............................................................ 6,700 100,500
----------
COSMETICS & PERSONAL CARE - 1.0%
Gillette Co....................................................................... 1,900 66,381
----------
ELECTRIC UTILITIES - 6.1%
Cinergy Corp...................................................................... 3,400 86,488
Constellation Energy Group, Inc................................................... 3,200 104,200
Duke Energy Corp.................................................................. 2,600 146,575
New Century Energies, Inc......................................................... 2,800 84,000
----------
421,263
----------
ELECTRONICS - 2.1%
Intel Corp........................................................................ 1,100 147,056
----------
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES - 8.5%
Citigroup, Inc.................................................................... 2,300 $ 138,575
Federal National Mortgage Association............................................. 2,000 104,375
Heller Financial, Inc............................................................. 4,000 82,000
MBNA Corp......................................................................... 4,600 124,775
SLM Holding Corp.................................................................. 3,800 142,262
----------
591,987
----------
FOREST PRODUCTS & PAPER - 2.5%
Mead Corp......................................................................... 3,000 75,750
Temple Inland, Inc................................................................ 2,300 96,600
----------
172,350
----------
HEALTH CARE PROVIDERS - 1.0%
HCA-The Healthcare Corp........................................................... 2,400 72,900
----------
HEAVY MACHINERY - 1.0%
Illinois Tool Works, Inc.......................................................... 1,200 68,400
----------
HOUSEHOLD PRODUCTS - 0.9%
Energizer Holdings, Inc.*......................................................... 3,600 65,700
----------
MEDICAL SUPPLIES - 5.6%
Agilent Technologies, Inc.*......................................................... 381 28,099
Baxter International, Inc......................................................... 2,200 154,688
Becton Dickinson & Co............................................................. 2,400 68,850
C.R. Bard, Inc.................................................................... 2,800 134,750
----------
386,387
----------
METALS - 3.1%
Alcoa, Inc........................................................................ 4,400 127,600
USX - U.S. Steel Group, Inc....................................................... 4,700 87,244
----------
214,844
----------
OIL & GAS - 9.8%
Conoco Inc........................................................................ 5,700 125,400
Murphy Oil Corp................................................................... 1,400 83,213
National Fuel Gas Co.............................................................. 2,600 126,750
Ocean Energy, Inc.*............................................................... 5,900 83,706
Phillips Petroleum Co............................................................. 2,700 136,856
USX - Marathon Group.............................................................. 4,800 120,300
----------
676,225
----------
PHARMACEUTICALS - 4.0%
Merck & Co., Inc.................................................................. 1,700 130,263
Pharmacia Corp.................................................................... 2,856 147,620
----------
277,883
----------
REAL ESTATE - 3.4%
Archstone Communities Trust (REIT)................................................ 6,000 126,375
Prentiss Properties Trust (REIT).................................................. 4,500 108,000
----------
234,375
----------
RETAILERS - 5.5%
Consolidated Stores Corp.*........................................................ 3,800 45,600
Dillard's, Inc.................................................................... 6,200 75,950
Lowes Co., Inc.................................................................... 3,000 123,188
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Equity Income Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
RETAILERS - CONTINUED
May Department Stores Co. (The)................................................... 4,100 $ 98,400
Office Depot, Inc.*............................................................... 5,800 36,250
----------
379,388
----------
TELEPHONE SYSTEMS - 5.1%
GTE Corp.......................................................................... 2,300 143,175
SBC Communications Corp........................................................... 3,000 129,750
WorldCom, Inc*.................................................................... 1,800 82,575
----------
355,500
----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 92.8%
(Cost $6,914,688) 6,430,878
Other Assets and Liabilities (net) -
7.2% 496,809
-------------
TOTAL NET ASSETS - 100.0% $ 6,927,687
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
REIT - Real Estate Investment Trust
See notes to financial statements
<PAGE>
Cova Series Trust
Growth & Income Equity Portfolio
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.7%
AEROSPACE & DEFENSE - 1.0%
General Dynamics Corp............................................................. 3,200 $ 167,200
----------
BANKING - 3.0%
Chase Manhattan Corp.............................................................. 6,045 278,448
First Union Corp.................................................................. 8,350 207,184
----------
485,632
----------
BEVERAGES, FOOD & TOBACCO - 4.7%
HJ Heinz Co....................................................................... 9,000 393,750
Ralston-Ralston Purina Group..................................................... 11,000 219,312
Sysco Corp........................................................................ 3,760 158,390
----------
771,452
----------
BUILDING MATERIALS - 3.2%
Martin Marietta Materials, Inc.................................................... 3,800 153,662
Masco Corp....................................................................... 15,600 281,775
----------
435,437
----------
CHEMICALS - 2.7%
Millipore Corp.................................................................... 5,000 376,875
Solutia, Inc...................................................................... 4,650 63,937
----------
440,812
----------
COMMUNICATIONS - 2.8%
Nokia Corp. (ADR)................................................................. 2,720 135,830
Nortel Networks Corp.............................................................. 4,800 327,600
----------
463,430
----------
COMPUTER SOFTWARE & PROCESSING - 8.5%
BMC Software, Inc.*............................................................... 7,800 284,578
Cisco Systems, Inc.*.............................................................. 6,500 413,156
First Data Corp................................................................... 6,355 315,367
Microsoft Corp.*.................................................................. 4,800 384,000
----------
1,397,101
----------
COMPUTERS & INFORMATION - 4.7%
Compaq Computer Corp.............................................................. 5,900 150,819
Dell Computer Corp.*.............................................................. 4,500 221,906
Electronic Data Systems Corp...................................................... 2,200 90,750
Hewlett-Packard Co................................................................ 2,400 299,700
----------
763,175
----------
CONTAINERS & PACKAGING - 2.9%
Avery-Dennison Corp............................................................... 4,800 322,200
Crown Cork & Seal, Inc........................................................... 10,225 153,375
----------
475,575
----------
COSMETICS & PERSONAL CARE - 1.9%
Estee Lauder Co................................................................... 3,300 163,144
Gillette Co....................................................................... 4,000 139,750
----------
302,894
----------
ELECTRIC SERVICES - 2.2%
AES Corp.*........................................................................ 7,800 355,875
----------
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES - 1.3%
Cinergy Corp...................................................................... 2,378 $ 60,490
Duke Energy Corp.................................................................. 2,700 152,212
----------
212,702
----------
ELECTRICAL EQUIPMENT - 3.4%
General Electric Co............................................................... 7,725 409,425
----------
ELECTRONICS - 9.5%
Adaptec, Inc.*.................................................................... 6,580 149,695
Altera Corp.*..................................................................... 2,500 254,844
Applied Materials, Inc.*.......................................................... 3,700 335,312
Intel Corp........................................................................ 2,800 374,325
KLA-Tencor Corp.*................................................................. 4,000 234,250
Maxim Integrated Products, Inc.*.................................................. 3,200 217,400
----------
1,565,826
----------
ENTERTAINMENT & LEISURE - 0.7%
Carnival Corp..................................................................... 6,000 117,000
----------
FINANCIAL SERVICES - 6.5%
Heller Financial, Inc............................................................. 8,200 168,100
MBNA Corp........................................................................ 14,700 398,737
Morgan Stanley Dean Witter & Co................................................... 1,800 149,850
SLM Holding Corp.................................................................. 9,435 353,223
----------
1,069,910
----------
FOREST PRODUCTS & PAPER - 2.4%
Mead Corp......................................................................... 9,775 246,819
----------
HEAVY MACHINERY - 0.9%
Illinois Tool Works, Inc.......................................................... 2,650 151,050
----------
HOUSEHOLD PRODUCTS - 0.6%
Energizer Holdings, Inc.*......................................................... 8,466 154,505
Procter & Gamble Co............................................................... 1,600 91,600
----------
246,105
----------
MEDIA - BROADCASTING & PUBLISHING - 1.0%
Time Warner, Inc.................................................................. 2,100 159,600
----------
MEDICAL SUPPLIES - 4.7%
Agilent Technologies, Inc.*......................................................... 915 67,481
Baxter International, Inc......................................................... 5,200 365,625
Becton Dickinson & Co............................................................. 5,640 161,798
C.R. Bard, Inc.................................................................... 3,720 179,025
----------
773,929
----------
METALS - 1.6%
Alcoa, Inc........................................................................ 9,200 266,800
----------
OIL & GAS - 5.9%
Murphy Oil Corp................................................................... 2,750 163,453
Ocean Energy, Inc.*.............................................................. 11,000 156,063
Transocean Sedco Forex, Inc....................................................... 2,900 154,969
USX - Marathon Group............................................................. 13,080 327,818
Williams Companies, Inc........................................................... 3,800 158,413
----------
960,716
----------
</TABLE>
See notes to financial statements
<PAGE>
Cova Series Trust
Growth & Income Equity Portfolio
PORTFOLIO OF INVESTMENTS - CONTINUED
JUNE 30, 2000 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 9.8%
Allergan Specialty Therapeutics, Inc.*................................................ 1 $ 9
Bristol-Myers Squibb Co........................................................... 5,100 297,075
Eli Lilly & Co.................................................................... 5,180 517,353
Merck & Co., Inc.................................................................. 4,840 370,865
Schering-Plough Corp.............................................................. 8,510 429,755
----------
1,615,057
----------
RESTAURANTS - 0.9%
Tricon Global Restaurants, Inc.*.................................................. 5,423 153,200
----------
RETAILERS - 4.1%
Consolidated Stores Corp.*....................................................... 11,881 142,572
Lowes Co., Inc.................................................................... 6,100 250,481
Office Depot, Inc.*.............................................................. 24,950 155,938
Wal-Mart Stores, Inc.............................................................. 6,360 366,495
----------
915,486
----------
TELEPHONE SYSTEMS - 4.8%
GTE Corp.......................................................................... 3,960 $ 246,510
<CAPTION>
----------------------------------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 1)
----------------------------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONE SYSTEMS - CONTINUED
SBC Communications Corp........................................................... 6,000 259,500
WorldCom, Inc*.................................................................... 6,000 275,250
----------
781,260
----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS - 95.7%
(Cost $14,388,046) 15,703,468
Other Assets and Liabilities (net) -
4.3% 708,166
-------------
TOTAL NET ASSETS - 100.0% $ 16,411,634
=============
</TABLE>
PORTFOLIO FOOTNOTES:
* Non-income producing security.
ADR - American Depositary Receipt
See notes to financial statements
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond Select Equity
Portfolio Portfolio Portfolio
---------------- ---------------- ----------------
<S> <C> <C> <C>
ASSETS
Investments, at value (Note 1)* $ 122,131,605 $ 96,188,543 $ 252,470,840
Cash 8,520,408 7,714,291 5,235,755
Cash denominated in foreign
currencies** -- 3,690 --
Receivable for investments sold 1,052,218 20,919 1,671,208
Receivable for Trust shares sold -- -- --
Dividends receivable 93,419 -- 229,385
Interest receivable 40,430 1,055,487 118,179
Net variation margin on
financial futures contracts
(Note 4) -- -- --
Unrealized appreciation on
forward currency contracts
(Note 5) -- -- --
-------------- -------------- --------------
Total assets 131,838,080 104,982,930 259,725,367
-------------- -------------- --------------
LIABILITIES
Payables for:
Investments purchased 2,220,548 -- 1,130,762
Delayed delivery investments -- 6,362,249 --
Trust shares redeemed 70,078 100,484 77,987
Net variation margin on
financial futures
contracts (Note 4) -- 8,156 --
Unrealized depreciation on
forward currency
contracts (Note 5) -- -- --
Securities on loan (Note 1) 16,242,249 7,081,663 12,385,500
Investment advisory fee
payable (Note 2) 75,294 29,096 135,691
Accrued expenses 40,767 30,628 143,541
-------------- -------------- --------------
Total liabilities 18,648,936 13,612,276 13,873,481
-------------- -------------- --------------
NET ASSETS $ 113,189,144 $ 91,370,654 $ 245,851,886
============== ============== ==============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 83,158,583 $ 94,300,584 $ 227,876,088
Accumulated net realized gain
(loss) 14,854,265 (5,227,395) 6,205,625
Unrealized appreciation
(depreciation) on
investments, futures
contracts and foreign
currency 15,173,362 (665,840) 11,220,931
Undistributed net investment
income 2,934 2,963,305 549,242
-------------- -------------- --------------
Total $ 113,189,144 $ 91,370,654 $ 245,851,886
============== ============== ==============
Capital shares outstanding 6,777,725 8,779,470 16,592,820
============== ============== ==============
NET ASSET VALUE AND OFFERING PRICE
PER SHARE $16.700 $10.407 $14.817
============== ============== ==============
------------------------------------------------------------------------------------------
* Investments at cost $ 106,958,243 $ 96,730,082 $ 241,249,909
** Cost of cash denominated in
foreign currencies -- 1,430 --
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Mid-Cap
Large Cap Stock International Equity Bond Debenture Value
Portfolio Portfolio Portfolio Portfolio
---------------- -------------------- ---------------- ----------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (Note 1)* $ 283,832,558 $ 146,833,876 $ 165,974,600 $ 37,708,022
Cash 5,687,979 78,098 5,576,599 3,417,122
Cash denominated in foreign
currencies** -- 2,192,675 -- --
Receivable for investments sold 242,051 968,279 1,927,965 66,998
Receivable for Trust shares sold -- -- -- 8,731
Dividends receivable 292,077 272,399 5,234 33,622
Interest receivable 28,772 77,651 2,655,773 15,993
Net variation margin on
financial futures contracts
(Note 4) 42,925 40,241 -- --
Unrealized appreciation on
forward currency contracts
(Note 5) -- 909,931 -- --
-------------- -------------- -------------- --------------
Total assets 290,126,362 151,373,150 176,140,171 41,250,488
-------------- -------------- -------------- --------------
LIABILITIES
Payables for:
Investments purchased 240,872 1,091,377 2,183,125 1,911,362
Delayed delivery investments 157,141 -- -- --
Trust shares redeemed 146,995 29,889 76,534 --
Net variation margin on
financial futures
contracts (Note 4) -- -- -- --
Unrealized depreciation on
forward currency
contracts (Note 5) -- 886,162 -- --
Securities on loan (Note 1) 13,099,200 11,422,790 8,583,656 241,320
Investment advisory fee
payable (Note 2) 147,617 88,747 90,240 32,299
Accrued expenses 47,247 129,288 41,082 22,454
-------------- -------------- -------------- --------------
Total liabilities 13,839,072 13,648,253 10,974,637 2,207,435
-------------- -------------- -------------- --------------
NET ASSETS $ 276,287,290 $ 137,724,897 $ 165,165,534 $ 39,043,053
============== ============== ============== ==============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 254,900,513 $ 113,506,867 $ 168,748,274 $ 32,189,359
Accumulated net realized gain
(loss) (945,374) 13,124,814 (1,595,520) 3,672,127
Unrealized appreciation
(depreciation) on
investments, futures
contracts and foreign
currency 21,383,788 10,654,224 (8,617,025) 3,083,787
Undistributed net investment
income 948,363 438,992 6,629,805 97,780
-------------- -------------- -------------- --------------
Total $ 276,287,290 $ 137,724,897 $ 165,165,534 $ 39,043,053
============== ============== ============== ==============
Capital shares outstanding 14,899,044 9,478,465 13,974,772 2,996,199
============== ============== ============== ==============
NET ASSET VALUE AND OFFERING PRICE
PER SHARE $18.544 $14.530 $11.819 $13.031
============== ============== ============== ==============
----------------------------------------------------------------------------------------------------------------
* Investments at cost $ 262,362,102 $ 136,128,338 $ 174,591,625 $ 34,624,235
** Cost of cash denominated in
foreign currencies -- 2,183,379 -- --
</TABLE>
See notes to financial statements
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Large Cap Developing Lord Abbett
Research Growth Growth and Income
Portfolio Portfolio Portfolio
----------------- ----------------- -----------------
<S> <C> <C> <C>
ASSETS
Investments, at value (Note 1)* $ 41,637,806 $ 41,158,213 $ 853,274,822
Cash 2,535,227 2,633,101 32,167,074
Receivable for investments sold -- 9,962 6,569,863
Receivable for Trust shares sold -- 131,073 --
Dividends receivable 66,000 1,340 1,498,959
Interest receivable 29,156 27,701 508,157
Receivable from investment adviser
(Note 2) -- -- --
--------------- --------------- ---------------
Total assets 44,268,189 43,961,390 894,018,875
--------------- --------------- ---------------
LIABILITIES
Payables for:
Investments purchased -- 3,718 8,175,518
Trust shares redeemed 26,242 -- --
Securities on loan (Note 1) 3,978,336 3,126,600 45,495,615
Investment advisory fee payable
(Note 2) 33,224 28,533 463,363
Accrued expenses 34,776 34,256 472,221
--------------- --------------- ---------------
Total liabilities 4,072,578 3,193,107 54,606,717
--------------- --------------- ---------------
NET ASSETS $ 40,195,611 $ 40,768,283 $ 839,412,158
=============== =============== ===============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 38,196,019 $ 39,471,113 $ 791,592,156
Accumulated net realized gain 1,308,037 71,299 1,647,638
Unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency 558,266 1,359,391 40,156,254
Undistributed (distributions in
excess of) net investment income 133,289 (133,520) 6,016,110
--------------- --------------- ---------------
Total $ 40,195,611 $ 40,768,283 $ 839,412,158
=============== =============== ===============
Capital shares outstanding 3,096,268 3,278,079 36,688,348
=============== =============== ===============
NET ASSET VALUE AND OFFERING PRICE PER
SHARE $12.982 $12.437 $22.880
=============== =============== ===============
-------------------------------------------------------------------------------------------------
* Investments at cost $ 41,079,540 $ 39,798,822 $ 813,118,568
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Growth & Income
Balanced Equity Income Equity
Portfolio Portfolio Portfolio
----------------- ----------------- -----------------
<S> <C> <C> <C>
ASSETS
Investments, at value (Note 1)* $ 8,911,959 $ 6,430,878 $ 15,703,468
Cash 908,148 474,926 717,686
Receivable for investments sold -- 15,063 --
Receivable for Trust shares sold -- -- --
Dividends receivable 4,566 11,618 11,980
Interest receivable 58,012 8,033 8,602
Receivable from investment adviser
(Note 2) -- 746 --
--------------- --------------- ---------------
Total assets 9,882,685 6,941,264 16,441,736
--------------- --------------- ---------------
LIABILITIES
Payables for:
Investments purchased -- -- --
Trust shares redeemed 1,751 2,297 5,997
Securities on loan (Note 1) -- -- --
Investment advisory fee payable
(Note 2) 8,086 -- 13,412
Accrued expenses 8,717 11,280 10,693
--------------- --------------- ---------------
Total liabilities 18,554 13,577 30,102
--------------- --------------- ---------------
NET ASSETS $ 9,864,131 $ 6,927,687 $ 16,411,634
=============== =============== ===============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 9,389,867 $ 7,261,871 $ 14,337,317
Accumulated net realized gain 269,226 89,915 736,144
Unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency 91,705 (483,810) 1,315,422
Undistributed (distributions in
excess of) net investment income 113,333 59,711 22,751
--------------- --------------- ---------------
Total $ 9,864,131 $ 6,927,687 $ 16,411,634
=============== =============== ===============
Capital shares outstanding 837,636 640,184 1,228,437
=============== =============== ===============
NET ASSET VALUE AND OFFERING PRICE PER
SHARE $11.776 $10.821 $13.360
=============== =============== ===============
-------------------------------------------------------------------------------------------------
* Investments at cost $ 8,820,254 $ 6,914,688 $ 14,388,046
</TABLE>
See notes to financial statements
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
FOR SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond Select Equity
Portfolio Portfolio Portfolio
----------------- ----------------- -----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (1) $ 383,180 $ -- $ 1,330,231
Interest (2) 194,582 3,252,598 135,239
---------------- ---------------- ----------------
Total investment income 577,762 3,252,598 1,465,470
---------------- ---------------- ----------------
EXPENSES
Investment advisory fee (Note 2) 475,544 247,693 810,557
Custody, fund accounting,
administration, and transfer
agent fees 75,942 61,219 75,887
Audit 8,580 9,403 8,580
Trustee fees and expenses 1,862 1,862 1,862
Legal 2,826 2,826 2,826
Shareholder reporting 10,230 8,084 15,723
---------------- ---------------- ----------------
Total expenses 574,984 331,087 915,435
Less expenses reimbursed by the
adviser -- 41,045 --
---------------- ---------------- ----------------
Net expenses 574,984 290,042 915,435
---------------- ---------------- ----------------
Net investment income 2,778 2,962,556 550,035
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FUTURES CONTRACTS
AND FOREIGN CURRENCY RELATED
TRANSACTIONS
Net realized gain (loss) on
investments 15,085,400 (2,450,027) 7,821,531
Net realized gain (loss) on futures
contracts -- 340,865 --
Net realized gain on foreign
currency related transactions -- -- --
---------------- ---------------- ----------------
Net realized gain (loss) on
investments, futures
contracts and foreign
currency related
transactions 15,085,400 (2,109,162) 7,821,531
---------------- ---------------- ----------------
Unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency
Beginning of period 29,531,639 (3,085,537) 22,128,768
End of period 15,173,362 (665,840) 11,220,931
---------------- ---------------- ----------------
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency (14,358,277) 2,419,697 (10,907,837)
---------------- ---------------- ----------------
Net realized and unrealized gain
(loss) on investments, futures
contracts and foreign currency
related transactions 727,123 310,535 (3,086,306)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 729,901 $ 3,273,091 $ (2,536,271)
================ ================ ================
-------------------------------------------------------------------------------------------------
(1) Dividend income is net of
withholding taxes of: $ -- $ -- $ 921
(2) Interest income includes security
lending income of: $ 43,992 $ 19,050 $ 5,997
</TABLE>
See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
Mid-Cap
Large Cap Stock International Equity Bond Debenture Value
Portfolio Portfolio Portfolio Portfolio
----------------- -------------------- ----------------- -----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (1) $ 1,754,617 $ 1,300,431 $ 253,328 $ 254,539
Interest (2) 181,388 29,130 7,080,693 62,274
---------------- ---------------- ---------------- ----------------
Total investment income 1,936,005 1,329,561 7,334,021 316,813
---------------- ---------------- ---------------- ----------------
EXPENSES
Investment advisory fee (Note 2) 862,445 539,174 621,182 168,256
Custody, fund accounting,
administration, and transfer
agent fees 97,543 215,161 72,039 35,257
Audit 8,580 11,802 10,324 9,501
Trustee fees and expenses 1,862 1,862 1,862 1,862
Legal 2,826 2,826 2,826 2,826
Shareholder reporting 13,956 12,234 12,634 3,607
---------------- ---------------- ---------------- ----------------
Total expenses 987,212 783,059 720,867 221,309
Less expenses reimbursed by the
adviser -- -- 16,929 2,499
---------------- ---------------- ---------------- ----------------
Net expenses 987,212 783,059 703,938 218,810
---------------- ---------------- ---------------- ----------------
Net investment income 948,793 546,502 6,630,083 98,003
---------------- ---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FUTURES CONTRACTS
AND FOREIGN CURRENCY RELATED
TRANSACTIONS
Net realized gain (loss) on
investments (471,380) 12,761,000 702,445 3,680,634
Net realized gain (loss) on futures
contracts (21,225) -- -- --
Net realized gain on foreign
currency related transactions -- 615,735 -- --
---------------- ---------------- ---------------- ----------------
Net realized gain (loss) on
investments, futures
contracts and foreign
currency related
transactions (492,605) 13,376,735 702,445 3,680,634
---------------- ---------------- ---------------- ----------------
Unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency
Beginning of period 26,924,802 30,271,049 (3,658,955) 1,206,064
End of period 21,383,788 10,654,224 (8,617,025) 3,083,787
---------------- ---------------- ---------------- ----------------
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency (5,541,014) (19,616,825) (4,958,070) 1,877,723
---------------- ---------------- ---------------- ----------------
Net realized and unrealized gain
(loss) on investments, futures
contracts and foreign currency
related transactions (6,033,619) (6,240,090) (4,255,625) 5,558,357
---------------- ---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (5,084,826) $ (5,693,588) $ 2,374,458 $ 5,656,360
================ ================ ================ ================
-----------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of
withholding taxes of: $ 10,774 $ 172,382 $ -- $ --
(2) Interest income includes security
lending income of: $ 12,228 $ 19,148 $ 15,990 $ 405
</TABLE>
See notes to financial statements.
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
FOR SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Large Cap Developing Lord Abbett
Research Growth Growth and Income
Portfolio Portfolio Portfolio
----------------- ----------------- -----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (1) $ 308,744 $ 21,956 $ 8,210,864
Interest (2) 58,811 76,117 780,425
---------------- ---------------- ----------------
Total investment income 367,555 98,073 8,991,289
---------------- ---------------- ----------------
EXPENSES
Investment advisory fee (Note 2) 186,583 169,650 2,743,783
Custody, fund accounting,
administration, and transfer
agent fees 30,952 46,041 180,536
Audit 9,501 9,501 9,501
Trustee fees and expenses 1,862 1,862 1,862
Legal 2,826 2,826 2,826
Shareholder reporting 2,286 2,653 34,181
---------------- ---------------- ----------------
Total expenses 234,010 232,533 2,972,689
Less expenses reimbursed by the
adviser -- 296 --
---------------- ---------------- ----------------
Net expenses 234,010 232,237 2,972,689
---------------- ---------------- ----------------
Net investment income 133,545 (134,164) 6,018,600
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FUTURES CONTRACTS
AND FOREIGN CURRENCY RELATED
TRANSACTIONS
Net realized gain on investments 1,321,388 71,594 2,045,170
---------------- ---------------- ----------------
Unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency
Beginning of period 3,702,361 6,233,807 67,801,952
End of period 558,266 1,359,391 40,156,254
---------------- ---------------- ----------------
Net change in unrealized
depreciation on investments,
futures contracts and foreign
currency (3,144,095) (4,874,416) (27,645,698)
---------------- ---------------- ----------------
Net realized and unrealized loss on
investments, futures contracts
and foreign currency related
transactions (1,822,707) (4,802,822) (25,600,528)
---------------- ---------------- ----------------
NET DECREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ (1,689,162) $ (4,936,986) $ (19,581,928)
================ ================ ================
-------------------------------------------------------------------------------------------------
(1) Dividend income is net of
withholding taxes of: $ 1,053 $ -- $ 61,808
(2) Interest income includes security
lending income of: $ 3,703 $ 8,937 $ 113,765
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Growth & Income
Balanced Equity Income Equity
Portfolio Portfolio Portfolio
----------------- ----------------- -----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (1) $ 34,994 $ 82,315 $ 89,256
Interest (2) 131,163 15,052 21,288
---------------- ---------------- ----------------
Total investment income 166,157 97,367 110,544
---------------- ---------------- ----------------
EXPENSES
Investment advisory fee (Note 2) 48,006 34,181 79,806
Custody, fund accounting,
administration, and transfer
agent fees 26,463 25,853 27,537
Audit 7,687 7,313 7,313
Trustee fees and expenses 1,862 1,862 1,862
Legal 2,826 2,826 2,826
Shareholder reporting 577 567 872
---------------- ---------------- ----------------
Total expenses 87,421 72,602 120,216
Less expenses reimbursed by the
adviser 34,609 34,999 32,421
---------------- ---------------- ----------------
Net expenses 52,812 37,603 87,795
---------------- ---------------- ----------------
Net investment income 113,345 59,764 22,749
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FUTURES CONTRACTS
AND FOREIGN CURRENCY RELATED
TRANSACTIONS
Net realized gain on investments 269,262 130,418 738,764
---------------- ---------------- ----------------
Unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency
Beginning of period 477,859 (86,125) 2,349,356
End of period 91,705 (483,810) 1,315,422
---------------- ---------------- ----------------
Net change in unrealized
depreciation on investments,
futures contracts and foreign
currency (386,154) (397,685) (1,033,934)
---------------- ---------------- ----------------
Net realized and unrealized loss on
investments, futures contracts
and foreign currency related
transactions (116,892) (267,267) (295,170)
---------------- ---------------- ----------------
NET DECREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ (3,547) $ (207,503) $ (272,421)
================ ================ ================
-------------------------------------------------------------------------------------------------
(1) Dividend income is net of
withholding taxes of: $ 28 $ -- $ 92
(2) Interest income includes security
lending income of: $ -- $ -- $ --
</TABLE>
See notes to financial statements
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond
Portfolio Portfolio
----------------------------------- -----------------------------------
Six months ended Year ended Six months ended Year ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
----------------- ---------------- ----------------- ----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,778 $ 88,108 $ 2,962,556 $ 5,313,461
Net realized gain (loss) on
investments, futures contracts,
and foreign currency related
transactions 15,085,400 8,168,219 (2,109,162) (3,044,365)
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (14,358,277) 25,442,404 2,419,697 (3,536,555)
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets resulting from operations 729,901 33,698,731 3,273,091 (1,267,459)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,301) (225,815) (5,358,301) (1,063,522)
Net realized gains (4,473,735) -- -- (532,208)
-------------- -------------- -------------- --------------
Total distributions (4,475,036) (225,815) (5,358,301) (1,595,730)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 5,917,913 5,349,852 2,512,245 66,930,667
Net asset value of shares issued
through dividend reinvestment 4,475,036 225,815 5,358,301 1,595,730
Cost of shares repurchased (2,770,301) (7,898,260) (10,019,751) (15,870,190)
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets from capital
share transactions 7,622,648 (2,322,593) (2,149,205) 52,656,207
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 3,877,513 31,150,323 (4,234,415) 49,793,018
NET ASSETS:
Beginning period 109,311,631 78,161,308 95,605,069 45,812,051
-------------- -------------- -------------- --------------
End of period $ 113,189,144 $ 109,311,631 $ 91,370,654 $ 95,605,069
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment
income $ 2,934 $ 1,457 $ 2,963,305 $ 5,359,050
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 6,330,087 6,523,058 8,960,770 4,157,310
-------------- -------------- -------------- --------------
Shares sold 328,739 433,399 232,767 6,125,624
Shares issued through dividend
reinvestment 275,833 18,118 516,874 150,560
Shares repurchased (156,934) (644,488) (930,941) (1,472,724)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares
outstanding 447,638 (192,971) (181,300) 4,803,460
-------------- -------------- -------------- --------------
Ending shares 6,777,725 6,330,087 8,779,470 8,960,770
============== ============== ============== ==============
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Select Equity Large Cap Stock
Portfolio Portfolio
----------------------------------- -----------------------------------
Six months ended Year ended Six months ended Year ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
----------------- ---------------- ----------------- ----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 550,035 $ 1,222,805 $ 948,793 $ 1,705,284
Net realized gain (loss) on
investments, futures contracts,
and foreign currency related
transactions 7,821,531 15,949,952 (492,605) 21,044,860
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (10,907,837) 3,971,464 (5,541,014) 10,578,973
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets resulting from operations (2,536,271) 21,144,221 (5,084,826) 33,329,117
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,210,437) (584,001) (1,704,999) (316,889)
Net realized gains (16,230,646) (19,820,406) (21,235,976) (6,916,352)
-------------- -------------- -------------- --------------
Total distributions (17,441,083) (20,404,407) (22,940,975) (7,233,241)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 5,391,930 34,325,012 23,683,680 152,714,691
Net asset value of shares issued
through dividend reinvestment 17,441,083 20,404,407 22,940,975 7,233,241
Cost of shares repurchased (6,705,722) (3,535,467) (5,438,712) (26,677,903)
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets from capital
share transactions 16,127,291 51,193,952 41,185,943 133,270,029
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (3,850,063) 51,933,766 13,160,142 159,365,905
NET ASSETS:
Beginning period 249,701,949 197,768,183 263,127,148 103,761,243
-------------- -------------- -------------- --------------
End of period $ 245,851,886 $ 249,701,949 $ 276,287,290 $ 263,127,148
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment
income $ 549,242 $ 1,209,644 $ 948,363 $ 1,704,569
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 15,497,466 12,301,851 12,726,910 5,727,886
-------------- -------------- -------------- --------------
Shares sold 345,020 2,116,682 1,203,684 8,057,353
Shares issued through dividend
reinvestment 1,179,463 1,303,210 1,241,655 375,063
Shares repurchased (429,129) (224,277) (273,205) (1,433,392)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares
outstanding 1,095,354 3,195,615 2,172,134 6,999,024
-------------- -------------- -------------- --------------
Ending shares 16,592,820 15,497,466 14,899,044 12,726,910
============== ============== ============== ==============
<CAPTION>
International Equity
Portfolio
-----------------------------------
Six months ended Year ended
June 30, 2000 December 31,
(Unaudited) 1999
----------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 546,502 $ 704,396
Net realized gain (loss) on
investments, futures contracts,
and foreign currency related
transactions 13,376,735 8,612,909
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (19,616,825) 21,164,293
-------------- --------------
Net increase (decrease) in net
assets resulting from operations (5,693,588) 30,481,598
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (585,699) (565,919)
Net realized gains (8,527,635) (1,512,457)
-------------- --------------
Total distributions (9,113,334) (2,078,376)
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 9,540,658 11,679,051
Net asset value of shares issued
through dividend reinvestment 9,113,334 2,078,376
Cost of shares repurchased (4,193,326) (8,564,792)
-------------- --------------
Net increase (decrease) in net
assets from capital
share transactions 14,460,666 5,192,635
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (346,256) 33,595,857
NET ASSETS:
Beginning period 138,071,153 104,475,296
-------------- --------------
End of period $ 137,724,897 $ 138,071,153
============== ==============
Net Assets at end of period includes
undistributed net investment
income $ 438,992 $ 478,189
============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 8,509,824 8,125,765
-------------- --------------
Shares sold 601,224 861,951
Shares issued through dividend
reinvestment 632,819 153,263
Shares repurchased (265,402) (631,155)
-------------- --------------
Net increase (decrease) in shares
outstanding 968,641 384,059
-------------- --------------
Ending shares 9,478,465 8,509,824
============== ==============
</TABLE>
See notes to financial statements
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Bond Debenture Mid-Cap Value
Portfolio Portfolio
---------------------------------- ----------------------------------
Six months ended Year ended Six months ended Year ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
----------------- --------------- ----------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 6,630,083 $ 10,881,164 $ 98,003 $ 123,771
Net realized gain (loss) on
investments, futures contracts,
and foreign currency related
transactions 702,445 (2,283,490) 3,680,634 459,652
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (4,958,070) (3,287,343) 1,877,723 821,269
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets resulting from operations 2,374,458 5,310,331 5,656,360 1,404,692
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (10,882,595) (3,223,792) (115,041) (33,769)
Net realized gains -- (1,044,699) (243,686) --
-------------- -------------- -------------- --------------
Total distributions (10,882,595) (4,268,491) (358,727) (33,769)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 2,914,261 53,944,111 4,685,779 10,362,789
Net asset value of shares issued
through dividend reinvestment 10,882,595 4,268,491 358,727 33,769
Cost of shares repurchased (10,278,992) (9,101,140) (723,206) (663,920)
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets from capital
share transactions 3,517,864 49,111,462 4,321,300 9,732,638
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (4,990,273) 50,153,302 9,618,933 11,103,561
NET ASSETS:
Beginning period 170,155,807 120,002,505 29,424,120 18,320,559
-------------- -------------- -------------- --------------
End of period $ 165,165,534 $ 170,155,807 $ 39,043,053 $ 29,424,120
============== ============== ============== ==============
Net Assets at end of period includes
undistributed (distributions in
excess of) net investment income $ 6,629,805 $ 10,882,317 $ 97,780 $ 114,818
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 13,640,172 9,692,597 2,634,576 1,731,193
-------------- -------------- -------------- --------------
Shares sold 232,906 4,336,782 395,360 960,855
Shares issued through dividend
reinvestment 921,489 349,891 27,185 2,901
Shares repurchased (819,795) (739,098) (60,922) (60,373)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares
outstanding 334,600 3,947,575 361,623 903,383
-------------- -------------- -------------- --------------
Ending shares 13,974,772 13,640,172 2,996,199 2,634,576
============== ============== ============== ==============
</TABLE>
-------------------
* Fund commenced operations on January 8, 1999.
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Large Cap Research Developing Growth
Portfolio Portfolio
---------------------------------- ----------------------------------
Six months ended Year ended Six months ended Year ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
----------------- --------------- ----------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 133,545 $ 99,599 $ (134,164) $ (164,847)
Net realized gain (loss) on
investments, futures contracts,
and foreign currency related
transactions 1,321,388 3,703,701 71,594 2,631,357
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (3,144,095) 2,233,661 (4,874,416) 4,835,963
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets resulting from operations (1,689,162) 6,036,961 (4,936,986) 7,302,473
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (99,829) (43,197) -- --
Net realized gains (3,585,970) -- (2,070,624) --
-------------- -------------- -------------- --------------
Total distributions (3,685,799) (43,197) (2,070,624) --
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 6,714,450 16,222,683 12,434,665 11,026,779
Net asset value of shares issued
through dividend reinvestment 3,685,799 43,197 2,070,624 --
Cost of shares repurchased (827,590) (127,622) (286,509) (662,604)
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets from capital
share transactions 9,572,659 16,138,258 14,218,780 10,364,175
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,197,698 22,132,022 7,211,170 17,666,648
NET ASSETS:
Beginning period 35,997,913 13,865,891 33,557,113 15,890,465
-------------- -------------- -------------- --------------
End of period $ 40,195,611 $ 35,997,913 $ 40,768,283 $ 33,557,113
============== ============== ============== ==============
Net Assets at end of period includes
undistributed (distributions in
excess of) net investment income $ 133,289 $ 99,573 $ (133,520) $ 644
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 2,401,262 1,158,927 2,254,403 1,413,656
-------------- -------------- -------------- --------------
Shares sold 473,007 1,248,721 872,716 895,038
Shares issued through dividend
reinvestment 280,043 3,287 172,239 --
Shares repurchased (58,044) (9,673) (21,279) (54,291)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares
outstanding 695,006 1,242,335 1,023,676 840,747
-------------- -------------- -------------- --------------
Ending shares 3,096,268 2,401,262 3,278,079 2,254,403
============== ============== ============== ==============
<CAPTION>
Lord Abbett
Growth and Income Portfolio
----------------------------------
Six months ended Period ended
June 30, 2000 December 31,
(Unaudited) 1999*
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 6,018,600 $ 10,096,702
Net realized gain (loss) on
investments, futures contracts,
and foreign currency related
transactions 2,045,170 13,627,935
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (27,645,698) 67,801,952
-------------- --------------
Net increase (decrease) in net
assets resulting from operations (19,581,928) 91,526,589
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (10,099,192) --
Net realized gains (14,025,467) --
-------------- --------------
Total distributions (24,124,659) --
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 4,900,141 831,899,157
Net asset value of shares issued
through dividend reinvestment 24,124,659 --
Cost of shares repurchased (32,894,413) (36,437,388)
-------------- --------------
Net increase (decrease) in net
assets from capital
share transactions (3,869,613) 795,461,769
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (47,576,200) 886,988,358
NET ASSETS:
Beginning period 886,988,358 --
-------------- --------------
End of period $ 839,412,158 $ 886,988,358
============== ==============
Net Assets at end of period includes
undistributed (distributions in
excess of) net investment income $ 6,016,110 $ 10,096,702
============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 36,849,506 --
-------------- --------------
Shares sold 210,321 38,459,861
Shares issued through dividend
reinvestment 1,041,818 --
Shares repurchased (1,413,297) (1,610,355)
-------------- --------------
Net increase (decrease) in shares
outstanding (161,158) 36,849,506
-------------- --------------
Ending shares 36,688,348 36,849,506
============== ==============
</TABLE>
-------------------
* Fund commenced operations on January 8, 1999.
See notes to financial statements
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Balanced
Portfolio
-----------------------------------
Six months ended Year ended
June 30, 2000 December 31,
(Unaudited) 1999
----------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 113,345 $ 185,242
Net realized gain on investments,
futures contracts, and foreign
currency related transactions 269,262 148,258
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (386,154) 175,022
-------------- --------------
Net increase (decrease) in net
assets resulting from operations (3,547) 508,522
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (754) (185,699)
Net realized gains (66,570) (92,940)
-------------- --------------
Total distributions (67,324) (278,639)
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 808,361 5,153,301
Net asset value of shares issued
through dividend reinvestment 67,324 278,639
Cost of shares repurchased (668,330) (506,935)
-------------- --------------
Net increase in net assets from
capital share transactions 207,356 4,925,005
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 136,485 5,154,888
NET ASSETS:
Beginning period 9,727,646 4,572,758
-------------- --------------
End of period $ 9,864,131 $ 9,727,646
============== ==============
Net Assets at end of period includes
undistributed net investment
income $ 113,333 $ 742
============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 820,358 401,205
-------------- --------------
Shares sold 69,588 436,860
Shares issued through dividend
reinvestment 5,737 23,528
Shares repurchased (58,047) (41,235)
-------------- --------------
Net increase in shares outstanding 17,278 419,153
-------------- --------------
Ending shares 837,636 820,358
============== ==============
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Equity Income Growth & Income Equity
Portfolio Portfolio
----------------------------------- -----------------------------------
Six months ended Year ended Six months ended Year ended
June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
----------------- ---------------- ----------------- ----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 59,764 $ 115,317 $ 22,749 $ 58,659
Net realized gain on investments,
futures contracts, and foreign
currency related transactions 130,418 199,162 738,764 230,954
Net change in unrealized
appreciation (depreciation) on
investments, futures contracts
and foreign currency related
transactions (397,685) (233,913) (1,033,934) 1,678,750
-------------- -------------- -------------- --------------
Net increase (decrease) in net
assets resulting from operations (207,503) 80,566 (272,421) 1,968,363
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,537) (112,474) -- (58,640)
Net realized gains -- (327,155) (232,645) (104,246)
-------------- -------------- -------------- --------------
Total distributions (1,537) (439,629) (232,645) (162,886)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 387,706 2,550,012 628,656 5,893,218
Net asset value of shares issued
through dividend reinvestment 1,537 439,629 232,645 162,886
Cost of shares repurchased (223,032) (355,199) (362,644) (510,033)
-------------- -------------- -------------- --------------
Net increase in net assets from
capital share transactions 166,211 2,634,442 498,657 5,546,071
-------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (42,829) 2,275,379 (6,409) 7,351,548
NET ASSETS:
Beginning period 6,970,516 4,695,137 16,418,043 9,066,495
-------------- -------------- -------------- --------------
End of period $ 6,927,687 $ 6,970,516 $ 16,411,634 $ 16,418,043
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment
income $ 59,711 $ 1,484 $ 22,751 $ 2
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 624,111 403,852 1,190,729 755,861
-------------- -------------- -------------- --------------
Shares sold 36,934 209,770 47,582 461,285
Shares issued through dividend
reinvestment 138 38,718 17,503 12,120
Shares repurchased (20,999) (28,229) (27,377) (38,537)
-------------- -------------- -------------- --------------
Net increase in shares outstanding 16,073 220,259 37,708 434,868
-------------- -------------- -------------- --------------
Ending shares 640,184 624,111 1,228,437 1,190,729
============== ============== ============== ==============
</TABLE>
See notes to financial statements
<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 Year ended (date of initial
June 30, 2000 December 31, December 31, December 31, public offering) to
(Unaudited) 1999 1998 1997 December 31, 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 17.269 $ 11.982 $ 13.105 $ 10.922 $ 10.512
------------ ---------- ---------- ---------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment
income 0.000+ 0.015 0.051 0.057 0.057
Net realized and
unrealized
gains (losses) 0.119 5.307 (0.722) 2.217 0.843
------------ ---------- ---------- ---------- --------------
TOTAL FROM INVESTMENT
OPERATIONS 0.119 5.322 (0.671) 2.274 0.900
------------ ---------- ---------- ---------- --------------
DISTRIBUTIONS
Dividends from net
investment
income --+ (0.035) (0.017) (0.055) (0.055)
Distributions from
net realized
gains (0.688) -- (0.435) (0.036) (0.435)
------------ ---------- ---------- ---------- --------------
TOTAL DISTRIBUTIONS (0.688) (0.035) (0.452) (0.091) (0.490)
------------ ---------- ---------- ---------- --------------
NET ASSET VALUE, END OF PERIOD $ 16.700 $ 17.269 $ 11.982 $ 13.105 $ 10.922
------------ ---------- ---------- ---------- --------------
TOTAL RETURN 0.80%* 44.56% (5.40%) 20.89% 8.65%*
------------ ---------- ---------- ---------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period
(In millions) $ 113.2 $ 109.3 $ 78.2 $ 59.8 $ 14.7
RATIOS TO AVERAGE NET
ASSETS (1):
Expenses 1.03%** 1.05% 0.95% 0.95% 0.95%**
Net investment income 0.00%**(1) 0.11% 0.45% 0.56% 0.87%**
PORTFOLIO TURNOVER RATE 57.4%* 123.5% 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: N/A 1.09% 1.12% 1.39% 2.68%**
Ratio of Net Investment
Income to Average Net
Assets: N/A 0.07% 0.28% 0.12% (0.86%)**
</TABLE>
* Non-annualized
** Annualized
+ Less than $.0005 per share
(1) Amount is less than 0.00%
N/A Not Applicable
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Quality Bond
Portfolio
--------------------------------------------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended Year ended Year ended (date of initial
June 30, 2000 December 31, December 31, December 31, public offering) to
(Unaudited) 1999 1998 1997 December 31, 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 10.669 $ 11.020 $ 10.405 $ 10.082 $ 9.897
------------ ---------- ---------- ---------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment
income 0.386 0.459 0.490 0.446 0.459
Net realized and
unrealized
gains (losses) (0.001) (0.631) 0.365 0.452 0.102
------------ ---------- ---------- ---------- --------------
TOTAL FROM INVESTMENT
OPERATIONS 0.385 (0.172) 0.855 0.898 0.561
------------ ---------- ---------- ---------- --------------
DISTRIBUTIONS
Dividends from net
investment
income (0.647) (0.119) (0.240) (0.531) (0.376)
Distributions from
net realized
gains -- (0.060) -- (0.044) --
------------ ---------- ---------- ---------- --------------
TOTAL DISTRIBUTIONS (0.647) (0.179) (0.240) (0.575) (0.376)
------------ ---------- ---------- ---------- --------------
NET ASSET VALUE, END OF PERIOD $ 10.407 $ 10.669 $ 11.020 $ 10.405 $ 10.082
------------ ---------- ---------- ---------- --------------
TOTAL RETURN 3.65%* (1.54%) 8.37% 9.06% 5.68%*
------------ ---------- ---------- ---------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period
(In millions) $ 91.4 $ 95.6 $ 45.8 $ 18.6 $ 5.8
RATIOS TO AVERAGE NET
ASSETS (1):
Expenses 0.63%** 0.64% 0.65% 0.65% 0.65%**
Net investment income 6.47%** 5.67% 5.59% 5.92% 5.94%**
PORTFOLIO TURNOVER RATE 135.5%* 369.5% 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: 0.72%** 0.71% 0.86% 1.08% 1.52%**
Ratio of Net Investment
Income to Average Net
Assets: 6.38%** 5.60% 5.38% 5.49% 5.07%**
</TABLE>
* Non-annualized
** Annualized
+ Less than $.0005 per share
(1) Amount is less than 0.00%
N/A Not Applicable
See notes to financial statements
<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 Year ended (date of initial
June 30, 2000 December 31, December 31, December 31, public offering) to
(Unaudited) 1999 1998 1997 December 31, 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 16.112 $ 16.076 $ 13.966 $ 10.742 $ 10.084
------------ ---------- ---------- ---------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment
income 0.034 0.074 0.091 0.078 0.081
Net realized and
unrealized
gains (losses) (0.197) 1.451 2.983 3.294 0.771
------------ ---------- ---------- ---------- --------------
TOTAL FROM INVESTMENT
OPERATIONS (0.163) 1.525 3.074 3.372 0.852
------------ ---------- ---------- ---------- --------------
DISTRIBUTIONS
Dividends from net
investment
income (0.079) (0.043) (0.046) (0.077) (0.081)
Distributions from
net realized
gains (1.053) (1.446) (0.918) (0.071) (0.113)
------------ ---------- ---------- ---------- --------------
TOTAL DISTRIBUTIONS (1.132) (1.489) (0.964) (0.148) (0.194)
------------ ---------- ---------- ---------- --------------
NET ASSET VALUE, END OF PERIOD $ 14.817 $ 16.112 $ 16.076 $ 13.966 $ 10.742
------------ ---------- ---------- ---------- --------------
TOTAL RETURN (0.97%)* 9.71% 22.56% 31.55% 8.52%*
------------ ---------- ---------- ---------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period
(In millions) $ 245.9 $ 249.7 $ 197.8 $ 106.9 $ 23.8
RATIOS TO AVERAGE NET
ASSETS (1):
Expenses 0.76%** 0.77% 0.78% 0.83% 0.85%**
Net investment income 0.46%** 0.55% 0.68% 0.81% 1.35%**
PORTFOLIO TURNOVER RATE 4.6%* 133.8% 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: N/A N/A 0.86% 1.00% 1.70%**
Ratio of Net Investment
Income to Average Net
Assets: N/A N/A 0.60% 0.64% 0.50%**
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Large Cap Stock
Portfolio
--------------------------------------------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended Year ended Year ended (date of initial
June 30, 2000 December 31, December 31, December 31, public offering) to
(Unaudited) 1999 1998 1997 December 31, 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 20.675 $ 18.115 $ 13.845 $ 11.112 $ 10.003
------------ ---------- ---------- ---------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment
income 0.055 0.105 0.098 0.113 0.124
Net realized and
unrealized
gains (losses) (0.507) 3.057 4.357 3.560 1.304
------------ ---------- ---------- ---------- --------------
TOTAL FROM INVESTMENT
OPERATIONS (0.452) 3.162 4.455 3.673 1.428
------------ ---------- ---------- ---------- --------------
DISTRIBUTIONS
Dividends from net
investment
income (0.125) (0.026) (0.043) (0.118) (0.122)
Distributions from
net realized
gains (1.554) (0.576) (0.142) (0.822) (0.197)
------------ ---------- ---------- ---------- --------------
TOTAL DISTRIBUTIONS (1.679) (0.602) (0.185) (0.940) (0.319)
------------ ---------- ---------- ---------- --------------
NET ASSET VALUE, END OF PERIOD $ 18.544 $ 20.675 $ 18.115 $ 13.845 $ 11.112
------------ ---------- ---------- ---------- --------------
TOTAL RETURN (2.15%)* 17.64% 32.31% 33.25% 14.35%*
------------ ---------- ---------- ---------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period
(In millions) $ 276.3 $ 263.1 $ 103.8 $ 32.3 $ 16.8
RATIOS TO AVERAGE NET
ASSETS (1):
Expenses 0.74%** 0.75% 0.75% 0.75% 0.75%**
Net investment income 0.71%** 0.75% 0.77% 0.99% 1.56%**
PORTFOLIO TURNOVER RATE 30.1%* 63.2% 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: N/A 0.76% 0.94% 1.08% 1.23%**
Ratio of Net Investment
Income to Average Net
Assets: N/A 0.74% 0.58% 0.66% 1.08%**
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<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 Year ended (date of initial
June 30, 2000 December 31, December 31, December 31, public offering) to
(Unaudited) 1999 1998 1997 December 31, 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 16.225 $ 12.857 $ 11.472 $ 10.959 $ 10.215
------------ ---------- ---------- ---------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment
income 0.056 0.083 0.117 0.122 0.096
Net realized and
unrealized
gains (losses) (0.723) 3.534 1.491 0.539 0.755
------------ ---------- ---------- ---------- --------------
TOTAL FROM INVESTMENT
OPERATIONS (0.667) 3.617 1.608 0.661 0.851
------------ ---------- ---------- ---------- --------------
DISTRIBUTIONS
Dividends from net
investment
income (0.066) (0.068) (0.220) (0.137) (0.086)
Distributions from
net realized
gains (0.962) (0.181) (0.003) (0.011) (0.021)
------------ ---------- ---------- ---------- --------------
TOTAL DISTRIBUTIONS (1.028) (0.249) (0.223) (0.148) (0.107)
------------ ---------- ---------- ---------- --------------
NET ASSET VALUE, END OF PERIOD $ 14.530 $ 16.225 $ 12.857 $ 11.472 $ 10.959
------------ ---------- ---------- ---------- --------------
TOTAL RETURN (4.08%)* 28.52% 14.07% 5.96% 8.44%*
------------ ---------- ---------- ---------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period
(In millions) $ 137.7 $ 138.1 $ 104.5 $ 68.8 $ 15.6
RATIOS TO AVERAGE NET
ASSETS (1):
Expenses 1.15%** 1.10% 0.91% 0.95% 0.95%**
Net investment income 0.80%** 0.62% 0.97% 1.35% 1.43%**
PORTFOLIO TURNOVER RATE 56.3%* 82.8% 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: N/A 1.15% 1.09% 1.53% 3.80%**
Ratio of Net Investment
Income to Average Net
Assets: N/A 0.57% 0.79% 0.77% (1.42%)**
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Bond Debenture
Portfolio
--------------------------------------------------------------------------------------------
For the period
from May 1, 1996
Six months ended Year ended Year ended Year ended (date of initial
June 30, 2000 December 31, December 31, December 31, public offering) to
(Unaudited) 1999 1998 1997 December 31, 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 12.475 $ 12.381 $ 12.112 $ 10.970 $ 10.098
------------ ---------- ---------- ---------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment
income 0.509 0.710 0.682 0.544 0.345
Net realized and
unrealized
gains (losses) (0.333) (0.293) 0.072 1.147 0.949
------------ ---------- ---------- ---------- --------------
TOTAL FROM INVESTMENT
OPERATIONS 0.176 0.417 0.754 1.691 1.294
------------ ---------- ---------- ---------- --------------
DISTRIBUTIONS
Dividends from net
investment
income (0.832) (0.244) (0.349) (0.549) (0.342)
Distributions from
net realized
gains -- (0.079) (0.136) -- (0.080)
------------ ---------- ---------- ---------- --------------
TOTAL DISTRIBUTIONS (0.832) (0.323) (0.485) (0.549) (0.422)
------------ ---------- ---------- ---------- --------------
NET ASSET VALUE, END OF PERIOD $ 11.819 $ 12.475 $ 12.381 $ 12.112 $ 10.970
------------ ---------- ---------- ---------- --------------
TOTAL RETURN 1.47%* 3.40% 6.26% 15.63% 12.89%*
------------ ---------- ---------- ---------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period
(In millions) $ 165.2 $ 170.2 $ 120.0 $ 55.4 $ 7.7
RATIOS TO AVERAGE NET
ASSETS (1):
Expenses 0.85%** 0.85% 0.85% 0.85% 0.85%**
Net investment income 8.01%** 6.74% 6.58% 6.68% 7.26%**
PORTFOLIO TURNOVER RATE 34.7%* 46.7% 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: 0.87%** 0.86% 0.93% 1.07% 2.05%**
Ratio of Net Investment
Income to Average Net
Assets: 7.99%** 6.73% 6.50% 6.46% 6.06%**
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<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 Year ended (commencement
June 30, 2000 December 31, December 31, of operations) to
(Unaudited) 1999 1998 December 31, 1997
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.168 $ 10.583 $ 10.481 $ 10.000
-------------- -------------- -------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.028 0.042 0.032 0.010
Net realized and unrealized
gains (losses) 1.956 0.557 0.087 0.481
-------------- -------------- -------------- --------------
TOTAL FROM INVESTMENT OPERATIONS 1.984 0.599 0.119 0.491
-------------- -------------- -------------- --------------
DISTRIBUTIONS
Dividends from net
investment income (0.039) (0.014) (0.017) (0.010)
Distributions from net
realized gains (0.082) -- -- --
-------------- -------------- -------------- --------------
TOTAL DISTRIBUTIONS (0.121) (0.014) (0.017) (0.010)
-------------- -------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 13.031 $ 11.168 $ 10.583 $ 10.481
-------------- -------------- -------------- --------------
TOTAL RETURN 17.72%* 5.71% 1.11% 4.90%*
-------------- -------------- -------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (In
millions) $ 39.0 $ 29.4 $ 18.3 $ 2.2
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.30%** 1.25% 1.10% 1.10%**
Net investment income 0.58%** 0.50% 0.44% 0.97%**
PORTFOLIO TURNOVER RATE 47.8%* 64.3% 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: 1.31%** 1.41% 1.68% 8.41%**
Ratio of Net Investment Income to
Average Net Assets: 0.57%** 0.34% (0.14%) (6.34%)**
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Large Cap Research
Portfolio
-----------------------------------------------------------------------------------
For the period
from August 20, 1997
Six months ended Year ended Year ended (commencement
June 30, 2000 December 31, December 31, of operations) to
(Unaudited) 1999 1998 December 31, 1997
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.991 $ 11.964 $ 9.905 $ 10.000
-------------- -------------- -------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.038 0.026 0.069 0.017
Net realized and unrealized
gains (losses) (0.736) 3.023 2.023 (0.096)
-------------- -------------- -------------- --------------
TOTAL FROM INVESTMENT OPERATIONS (0.698) 3.049 2.092 (0.079)
-------------- -------------- -------------- --------------
DISTRIBUTIONS
Dividends from net
investment income (0.036) (0.022) (0.033) (0.016)
Distributions from net
realized gains (1.275) -- -- --
-------------- -------------- -------------- --------------
TOTAL DISTRIBUTIONS (1.311) (0.022) (0.033) (0.016)
-------------- -------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 12.982 $ 14.991 $ 11.964 $ 9.905
-------------- -------------- -------------- --------------
TOTAL RETURN (4.78%)* 25.54% 21.04% (0.74%)*
-------------- -------------- -------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (In
millions) $ 40.2 $ 36.0 $ 13.9 $ 1.4
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.25%** 1.25% 1.10% 1.10%**
Net investment income 0.72%** 0.41% 0.97% 1.53%**
PORTFOLIO TURNOVER RATE 38.5%* 67.7% 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: N/A 1.38% 1.95% 10.04%**
Ratio of Net Investment Income to
Average Net Assets: N/A 0.28% 0.12% (7.41%)**
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<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 Year ended (commencement
June 30, 2000 December 31, December 31, of operations) to
(Unaudited) 1999 1998 December 31, 1997
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.885 $ 11.241 $ 10.549 $ 10.000
-------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (0.041) (0.073) (0.025) 0.002
Net realized and unrealized
gains (losses) (1.734) 3.717 0.723 0.549
-------------- -------------- -------------- --------------
TOTAL FROM INVESTMENT OPERATIONS (1.775) 3.644 0.698 0.551
-------------- -------------- -------------- --------------
DISTRIBUTIONS
Dividends from net investment
income -- -- -- (0.002)
Distributions from net realized
gains (0.673) -- (0.006) --
-------------- -------------- -------------- --------------
TOTAL DISTRIBUTIONS (0.673) -- (0.006) (0.002)
-------------- -------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 12.437 $ 14.885 $ 11.241 $ 10.549
-------------- -------------- -------------- --------------
TOTAL RETURN (11.78%)* 32.47%* 6.60% 5.52%*
-------------- -------------- -------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (In millions) $ 40.8 $ 33.6 $ 15.9 $ 1.7
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.23%** 1.15% 1.00% 1.00%**
Net investment income (0.71%)** (0.73%) (0.47%) 0.18%**
PORTFOLIO TURNOVER RATE 26.0%* 53.2% 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: 1.23%** 1.34% 1.70% 9.00%**
Ratio of Net Investment Income to Average
Net Assets: (0.71%)** (0.92%) (1.17%) (7.82%)**
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Lord Abbett Growth and Income
Portfolio
-----------------------------------------
For the period
from January 8, 1999
Six months ended (commencement
June 30, 2000 of operations) to
(Unaudited) December 31, 1999
<S> <C> <C>
-----------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.071 $ 21.603
-------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.173 0.274
Net realized and unrealized gains
(losses) (0.688) 2.194
-------------- --------------
TOTAL FROM INVESTMENT OPERATIONS (0.515) 2.468
-------------- --------------
DISTRIBUTIONS
Dividends from net investment income (0.283) --
Distributions from net realized gains (0.393) --
-------------- --------------
TOTAL DISTRIBUTIONS (0.676) --
-------------- --------------
NET ASSET VALUE, END OF PERIOD $ 22.880 $ 24.071
-------------- --------------
TOTAL RETURN (2.17%)* 11.38%*
-------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (In millions) $ 839.4 $ 887.0
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.70%** 0.70%**
Net investment income 1.43%** 1.24%**
PORTFOLIO TURNOVER RATE 28.6%* 70.8%*
(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: N/A N/A
Ratio of Net Investment Income to Average Net
Assets: N/A N/A
<CAPTION>
Balanced
Portfolio
--------------------------------------------------------------------------------
For the period
from July 1, 1997
Six months ended Year ended Year ended (commencement
June 30, 2000 December 31, December 31, of operations) to
(Unaudited) 1999 1998 December 31, 1997
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.858 $ 11.398 $ 10.389 $ 10.000
-------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.135 0.232 0.223 0.123
Net realized and unrealized gains
(losses) (0.136) 0.581 1.152 0.477
-------------- -------------- -------------- --------------
TOTAL FROM INVESTMENT OPERATIONS (0.001) 0.813 1.375 0.600
-------------- -------------- -------------- --------------
DISTRIBUTIONS
Dividends from net investment income (0.001) (0.233) (0.222) (0.124)
Distributions from net realized gains (0.080) (0.120) (0.144) (0.087)
-------------- -------------- -------------- --------------
TOTAL DISTRIBUTIONS (0.081) (0.353) (0.366) (0.211)
-------------- -------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 11.776 $ 11.858 $ 11.398 $ 10.389
-------------- -------------- -------------- --------------
TOTAL RETURN 0.01%* 7.14% 13.31% 6.01%*
-------------- -------------- -------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (In millions) $ 9.9 $ 9.7 $ 4.6 $ 1.5
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.10%** 1.10% 1.10% 1.10%*
*
Net investment income 2.36%** 2.52% 2.54% 2.74%*
*
PORTFOLIO TURNOVER RATE 23.3%* 27.4% 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: 1.82%** 2.06% 3.08% 3.81%*
*
Ratio of Net Investment Income to Average Net
Assets: 1.64%** 1.56% 0.56% 0.03%*
*
</TABLE>
* Non-annualized
** Annualized
N/A Not Applicable
See notes to financial statements
<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 Year ended (commencement
June 30, 2000 December 31, December 31, of operations) to
(Unaudited) 1999 1998 December 31, 1997
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.169 $ 11.626 $ 11.047 $ 10.000
-------------- -------------- -------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.093 0.194 0.167 0.074
Net realized and unrealized
gains (losses) (0.439) 0.107 0.862 1.192
-------------- -------------- -------------- --------------
TOTAL FROM INVESTMENT OPERATIONS (0.346) 0.301 1.029 1.266
-------------- -------------- -------------- --------------
DISTRIBUTIONS
Dividends from net
investment income (0.002) (0.190) (0.167) (0.074)
Distributions from net
realized gains -- (0.568) (0.283) (0.145)
-------------- -------------- -------------- --------------
TOTAL DISTRIBUTIONS (0.002) (0.758) (0.450) (0.219)
-------------- -------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 10.821 $ 11.169 $ 11.626 $ 11.047
-------------- -------------- -------------- --------------
TOTAL RETURN (3.11%)* 2.51% 9.35% 12.69%*
-------------- -------------- -------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (In
millions) $ 6.9 $ 7.0 $ 4.7 $ 1.7
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.10%** 1.10% 1.10% 1.10%**
Net investment income 1.75%** 1.85% 1.79% 1.65%**
PORTFOLIO TURNOVER RATE 27.4%* 58.8% 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: 2.12%** 2.23% 2.69% 3.58%**
Ratio of Net Investment Income to
Average Net Assets: 0.73%** 0.72% 0.20% (0.83%)**
</TABLE>
* Non-annualized
** Annualized
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Growth & Income Equity
Portfolio
--------------------------------------------------------------------------------
For the period
from July 1, 1997
Six months ended Year ended Year ended (commencement
June 30, 2000 December 31, December 31, of operations) to
(Unaudited) 1999 1998 December 31, 1997
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.788 $ 11.995 $ 10.710 $ 10.000
-------------- -------------- -------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.019 0.049 0.057 0.033
Net realized and unrealized
gains (losses) (0.255) 1.890 1.538 0.793
-------------- -------------- -------------- --------------
TOTAL FROM INVESTMENT OPERATIONS (0.236) 1.939 1.595 0.826
-------------- -------------- -------------- --------------
DISTRIBUTIONS
Dividends from net
investment income -- (0.049) (0.058) (0.032)
Distributions from net
realized gains (0.192) (0.097) (0.252) (0.084)
-------------- -------------- -------------- --------------
TOTAL DISTRIBUTIONS (0.192) (0.146) (0.310) (0.116)
-------------- -------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD $ 13.360 $ 13.788 $ 11.995 $ 10.710
-------------- -------------- -------------- --------------
TOTAL RETURN (1.72%)* 16.17% 14.95% 8.26%*
-------------- -------------- -------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (In
millions) $ 16.4 $ 16.4 $ 9.1 $ 2.4
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.10%** 1.10% 1.10% 1.10%**
Net investment income 0.29%** 0.45% 0.65% 0.87%**
PORTFOLIO TURNOVER RATE 32.7%* 37.8% 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: 1.51%** 1.59% 2.00% 3.51%**
Ratio of Net Investment Income to
Average Net Assets: (0.12%)** (0.04%) (0.25%) (1.54%)**
</TABLE>
* Non-annualized
** Annualized
See notes to financial statements
<PAGE>
COVA SERIES TRUST
Notes to Financial Statements (Unaudited)
June 30, 2000
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 thirteen diversified portfolios (each, a Fund and collectively, the
Funds) 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. FIRSTAR
Investment and Research Management Company, LLC, "FIRMCO", (formerly Mississippi
Valley Advisors Inc.) manages the Balanced Portfolio, Equity Income Portfolio
and Growth & Income Equity Portfolio.
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, 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
Riggs U.S. Government Securities Portfolio and Riggs Stock Portfolio, managed by
Riggs Bank N.A., ceased operations on June 29, 2000.
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. Actual results could differ from these estimates.
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 - The Trust's policy is to comply with the requirements
of Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income, including
net realized gains, if any, to its shareholders. Accordingly, the Funds have not
recorded a provision for federal income taxes. In addition, any Funds subject to
federal excise tax regulations will distribute substantially all of their net
investment income and net capital gains, if any, in each calendar year in order
to avoid the payment of federal excise taxes.
Distributions from net investment income and capital gains are determined in
accordance with federal income tax regulations which may differ from generally
accepted accounting principles. As a result, distributions from net investment
income and net realized capital gains may differ from their ultimate
characterization for federal income tax purposes due to timing differences. For
the Large Cap Stock, Quality Bond and International Equity Portfolios, net
realized gains and losses may differ for financial and tax reporting purposes
primarily as a result of 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.
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
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. 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 market-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
their 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. SECURITY LENDING - The Funds may lend their securities to certain qualified
brokers. The loans are collateralized at all times with cash or securities with
a market value at least equal to the market value of the securities on loan. As
with other extensions of credit, the Funds may bear the risk of delay in
recovery or even loss of rights in the collateral should the borrower
financially. The Funds receive compensation for lending their securities.
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
H. 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, and 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, from
changes in the exchange rates of foreign currency held, and from changes in the
contract value of forward foreign currency contracts.
I. 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.
J. 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. On January 6, 2000, the Adviser's
ultimate parent company, General American Mutual Holding Company, was acquired
by the Metropolitan Life Insurance Company. The Adviser has entered into
sub-advisory agreements with J.P. Morgan Investment Management Inc., Lord,
Abbett & Co., and FIRMCO (the "Sub-advisers") for investment advisory services
in connection with the investment management of the Funds.
The Adviser supervises the Sub-advisers and makes recommendations to the Board
of Trustees with respect to the retention or renewal of the sub-advisory
agreements. The Adviser pays the Sub-advisers and bears the cost of compensating
officers of the Trust.
Under the terms of the Funds' investment advisory agreement, the Funds pay the
Adviser a monthly fee based upon annual rates applied to each of the Funds'
average daily net assets as follows:
<TABLE>
<CAPTION>
Fund Average Daily Net Assets % Per Annum
---- ------------------------ -----------
<S> <C> <C>
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%
</TABLE>
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
<TABLE>
<CAPTION>
Fund Average Daily Net Assets % Per Annum
---- ------------------------ -----------
<S> <C> <C>
Mid-Cap Value All 1%
Large Cap Research All 1%
Developing Growth All .90%
Balanced All 1%
Equity Income All 1%
Growth & Income Equity All 1%
</TABLE>
The Trust has entered into a Custodian, Fund Accounting, and Transfer Agency
Agreement with Investors Bank & Trust Company ("Investors Bank").
Cova Variable Annuity Account One and Five, Cova Variable Life Account 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, 2000, Cova Life owned all
shares of beneficial interest of each Fund except those listed below.
<TABLE>
<CAPTION>
Percentage of Ownership
------------------------------------------
Cova Life Lord, Abbett & Co. FIRMCO
--------- ------------------ ------
<S> <C> <C> <C>
Mid-Cap Value 99.6% 0.4% --
Large Cap Research 99.6% 0.4% --
Developing Growth 99.7% 0.3% --
Balanced 86.9% -- 13.1%
Equity Income 82.3% -- 17.7%
Growth & Income Equity 91.3% -- 8.7%
</TABLE>
The Adviser has voluntarily reimbursed each of the Funds, exclusive of the Lord
Abbett Growth and Income, Small Cap, Select Equity, and International Equity
Portfolios, for their operating expenses, exclusive of brokerage, advisory, 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 the Quality Bond, Large
Cap Stock, Bond Debenture, Balanced, Equity Income, and Growth & Income Equity
Portfolios. The Adviser has voluntarily reimbursed the Mid-Cap Value, Large Cap
Research, and Developing Growth Portfolios for their operating expenses,
exclusive of brokerage, advisory, 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.
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
3. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the six months ended June 30, 2000 were as
follows:
<TABLE>
<CAPTION>
Purchases
----------------------------------------------
Portfolio: U.S. Government Non-Government Total
---------- --------------- -------------- -----
<S> <C> <C> <C>
Small Cap Stock $ 0 $ 61,473,274 $ 61,473,274
Quality Bond 108,071,373 16,607,144 124,678,517
Select Equity 0 10,973,856 10,973,856
Large Cap Stock 0 93,880,879 93,880,879
International Equity 0 80,933,763 80,933,763
Bond Debenture 20,012,500 34,491,859 54,504,359
Mid-Cap Value 0 18,268,542 18,268,542
Large Cap Research 0 19,895,989 19,895,989
Developing Growth 0 20,104,723 20,104,723
Lord Abbett Growth and Income 0 234,740,901 234,740,901
Balanced 0 2,728,051 2,728,051
Equity Income 0 1,772,941 1,772,941
Growth & Income Equity 0 5,545,837 5,545,837
</TABLE>
<TABLE>
<CAPTION>
Sales
----------------------------------------------
Portfolio: U.S. Government Non-Government Total
---------- --------------- -------------- -----
<S> <C> <C> <C>
Small Cap Stock $ 0 $ 61,023,145 $ 61,023,145
Quality Bond 101,737,631 26,679,858 128,417,489
Select Equity 0 10,880,658 10,880,658
Large Cap Stock 0 78,481,255 78,481,255
International Equity 0 76,253,081 76,253,081
Bond Debenture 16,035,355 47,909,901 63,945,256
Mid-Cap Value 0 15,245,078 15,245,078
Large Cap Research 0 13,645,532 13,645,532
Developing Growth 0 9,217,013 9,217,013
Lord Abbett Growth and Income 0 277,147,340 277,147,340
Balanced 196,307 1,815,925 2,012,232
Equity Income 0 2,008,456 2,008,456
Growth & Income Equity 0 5,038,894 5,038,894
</TABLE>
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
3. INVESTMENT TRANSACTIONS - CONTINUED
At June 30, 2000, 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:
<TABLE>
<CAPTION>
Unrealized Net
Federal Income Gross Unrealized Gross Unrealized Appreciation/
Portfolio: Tax Cost Appreciation (Depreciation) (Depreciation)
---------- -------- ------------ -------------- --------------
<S> <C> <C> <C> <C>
Small Cap Stock $106,958,243 $ 25,335,304 $(10,161,942) $15,173,362
Quality Bond 96,730,082 678,372 (1,219,911) (541,539)
Select Equity 241,249,909 39,261,778 (28,040,847) 11,220,931
Large Cap Stock 262,362,102 46,081,034 (24,610,578) 21,470,456
International Equity 136,128,338 18,710,105 (8,004,567) 10,705,538
Bond Debenture 174,591,625 4,356,576 (12,973,601) (8,617,025)
Mid-Cap Value 34,624,235 5,386,100 (2,302,313) 3,083,787
Large Cap Research 41,079,540 3,763,853 (3,205,587) 558,266
Developing Growth 39,798,822 8,672,415 (7,313,024) 1,359,391
Lord Abbett Growth and Income 813,118,568 106,197,064 (65,817,869) 40,379,195
Balanced 8,820,254 921,501 (829,796) 91,705
Equity Income 6,914,688 554,668 (1,038,478) (483,810)
Growth & Income Equity 14,388,046 3,023,266 (1,707,844) 1,315,422
</TABLE>
4. FUTURES CONTRACTS
Transactions in futures contracts for the six months ended June 30, 2000, were
as follows:
<TABLE>
<CAPTION>
Quality Large International
Bond Cap Stock Equity
Portfolio Portfolio Portfolio
--------- --------- ---------
<S> <C> <C> <C>
Futures Contracts Outstanding at
December 31, 1999 318 11 --
Contracts Opened 736 61 55
Contracts Closed (931) (55) --
------- ------ --------
Futures Contracts Outstanding at
June 30, 2000 123 17 55
======= ====== ========
</TABLE>
The futures contracts outstanding as of June 30, 2000 and the description and
unrealized appreciation or depreciation were as follows:
<TABLE>
<CAPTION>
Unrealized
Contracts Notional Value Appreciation/(Depreciation)
--------- -------------- ---------------------------
<S> <C> <C> <C>
International Equity Portfolio:
Dow Jones Euro Stock 50 Futures 39 $1,928,934 $ (49,877)
September 2000 - Long
International Equity Portfolio:
FTSE 100 Index Futures 3 $ 289,631 $ 5,175
September 2000 - Long
International Equity Portfolio:
SPI Futures 6 $ 302,656 $ (8,008)
September 2000 - Short
</TABLE>
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
4. FUTURES CONTRACTS - CONTINUED
<TABLE>
<CAPTION>
Unrealized
Contracts Notional Value Appreciation/(Depreciation)
--------- -------------- ---------------------------
<S> <C> <C> <C>
International Equity Portfolio:
TSE Topix Futures 7 $1,062,315 $ (25,878)
September 2000 - Short
Large Cap Stock Portfolio:
S & P 500 Index Futures 17 $6,239,426 $ (86,668)
September 2000 - Long
Quality Bond Portfolio:
U.S. Treasury Bond Futures 4 $ 389,375 $ 10,470
September 2000 - Long
Quality Bond Portfolio:
U.S. Treasury Note 5 Year Futures 55 $5,452,568 $ 7,266
September 2000 - Long
Quality Bond Portfolio:
U.S. Treasury Note 10 Year Futures 64 $6,303,000 $(129,766)
September 2000 - Short
</TABLE>
5. FORWARD FOREIGN CURRENCY CONTRACTS
Open forward foreign currency contracts for the International Equity Portfolio
at June 30, 2000, were as follows:
Forward Foreign Currency Contracts to Buy:
<TABLE>
<CAPTION>
Net Unrealized
Value at In Exchange Appreciation/
Settlement Date Contracts to Receive June 30, 2000 for U.S. $ (Depreciation)
--------------- -------------------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
7/3/2000 550,000 Euro Dollar $ 527,284 $ 523,435 $ 3,849
7/10/2000 1,947,399 British Pound Sterling 2,948,388 3,042,949 (94,561)
7/10/2000 18,650,302 Euro Dollar 17,888,624 17,199,236 689,388
7/10/2000 1,873,524,730 Japanese Yen 17,707,947 17,695,756 12,191
7/10/2000 2,177,765 Swiss Franc 1,341,065 1,268,000 73,065
--------
683,932
========
</TABLE>
Forward Foreign Currency Contracts to Sell:
<TABLE>
<CAPTION>
Net Unrealized
Value at In Exchange Appreciation/
Settlement Date Contracts to Deliver June 30, 2000 for U.S. $ (Depreciation)
--------------- -------------------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
7/3/2000 344,300 British Pound Sterling $ 521,199 $ 523,435 $ 2,236
7/10/2000 2,519,451 British Pound Sterling 3,814,483 3,943,685 129,202
7/10/2000 11,459,837 Euro Dollar 10,991,818 10,456,986 (534,832)
7/10/2000 2,373,673,309 Japanese Yen 22,435,192 22,269,197 (165,995)
7/10/2000 6,125,290 Swiss Franc 3,771,947 3,681,173 (90,774)
---------
(660,163)
=========
</TABLE>
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
6. SECURITY LENDING
As of June 30, 2000, certain Portfolios had loaned securities which were
collateralized by short term investments. Each Portfolio receives transaction
fees for providing services in connection with the securities lending program.
The risks to the Portfolios of securities lending are that the borrower may not
provide additional collateral when required or return the securities when due.
The value of the securities on loan and the value of the related collateral were
as follows:
<TABLE>
<CAPTION>
Fund Value of Securities Value of Collateral
---- ------------------- -------------------
<S> <C> <C>
Small Cap Stock $15,662,592 $16,242,249
Quality Bond $ 6,960,136 $ 7,081,663
Select Equity $12,018,263 $12,385,500
Large Cap Stock $12,684,051 $13,099,200
International Equity $10,784,238 $11,422,790
Bond Debenture $ 8,393,044 $ 8,583,656
Mid-Cap Value $ 232,967 $ 241,320
Large Cap Research $ 3,839,734 $ 3,978,336
Developing Growth $ 2,994,457 $ 3,126,600
Lord Abbett Growth and Income $43,761,343 $45,495,615
</TABLE>
7. PROXY VOTING RESULTS
A special meeting of the Funds' shareholders was held on January 6, 2000, as
adjourned from December 23, 1999. The results of votes taken among shareholders
on proposals before them are reported below.
PROPOSAL 1:
To approve a New Investment Advisory Agreement between Cova Investment
Advisory Corporation and Cova Series Trust, such New Investment Advisory
Agreement to contain the same terms and conditions as the current Investment
Advisory Agreement except for the dates of execution, effectiveness and
termination.
<TABLE>
<CAPTION>
Name of Portfolio FOR AGAINST ABSTAIN
----------------- --- ------- -------
<S> <C> <C> <C>
J.P. Morgan:
Quality Bond 8,691,406.774 79,946.014 198,606.356
Small Cap Stock 6,077,177.487 37,360.639 211,859.963
Large Cap Stock 12,184,212.280 75,152.574 306,007.895
Select Equity 14,886,139.727 84,172.180 409,902.260
International Equity 8,166,318.635 49,903.063 236,732.570
Lord, Abbett & Co.:
Bond Debenture 13,122,272.625 86,410.035 420,341.120
Mid-Cap Value 2,462,281.489 9,053.062 73,431.172
Large Cap Research 2,200,043.069 0.000 64,962.829
Developing Growth 2,032,302.306 17,915.644 72,575.772
Lord Abbett Growth and Income 35,394,437.195 248,869.019 1,178,927.909
Mississippi Valley Advisors Inc.:
Balanced 622,428.276 18,133.335 23,004.638
Equity Income 458,726.574 2,578.520 11,462.263
Growth & Income Equity 1,034,850.037 0.000 28,214.795
Riggs Bank:
Riggs Stock 11,942.215 0.000 0.000
Riggs U.S. Government Securities 21,483.451 0.000 0.000
</TABLE>
<PAGE>
COVA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 2000
7. PROXY VOTING RESULTS - CONTINUED
PROPOSAL 2:
To approve a New Sub-Advisory Agreement among Cova Investment Advisory
Corporation, Cova Series Trust and J.P. Morgan Investment Management Inc.,
such New Sub-Advisory Agreement to contain the same terms and conditions as
the current Sub-Advisory Agreement except for the dates of execution,
effectiveness and termination.
<TABLE>
<CAPTION>
Name of Portfolio FOR AGAINST ABSTAIN
----------------- --- ------- -------
<S> <C> <C> <C>
J.P. Morgan
Quality Bond 8,694,267.577 80,941.416 194,750.150
Small Cap Stock 6,077,447.504 52,260.865 196,689.720
Large Cap Stock 12,232,013.184 72,413.984 260,945.581
Select Equity 14,896,949.669 92,745.539 390,518.958
International Equity 8,143,073.567 63,584.094 246,296.607
</TABLE>
PROPOSAL 3:
To approve a New Sub-Advisory Agreement among Cova Investment Advisory
Corporation, Cova Series Trust and Lord, Abbett & Co., such New Sub-Advisory
Agreement to contain the same terms and conditions as the current
Sub-Advisory Agreement except for the dates of execution, effectiveness and
termination.
<TABLE>
<CAPTION>
Name of Portfolio FOR AGAINST ABSTAIN
----------------- --- ------- -------
<S> <C> <C> <C>
Lord, Abbett:
Bond Debenture 13,164,795.350 91,879.238 372,349.193
Mid-Cap Value 2,469,786.540 4,786.053 70,193.129
Large Cap Research 2,197,789.176 0.000 67,216.722
Developing Growth 2,044,088.035 14,413.495 64,242.193
Lord Abbett Growth and Income 35,428,800.441 269,039.875 1,124,393.808
</TABLE>
PROPOSAL 4:
To approve a New Sub-Advisory Agreement among Cova Investment Advisory
Corporation, Cova Series Trust and Mississippi Valley Advisors Inc., such
New Sub-Advisory Agreement to contain the same terms and conditions as the
current Sub-Advisory Agreement except for the dates of execution,
effectiveness and termination.
<TABLE>
<CAPTION>
Name of Portfolio FOR AGAINST ABSTAIN
----------------- --- ------- -------
<S> <C> <C> <C>
Mississippi Valley Advisors Inc.:
Balanced 621,704.426 18,133.335 23,728.489
Equity Income 458,726.574 0.000 14,040.784
Growth & Income Equity 1,029,055.878 0.000 34,008.954
</TABLE>
PROPOSAL 5:
To approve a New Sub-Advisory Agreement among Cova Investment Advisory
Corporation, Cova Series Trust and Riggs Bank N.A., such New Sub-Advisory
Agreement to contain the same terms and conditions as the current
Sub-Advisory Agreement except for the dates of execution, effectiveness and
termination.
<TABLE>
<CAPTION>
Name of Portfolio FOR AGAINST ABSTAIN
----------------- --- ------- -------
<S> <C> <C> <C>
Riggs Bank:
Riggs Stock 11,942.215 0.000 0.000
Riggs U.S. Government Securities 21,483.451 0.000 0.000
</TABLE>
