- --------------------------------------------------------------------------------
February 11, 2000
LETTER FROM THE PRESIDENT
Dear contract holder:
It has been more than a year now since the world began counting down the days to
January 1, 2000 and the looming Y2K computer issue. The opinions of what might
happen varied from those who passed Y2K off as nothing but media hysteria to
those who truly believed we were facing a global Armageddon. Well, I am thankful
to report that the New Year uneventfully came and passed, and the world
celebrated the arrival of the year 2000 with much jubilation.
We at Cova were especially glad to see the New Year come as we anxiously awaited
the closing of the acquisition of the Cova companies by Metropolitan Life
Insurance Company. As you are probably aware, Metropolitan announced their
intention to purchase the Cova companies on August 26, 1999. The transaction was
completed on January 6, 2000, and as I draft this letter, I am pleased to
announce that Cova is now a MetLife company.
For Cova, this transaction meant that we would be affiliated with the largest
life insurance company in North America, with more than $400 billion in assets
under management and more than $1.7 trillion of life insurance in force. For
Cova and its contract holders, being affiliated with MetLife resulted in
immediate benefits as Cova's ratings were quickly upgraded by the following
rating agencies once the closing was announced:
Standard & Poor's AA- (Excellent) for claims-paying ability
Moody's Aa2 (Excellent) for financial strength
A.M. Best A (Excellent) for financial strength
Duff & Phelp's AA+ (Very High) for claims-paying ability
With the deal now behind us, we enter into a planning stage to determine how we
can capitalize on the synergies that exist between the Cova companies and
MetLife. For MetLife, this means a partnership with a company characterized by
award-winning service as well as by the value we bring to our contract holders.
For Cova, this means access to a wealth of resources offered by MetLife.
We look forward to a prosperous and enterprising future as a MetLife company--a
future that will allow us to offer even greater value to you--our contract
holders. Of course, it is to our contract holders that we provide this annual
report of the fund managers in the Cova Series Trust. Also enclosed is the
financial report for the General American Capital Company Money Market Fund. We
thank you for placing your long-term retirement needs in the hands of Cova.
Sincerely,
[Sig L.J. Stensrud] [GRAPHIC OMITTED]
L.J. Stensrud
President and CEO
Cova Life Sales Company
[Cova logo] [GRAPHIC OMITTED]
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Stock Portfolio For the year ended 12/31/99
Managed by J.P. Morgan Investment Management
- --------------------------------------------------------------------------------
The Small Cap Stock Portfolio finished the year strong up 44.56%. The fund
outperformed its benchmark, the Russell 2000 Index1 in the year ending December
31,1999.
The broad small cap market narrowly edged past the S&P 500 for the year. The
Russell 2000 Index was up 21.26% for the 12 months ending December 31, 1999,
while the S&P 5002 returned 21.04% over the same period. Once again growth
indices dominated by technology shares led the market, while value stocks
lagged. The Russell 2000 Growth Index3 was up 43.09% for the 12 month period
versus the Russell 2000 index +21.26% and the Russell 2000 Value Index4, -1.49%.
The portfolio's outperformance can be attributed to stock selection and sector
allocation. The decision to overweight in the technology sector allowed the
portfolio to end the year well ahead of the benchmark. For the past twelve
months, SDL Inc. (+1,000.3%), a company that manufactures semiconductor lasers
and fiber optic products had the biggest impact on portfolio performance. The
company rallied in-line with other tech infrastructure companies that enhance
broadband capabilities. Orbital Sciences Corp. (-57.8%), a company that designs
and manufactures space and information systems, was the largest detractor to
performance over the past 12 months due to earnings shortfalls and accounting
restatements.
Though the portfolio went into year-end with significant overweighted positions
in both technology and communications companies, over the month of December we
began trimming these positions. We've shifted more assets into the consumer
services and insurance sectors, which we believe are attractively valued,
relative to their long-term earnings potential. The portfolio remains highly
diversified and well positioned for a broadening in the market. On a valuation
basis, our internal valuation tools, as well as current price-to-earnings
ratios, are still near historical extremes in favor of small caps. Given both
the prolonged underperformance of the small-cap market and relative valuation,
we continue to believe small-cap stocks are undervalued relative to large-cap
stocks. In addition we believe that the portfolio, which is highly diversified,
is well positioned to absorb volatility.
1 The Russell 2000 Index is an unmanaged index consisting of the stocks of 2000
U.S.-based companies. The Index does not include fees or expenses and is not
available for direct investment.
2 The S&P 500 Index is an unmanaged index consisting of stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
3 The Russell 2000 Growth 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.
4 The Russell 2000 Value Index measures the performance of those Russell 2000
companies with lower price-to-book ratios and lower forecasted growth values.
This index does not include fees or expenses and is not available for direct
investment.
Marian U. Pardo
Alexandra Wells
Portfolio Managers
J.P. Morgan Investment Management Inc.
<TABLE>
<CAPTION>
Top 10 Portfolio Holdings by Market Value
As of 12/31/99
% of portfolio
- ------------------------------------------ ------------------
<S> <C>
Human Genome Sciences Inc. 2.6
- ------------------------------------------ ------------------
Microstrategy Inc. 2.2
- ------------------------------------------ ------------------
Checkfree Holdings Inc. 1.8
- ------------------------------------------ ------------------
Applied Micro Circuits Corp. 1.7
- ------------------------------------------ ------------------
Georgia Gulf Corp. 1.3
- ------------------------------------------ ------------------
Geon Co. 1.3
- ------------------------------------------ ------------------
Advanced Fibre Communications Inc. 1.3
- ------------------------------------------ ------------------
Cooper Cameron Corp. 1.2
- ------------------------------------------ ------------------
Wellman Inc. 1.1
- ------------------------------------------ ------------------
Allegiance Telecom Inc. 1.1
- ------------------------------------------ ------------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
Sector Allocation (% of portfolio market value)
As of 12/31/99
- -----------------------------------------------------------------------
JPM small cap pie chart
<S> <C>
Technology 35.1
Healthcare/Drugs 10.6
Finance 9
Basic Industry 7.6
Consumer Services 6.5
Capital Goods 3.6
Energy 3.6
Consumer Staples 3.1
Utilities 2.5
Other 18.4
- -----------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Small Cap Stock Portfolio, managed by
J.P. Morgan Investment Management vs. Russell 2000 Index
Growth Based on $10,000+
[Line Graph]
JPM small cap vs Russell 2000 plot points
JPM Small Cap Russell 2000
<S> <C> <C>
10000 10000
"6/96" 9955 9967
10091 10001
"12/96" 10825 10521
10089 9977
"6/97" 11630 11595
13371 13320
"12/97" 13135 12874
14739 14169
"6/98" 13753 13508
10797 10787
"12/98" 12426 12546
11834 11865
"6/99" 13172 13710
13293 12844
"12/99" 17963 15172
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------- ---------------- ----------- -------------------
Average Annual
Return1
- ----------------------------- ---------------- ----------- -------------------
1 Year 3 Year Since inception+
- ----------------------------- ---------------- ----------- -------------------
<S> <C> <C> <C>
Small Cap Stock Portfolio,
managed by JPMIM 44.56% 18.23% 17.30%
- ----------------------------- ---------------- ----------- -------------------
Russell 2000 Index 21.26% 13.08% 10.87%
- ----------------------------- ---------------- ----------- -------------------
</TABLE>
+Performance is shown from date of initial public offering, May 1, 1996.
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 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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Quality Bond Portfolio For the year ended 12/31/99
Managed by J.P. Morgan Investment Management
- --------------------------------------------------------------------------------
The Quality Bond Portfolio provided a total return of -1.54% for the year ending
December 31, 1999. The Salomon Broad Investment Grade Index1 returned -0.84% for
the same time period.
Bond yields ended the year sharply higher as investors reassessed the
strengthening economy and anticipated tighter monetary policy after the Y2K
turn. Consumption continued to grow rapidly as third quarter final GDP at 5.7%
was revised almost a full percentage point above the original estimate. The
strong equity rally in December suggests the Fed's tightening action thus far
will do little to stem economic growth. Low unemployment, firm wage laws,
together with the unprecedented external deficit, imply the need to slow the
economy to a more sustainable pace, even in the absence of any significant
consumer price pressures. The Salomon BIG Index fell 0.2% for the quarter
bringing the full year decline to -0.8%.
Earlier in the year, the Portfolio was conservatively positioned in corporate
bonds and held a heavy allocation to mortgage backed securities. In addition we
maintained an overweight position in AAA rated agency debenture bonds. Towards
the end of the year, the Portfolio's largest positions, vis-a-vis the major
aggregate indexes, reflected our positive outlook on mortgages relative to U.S.
Treasuries. The corporate sector outperformed Treasuries during the last
quarter. This was primarily due to the abatement of Y2K fears in the market and
the presence of buyers who had built up cash and were stretching for yield ahead
of the first quarter. The Portfolio was modestly overweighted in the corporate
sector and we remained comfortable with the overweight position in anticipation
of a strong economic backdrop and light near-term supply.
Following the late October Fed tightening and their move to neutral bias,
Treasury yields fell by approximately 30 basis points. With the view that this
move put yields below justifiable levels, we shifted the Portfolio's duration
position early in November from neutral to a modest short position relative to
the index. We maintained this duration position through the end of the year.
With little sign of any material slowing in U.S. growth, aside from some
moderation in the construction sector, the U.S. bond market lacked fundamental
support at year-end. Strong business and consumer confidence, a robust equity
market and very buoyant labor market suggest the need for additional Fed policy
tightening. The market continues to discount an insufficient amount of
tightening this year in order to slow the economy to an acceptable pace. As a
result, we expect to continue to remain defensive in the first half of next year
in terms of the Portfolio's duration positions as U.S.Treasury yields should
continue to move higher.
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 is
not available for direct investment and does not reflect any expenses.
Harriet T. Huber
William G. Tennille
Portfolio Managers
<TABLE>
<CAPTION>
J.P. Morgan Investment Management Inc.
- ------------------------------------------------------------------------------
Asset Allocation (% of portfolio market value)
As of 12/31/99
JPM qual bond pie chart
<S> <C>
U.S. Agency and Corporate Mortgage Backed 53.3
Corporate Investment Grade 24.3
U.S. Treasury and Agency 13.6
Asset Backed Securities 6.3
Corporate High Yield 1.4
Emerging Market Debt 1.1
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Quality Bond Portfolio, managed by J.P. Morgan Investment Management
vs. Salomon Brothers Broad Investment-Grade Bond Index
Growth Based on $10,000+
[Line Graph]
JPM qual bond vs Salomon plot points
JPM Quality Bond Salomon
<S> <C> <C>
10000 10000
"6/96" 10095 10129
10140 10318
"12/96" 10577 10629
10488 10574
"6/97" 10845 10955
11190 11319
"12/97" 11495 11652
11706 11840
"6/98" 11983 12114
12481 12617
"12/98" 12469 12673
12390 12609
"6/99" 12209 12497
12277 12588
"12/99" 12277 12566
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------ -------------------- -------- --------------
Average Annual
Return1
- ------------------------------------------ -------------------- -------- --------------
1 Year 3 Year Since
inception+
- ------------------------------------------ -------------------- -------- --------------
<S> <C> <C> <C>
Quality Bond Portfolio,
managed by JPMIM -1.54% 5.18% 5.79%
- ------------------------------------------ -------------------- -------- --------------
Salomon Brothers BIG Index -0.84% 5.74% 6.43%
- ------------------------------------------ -------------------- -------- --------------
</TABLE>
+Performance is shown from date of initial public offering, May 1, 1996.
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 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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Select Equity Portfolio For the year ended 12/31/99
Managed by J.P. Morgan Investment Management
- --------------------------------------------------------------------------------
The Select Equity Portfolio returned 9.71% for the year ended December 31,1999.
Our investment approach, which selects stocks which are the most undervalued
relative to their longer term earnings and cash flow prospects, proved less
effective in a market fiercely driven by price momentum.
The confluence of a strong economy, abundant liquidity, and high investor
confidence going into the Year 2000 rollover fueled a stunning year-end rally.
Stocks surged during the final quarter of 1999, leading the major indexes to
close out the millennium at record highs. Still, despite outstanding performance
in the broader market averages, 1999 was a turbulent year with significant
dispersion in returns between sectors and investment styles. Once again, growth
outperformed value, large-cap stocks outperformed small-cap stocks, and
technology stocks, despite a difficult first half, delivered spectacular
performance for the year. Internet obsession led the technology sector to jump
109% -- a stunning achievement, particularly following last year's gain of 78%.
Technology now accounts for 30% of the market capitalization of the S&P 500
index.1
By contrast, six of the sixteen sectors we track actually lost value during
1999: consumer staples (-12.9%), utilities (-9.7%), transportation (-9.6%),
drugs (-9.3%), health service (-7.8%), and consumer cyclical (-7.8%). Indeed,
fully 49.5% of the stocks in the S&P 500 finished the year lower. This explains
why an equal-weighted version of the index would have produced roughly one-half
the index return, or 11.9%, for the year.
Like the market, the sector performance within the fund showed both a wide
distribution of individual returns and a narrow concentration of outperforming
issues. Stock selection among technology issues was particularly beneficial. Sun
Microsystems gained 262% while Internet optimism also propelled holdings in
Cisco Systems (+131%) and EMC Corp (+116%). Improving semiconductor
supply/demand characteristics, together with explosive growth in wireless
communications, powered Texas Instruments shares 126% higher. Underweighting PC
makers Dell and Compaq, which underperformed during the year, also contributed
to results. On the other hand, stock picks in the multi-industry group performed
poorly. Waste Management was the worst performer in the portfolio, losing 63% of
its value as it restated earnings and lowered forecasts. Underweighting GE,
whose 54% gain accounted for almost 10% of the rise in the S&P 500 index, also
hurt results.
The strength of high-profile equity indexes despite notable increases in bond
yields and measured price inflation was arguably the defining feature of the
financial market action in 1999. The Federal Reserve's active pursuit of a
generous monetary policy on the eve of the calendar date change to 2000,
coincident with high investor confidence, produced this result. Going forward,
we believe the medium-term goal will be tighter, not easier, monetary
conditions. Rising interest rates should curb euphoric consumer confidence and
spending, and could dampen upside potential for U.S. stocks. Technology may be
particularly vulnerable in this scenario, since stocks in this sector trade at
2.5 times the market multiple and currently claim over 80% of net domestic
mutual fund inflows.
Peggy Adams
Thomas M. Luddy
Portfolio Managers
J.P. Morgan Investment Management Inc.
1 The S&P 500 Index is an unmanaged index consisting of stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
Sector Allocation (% of portfolio market value)
As of 12/31/99
JPM select equity pie chart
<S> <C>
Technology 24.6
Finance 9.7
Telephone 9.3
Multi-Industry 8.1
Drugs 6.9
Energy 6.4
Basic Industry 6.2
Consumer Staples 6
Services 5.7
Other 17.1
</TABLE>
<TABLE>
<CAPTION>
Top 10 Portfolio Holdings by Market Value
As of 12/31/99
% of portfolio
- --------------------------------- -----------------
<S> <C>
Microsoft Corp. 5.3
- --------------------------------- -----------------
Exxon Mobil Corp. 4.3
- --------------------------------- -----------------
Tyco International Ltd. 3.1
- --------------------------------- -----------------
Cisco Systems Inc. 3.1
- --------------------------------- -----------------
General Electric Co. 3.0
- --------------------------------- -----------------
Sun Microsystems Inc. 2.0
- --------------------------------- -----------------
Intel Corp. 2.0
- --------------------------------- -----------------
AT&T Corp. 1.9
- --------------------------------- -----------------
MCI WorldCom Inc. 1.9
- --------------------------------- -----------------
Rohm & Haas Co. 1.7
- --------------------------------- -----------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Select Equity Portfolio, managed by
J.P. Morgan Investment Management vs. S&P 500 Index
Growth Based on $10,000+
[Line Graph]
JPM select equity vs S&P 500 plot points
JPM Sel Equity S&P 500
<S> <C> <C>
10000 10000
"6/96" 9852 10252
10004 10507
"12/96" 10837 11323
10932 11574
"6/97" 12966 13531
14372 14481
"12/97" 14224 14835
15930 16842
"6/98" 16147 17332
14384 15547
"12/98" 17496 18791
17779 19664
"6/99" 19476 20984
16955 19608
"12/99" 19195 22460
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ------------------------ --------
Average Annual Return1
- ------------------------------------------- ------------------------ --------
1 Year 3 Year Since
inception+
- ----------------------------- ----------- ------------ ----------------
<S> <C> <C> <C>
Select Equity Portfolio,
managed by JPMIM 9.71% 20.92% 19.44%
- ----------------------------- ----------- ------------ ----------------
S&P 500 Index 21.04% 27.56% 23.93%
- ----------------------------- ----------- ------------ ----------------
</TABLE>
+Performance is shown from date of initial public offering, May 1, 1996.
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 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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Large Cap Stock Portfolio For the year ended 12/31/99
Managed by J.P. Morgan Investment Management
- --------------------------------------------------------------------------------
The Large Cap Stock Portfolio returned 17.64% for the year ended December
31,1999. The S&P 5001 returned 21.04% during this period, posting record highs
by climbing to a record 1,469.25 for the year.
After a strong 1998 and first half of 1999, the third and fourth quarters were
difficult ones for the Large Cap Stock Portfolio. In the second half of the
year, the equity market reverted back to a very narrow group of outperforming
stocks as investors sought out the companies with positive earnings and price
momentum.
During the latter half of the year, investors tended to focus on short-term
earnings, projecting them forward indefinitely, which was a challenge to the
performance of the portfolio. The investment strategy employed by the portfolio
focuses on normalized earnings and intermediate growth rates, thus it tended to
be challenged by the unprecedented market environment that we experienced during
the latter part of the year. In addition, while the portfolio is well
diversified and its risk controls are robust, during times of extreme internal
market divergence, even modest exposures to common risk factors such as price
momentum can result in out of scale performance results.
Finally, our analysts depend on accurate financial data from the companies that
they cover to set their earnings forecasts. Companies that look attractive to
our analysts are overweighted in the portfolio and in some instances, less than
candid disclosures by company management followed by divergent reported earnings
resulted in a sharp correction in stock prices. In particular, underperformance
in the second half of the year was led by Waste Management, which was
overweighted and detracted from relative performance due to the accounting
issues discussed above. Strong relative performance in the tech sector added to
performance but was more than offset by challenges from the Services sector
(primarily due to an overweight in Service Corp.) and Insurance (an underweight
in AIG and an overweight in UnumProvident was pressed by the market's momentum
buying in AIG). Additionally, difficulty with American Home Products and diet
pill litigation also hurt performance.
We remain confident in our investment process and risk controls, and expect that
the historically wide spread between the most and least attractive names in our
universe suggests opportunities ahead.
1 The S&P 500 Index is an unmanaged index consisting of 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.
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 12/31/99
% of portfolio
- --------------------------------------------------
<S> <C>
Microsoft Corp. 5.9
- --------------------------------- ----------------
General Electric Co. 4.1
- --------------------------------- ----------------
Cisco Systems Inc. 3.9
- --------------------------------- ----------------
Intel Corp. 3.2
- --------------------------------- ----------------
Exxon Mobil Corp. 3.0
- --------------------------------- ----------------
Lucent Technologies Inc. 2.6
- --------------------------------- ----------------
Wal-Mart Stores Inc. 2.4
- --------------------------------- ----------------
SBC Communications Corp. 2.1
- --------------------------------- ----------------
MCI WorldCom Inc. 2.0
- --------------------------------- ----------------
Procter & Gamble Co. 2.0
- --------------------------------- ----------------
</TABLE>
<TABLE>
<CAPTION>
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
JPM Large Cap pie chart
<S> <C>
Data Processing/Electronics 29.1
Finance 10.1
Telephone 8.4
Drugs 7.9
Multi-Sector/Misc. Industrial 7.6
Retail 6.6
Consumer Staples 6.1
Energy 5.6
Services 5
Other 13.6
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Large Cap Stock Portfolio, managed by
J.P. Morgan Investment Management vs. S&P 500 Index
Growth Based on $10,000+
[Line Graph]
JPM Large Cap vs. S&P 500 plot points
JPM Large Cap S&P 500
<S> <C> <C>
10000 10000
"6/96" 10237 10252
10419 10507
"12/96" 11467 11323
11724 11574
"6/97" 13863 13531
14902 14481
"12/97" 15238 14835
17516 16842
"6/98" 18192 17332
16400 15547
"12/98" 20161 18791
20840 19664
"6/99" 22731 20984
21170 19608
"12/99" 23717 22460
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------ ---------------------
Average Annual
Return1
- ------------------------------------------ ---------------------
1 Year 3 Year Since inception+
- ----------------------------- --------- -------- ----------------------
<S> <C> <C> <C>
Large Cap Stock Portfolio,
managed by JPMIM 17.64% 27.50% 26.52%
- ----------------------------- --------- -------- ----------------------
S&P 500 Index 21.04% 27.56% 23.93%
- ----------------------------- --------- -------- ----------------------
</TABLE>
+Performance is shown from date of initial public offering, May 1, 1996.
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
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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
International Equity Portfolio For the year ended 12/31/99
Managed by J.P. Morgan Investment Management
- --------------------------------------------------------------------------------
The International Equity Portfolio returned 28.52% for the year-end December 31,
1999. The Portfolio outperformed the benchmark, MSCI EAFE Index1, which returned
27.30% for the same time period.
This outperformance reflects added value from stock selection in all major
regions: the United Kingdom, continental Europe, and particularly Japan. Japan
was the best performer amongst the major markets, reflecting both the surprising
strength of its economy as well as signs of corporate restructuring. Two of our
Japanese holdings that performed quite well were Softbank, the technology
company with Internet interests, and Sony, which has transformed itself from an
audio-visual hardware manufacturer to an entertainment conglomerate with its
PlayStation. Another holding, Mitsubishi Chemical has been increasingly
proactive in managing costs and improving profitability. Amongst the smaller
markets, Hong Kong and Singapore did particularly well, with the surprising
strength of the Asia region's recovery driving the returns to levels that even
outperformed Japan.
Looking forward, the prospect of a further round of monetary policy tightening
by central banks in the first quarter may dampen sentiment towards equities.
However, the background of continuing global economic growth is supportive. In
the UK we believe economic growth is set to continue, although the prospect of
further interest rate increases is likely to prove to be a dampening effect. As
for vulnerability in respect to Federal tightening, the Japanese central bank
will maintain an easy monetary policy, but the market may pause after a strong
1999. Continental Europe continues to look attractive with low inflation and a
strong improvement in corporate earnings. There is also still significant
potential for corporate restructuring, and the expectation of a high level of
mergers and acquisition and initial public offering activity.
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.
Nigel Emmett
Paul Quinsee
Portfolio Managers
J.P. Morgan Investment Management Inc.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
Country Allocation (% of portfolio market value)
As of 12/31/99
JPM Int. Equity pie chart
<S> <C>
United Kingdom 17.9
Japan 19.3
France 11.5
Germany 10.8
Netherlands 8.6
Switzerland 6.9
Spain 4.8
Italy 4.2
Sweden 3.5
Other 12.5
</TABLE>
<TABLE>
<CAPTION>
Top 10 Portfolio Holdings by Market Value
As of 12/31/99
% of portfolio
- ------------------------------------- ---------------
<S> <C>
Mannesmann AG 2.4
- ------------------------------------- ---------------
LM Ericcson 2.3
- ------------------------------------- ---------------
Total Cie Francaise Petroles (Fina) 2.0
- ------------------------------------- ---------------
BP Amoco Plc 2.0
- ------------------------------------- ---------------
Telefonica S.A. 1.8
- ------------------------------------- ---------------
Nokia Oyj 1.7
- ------------------------------------- ---------------
Roche Holding AG 1.7
- ------------------------------------- ---------------
Nippon Telegraph and Telephone Corp. 1.6
- ------------------------------------- ---------------
Vodafone Group Plc 1.6
- ------------------------------------- ---------------
Vivendi 1.5
- ------------------------------------- ---------------
- ------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
International Equity Portfolio, managed by J.P. Morgan Investment Management
vs. MSCI EAFE Index
Growth Based on $10,000+
[Line Graph]
JPM IE VS MSCI EAFE plot points
JPM Int. Equity MSCI EAFE
<S> <C> <C>
10000 10000
"6/96" 10172 10059
10149 10054
"12/96" 10859 10221
11032 10068
"6/97" 12003 11383
12090 11310
"12/97" 11491 10432
12913 11974
"6/98" 13189 12109
11008 10396
"12/98" 13107 12553
13372 12736
"6/99" 13851 13069
14230 13651
"12/99" 16846 15979
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------- ---------------------
Average Annual
Return1
- ---------------------------------- ---------------- -------- ---------------
1 Year 3 Year Since
inception+
- ---------------------------------- ---------------- -------- ---------------
<S> <C> <C> <C>
International Equity Portfolio,
managed by JPMIM 28.52% 15.80% 15.26%
- ---------------------------------- ---------------- -------- ---------------
MSCI EAFE Index 27.30% 16.00% 13.64%
- ---------------------------------- ---------------- -------- ---------------
</TABLE>
+Performance is shown from date of initial public offering, May 1, 1996.
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 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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Bond Debenture Portfolio For the year ended 12/31/99
Managed by Lord, Abbett & Co.
- --------------------------------------------------------------------------------
Market Review
1999 was a difficult year for bond investors. Interest rates began to rise
during the first and second quarter of 1999 on the heels of exceptional U.S.
economic growth. Despite little hard evidence of increasing wages or rising
basic materials costs, the strength of the U.S. economy sparked concerns about a
surge in inflation. Given these conditions, the U.S. Federal Reserve Board
increased its key, short-term interest rate three separate times in 1999.
Throughout the year, inflationary fears continued to plague the bond market.
Investors worried that continued growth in the U.S. economy and rising oil
prices would spark inflation even though excess capacity in industrial
materials, a competitive world economy, high productivity, and low unemployment
were still prominent. This tug of war between continued U.S. economic growth and
the fear of escalating inflation resulted in one of the flattest bond markets in
recent years, and many bond prices ended the year in decline. The notion that
additional interest rate increases may lie ahead merely added to the ills of the
U.S. bond market.
Portfolio Review
Overall, high-yield bonds held up better than government bonds despite
challenging market conditions and the fact that interest rates rose 200 basis
points (2%) during the past 15 months. The Portfolio's focus on
high-yield/lower-rated bonds enabled it to perform well when compared to
traditional government or investment-grade bond portfolios. Throughout the year,
over 65% of the Portfolio consisted of high-yield bonds in order to take
advantage of the tremendous yield advantages over Treasuries. Convertible
securities, which posted solid returns as the stock market advanced, helped
boost the Portfolio's performance. We continued to find good value in the
technology, drug, telecommunications and media sectors. We maintained our
moderate exposure to mortgage-backed securities, investing mainly in new, higher
coupon FNMA bonds that were acquired at discount prices. If inflation remains in
check, we may increase our exposure to these mortgage securities in lieu of
Treasuries.
Outlook
We believe that the economy is experiencing a return to the inflation levels we
had before the global deflationary prices of 1998, rather than a new level of
high inflation. We will continue to be watchful of the Fed in light of talks of
a rate hike in early 2000. However, we feel that bonds represent excellent value
given today's level of inflation, and will continue to be attractive if the
inflation level remains in the area of 2-3%. While in the short term we do not
anticipate a meaningful decline in interest rates, we remain encouraged by signs
such as lower housing starts, low inflation, and a U.S. government budget
surplus. Typically, these signs indicate that the U.S. economy is slowing -- a
factor which would bode well for the bond markets.
Christopher J. Towle
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
Top 10 Corporate Holdings by Market Value
As of 12/31/99
% of portfolio
- ------------------------------------------ ----------------
<S> <C>
NTL Inc. 2.0
- ------------------------------------------ ----------------
United Pan-Europe Communications NV 1.2
- ------------------------------------------ ----------------
Intermedia Communications of Florida Inc. 1.2
- ------------------------------------------ ----------------
Exodus Communications Inc. 1.2
- ------------------------------------------ ----------------
Devon Energy Corp. 1.2
- ------------------------------------------ ----------------
EchoStar Communications Corp. 1.1
- ------------------------------------------ ----------------
McLeodUSA Inc. 1.0
- ------------------------------------------ ----------------
Iron Mountain Inc. 1.0
- ------------------------------------------ ----------------
Sinclair Broadcast Group, Inc. 1.0
- ------------------------------------------ ----------------
Call-Net Enterprises Inc. 0.9
- ------------------------------------------ ----------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Portfolio Composition by Credit Quality
Ratings % of portfolio
- --------------------------------------------- ----------------
<S> <C>
U.S. Treasury and Agency 13.6
AA 1.0
A 1.8
BBB 10.1
BB 18.7
B 40.4
CCC 2.5
NR 11.9
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------
Top Portfolio Sectors (% of portfolio market value)
As of 12/31/99
LA Bond Deb pie chart
<S> <C>
High Yield 61.3
U.S. Treasury and Agency 13.6
Convertibles 15.4
Other 4.7
Preferred Stock 0.5
Convertible Preferred Stock 2
Common Stock 2.5
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Bond Debenture Portfolio, managed by Lord Abbett vs. Indices2
Growth Based on $10,000+
[Line Graph]
LA bond deb vs indices plot points
LA Bond Deb ML Conv Ind FB Hi Yield Ind Salomon BIHGI
<S> <C> <C> <C> <C>
"6/96" 10000 10000 10000 10000
10202 10069 10022 10129
"12/96" 10718 10288 10398 10318
11359 10685 10857 10629
"6/97" 11433 10720 11017 10574
12148 11722 11493 10955
"12/97" 12779 12895 12033 11319
13053 12776 12228 11652
"6/98" 13711 13874 12595 11840
13792 13768 12754 12114
"12/98" 13198 12232 11970 12617
13870 13917 12299 12673
"6/99" 14083 14648 12501 12609
14005 15758 12646 12497
"12/99" 13813 15686 12443 12588
14342 20083 12702 12566
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------- --------------------- ----------
Average Annual
Return1
- ----------------------------------------- --------------------- ----------
1 Year 3 Year Since
inception+
- --------------------------------- ------------ ---------- ---------------
<S> <C> <C> <C>
Bond Debenture Portfolio
managed by Lord Abbett 3.40% 8.30% 10.32%
- --------------------------------- ------------ ---------- ---------------
First Boston High Yield Index2 3.28% 5.37% 6.98%
- --------------------------------- ---------------------- ---------------
Salomon Brothers Broad
Investment High Grade Index2 -0.84% 5.74% 6.43%
- --------------------------------- ------------ ---------- ---------------
Merrill Lynch All
Convertible Index2 44.31% 22.93% 20.23%
- --------------------------------- ------------ ---------- ---------------
</TABLE>
+Performance is shown from date of initial public offering, May 1, 1996.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Bond Debenture
Portfolio managed by Lord Abbett and the return on the investment will
fluctuate, and redemption proceeds may be higher or lower than an investor's
original cost.
2 The First Boston High Yield Index is representative of the lower rated debt
(including straight-preferred stocks) investments in the portfolio; the Merrill
Lynch All Convertible Index is representative of the equity-related securities
in the portfolio; and Salomon Brothers Broad Investment High Grade Index is
representative of the high-grade debt in the portfolio. The three indices chosen
have elements of these three categories, but since there is no one index
combining all three categories, these three separate indices may not be a valid
comparison for the Portfolio. You may not directly invest in any of these
indices. The indices do not reflect any expenses. Performance data is historical
and includes changes in share price and reinvestment of dividends and capital
gains.
Performance numbers are net of all Portfolio operating expenses, but they
do not include the administrative fee, the insurance risk charge, the annual
contract maintenance charge or the 5% withdrawal charge imposed by the Cova
variable annuity contract. If this performance information included the effect
of the insurance charges, performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software and Bloomberg. Comparison line graphs chart
the hypothetical growth of $10,000 over a given historical period of time.
Although data are gathered from reliable sources, accuracy and completeness
cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Mid-Cap Value Portfolio For the year ended 12/31/99
Managed by Lord, Abbett & Co.
- --------------------------------------------------------------------------------
Market Review
After a tough start in early 1999, value investors were rewarded briefly in the
second quarter as performance in the stock market broadened out after several
quarters of very narrow leadership. The stocks of mid-sized companies handily
outperformed the large-cap growth stocks that had dominated the attention of
investors. Stocks then retreated during the third quarter as fears of rising
interest rates and slower earnings growth dampened investors' enthusiasm. Market
leadership again narrowed and only a few specific industries were able to post
gains. Performance across various market indices was similar, unlike earlier in
the year when large capitalization stocks were the dominant leaders. Once again,
stocks snapped back in the final quarter of the year. However, only a narrow
group of high performers continued to dominate the market as the stocks of
technology and communication companies overwhelmed the performance of the
broader indices. As evidence, the S&P Mid-Cap 400 BARRA Value Index (mid-sized
companies whose stocks are considered "value" oriented) was up only 2.3% for
1999, while the S&P Mid-Cap 400 BARRA Growth Index (mid-sized companies whose
stocks are considered "growth" oriented) advanced by 28.7%.1
Portfolio Review
Technology stocks performed strongly throughout the year and, consistent with
the overall market, the Portfolio benefited from its technology holdings.
Investments in the electric utilities sector performed well as a result of a
trend toward deregulation in the industry. Energy stocks were among the best
performers during the third quarter, and the Portfolio benefited from its
overweighting in this sector. Financial stocks were among the weakest
performers. We consciously reduced the Portfolio's exposure to banks and other
financial companies in 1998 and benefited in early 1999 from that decision.
However, the few financial company stocks that we held (primarily insurance
companies) provided positive contributions as fears of aggressive interest rate
hikes by the Federal Reserve moderated and the prospect for insurance industry
price hikes improved late in the year. Despite the bounce back in financials, we
will probably remain underweighted in this group, as we see few catalysts to
drive strong performance in this sector.
Outlook
With stocks of mid-sized companies selling at appealing discounts in comparison
to large-company stocks and with many mid-sized companies displaying strong
fundamentals and promising business developments, we believe the potential
reward opportunities in the mid-cap value market are excellent. In our opinion,
the greater risk now exists in stocks that have experienced the strongest recent
performance; primarily large companies with strong expected earnings growth and
technology companies. We feel these stocks have become very expensive relative
to their fundamental business characteristics. We expect that a trend favoring
value stocks will resume in 2000. We look forward to executing our
research-driven, value-based investment strategy in such an environment.
Edward von der Linde
Portfolio Manager
Lord, Abbett & Co.
1The S&P Mid-Cap 400 Index consists of 400 domestic stocks chosen for market
size, liquidity, and industry group representation. The S&P/BARRA Growth and
Value Indexes are constructed by dividing the stocks in an index according to a
single attribute: book-to-price ratio. This splits the index into two mutually
exclusive groups designed to track two of the predominant investment styles in
the U.S. equity market. The Value Index contains stocks with higher
book-to-price ratios; conversely, the Growth Index includes stocks with lower
book-to-price ratios. Indices cited are unmanaged, do not reflect the deduction
of fees or expenses and are not available for direct investment.
<TABLE>
<CAPTION>
Top 10 Holdings by Market Value
As of 12/31/99
% of portfolio
- -------------------------------------------------- ---------------
<S> <C>
Dynergy Inc. 4.0
- -------------------------------------------------- ---------------
Polymer Group Inc. 3.8
- -------------------------------------------------- ---------------
Cabletron Systems Inc. 3.2
- -------------------------------------------------- ---------------
CK Witco Corp. 3.1
- -------------------------------------------------- ---------------
Varian Medical Systems Inc. 3.1
- -------------------------------------------------- ---------------
Varian Semiconductor Equipment Associates Inc. 2.9
- -------------------------------------------------- ---------------
Mylan Laboratories Inc. 2.9
- -------------------------------------------------- ---------------
Illinova Corp. 2.8
- -------------------------------------------------- ---------------
Caremark Rx Inc. 2.6
- -------------------------------------------------- ---------------
EOG Resources Inc. 2.4
- -------------------------------------------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
LA mid cap pie chart
<S> <C>
Energy 15.5
Finance 11.2
Utilities 15.8
Not Classified 8.4
Other 1.8
Capital Goods 2.2
Technology 8.2
Basic Industry 7.8
Consumer Non Cyclicals 22.1
Consumer Cyclicals 7
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Mid-Cap Value Portfolio, managed by Lord Abbett vs. Russell Midcap Index2
Growth Based on $10,000+
[Line Graph]
LA mid cap vs Rus mid cap plot points
LAmid cap Russ mid cap
<S> <C> <C>
10000 10000
10440 10571
"12/97" 10490 10689
11361 11844
"6/98" 11308 11665
9383 9935
"12/98" 10606 11767
10125 11712
"6/99" 11829 12984
10940 11814
"12/99" 11211 13851
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ---------------------
Average Annual
Return1
- --------------------------- ---------------------
1 Year Since
inception+
- --------------------------- ---------------------
<S> <C> <C>
Mid-Cap Value Portfolio
managed by Lord Abbett 5.71% 4.95%
- --------------------------- ---------------------
Russell Midcap Index2 17.71% 14.77%
- --------------------------- ---------------------
</TABLE>
+Index is shown from the first full month since Portfolio's inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the 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.
2 The Russell Midcap Index measures the performance of the 800 smallest
securities in the Russell 1000 Index, which represent approximately 35% of the
total market capitalization. The index does not reflect any expenses.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software and Bloomberg. Comparison line graphs chart
the hypothetical growth of $10,000 over a given historical period of time.
Although data are gathered from reliable sources, accuracy and completeness
cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Large Cap Research Portfolio For the year ended 12/31/99
Managed by Lord, Abbett & Co.
- --------------------------------------------------------------------------------
Market Review
The year was characterized by continued overall strength in both the equity
market and the U.S. economy, but also by rising interest rates and continued
global deflationary pressures. These factors combined to create an environment
that, among large companies, favored a very select group of growth stocks with
stable earnings growth. With the exception of a brief broadening of the market
during the second quarter, investors stayed with names familiar to them,
investing in companies that exhibited strong earnings and recent outstanding
stock performance.
Portfolio Review
The Portfolio's performance was helped by our exposure to the technology sector.
We are now beginning to pare back the Portfolio's allocation to technology
stocks. The proceeds from those sales will most likely be used to increase our
allocation to cyclical stocks such as paper, chemicals and electrical equipment,
as well as other industrial stocks that tend to reflect the improving global
economies.
We also began focusing some attention on the property and casualty insurance
sector, and will seek out companies in this market segment that display
improving fundamentals. At the same time, we were generally underweighted in
financial companies, which worked to the Portfolio's advantage since many of
these stocks continued to struggle as interest rates increased. Our holdings in
health care services hurt the Portfolio, as political issues and government
influence hampered the performance of these companies. Furthermore, electric
utilities stocks, which typically do not perform well in a rising interest rate
environment, also underperformed.
Outlook
We anticipate that the global economy will maintain steady improvement. We
continue to be encouraged by low inflation rates and minimal trade restrictions
around the world. As we begin the New Year, we believe that global cyclicals,
(paper, chemicals and electric equipment) are among the best values in the
market. Many financial services companies currently display solid fundamentals
and, save for an increase in short-term interest rates by the Federal Reserve,
we will likely add to our exposure in this area.
There are some signs that the U.S. economy may be moderating. As consumer debt
levels climb, and mortgage refinancings, which reduce consumers' monthly
mortgage payments, decrease, a slowdown in consumer spending is possible.
Consequently, we remain moderately underweighted in consumer stocks, especially
those that are highly sensitive to changes in economic activity.
Robert Morris
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
Top 10 Holdings by Market Value
As of 12/31/99
% of
portfolio
- ------------------------------------------------ -------------
<S> <C>
Exxon Mobil Corp. 4.4
- ------------------------------------------------ -------------
Unisys Corp. 3.3
- ------------------------------------------------ -------------
Computer Sciences Corp. 2.9
- ------------------------------------------------ -------------
Qualcomm Inc. 2.8
- ------------------------------------------------ -------------
Aon Corp. 2.5
- ------------------------------------------------ -------------
AT&T Corp. 2.3
- ------------------------------------------------ -------------
Apple Computer Inc. 2.2
- ------------------------------------------------ -------------
Marsh & McLennan Co. Inc. 2.2
- ------------------------------------------------ -------------
First Data Corp. 2.2
- ------------------------------------------------ -------------
Compaq Computer Corp. 2.1
- ------------------------------------------------ -------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
LA lg cap pie chart
<S> <C>
Capital Goods 6.5
Conglomerates 1.1
Technology 22.9
Basic Industry 7.4
Transportation 0.4
Consumer Non Cyclicals 9
Consumer Cyclicals 10.6
Energy 9.9
Finance 14.5
Utilities 7.4
Not Classified 1.9
Other 8.4
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Large Cap Research Portfolio, managed by Lord Abbett vs. S&P 500 Index
Growth Based on $10,000+
[Line Graph]
LA lg cap vs S&P500 plot points
LA Large Cap S&P500
<S> <C> <C>
10000 10000
10040 10532
"12/97" 9926 10789
11298 12249
"6/98" 11452 12606
10035 11307
"12/98" 12014 13666
12436 14301
"6/99" 13631 15261
13131 14261
"12/99" 15083 16335
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------- --------------------- ---------------
Average Annual
Return1
- -------------------------------- --------------------- ---------------
1 Year Since
inception+
- -------------------------------- --------------------- ---------------
<S> <C> <C>
Large Cap Research Portfolio,
managed by Lord Abbett 25.54% 18.96%
- -------------------------------- --------------------- ---------------
S&P 500 Index 21.04% 23.05%
- -------------------------------- --------------------- ---------------
</TABLE>
+Index is shown from first full month since Portfolio's inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the 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.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns for the graph above were generated by
Cova from CDA Wiesenberger HySales software. Comparison line graphs chart the
hypothetical growth of $10,000 over a given historical period of time. Although
data are gathered from reliable sources, accuracy and completeness cannot be
guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Developing Growth Portfolio For the year ended 12/31/99
Managed by Lord, Abbett & Co.
- --------------------------------------------------------------------------------
Market Review
The year was interesting for the stock markets. Many of the broad indexes (S&P
5001, Russell 20002, etc.) posted returns in excess of 20%. However, overall
performance of these indexes was driven by a relatively narrow group of stocks.
Stocks of technology and internet companies, which were subject to some
volatility, influenced performance the most in the small-cap growth sector
throughout the year.
Portfolio Review
Careful bottom-up stock selection contributed to the Portfolio's positive return
throughout the year. The Portfolio's overall performance was most significantly
affected by our overweighting in technology stocks, which benefited from rapid
multiple expansion and strong earnings growth. In addition, the Portfolio was
overweighted in the retail and leisure industries, where we uncovered several
opportunities as a result of our ongoing, proprietary research.
We reduced our exposure to the healthcare stocks as influence from Washington,
D.C. and market speculation regarding possible government intervention, made
1999 a disappointing year for the healthcare sector. Many information technology
(IT) services companies also experienced some difficulty surrounding Y2K
spending. In addition, the Portfolio was underweighted in financial services
stocks, because we did not believe this area offered the long-term earnings
growth potential we sought. With the exception of a resurgence in energy stocks,
we saw very few "themes" emerge during the third quarter. Our best investment
returns were company-specific rather than sector-wide.
For the remainder of the year, we continued our aggressive pursuit of companies
with strong earnings and the potential for outstanding growth. The Portfolio's
performance was positively impacted by companies in the technology outsourcing
area that focus on helping corporate America implement and operate Internet
businesses. Some of the smallest companies we owned posted earnings slightly
below expectations, in some cases citing business slowdowns due to anticipated
Y2K problems. The technology weighting in the Portfolio expanded solely as a
function of the strong performance by companies in the technology universe in
recent months.
Outlook
We are encouraged that the economy continues to exhibit steady growth, but
remain watchful of consumer debt levels and interest rates, as well as overall
consumer confidence. In the New Year, we believe that many small companies will
experience solid earnings growth. Based on our belief that many small companies
currently have attractive fundamentals and offer very good relative value versus
large-company stocks, we expect small-cap stocks to deliver good relative
performance in the future. The Portfolio management team continues to focus on
companies with strong earnings potential and outstanding growth prospects across
a diverse group of industries.
Stephen J. McGruder
Portfolio Manager
Lord, Abbett & Co.
1The S&P 500 Index is an unmanaged index consisting of 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.
2The 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.
<TABLE>
<CAPTION>
Top 10 Holdings by Market Value
As of 12/31/99
% of portfolio
- --------------------------------------------- ---------------
<S> <C>
Cambridge Technology Partners Inc. 3.0
- --------------------------------------------- ---------------
S1 Corp. 2.8
- --------------------------------------------- ---------------
NBC Internet Inc. Class A 2.6
- --------------------------------------------- ---------------
Teletech Holdings Inc. 2.4
- --------------------------------------------- ---------------
Plantronics, Inc. 2.4
- --------------------------------------------- ---------------
Sawtek Inc. 2.3
- --------------------------------------------- ---------------
Micros Systems Inc. 2.2
- --------------------------------------------- ---------------
Radisys Corp. 2.1
- --------------------------------------------- ---------------
Xircom Inc. 1.8
- --------------------------------------------- ---------------
Student Advantage Inc. 1.5
- --------------------------------------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
LA dev growth pie chart
<S> <C>
Technology 26.4
Health Care 7.1
Consumer Discretionary 26.9
Consumer Staples 2.2
Other Energy 4.2
Materials and Processing 3.1
Producer Durables 9.8
Auto and Transportation 0.9
Financial Services 4.7
Utilities 4.9
Not Classified 4.4
Other 5.4
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Developing Growth Portfolio, managed by Lord Abbett vs. Russell 2000 Index2
Growth Based on $10,000+
[Line Graph]
LA dev grow vs Rus 2000 plot points
LA Dev Growth Russell 2000
<S> <C> <C>
10000 10000
11190 10732
"12/97" 10552 10372
11732 11416
"6/98" 11419 10883
8927 8691
"12/98" 11248 10108
11509 9560
"6/99" 13020 11046
12289 10348
"12/99" 14901 12224
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------- --------------------- ---------------
Average Annual
Return1
- --------------------------------- --------------------- ---------------
1 Year Since
inception+
- --------------------------------- --------------------- ---------------
<S> <C> <C>
Developing Growth Portfolio
managed by Lord Abbett 32.47% 18.35%
- --------------------------------- --------------------- ---------------
Russell 2000 Index2 21.26% 8.87%
- --------------------------------- --------------------- ---------------
</TABLE>
+Index is shown from the first full month since Portfolio's inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the 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.
2 The Russell 2000 Index is an unmanaged index consisting of the stocks of 2000
U.S.-based companies. The Index does not include fees or expenses and is not
available for direct investment.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software and Bloomberg. Comparison line graphs chart
the hypothetical growth of $10,000 over a given historical period of time.
Although data are gathered from reliable sources, accuracy and completeness
cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Lord Abbett Growth and Income Portfolio For the year ended 12/31/99
Managed by Lord, Abbett & Co.
- --------------------------------------------------------------------------------
Market Review
Since 1997, low interest rates and a deceleration in earnings drove the U.S.
equity market. This environment favored a very select group of large-cap stocks
that had stable earnings growth. Rather than venturing into unknown waters,
investors stayed the course and continued to purchase names familiar to them,
remaining with companies that exhibited strong earnings and/or good recent stock
performance. The first quarter of 1999 saw a continuation of this trend, with
large-cap growth stocks continuing to dominate the market. In the second quarter
we saw a broadening of the market, where for the first time in many quarters
value outperformed growth, and small- and mid-cap stocks outperformed large-cap
issues. Towards the end of the year, the trend reversed once again, and growth
stocks returned to favor. Global growth rates continued to surge throughout
1999, instilling inflationary concerns in many investors. The Federal Reserve
Board responded by initiating a series of fall rate hikes that have normalized
U.S. interest rates from their record lows last year.
Portfolio Review
In early 1999, we sold some of our holdings in non-cyclical stocks, such as
technology, healthcare and pharmaceuticals, because they approached what we
believed to be their full values. We then used the proceeds to build or add to
positions in stocks of undervalued cyclical companies in the manufacturing and
commodities industries. When cyclical stocks advanced in April, the Portfolio
was well positioned to benefit from the upswing. Anticipating some improvement
in the global economy, we made an early entry into the energy sector that paid
off well in both the first half of the year and in the third quarter. Rising
interest rates in the latter part of the year caused interest-rate-sensitive
sectors such as electric utilities and financial services to underperform.
However, technology stocks demonstrated tremendous relative strength despite
their high valuations. Over the course of the year, the Portfolio remained
underweighted in financial services companies in anticipation of rising interest
rates, although we maintained a focus on property and casualty insurance
companies, as this market segment continues to benefit from industry
consolidation. We were well positioned to benefit from the leadership position
of the technology sector, and many of our technology holdings posted strong
gains. We also increased our exposure in basic materials industries, in
anticipation of further global economic recovery in 2000 and beyond.
Outlook
We expect to see global economic growth continue throughout the coming year. In
response, we are investing in companies that are likely to benefit from this
recovery, such as those producing basic materials and capital goods. In the
U.S., some signs are emerging that the economy may be moderating, which
diminishes the risk of significant future U.S. interest rate hikes. As a result,
we are reconsidering financial services stocks, many of which display solid
fundamentals at attractive prices. We believe that any possibility of a future
interest rate increase is already reflected in the low stock prices of these
companies.
W. Thomas Hudson Jr.
Portfolio Manager
Lord, Abbett & Co.
<TABLE>
<CAPTION>
Top 10 Holdings by Market Value
As of 12/31/99
% of portfolio
- ---------------------------------------------------- -----------------
<S> <C>
International Paper Co. 2.8
- ---------------------------------------------------- -----------------
Exxon Mobil Corp. 2.6
- ---------------------------------------------------- -----------------
Alcoa Inc. 2.5
- ---------------------------------------------------- -----------------
Oracle Corp. 2.5
- ---------------------------------------------------- -----------------
American General Corp. 2.4
- ---------------------------------------------------- -----------------
Honeywell International Inc. 2.3
- ---------------------------------------------------- -----------------
AT&T Corp. 2.2
- ---------------------------------------------------- -----------------
Aon Corp. 2.1
- ---------------------------------------------------- -----------------
Dow Chemical Co. 2.0
- ---------------------------------------------------- -----------------
IBM Corp. 2.0
- ---------------------------------------------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
LA G&I pie chart
<S> <C>
Capital Goods 6.7
Conglomerates 1.2
Technology 18.7
Basic Industry 11
Consumer Non-Cyclicals 9.4
Consumer Cyclicals 9.7
Energy 11.8
Finance 17
Utilities 10.9
Other 3.6
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Lord Abbett Growth and Income Portfolio, managed by Lord Abbett vs.
S&P 500 Index2
Growth Based on $10,000+
[Line Graph]
Lord Abbett G&I vs S&P500 plot points
LA S&P 500
<S> <C> <C>
10000 10000
9829 10053
"6/99" 10958 10727
10083 10024
"12/99" 11138 11482
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------- ----------------
Total Return 1
- ----------------------------------- ----------------
Since
inception+
- ----------------------------------- ----------------
<S> <C>
Lord Abbett Growth and Income
Portfolio, managed by Lord Abbett 11.38%
- ----------------------------------- ----------------
S&P 500 Index 2 16.79%
- ----------------------------------- ----------------
</TABLE>
+Index is shown from first full month since inception (1/8/99).
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the LA Growth and Income
Portfolio and the return on the investment both will fluctuate, and redemption
proceeds may be higher or lower than an investor's original cost.
2 The S&P 500 Index is an unmanaged index generally considered to be
representative of stock market activity.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
Cova from CDA Wiesenberger HySales software. Comparison line graphs chart the
hypothetical growth of $10,000 over a given historical period of time. Although
data are gathered from reliable sources, accuracy and completeness cannot be
guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio For the year ended 12/31/99
Managed by Mississippi Valley Advisors
- --------------------------------------------------------------------------------
The stock market finished the year with a phenomenal surge and the S&P 5001
gained 21.04% for the year. While substantial, these gains were miniscule
compared to the 85% increase in the NASDAQ Composite Index2. It was only the
second time in the composite's history that it was able to rally more than 40%.
Given that the S&P 500 has advanced for eight of those nine years, one could
call for some caution looking forward. Most market strategists have some concern
for the market in 2000. GDP, corporate profits, and inflation concerns will be
major factors in the determination of the success of the stock market next year.
The bond market ended the reporting period, and entire year, in negative
territory. The bellwether 30-year bond ended the quarter down 4%, and ended the
year down over 15%. With the last of three rate hikes in 1999 on November 16,
the Fed felt confident that a 5.50% Fed funds rate would be a sufficient level
to help balance the economy. Many bond-market strategists and economists are
calling for three more rate hikes in the first six months of the year 2000. This
summer's 6.28% high in the 30-year bond has been surpassed. Most likely the
stock market will give us an additional clue as to the Fed's next rate hike.
The prospect of declining economic growth and corporate profits suggests a
defensive stock mix.
Peter Merzian
Portfolio Manager
Mississippi Valley Advisors
1 The S&P 500 Index is an unmanaged index consisting of stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
2 The NASDAQ Composite Index is a market-value weighted index of all common
stocks listed on NASDAQ.
<TABLE>
<CAPTION>
Top 10 Portfolio Holdings by Market Value
As of 12/31/99
% of portfolio
- ------------------------------------------ -----------------
<S> <C>
FNMA Bond (6.0%, 2013) 5.0%
- ------------------------------------------ -----------------
U.S. Treasury Note (7.25%, 2004) 3.8
- ------------------------------------------ -----------------
U.S. Treasury Note (6.625%, 5/15/07) 3.7
- ------------------------------------------ -----------------
U.S. Treasury Note (6.0%, 8/15/09) 2.4
- ------------------------------------------ -----------------
Applied Materials Inc. 2.1
- ------------------------------------------ -----------------
KLA-Tencor Corp. 2.0
- ------------------------------------------ -----------------
Du Pont (E.I.) de Nemours (8.25%, 2006) 1.9
- ------------------------------------------ -----------------
Wal-Mart Stores Inc. 1.9
- ------------------------------------------ -----------------
U.S. Treasury Note (6.375%, 2002) 1.8
- ------------------------------------------ -----------------
U.S. Treasury Note (6.375%, 2000) 1.8
- ------------------------------------------ -----------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
MVA Balanced pie chart
<S> <C>
Consumer Growth 11.6
Technology 13.6
Interest Sensitive 10
Consumer Staples 4.3
Industrial Cyclicals 7
Energy 2.8
Capital Goods 2.2
Consumer Cyclicals 0.5
Corporate Securities 12.4
U.S. Treasury and Agency Securities 25.9
Other 9.7
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Balanced Portfolio, managed by
Mississippi Valley Advisors vs. Indices
Growth Based on $10,000+
[Line Graph]
MVA Balanced vs S&P500 and Salomon Bros. Broad
MVA Bal. S&P 500 Salomon Bros. Broad
<S> <C> <C> <C>
10000 10000 10000
10510 9926 10060
"12/97" 10601 10169 10356
11346 11545 10523
"6/98" 11327 11881 10767
10760 10657 11213
"12/98" 12013 12881 11263
12139 13480 11207
"6/99" 12887 14384 11107
12222 13441 11188
"12/99" 12870 15396 11168
</TABLE>
<TABLE>
<CAPTION>
- ------------------------- ---------------------- ---------------
Average Annual
Return1
- ------------------------- ---------------------- ---------------
1 Year Since
inception+
- ------------------------------------------- ---------------
<S> <C> <C>
Balanced Portfolio,
managed by MVA 7.14% 10.60%
- ------------------------------------------- ---------------
S&P 500 Index 21.04% 18.84%
- ------------------------------------------- ---------------
Salomon Brothers
BIG Index -0.84% 4.52%
- ------------------------------------------- ---------------
</TABLE>
+Index is shown from the first full month since Portfolio's inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the 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.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Equity Income Portfolio For the year ended 12/31/99
Managed by Mississippi Valley Advisors
- --------------------------------------------------------------------------------
The Equity Income Portfolio finished the year with a 2.51% return, compared to a
20.92% return of its benchmark Russell 1000 Index.1 Earlier in the year, the
Portfolio benefited from continued strength in the U.S. economy, and improving
economic trends worldwide helped focus investor attention back on cyclical
stocks. In addition, higher interest rates during the period put pressure on
some of the more overvalued higher multiple growth stocks, which in turn helped
the valued segment of the market show improvement. The fourth quarter of 1999
proved to be a disappointing one for value investors. Rising interest rates once
again took their toll on banks and utilities. Consumer product stocks turned in
mixed performances, while pharmaceuticals lagged the overall market. Technology
stocks turned in a strong performance, as did our industrial cyclical holdings,
which were benefiting from a strong economy. Oil companies took a breather from
their good showing during the first three-quarters of the year, as oil prices
stopped going up.
The normal catalysts for value stocks to do well (a strong economy, accelerating
earnings growth and rising interest rates), have all taken place, but the market
continues to focus on large cap growth, especially technology, and more
specifically Internet related issues. How large the valuation gap can become is
anyone's guess, but it would appear to be at a fairly extreme level at present.
We continue to believe the value sector holds above average return potential
over the next 12-24 months, especially with many worldwide economies
strengthening and the U.S. economy continuing to maintain its solid growth.
Gregory A. Glidden
Portfolio Manager
Mississippi Valley Advisors
1 The Russell 1000 Index consists of the largest 1000 companies in the Russell
3000 Index. The Index represents the universe of large capitalization stocks
from which most active money managers typically select. The Index does not
include fees or expenses and is not available for direct investment.
<TABLE>
<CAPTION>
Top 10 Portfolio Holdings by Market Value
As of 12/31/99
% of portfolio
- --------------------------------- ----------------
<S> <C>
SPDR Trust Unit 5.0
- --------------------------------- ----------------
Alcoa Inc. 2.7
- --------------------------------- ----------------
Sysco Corp. 2.5
- --------------------------------- ----------------
Pepsico Inc. 2.3
- --------------------------------- ----------------
USX - U.S. Steel Group Inc. 2.3
- --------------------------------- ----------------
GTE Corp. 2.2
- --------------------------------- ----------------
First Data Corp. 2.2
- --------------------------------- ----------------
Murphy Oil Corp. 2.1
- --------------------------------- ----------------
Intel Corp. 2.1
- --------------------------------- ----------------
Baxter International Inc. 2.0
- --------------------------------- ----------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
MVA equity inc. pie chart
<S> <C>
Interest Sensitive 35.3
Energy 8.3
Consumer Growth 9.4
Industrial Cyclical 12.3
Consumer Staples 9.1
Technology 8.6
Capital Goods 1
Consumer Cyclical 3.3
Other 12.7
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Equity Income Portfolio, managed by
Mississippi Valley Advisors vs. Russell 1000
Growth Based on $10,000+
[Line Graph]
MVA equity inc vs russ 1000 plot points
MVA Equity Inc. Russell 1000
<S> <C> <C>
10000 10000
10900 10051
"12/97" 11269 10353
12656 11737
"6/98" 12427 12031
11266 10790
"12/98" 12323 13151
12354 13693
"6/99" 13700 14670
12631 13701
"12/99" 12632 15902
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------- --------------------- -----------------
Average Annual
Return1
- ---------------------------- --------------------- -----------------
1 Year Since inception+
- ---------------------------- --------------------- -----------------
<S> <C> <C>
Equity Income Portfolio,
managed by MVA 2.51% 9.78%
- ---------------------------- --------------------- -----------------
Russell 1000 Index 20.92% 20.39%
- ---------------------------- --------------------- -----------------
</TABLE>
+Index is shown from the first full month since Portfolio's inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Equity Income
Portfolio managed by Mississippi Valley Advisors (MVA) and the return on the
investment will fluctuate, and redemption proceeds may be higher or lower than
an investor's original cost.
Performance data is historical and includes changes in share price and
reinvestment of dividends and capital gains. Performance numbers are net of all
Portfolio operating expenses, but they do not include the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Growth & Income Equity Portfolio For the year ended 12/31/99
Managed by Mississippi Valley Advisors
- --------------------------------------------------------------------------------
The Growth & Income Equity Portfolio finished the year with a 16.17% return,
compared to a 21.04% return of its benchmark S&P 500 Index.1 Over the year, the
Portfolio benefited from continued improvement in the global economy, which had
a direct impact on energy stocks and economically sensitive stocks. In the
second quarter, value investing came into vogue and small caps became more
interesting than large cap growth. The fourth quarter of 1999 staged a strong
recovery following the seasonal weakness experienced in the third quarter.
Despite a more stringent Federal Reserve policy and nine years of economic
expansion, the equity market posted double-digit gains lead by the technology
and telecom sectors. For the 5th year in a row, the equity market has had an
upward bias despite the fact that it has become more pyramidal in nature in that
as the market moves higher fewer stocks are participating. This is evidenced by
the fact that 57% of the equities in the S&P 500 posted negative returns for the
year. Equity purchases have focused on momentum and ignored value, thus while
some sectors of the market are overvalued some sectors appear to be undervalued.
Fears of inflation and global economic expansion have caused the recent back up
in interest rates. This global recovery should benefit the industrial cyclical
and capital goods sectors of the market.
With stocks near record valuation levels, we continue to be cautious and focus
on the most attractive relative values that would include specialty retailers,
financials, industrial cyclical and selected technology stocks. Our portfolio
remains well diversified and biased towards predictable growth.
Equity Committee
Mississippi Valley Advisors
1 The S&P 500 Index is an unmanaged index consisting of stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
<TABLE>
<CAPTION>
Top 10 Holdings by Market Value
As of 12/31/99
% of portfolio
- ------------------------------ ---------------
<S> <C>
BMC Software Inc. 4.1
- ------------------------------ ---------------
Applied Materials Inc. 3.9
- ------------------------------ ---------------
KLA-Tencor Corp. 3.7
- ------------------------------ ---------------
Wal-Mart Stores Inc. 2.9
- ------------------------------ ---------------
General Electric Co. 2.6
- ------------------------------ ---------------
Microsoft Corp. 2.5
- ------------------------------ ---------------
Alcoa Inc. 2.5
- ------------------------------ ---------------
Sysco Corp. 2.5
- ------------------------------ ---------------
Altera Corp. 2.4
- ------------------------------ ---------------
Hewlett Packard Co. 2.3
- ------------------------------ ---------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------
Top 10 Portfolio Sectors (% of portfolio market value)
As of 12/31/99
MVA G&I Equity pie chart
<S> <C>
Consumer Growth 21.6
Technology 28.6
Interest Sensitive 17.6
Industrial Cyclicals 13.7
Energy 5
Consumer Staples 8.1
Capital Goods 4.2
Consumer Cyclical 1.2
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Growth & Income Equity Portfolio, managed by
Mississippi Valley Advisors vs. S&P 500 Index
Growth Based on $10,000+
[Line Graph]
MVA G&I Equity vs S&P500 plot points
MVA G&I S&P 500
<S> <C> <C>
10000 10000
10772 9926
"12/97" 10826 10169
12191 11545
"6/98" 11976 11881
10344 10657
"12/98" 12445 12881
12746 13480
"6/99" 14167 14384
13006 13441
"12/99" 14457 15396
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------- ---------------- ----------------
Average Annual
Return1
- ----------------------------- ---------------- ----------------
1 Year Since
inception+
- ----------------------------- ---------------- ----------------
<S> <C> <C>
Growth and Income Equity
Portfolio, managed by MVA 16.17% 15.86%
- ----------------------------- ---------------- ----------------
S&P 500 Index 21.04% 18.84%
- ----------------------------- ---------------- ----------------
</TABLE>
+Index is shown from the first full month since Portfolio's inception.
1 "Average Annual Return" is calculated including reinvestment of all income
dividends and capital gain distributions. Results represent past performance and
do not indicate future results. The value of an investment in the Growth and
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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Riggs U.S. Government Securities Portfolio For the year ended 12/31/99
Managed by Riggs Bank N.A.
- --------------------------------------------------------------------------------
The fixed income markets experienced their second worst performance in 50 years
during 1999. Only 1994 surpassed this year in generating negative rates of
return. From a year, which began with expectations of a slowing economy,
accompanied by declining rates, 1999 turned into a very powerful bear market.
The continued residual from both the Russian default and the Long Term Capital
rescue did not slow the U.S. economy in 1999. In fact GDP is expected to have
grown in excess of 4.00% during the year. In addition, oil prices, which began
the year by falling to their lowest level since April 1986, ended 1999 at $25.60
or more than double the low of $11.26 reached in February.
The Federal Reserve took back its three twenty-five basis point easings of 1998
by tightening 25 basis points in June, August and November. Granted the easings
of 1998 were attributable to the crisis surrounding Russia and Long Term
Capital, the tightenings still weighed on the bond market. The resiliency of the
U.S. economy to withstand the global problems and continue to expand at a 4.00%
rate surprised most economists, and probably the Fed. Add the fact that
unemployment reached its lowest level since January 1970 and you have a central
bank concerned about inflationary pressures. The only reassuring factor limiting
the Fed from tightening more rapidly was the continued rise in productivity and
the tame core inflation rate.
The fourth quarter's major highlight surrounded the Y2K issue. The Fed announced
in December that it would have tightened or at least gone to a bias favoring
tightening had it not been for the uncertainty surrounding any Y2K glitches. In
addition, corporations, banks and individuals increased their liquidity to
varying degrees into year-end 1999. Inventories and supplies were stockpiled
"just in case". The bond market continued to deteriorate in the fourth quarter
as the majority of economic indicators pointed toward continued strength instead
of any weakening trend. This combined with the low unemployment rate led most
bond participants to question the "new paradigm" of strong growth and low
inflation. The result was that the yield curve flattened as rates rose in
anticipation of future tightening in 2000.
Following the end of the Y2K uncertainty, the Fed should respond by increasing
interest rates in 2000. We believe the Fed will likely wish to get its
restrictive monetary policy out of the way before the national conventions and
presidential elections. Thus the Fed is likely to respond to any hint of
inflation or continued strength in the economy by hiking rates. There are
several caveats to our forecast. The first is that any substantial "meltdown" in
the equity market would likely short circuit this bear market and force the Fed
to end its tightening and even ease to restore confidence. The second is the
dollar. The United States is running the highest trade deficit of the western
industrialized nations. Any substantial decline in the dollar could cause a rise
in inflationary expectations and rates, which would have a negative effect on
equities.
John Lockhart
Portfolio Manager
Riggs Bank N.A.
<TABLE>
<CAPTION>
Top Portfolio Holdings by Market Value
As of 12/31/99
% of
portfolio
- ------------------------------------ --------------
<S> <C>
FHLB (7.2%, 2009) 17.7
- ------------------------------------ --------------
FHLB (8.0%, 2009) 16.3
- ------------------------------------ --------------
FFCB (7.1%, 2005) 16.3
- ------------------------------------ --------------
FHLMC (7.76%, 2009) 11.4
- ------------------------------------ --------------
U.S. Treasury Note (6.875%, 2006) 8.4
- ------------------------------------ --------------
U.S. Treasury Note (6.625%, 2007) 8.3
- ------------------------------------ --------------
U.S. Treasury Note (6.5%, 2006) 8.2
- ------------------------------------ --------------
GNMA (7.0%, 2007) 7.1
- ------------------------------------ --------------
FNMA (7.40%, 2014) 6.3
- ------------------------------------ --------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------
Portfolio Composition (% of portfolio market value)
As of 12/31/99
Riggs U.S. Government Securities
<S> <C>
FHLB 34
FFCB 16.3
FNMA 6.3
FHLMC 11.4
GNMA 7.1
U.S. Treasury 24.9
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Riggs U.S. Government Securities, managed by
Riggs Bank N.A. vs. Lehman Brothers Government Bond Index
Growth Based on $10,000+
[Line Graph]
PLOT POINTS
Riggs U.S. Government Securities portfolio vs.
Lehman Bros. Government Bond Index
Riggs Lehman
<S> <C> <C>
"6/99"
10000 10000
"12/99" 9882 9935
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ----------------
Total Return1
- ------------------------------------------- ----------------
Since
inception+
- ------------------------------------------- ----------------
<S> <C>
Riggs U.S. Government Securities
Portfolio, managed by
Riggs Bank N.A. -1.18%
- ------------------------------------------- ----------------
Lehman Brothers Gov. Bond Index -0.79%
- ------------------------------------------- ----------------
</TABLE>
+Index is shown from the first full month since Portfolio's inception (11/3/99).
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the U.S. Government
Securities Portfolio managed by Riggs Bank N.A. 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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
Riggs Stock Portfolio For the year ended 12/31/99
Managed by Riggs Bank N.A.
- --------------------------------------------------------------------------------
The equity markets were immune to the travails of the fixed income markets.
Higher productivity, the "new" economy (i.e. technology), the Internet and
e-commerce were the buzzwords that kept the stock market floating in the ether
of the new valuation metrics. The old economy (anything not technology) was
susceptible to the rising trend of interest rates and the competition from the
new. The new versus the old produced a dichotomy in the equity markets that led
to the most narrow momentum driven market in history.
Some interesting facts regarding the unusual stock market environment in the
past year:
o A select group1 of about 5% of the stocks in the S&P 5002 produced nearly
100% of the index's returns.
o The median stock in the S&P 500 was up only 0.40%.
o The technology sector at year-end constituted 30% of the market
capitalization of the S&P 500 and accounted for roughly 70% of the return.
Technology, up 109% in 1999, was by far the strongest sector.
The strong returns of the past several years (over 20% for each of the past five
years for the S&P 500) are unlikely to be repeated over the next several years.
Keep in mind, however, that many stocks have not participated in the success of
late and may benefit to a greater degree as money shifts from technology into
different sectors of the market. Though technology spending will continue to be
robust as the communications revolution takes hold, the rate of growth in
several segments of technology will decelerate from the higher-than-trend growth
rate over the last few years. This was partly a function of corporations rushing
to prepare themselves for Y2K, as well as the need to offset higher wages with
improving productivity.
Further, through the downturn in world economies, larger companies have been
able to maintain their earnings power by reducing input costs by taking
advantage of lower commodity prices and by squeezing their suppliers. As the
world economies begin to recover (their stock markets being a leading
indicator), smaller companies may have a better chance of demonstrating an
improving earnings trend relative to larger companies. In this respect, we
believe there may be a broadening out of stock market returns to areas other
than the technology sector. As this happens we are positioned to benefit in this
diversified portfolio.
John Lockhart
Portfolio Manager
Riggs Bank N.A.
1 Microsoft, Cisco, General Electric, Wal-Mart, Oracle Systems, Nortel Networks,
Qualcomm, Sun Microsystems, Citigroup, Intel, America Online, EMC Corp, Home
Depot, Lucent Technologies, Motorola, American Intl Group, Hewlett-Packard,
Texas Instruments, Morgan Stanley Dean Witter, Dell Computer
2 The S&P 500 Index is an unmanaged index consisting of stocks of 500 of the
largest U.S.-based companies. The Index does not include fees or expenses and is
not available for direct investment.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Sector Allocation (% of portfolio market value)
As of 12/31/99
Riggs Stock Portfolio largest sectors
<S> <C>
Basic Materials 2.8
Energy 5.6
Capital Goods 7.6
Technology 19.4
Health Care 9.9
Consumer Cyclical 11.6
Consumer Services 5.6
Consumer Staples 10
Financials 18.6
Utilities Gas & Electric 3.5
Utilities Telephone 5.4
</TABLE>
<TABLE>
<CAPTION>
Top 10 Portfolio Holdings by Market Value
As of 12/31/99
% of portfolio
- ----------------------------------------- ----------------
<S> <C>
Safeway, Inc. 3.7
- ----------------------------------------- ----------------
Lucent Technologies, Inc. 2.8
- ----------------------------------------- ----------------
International Business Machines Corp. 2.7
- ----------------------------------------- ----------------
Tyco International Ltd. 2.6
- ----------------------------------------- ----------------
Philip Morris Co., Inc. 2.6
- ----------------------------------------- ----------------
Exxon Mobil Corp. 2.6
- ----------------------------------------- ----------------
SCI Systems, Inc. 2.2
- ----------------------------------------- ----------------
Cisco Systems, Inc. 2.2
- ----------------------------------------- ----------------
Cendant Corp. 2.1
- ----------------------------------------- ----------------
Hartford Financial Services Group, Inc. 2.1
- ----------------------------------------- ----------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Riggs Stock Portfolio, managed by
Riggs Bank N.A. vs. S&P 500 Index
Growth Based on $10,000+
[Line Graph]
Riggs Stock Portfolio vs. S&P 500
Riggs Stock S&P 500
<S> <C> <C>
"6/99"
10000 10000
"12/99" 10178 10804
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ ----------------
Total Return1
- ------------------------------ ----------------
Since
inception+
- ------------------------------ ----------------
<S> <C>
Riggs Stock Portfolio,
managed by Riggs Bank N.A. 1.78%
- ------------------------------ ----------------
S&P 500 Index 8.04%
- ------------------------------ ----------------
</TABLE>
+Index is shown from the first full month since Portfolio's inception (11/3/99).
1 "Total Return" is calculated including reinvestment of all income dividends
and capital gain distributions. Results represent past performance and do not
indicate future results. The value of an investment in the Stock Portfolio
managed by Riggs Bank N.A. 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 the administrative fee,
the insurance risk charge, the annual contract maintenance charge or the 5%
withdrawal charge imposed by the Cova variable annuity contract. If this
performance information included the effect of the insurance charges,
performance numbers would be lower.
Graph prepared by Cova. The index returns in the graph above were generated by
CDA Wiesenberger HySales software. Comparison line graphs chart the hypothetical
growth of $10,000 over a given historical period of time. Although data are
gathered from reliable sources, accuracy and completeness cannot be guaranteed.
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT AUDITORS
The Board of Trustees and Shareholders
Cova Series Trust:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Small Cap Stock Portfolio, Quality Bond
Portfolio, Select Equity Portfolio, Large Cap Stock Portfolio, International
Equity Portfolio, Bond Debenture Portfolio, Mid-Cap Value Portfolio, Large Cap
Research Portfolio, Developing Growth Portfolio, Lord Abbett Growth & Income
Portfolio, Balanced Portfolio, Equity Income Portfolio, Growth & Income Equity
Portfolio, Riggs U.S. Government Securities Portfolio, and Riggs Stock
Portfolio, portfolios of Cova Series Trust (the Trust), as of December 31, 1999
and the related statements of operations for the year or periods then ended and
changes in net assets for each of the years or periods in the two-year period
then ended and the financial highlights for each of the years or periods in the
four-year period then ended. These financial statements and financial highlights
are the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Small
Cap Stock Portfolio, Quality Bond Portfolio, Select Equity Portfolio, Large Cap
Stock Portfolio, International Equity Portfolio, Bond Debenture Portfolio,
Mid-Cap Value Portfolio, Large Cap Research Portfolio, Developing Growth
Portfolio, Lord Abbett Growth & Income Portfolio, Balanced Portfolio, Equity
Income Portfolio, Growth & Income Equity Portfolio, Riggs U.S. Government
Securities Portfolio, and Riggs Stock Portfolio, as of December 31, 1999, the
results of their operations for the year or periods then ended, changes in their
net assets for each of the years or periods in the two-year period then ended
and the financial highlights for each of the years or periods in the four-year
period then ended in conformity with generally accepted accounting principles.
[KPMG logo] [Graphic omitted]
Boston, Massachusetts
February 4, 2000
- -------------------------------------------------------------------------------
<PAGE>
COVA SERIES TRUST
SMALL CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- ---------------------------------------------------------------------------------------
Common Stocks - 95.2%
Advertising - 0.8%
<S> <C> <C>
24/7 Media, Inc.* ..............................................8,800 $ 495,000
Digital Impact, Inc.* ..........................................2,700 135,338
Obie Media Corp. ...............................................9,100 105,788
Webstakes.com, Inc.*............................................9,200 181,700
-------------
917,826
-------------
Apparel Retailers - 0.6%
AnnTaylor Stores Corp.*........................................19,800 681,863
---------------
Automotive - 1.0%
Dura Automotive Systems, Inc.* .................................7,000 122,063
Lithia Motors, Inc.* ..........................................14,100 252,038
Monaco Coach Corp.* ............................................9,300 237,731
National R.V. Holdings, Inc.* .................................17,100 329,175
Sonic Automotive, Inc. ........................................15,200 148,200
---------------
1,089,207
---------------
Banking - 3.7%
BancorpSouth, Inc. .............................................5,300 86,456
Bank United Corp. .............................................25,300 689,425
Capital Crossing Bank* .........................................7,400 92,500
City National Corp. ............................................9,000 296,438
Colonial Bancgroup, Inc. ......................................39,500 409,813
Commercial Federal Corp. ......................................20,450 364,266
Community First Bankshares, Inc. ..............................22,700 357,525
Creditrust Corp.* ..............................................9,500 73,031
Gold Banc Corp., Inc. ..........................................4,800 43,200
Hamilton Bancorp, Inc.* .......................................14,300 253,825
MicroFinancial, Inc. ...........................................6,500 75,969
National Commerce Bancorp .....................................21,300 483,244
Pacific Century Financial Corp. ...............................13,700 256,019
Republic Security Financial Corp. .............................21,000 150,282
Sterling Bancshares, Inc. ......................................1,900 21,256
Summit Bancshares, Inc. ........................................4,800 88,800
Sun Bancorp, Inc. .............................................13,480 133,958
Westamerica Bancorp ............................................6,500 181,594
---------------
4,057,601
---------------
Beverages, Food & Tobacco - 1.2%
American Italian Pasta Co.* ...................................13,700 421,275
Beringer Wine Estates Holdings, Inc.* ..........................8,700 346,913
Keebler Foods Co.* ............................................19,300 542,813
---------------
1,311,001
---------------
Building Materials - 0.4%
Caprock Communications Corp.* ..................................8,800 285,450
Elcor Corp. ....................................................5,550 167,194
---------------
452,644
---------------
Chemicals - 5.0%
Albemarle Corp. ...............................................24,200 464,338
Bush Boake Allen, Inc.* .......................................14,000 343,875
General Chemical Group, Inc. ..................................27,700 64,056
Gentek, Inc. ..................................................30,100 314,169
Geon Co. (The) ................................................40,700 1,322,750
Georgia Gulf Corp. ............................................45,600 1,387,950
Lyondell Petro Chemical Co. ...................................16,900 215,475
Minerals Technologies, Inc. ....................................5,500 220,344
Wellman, Inc. .................................................61,400 1,143,575
---------------
5,476,532
---------------
Commercial Services - 2.9%
FreeMarkets, Inc.* ...............................................600 204,788
Media Metrix, Inc.* ............................................7,600 271,700
Modis Professional Services, Inc.* ............................18,600 265,050
NetRatings, Inc.* ..............................................5,100 245,438
On Assignment, Inc.* ..........................................16,500 492,938
Pfsweb, Inc* ...................................................1,300 48,750
Profit Recovery Group International, Inc. (The) ................3,850 102,266
Regis Corp. ...................................................14,650 276,519
Trimeris, Inc.* ................................................9,200 217,350
Wind River Systems, Inc.* .....................................29,300 1,073,113
--------------
3,197,912
--------------
Communications - 3.9%
Advanced Fibre Communications, Inc.* ..........................29,200 1,304,875
Allegiance Telecom, Inc.* .....................................12,000 1,107,000
Juniper Networks, Inc.* ........................................1,300 442,000
L-3 Communications Holdings, Inc.* ............................17,000 707,625
Seachange International, Inc. .................................13,950 493,481
Williams Communications Group, Inc.* ...........................6,400 185,200
-------------
4,240,181
-------------
Computer Software & Processing - 20.4%
3DO Co. (The)* ................................................21,700 197,335
Accrue Software, Inc.* .........................................8,000 433,000
Agency.COM., Inc.* .............................................2,700 137,700
Aether Systems, Inc.* ..........................................2,000 143,250
Agile Software Corp.* ..........................................1,200 260,681
Akamai Technologies, Inc.* .....................................1,700 556,963
Alteon Websystems, Inc.* .......................................1,500 131,625
Art Technology Group, Inc.* ....................................6,600 845,625
Business Objects S.A. (ADR)* ...................................2,100 280,613
CareInsite, Inc.* ..............................................6,000 483,000
C-bridge Internet Solutions, Inc.* .............................1,000 48,625
CheckFree Corp.* ..............................................17,900 1,870,540
Clarent Corp.* .................................................6,900 536,475
Computer Horizons Corp.* ......................................27,500 445,156
Digex, Inc.* ...................................................4,700 323,125
eGain Communications Corp.* ....................................4,500 169,875
eSPEED, Inc. (Class A)* ........................................7,000 248,938
Excalibur Technologies Corp.* .................................19,200 396,000
Exchange Applications, Inc.* ...................................6,300 352,013
E. Piphany, Inc.* ..............................................1,800 401,625
Gartner Group, Inc. (Class A)..................................17,500 266,875
IDX Systems Corp.* .............................................7,500 234,375
Ilife.com Inc. * ...............................................4,900 22,050
Informatica Corp* ..............................................6,600 702,075
Informix Corp.* ...............................................35,900 410,606
Interleaf, Inc.* ...............................................5,500 184,938
Liberate Technologies, Inc.* ...................................2,800 719,600
Liquid Audio, Inc.* ............................................6,500 170,625
Looksmart, Ltd.* ..............................................12,900 348,300
Mediaplex, Inc.* ...............................................4,100 257,275
Metasolv Software, Inc.* .......................................2,300 188,025
MicroStratetgy, Inc.* .........................................11,000 2,309,980
National Information Consortium, Inc.* .........................6,400 204,800
Net Perceptions, Inc.* ........................................10,900 457,800
Official Payments Corp.* .......................................1,900 98,800
Ondisplay, Inc.* .................................................900 81,788
OpenTV Corp.* ..................................................2,100 168,525
Packeteer, Inc.* ...............................................7,800 553,800
PcOrder.com, Inc.* .............................................4,800 244,800
Peregrine Systems, Inc.* .......................................4,600 387,263
Preview Systems, Inc.* .........................................1,200 77,850
Proxicom, Inc.* ................................................6,000 745,875
Quokka Sports, Inc.* ...........................................8,800 115,500
Rainmaker Systems, Inc.* .......................................5,700 115,425
Retek Inc.* ....................................................5,700 428,925
Sanchez Computer Associates, Inc. .............................16,200 667,238
Software.com, Inc.* ............................................3,700 355,200
Source Information Management Co. (The)* ......................22,400 375,200
Technology Solutions Co.* .....................................13,100 429,025
Tumbleweed Communications Corp.* ..............................10,300 872,925
Verio Inc. ....................................................13,000 600,438
Viant Corp.* ...................................................4,100 405,900
Watchguard Technologies, Inc.* ................................11,200 338,800
WebTrends Corp.* ...............................................4,700 380,700
-------------
22,183,465
-------------
Computers & Information - 0.9%
Va Linux Systems, Inc.* ........................................2,200 454,575
Visual Networks, Inc.* .........................................6,800 538,900
-------------
993,475
-------------
Containers & Packaging - 0.3%
American National Can Group, Inc. .............................14,700 191,100
Ivex Packaging Corp.* .........................................17,400 174,000
-------------
365,100
-------------
Cosmetics & Personal Care - 0.4%
Alberto-Culver Co. (Class B)...................................17,000 438,813
--------------
Electric Utilities - 1.0%
Cleco Corp. ...................................................25,800 827,213
Rare Medium Group, Inc.* .......................................7,700 262,763
-------------
1,089,976
-------------
Electronics - 7.3%
ACT Manufacturing, Inc.* ......................................12,300 461,250
Applied Micro Circuits Corp. ..................................14,300 1,819,675
ATMI, Inc.* ...................................................20,400 674,475
Caliper Technologies Corp.* ....................................1,800 120,150
C-Cube Microsystems Inc.* ......................................5,800 361,050
Cobalt Networks, Inc.* .........................................1,900 205,913
E-Tek Dynamics, Inc.* ..........................................6,900 928,913
Exar Corp.* ...................................................13,900 818,363
Finisar Corp.* .................................................3,600 323,550
Power-One, Inc.* ..............................................12,500 572,656
Sage, Inc.* ....................................................2,200 42,625
SDL, Inc. ......................................................4,400 959,200
Silicon Image, Inc.* ...........................................5,400 378,338
Sycamore Networks, Inc.* .........................................400 123,200
World Access, Inc.* ...........................................11,500 221,375
------------
8,010,733
------------
Entertainment & Leisure - 2.2%
Anchor Gaming* ................................................16,800 729,750
Boca Resorts, Inc.* ...........................................14,700 143,325
Cinar Corp.* ..................................................20,300 497,350
JAKKS Pacific, Inc.* ...........................................3,500 65,406
Premier Parks, Inc.* ..........................................15,300 441,788
Ticketmaster Online-CitySearch, Inc.* ..........................8,500 326,719
World Wrestling Federation Entertainment, Inc.* ................8,600 148,350
-------------
2,352,688
-------------
Financial Services - 1.7%
Allied Capital Corp. ..........................................23,800 435,838
American Home Mortgage Holdings, Inc.* ........................11,900 78,838
Gabelli Asset Management, Inc.* ...............................14,000 227,500
Heller Financial, Inc. ........................................28,500 571,781
Ocwen Financial Corp.* ........................................24,900 155,625
TD Waterhouse Group, Inc.* ....................................16,700 274,506
Web Street, Inc.* .............................................10,400 128,700
------------
1,872,788
------------
Food Retailers - 0.0%
Webvan Group Inc.* .............................................2,100 34,650
-------------
Forest Products & Paper - 1.4%
Buckeye Technologies, Inc.* ...................................15,700 233,538
Caraustar Industries, Inc. ....................................31,900 765,600
Universal Forest Products, Inc. ...............................36,200 533,950
------------
1,533,088
------------
Health Care Providers - 0.1%
Women First Healthcare, Inc.* .................................14,800 77,700
--------------
Heavy Machinery - 3.0%
Applied Science and Technology, Inc.* ..........................8,100 269,199
CNH Global N.V. ...............................................24,300 323,494
Dycom Industries, Inc.* ........................................4,300 189,469
IDEX Corp. ....................................................10,300 312,863
Kennametal, Inc. ...............................................9,100 305,988
Lam Research Corp.* ............................................6,400 714,000
Manitowoc Company, Inc. ........................................6,100 207,400
Smith International, Inc.* ....................................10,100 501,844
Terex Corp.* ..................................................15,800 438,450
------------
3,262,707
------------
Home Construction, Furnishings & Appliances - 0.7%
Furniture Brands International, Inc.* .........................18,300 402,600
Stanley Furniture Co., Inc.* ..................................21,100 387,713
------------
790,313
------------
Household Products - 0.0%
Jore Corp.* 2,500 19,531
-------------
Industrial - Diversified - 0.9%
AptarGroup, Inc. ...............................................7,800 195,975
Shaw Group, Inc.* .............................................19,400 491,063
Symyx Technologies Inc.* ......................................11,600 348,000
------------
1,035,038
------------
Insurance - 2.6%
Annuity and Life Re (Holdings) Ltd. ...........................25,100 655,738
E. W. Blanch Holdings, Inc. ....................................1,800 110,250
Fremont General Corp. .........................................66,300 488,963
HealthExtras, Inc.* ...........................................16,100 193,200
MIIX Group, Inc. ...............................................3,700 54,113
Oxford Health Plans, Inc.* ....................................25,800 327,338
Quotesmith.com, Inc.* ..........................................7,300 83,038
RenaissanceRe Holdings Ltd. ...................................21,400 874,725
StanCorp Financial Group, Inc. .................................3,600 90,675
------------
2,878,040
------------
Lodging - 0.6%
Aztar Corp.* ..................................................21,400 232,725
Extended Stay America, Inc.* ..................................21,000 160,125
Sun International Hotels Ltd.* ................................10,800 209,250
------------
602,100
------------
Media - Broadcasting & Publishing - 3.6%
Entercom Communications Corp.* ................................11,500 759,000
Insight Communications Co., Inc.* .............................14,300 423,638
NBC Internet, Inc. Class A* ....................................2,200 169,950
Radio One, Inc.* ...............................................2,000 184,000
Radio Unica Corp.* ...............................................900 25,988
Spanish Broadcasting System, Inc.* ............................16,400 660,100
TV Guide, Inc..................................................18,200 782,600
Wink Communications, Inc. * ....................................3,200 192,200
World Gate Communications, Inc.* ..............................14,500 689,656
-------------
3,887,132
-------------
Medical Bio - Technology - 1.5%
Affymetrix, Inc.* ..............................................6,200 1,052,063
Maxygen Inc.* ..................................................1,900 134,900
MedQuist, Inc.* ...............................................19,500 503,344
-------------
1,690,307
-------------
Medical Supplies - 4.7%
CONMED Corp.* ..................................................8,000 207,000
Cyberonics, Inc.* .............................................14,300 227,906
Cytyc Corp.* ...................................................2,100 128,231
Eclipse Surgical Technologies, Inc.* ..........................12,400 91,450
IDEXX Laboratories, Inc.* .....................................16,600 267,675
I-STAT Corp.* .................................................16,100 233,450
Kopin Corp. ...................................................26,200 1,100,400
Meade Instruments Corp.* .......................................1,000 28,500
Mettler-Toledo International, Inc.* ...........................25,500 973,781
MKS Instruments, Inc.* ........................................19,800 715,275
ResMed, Inc.* ..................................................8,800 367,400
Sangstat Medical Corp.* .......................................25,600 761,600
-------------
5,102,668
-------------
Metals - 0.9%
Mueller Industries* ...........................................18,600 674,250
Schnitzer Steel Industries, Inc. ..............................15,000 285,000
-------------
959,250
-------------
Oil & Gas - 4.1%
Atmos Energy Corp. ............................................24,500 500,719
Cooper Cameron Corp.* .........................................25,700 1,257,700
Devon Energy Corp. ............................................10,100 332,038
Global Marine, Inc.* ..........................................32,900 546,963
Kinder Morgan, Inc. ...........................................20,500 413,844
National-Oilwell, Inc.* .......................................22,400 351,400
Newfield Exploration Co.* .....................................22,400 599,200
Public Service Co. of North Carolina ...........................9,500 306,969
Spinnaker Exploration Co.* .....................................9,200 129,950
Unit Corp.* ....................................................8,200 63,038
--------------
4,501,821
--------------
Pharmaceuticals - 6.4%
Allscripts, Inc.* .............................................15,900 699,600
BioCryst Pharmaceuticals, Inc.* ................................6,500 191,750
Human Genome Sciences, Inc.* ..................................17,600 2,686,200
IDEC Pharmaceuticals Corp. .....................................9,900 972,675
ILEX Oncology, Inc.* ...........................................5,100 123,038
Ligand Pharmaceuticals* .......................................50,100 645,038
MedImmune, Inc.* ...............................................2,025 335,897
Millennium Pharmaceuticals, Inc.* ..............................6,500 793,000
Triangle Pharmaceuticals, Inc.* ...............................12,900 165,281
Vertex Pharmaceuticals Inc.* ..................................11,500 402,500
-------------
7,014,979
-------------
Real Estate - 3.1%
Arden Realty Group, Inc. (REIT) ...............................20,000 401,250
Centerpoint Properties Corp. (REIT) ............................8,800 315,700
CoStar Group Inc.* .............................................7,300 261,888
Cousins Properties, Inc. (REIT) ...............................14,600 495,488
Macerich Co. (The) (REIT) .....................................12,300 255,994
Manufactured Home Communities, Inc. (REIT) ....................19,400 471,663
Mills Corp. (REIT) ............................................13,500 241,313
Misson West Properties Inc. (REIT) ............................20,900 161,975
Post Properties, Inc. (REIT) ..................................21,867 836,413
-------------
3,441,684
-------------
Restaurants - 0.3%
Papa John's International, Inc.*...............................12,000 312,750
--------------
Retailers - 2.0%
1-800-FLOWERS.COM, Inc.* ......................................10,100 107,944
Alloy Online, Inc.* ...........................................17,000 267,750
Barnesandnoble.com inc.* .......................................5,800 82,288
Cost Plus, Inc.* ...............................................5,400 192,375
eToys Inc.* ....................................................1,400 36,750
RoweCom, Inc.* .................................................5,800 263,175
School Specialty, Inc.* .......................................32,300 488,538
Stamps.com, Inc.* ..............................................7,400 308,025
Williams-Sonoma, Inc.* .........................................8,800 404,800
-------------
2,151,645
-------------
Telephone Systems - 2.4%
American Mobile Satellite Corp.* ..............................28,600 602,388
Citadel Communication Corp.* ...................................8,100 525,488
Deltathree.com, Inc.* ..........................................6,700 172,525
Digital Island, Inc.* ..........................................1,600 152,200
IBasis, Inc.* ..................................................2,800 80,500
ITC/ \ DeltaCom, Inc.* ........................................11,200 309,400
Net2Phone, Inc.* ...............................................5,500 252,656
Redback Networks, Inc.* ..........................................700 124,250
TeleCorp PCS, Inc.* ............................................3,300 125,400
Tritel, Inc.* ..................................................3,100 98,231
Z-Tel Technologies, Inc.* ......................................3,400 137,275
------------
2,580,313
------------
Textiles, Clothing & Fabrics - 0.4%
Columbia Sportswear Co.* ......................................11,000 236,500
Vans, Inc.* ...................................................12,400 151,900
------------
388,400
------------
Transportation - 2.3%
American Classic Voyages Co.* ..................................9,800 343,000
C.H. Robinson Worldwide, Inc. .................................20,800 826,800
PNV.net, Inc.* ................................................21,300 174,394
Travel Services International, Inc.* ...........................9,200 83,950
Werner Enterprises, Inc. ......................................37,275 524,180
Willis Lease Finance Corp.* ...................................29,600 190,550
Wisconsin Central Transport Corp.* ............................24,300 326,531
-------------
2,469,405
-------------
Water Companies - 0.5%
E-Town Corp.....................................................8,800 547,800
-------------
TOTAL INVESTMENTS - 95.2%
(Cost $74,481,487) 104,013,126
Other Assets and Liabilities (net) - 4.8% 5,298,505
--------------
TOTAL NET ASSETS - 100.0% $109,311,631
===============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
REIT - Real Estate Investment Trust
ADR - American Depositary Receipt
Cova Series Trust
Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Par Security Value
Amount Description Coupon Maturity (Note 1)
- -----------------------------------------------------------------------------------------------------------------------------------
Domestic Bonds & Debt Securities - 100.1%
Asset Backed Securities - 6.3%
<S> <C> <C> <C>
$ 400,000 California Infrastructure..................................... 6.420% 09/25/2008 $ 390,010
1,000,000 Chase Credit Master Trust..................................... 6.300% 04/15/2003 999,725
360,000 Citibank Credit Card Master Trust............................. 5.500% 02/15/2006 340,677
1,230,000 Citibank Credit Card Master Trust............................. 6.150% 03/10/2011 1,114,165
730,000 Ford Credit Auto Loan Master Trust............................ 5.500% 02/15/2003 720,090
900,000 MBNA Master Credit Card Trust................................. 7.000% 02/15/2012 882,716
595,000 Money Store Home Equity Trust (The)........................... 6.485% 12/15/2038 572,833
500,000 Nationsbank Card Master Trust................................. 6.450% 04/15/2003 500,323
500,000 Peco Energy Transition Trust.................................. 5.800% 03/01/2007 476,178
------------
5,996,717
------------
Automotive - 1.6%
155,000 Federal - Mogul Corp.......................................... 7.375% 01/15/2006 142,187
95,000 Federal - Mogul Corp.......................................... 7.750% 07/01/2006 88,093
845,000 Ford Motor Credit Co.......................................... 7.375% 10/28/2009 835,893
500,000 General Motors Acceptance Corp................................ 6.750% 11/04/2004 489,578
------------
1,555,751
------------
Banking - 6.5%
2,000,000 Chase Manhattan Corp.......................................... 9.750% 11/01/2001 2,095,530
225,000 Fleet Capital Ltd............................................. 7.920% 12/11/2026 209,871
475,000 Household Finance Corp........................................ 5.875% 02/01/2009 421,477
10,000 NationsBank Corp.............................................. 7.250% 10/15/2025 9,287
2,000,000 Providian National Bank....................................... 6.250% 05/06/2001 1,961,814
1,500,000 Wachovia Corp................................................. 6.700% 06/21/2004 1,478,042
--------------
6,176,021
--------------
Beverages, Food, & Tobacco - 0.2%
250,000 Smithfield Foods, Inc......................................... 7.625% 02/15/2008 226,250
--------------
Collateralized Mortgage Obligations - 5.1
2,200,000 Credit Suisse First Boston Mortgage Securities Corp.(b)....... 7.290% 09/15/2009 2,161,377
252,460 Federal Home Loan Mortgage Corp. (b).......................... 6.500% 07/15/2016 249,737
150,000 Federal Home Loan Mortgage Corp. (b).......................... 6.500% 09/15/2023 145,978
150,000 Federal National Mortgage Association (b)..................... 6.500% 11/25/2007 147,749
1,999,338 First Nationwide Trust........................................ 6.500% 08/31/2029 1,846,899
322,113 Ocwen Residential MBS Corp. (144A)^ (b)....................... 7.000% 10/25/2040 317,257
--------------
4,868,997
--------------
Communications - 0.4%
735,000 Aerial Communications, Inc. (144A)^........................... + 02/01/2008 347,439
70,000 Tele-Communications TCI Group................................. 7.875% 02/15/2026 70,407
------------
417,846
------------
Corporate Mortgage Backed Securities - 9.9%
121,015 Chase Commercial Mortgage Securities (b)...................... 6.025% 08/18/2007 115,166
2,000,000 Chase Manhattan Bank - First Union National (b)............... 7.439% 07/15/2009 1,987,850
1,065,000 Deutsche Mortgage and Asset Receiving Corp. (b)............... 6.538% 02/15/2008 1,002,117
3,000,000 First Union Lehman Brothers Co. (b)........................... 6.650% 12/18/2007 2,864,535
165,000 LB Commercial Conduit Mortgage Trust (b)...................... 7.325% 09/15/2009 163,082
400,000 Lehman Brothers Commercial Conduit Mortgage Trust (b)......... 6.480% 01/18/2008 377,218
170,000 Morgan Stanley Capital, Inc. (b).............................. 6.520% 01/15/2008 160,999
305,000 Morgan Stanley Capital, Inc. (b).............................. 6.170% 10/03/2008 280,507
1,872,582 Morgan Stanley Capital, Inc. (b).............................. 6.590% 10/03/2030 1,828,885
685,000 Nomura Asset Securities Corp. (b)............................. 6.590% 03/17/2028 644,904
-----------
9,425,263
-----------
Electric Utilities - 1.3%
50,000 CalEnergy Co., Inc............................................ 7.520% 09/15/2008 48,748
188,000 Calpine Corp.................................................. 7.625% 04/15/2006 180,010
50,000 Calpine Corp.................................................. 7.875% 04/01/2008 48,125
250,000 Columbus Southern Power....................................... 6.850% 10/03/2005 239,779
125,000 Kincaid Generation LLC (144A)^................................ 7.330% 06/15/2020 110,548
150,000 PacifiCorp.................................................... 6.750% 07/15/2004 146,984
500,000 Western Resources, Inc........................................ 6.250% 08/15/2003 479,341
-------------
1,253,535
-------------
Electrical Equipment - 1.1%
1,000,000 General Electric Capital Corp................................. 8.125% 04/01/2008 1,038,273
--------------
Financial Services - 0.6%
650,000 Citigroup Capital............................................. 7.750% 12/01/2036 595,764
--------------
Heavy Machinery - 0.2%
225,000 Ingersoll-Rand Co............................................. 6.391% 11/15/2027 216,800
--------------
Industrial - Diversified - 0.5%
500,000 Armstrong World Industries, Inc............................... 6.350% 08/15/2003 482,290
--------------
Media - Broadcasting & Publishing - 2.7%
125,000 Clear Channel Communications, Inc............................. 7.250% 10/15/2027 113,199
750,000 Comcast Cable Communications.................................. 6.200% 11/15/2008 680,970
250,000 Fox Liberty Networks LLC...................................... 8.875% 08/15/2007 256,250
30,000 News America Holdings, Inc.................................... 7.700% 10/30/2025 28,046
500,000 Time Warner, Inc.............................................. 7.975% 08/15/2004 509,311
1,000,000 Turner Broadcasting Systems, Inc.............................. 7.400% 02/01/2004 999,012
---------------
2,586,788
---------------
Oil & Gas - 2.1%
1,200,000 Coastal Corp.................................................. 6.500% 05/15/2006 1,129,278
200,000 Dynegy, Inc................................................... 6.875% 07/15/2002 197,875
65,000 Enron Corp.................................................... 6.950% 07/15/2028 57,268
200,000 LASMO (USA), Inc.............................................. 7.500% 06/30/2006 197,166
300,000 National Fuel Gas Co.......................................... 6.214% 08/12/2027 289,790
100,000 NGC Corp...................................................... 7.625% 10/15/2026 90,127
-------------
1,961,504
-------------
Retailers - 2.1%
1,000,000 Federated Department Stores, Inc.............................. 8.125% 10/15/2002 1,021,017
1,000,000 Wal-Mart Stores, Inc.......................................... 6.875% 08/10/2009 975,138
--------------
1,996,155
--------------
Telephone Systems - 2.5%
250,000 Global Crossing Holding Ltd. (144A)^.......................... 9.125% 11/15/2006 248,438
1,000,000 Sprint Capital Corp........................................... 6.125% 11/15/2008 908,104
100,000 U.S. Cellular Corp............................................ 7.250% 08/15/2007 95,538
1,100,000 WorldCom, Inc................................................. 7.750% 04/01/2027 1,124,509
--------------
2,376,589
--------------
U.S. Government Agency - 12.9%
23,929 Federal Home Loan Mortgage Corp. (b).......................... 8.000% 09/01/2008 24,156
1,200,000 Federal Home Loan Mortgage Corp. (b).......................... 5.125% 10/15/2008 1,050,658
1,020,000 Federal National Mortgage Association (b)..................... 6.000% 05/15/2008 954,843
2,085,000 Federal National Mortgage Association (b)..................... 6.625% 09/15/2009 2,026,308
460,000 Federal National Mortgage Association (b)..................... 6.160% 08/07/2028 400,418
5,260,000 Federal National Mortgage Association (a)..................... 6.000% 01/29/2030 4,816,172
3,070,000 Federal National Mortgage Association (a)..................... 6.500% 01/29/2030 2,894,427
---------------
12,166,982
---------------
U.S. Government Agency Mortgage Backed Securities - 38.2%
25,208 Federal National Mortgage Association (b)..................... 8.500% 07/01/2019 25,886
389,015 Federal National Mortgage Association......................... 7.000% 09/01/2027 376,357
466,806 Federal National Mortgage Association......................... 7.000% 09/01/2027 451,616
506,405 Federal National Mortgage Association (b)..................... 6.500% 01/01/2028 477,478
73,371 Federal National Mortgage Association (b)..................... 8.000% 01/01/2028 74,014
891,341 Federal National Mortgage Association......................... 7.000% 06/01/2028 862,337
417,949 Federal National Mortgage Association......................... 6.000% 07/01/2028 382,772
413,746 Federal National Mortgage Association......................... 7.000% 08/01/2028 400,283
887,191 Federal National Mortgage Association (b)..................... 7.000% 09/01/2028 859,934
395,746 Federal National Mortgage Association......................... 6.000% 10/01/2028 362,437
640,460 Federal National Mortgage Association......................... 6.500% 10/01/2028 603,875
388,866 Federal National Mortgage Association......................... 6.000% 11/01/2028 356,136
294,624 Federal National Mortgage Association......................... 6.000% 11/01/2028 269,826
300,409 Federal National Mortgage Association......................... 6.000% 11/01/2028 275,124
612,353 Federal National Mortgage Association......................... 6.500% 11/01/2028 577,373
278,471 Federal National Mortgage Association......................... 6.500% 11/01/2028 262,564
331,996 Federal National Mortgage Association......................... 7.000% 11/01/2028 321,192
289,795 Federal National Mortgage Association......................... 6.000% 12/01/2028 265,404
291,281 Federal National Mortgage Association......................... 6.000% 02/01/2029 266,765
429,982 Federal National Mortgage Association......................... 7.000% 02/01/2029 415,991
284,489 Federal National Mortgage Association......................... 6.000% 03/01/2029 260,545
419,096 Federal National Mortgage Association......................... 6.500% 03/01/2029 395,156
399,542 Federal National Mortgage Association......................... 6.500% 03/01/2029 376,719
386,200 Federal National Mortgage Association......................... 6.500% 03/01/2029 364,139
287,227 Federal National Mortgage Association......................... 6.000% 04/01/2029 263,052
292,063 Federal National Mortgage Association......................... 6.500% 04/01/2029 275,379
41,152 Federal National Mortgage Association......................... 6.500% 04/01/2029 38,802
84,040 Federal National Mortgage Association......................... 6.500% 04/01/2029 79,240
650,332 Federal National Mortgage Association......................... 6.500% 04/01/2029 613,183
318,878 Federal National Mortgage Association......................... 6.500% 04/01/2029 300,663
34,527 Federal National Mortgage Association......................... 6.000% 05/01/2029 31,621
262,953 Federal National Mortgage Association......................... 7.500% 06/01/2029 260,281
84,702 Federal National Mortgage Association......................... 7.500% 06/01/2029 83,841
718,985 Federal National Mortgage Association......................... 7.500% 06/01/2029 711,680
368,116 Federal National Mortgage Association......................... 7.000% 07/01/2029 356,137
793,513 Federal National Mortgage Association......................... 7.500% 07/01/2029 785,451
273,385 Federal National Mortgage Association......................... 7.500% 07/01/2029 270,607
263,692 Federal National Mortgage Association......................... 7.500% 07/01/2029 261,012
957,407 Federal National Mortgage Association......................... 7.500% 08/01/2029 947,679
677,667 Federal National Mortgage Association......................... 7.500% 08/01/2029 670,781
54,026 Federal National Mortgage Association......................... 8.000% 08/01/2029 54,500
600,238 Federal National Mortgage Association......................... 7.000% 09/01/2029 580,706
563,132 Federal National Mortgage Association......................... 7.000% 09/01/2029 544,808
62,735 Federal National Mortgage Association......................... 7.000% 09/01/2029 60,694
703,864 Federal National Mortgage Association......................... 7.500% 09/01/2029 696,712
1,995,627 Federal National Mortgage Association......................... 7.500% 09/01/2029 1,975,349
173,536 Federal National Mortgage Association......................... 7.500% 09/01/2029 171,772
934,869 Federal National Mortgage Association......................... 7.500% 09/01/2029 925,370
319,157 Federal National Mortgage Association......................... 7.500% 09/01/2029 315,914
993,403 Federal National Mortgage Association......................... 7.500% 09/01/2029 983,309
503,770 Federal National Mortgage Association......................... 7.500% 09/01/2029 498,651
121,221 Federal National Mortgage Association......................... 8.000% 09/01/2029 122,283
173,076 Federal National Mortgage Association......................... 8.000% 09/01/2029 174,592
33,609 Federal National Mortgage Association (b)..................... 8.500% 09/01/2029 34,514
353,502 Federal National Mortgage Association......................... 7.500% 10/01/2029 349,910
587,227 Federal National Mortgage Association......................... 7.500% 10/01/2029 581,260
703,034 Federal National Mortgage Association......................... 7.500% 10/01/2029 695,891
84,643 Federal National Mortgage Association......................... 8.000% 10/01/2029 85,385
122,296 Federal National Mortgage Association......................... 8.000% 10/01/2029 123,367
175,753 Federal National Mortgage Association......................... 8.000% 10/01/2029 177,292
49,310 Federal National Mortgage Association......................... 8.000% 10/01/2029 49,741
294,649 Federal National Mortgage Association......................... 7.500% 11/01/2029 291,655
833,420 Federal National Mortgage Association......................... 8.000% 11/01/2029 840,719
630,527 Federal National Mortgage Association......................... 8.000% 11/01/2029 636,050
1,583,337 Federal National Mortgage Association......................... 8.000% 11/01/2029 1,597,205
40,581 Government National Mortgage Association (b).................. 9.000% 01/15/2020 42,530
70,003 Government National Mortgage Association...................... 7.500% 02/15/2027 69,296
2,726,488 Government National Mortgage Association...................... 6.500% 12/15/2028 2,562,048
5,921,790 Government National Mortgage Association (b).................. 7.000% 01/15/2029 5,726,247
--------------
36,201,102
--------------
U.S. Treasury Securities - 5.9%
100,000 U.S. Treasury Note (c)........................................ 5.625% 11/30/2000 99,656
1,490,000 U.S. Treasury Note (b)........................................ 5.625% 09/30/2001 1,475,100
3,315,000 U.S. Treasury Bond (b)........................................ 8.875% 02/15/2019 4,032,906
18,000 U.S. Treasury Bond (b)........................................ 6.750% 08/15/2026 18,084
------------
5,625,746
------------
Total Domestic Bonds & Debt Securities (Cost $98,020,609) 95,168,373
-----------
Foreign Bonds & Debt Securities - 4.5%
Canada - 2.7%
200,000 Canadian Imperial Bank (Yankee)............................... 6.200% 08/01/2000 199,563
149,700 Express Pipeline L.P. (U.S.$) (144A)^......................... 6.470% 12/31/2011 133,926
80,000 Gulf Canada Resources Ltd. (Yankee)........................... 8.250% 03/15/2017 69,765
1,390,000 Hydro-Quebec (Yankee)......................................... 11.750% 02/01/2012 1,834,703
100,000 Hydro-Quebec (Yankee)......................................... 9.500% 11/15/2030 119,165
200,000 Laidlaw, Inc. (Yankee)........................................ 6.720% 10/01/2027 172,222
--------------
2,529,344
--------------
Mexico - 0.5%
445,000 United Mexican States (U.S.$)................................. 11.375% 09/15/2016 504,675
--------------
Netherlands - 0.3%
250,000 KPNQwest B.V. (Euro).......................................... 8.125% 06/01/2009 241,250
--------------
Norway - 0.4%
500,000 Statoil (144A)^ (U.S.$)....................................... 6.500% 12/01/2028 422,656
--------------
Panama - 0.2%
274,335 Panama (PDI) (U.S.$).......................................... 4.000% 07/17/2016 218,876
--------------
Peru - 0.2%
280,000 Peru (PDI) (U.S.$)............................................ 4.500% 03/07/2017 194,544
--------------
Philippine Islands - 0.1%
90,000 Philippines (Republic of) (U.S.$)............................. 8.875% 04/15/2008 88,200
--------------
Sweden - 0.1%
60,000 Stena AB (Yankee)............................................. 8.750% 06/15/2007 49,200
--------------
Total Foreign Bonds & Debt Securities ($4,581,299) 4,248,745
--------------
TOTAL INVESTMENTS - 104.6%
(Cost $102,601,908) $ 99,417,118
--------------
Other Assets and Liabilities (net) - (4.6%) (4,352,049)
--------------
TOTAL NET ASSETS - 100.0% $ 95,065,069
==============
Portfolio Footnotes:
(a) Security purchased on a delayed delivery or when-issued basis. (See note 1 to financial statements)
(b) Assets segregated for purchase price of delayed delivery or when-issued security.
(c) Held as collateral for open futures contracts
^ Securities that may be resold to "qualified institutional buyers" under Rule 144A or securities
offered pursuant to Section 4(2) of the Securities Act of 1933, as amended. These securities have been
determined to be liquid under guidelines established by the Board of Trustees.
+ Zero coupon bond
Yankee - U.S. Dollar denominated bonds issued by non-U.S. companies in the U.S.
PDI - Past Due Interest
</TABLE>
<PAGE>
Cova Series Trust
Select Equity Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 99.0%
Aerospace & Defense - 0.6%
<S> <C> <C>
Honeywell International Inc....................................26,100 $ 1,505,644
---------------
Automotive - 1.1%
Ford Motor Co..................................................25,900 1,384,031
Lear Corp.*....................................................45,600 1,459,200
---------------
2,843,231
---------------
Banking - 4.9%
Astoria Financial Corp.........................................23,700 721,369
Bank of America Corp...........................................26,954 1,352,754
Dime Bancorp, Inc..............................................44,600 674,575
First Union Corp...............................................85,400 2,802,188
KeyCorp........................................................40,000 885,000
U.S. Bancorp..................................................164,700 3,921,919
Washington Mutual, Inc.........................................73,060 1,899,560
--------------
12,257,365
--------------
Beverages, Food & Tobacco - 3.7%
Bestfoods......................................................25,600 1,345,600
Coca-Cola Co. (The)............................................18,200 1,060,150
Coca-Cola Enterprises, Inc.....................................31,500 633,938
Pepsico, Inc...................................................31,100 1,096,275
Philip Morris Co., Inc........................................171,000 3,965,063
Seagrams Co., Ltd..............................................25,400 1,141,413
-------------
9,242,439
-------------
Chemicals - 4.2%
Air Products & Chemicals, Inc..................................72,900 2,446,706
Monsanto Co...................................................108,100 3,851,063
Rohm & Haas Co................................................101,300 4,121,644
--------------
10,419,413
--------------
Commercial Services - 0.4%
Cendant Corp.*.................................................36,175 960,898
---------------
Communications - 1.4%
Lucent Technologies, Inc.......................................45,745 3,422,298
---------------
Computer Software & Processing - 12.8%
America Online, Inc............................................44,900 3,387,144
Automatic Data Processing, Inc.................................37,400 2,014,925
BMC Software, Inc.*............................................21,800 1,742,638
Cisco Systems, Inc.............................................70,600 7,563,025
Citrix Systems, Inc.*..........................................10,000 1,230,000
Microsoft Corp.*..............................................113,100 13,204,414
Oracle Corp.*..................................................26,050 2,919,228
--------------
32,061,374
--------------
Computers & Information - 6.7%
Compaq Computer Corp...........................................50,800 1,374,775
Dell Computer Corp.*...........................................50,400 2,570,400
EMC Corp. *....................................................19,200 2,097,600
International Business Machines Corp...........................17,200 1,857,600
Quantum Corp. - DLT & Storage Systems*........................117,600 1,778,700
Quantum Corp. - Hard Disk Drive*...............................70,100 486,319
Seagate Technology, Inc.*......................................34,700 1,615,719
Sun Microsystems, Inc. *.......................................64,800 5,017,950
--------------
16,799,063
--------------
Cosmetics & Personal Care - 0.9%
Gillette Co....................................................53,700 2,211,769
---------------
Electrical Equipment - 3.0%
General Electric Co............................................48,400 7,489,900
---------------
Electric Utilities - 1.0%
Carolina Power & Light Co......................................19,000 578,313
Northern States Power Co.......................................30,300 590,850
PG&E Corp......................................................38,800 795,400
Wisconsin Energy Corp..........................................28,500 548,625
---------------
2,513,188
---------------
Electronics - 4.7%
Applied Materials, Inc.*........................................5,300 671,444
Intel Corp.....................................................58,800 4,839,975
Motorola, Inc..................................................24,700 3,637,075
Texas Instruments, Inc.........................................27,200 2,635,000
--------------
11,783,494
--------------
Entertainment & Leisure - 0.7%
International Game Technology..................................83,900 1,704,219
---------------
Environmental Controls - 1.4%
Republic Services, Inc.*......................................149,700 2,151,938
Waste Management, Inc..........................................76,574 1,316,116
------------
3,468,054
------------
Financial Services - 4.7%
CIT Group, Inc. (The)..........................................58,600 1,237,925
Citigroup, Inc.................................................73,400 4,078,288
Federal Home Loan Mortgage Corp................................25,300 1,190,681
Federal National Mortgage Association..........................27,300 1,704,544
Goldman Sachs Group, Inc. (The)................................36,400 3,428,425
---------------
11,639,863
---------------
Forest Products & Paper - 2.1%
Bowater, Inc...................................................19,500 1,059,094
Kimberly-Clark Corp............................................17,700 1,154,925
Smurfit-Stone Container Corp.*................................127,883 3,133,134
------------
5,347,153
------------
Health Care Providers - 0.5%
Tenet Healthcare Corp.*........................................53,200 1,250,200
---------------
Heavy Machinery - 1.2%
Cooper Industries, Inc.........................................50,500 2,042,094
Deere & Co.....................................................22,700 984,613
-------------
3,026,707
-------------
Household Products - 1.4%
Procter & Gamble Co............................................31,200 3,418,350
---------------
Industrial - Diversified - 3.0%
Tyco International Ltd........................................195,020 7,581,403
---------------
Insurance - 5.2%
Ambac Financial Group, Inc.....................................65,500 3,418,281
American International Group...................................17,800 1,924,625
Aon Corp.......................................................69,200 2,768,000
Marsh & McLennan Co., Inc......................................12,800 1,224,800
UnumProvident Corp............................................112,143 3,595,585
--------------
12,931,291
--------------
Media - Broadcasting & Publishing - 1.7%
Comcast Corp...................................................19,200 964,800
MediaOne Group, Inc.*..........................................27,300 2,096,981
News Corp., Ltd. (The) (ADR)...................................32,200 1,231,650
--------------
4,293,431
--------------
Medical Supplies - 1.8%
Forest Laboratories, Inc.*.....................................24,900 1,529,794
PE Corp - PE Biosystems Group..................................24,800 2,983,750
--------------
4,513,544
--------------
Metals - 1.8%
Allegheny Technologies, Inc....................................69,700 1,563,894
Phelps Dodge Corp...............................................8,200 550,425
Reynolds Metals Co.............................................12,600 965,475
USX - U.S. Steel Group, Inc....................................45,400 1,498,200
------------
4,577,994
------------
Oil & Gas - 7.8%
Columbia Energy Group..........................................54,300 3,434,475
Conoco Inc. (Class B)..........................................41,800 1,039,775
Cooper Cameron Corp.*..........................................27,100 1,326,206
Exxon Mobil Corp..............................................132,010 10,635,056
Texaco, Inc....................................................29,800 1,618,513
Tosco Corp.....................................................23,400 636,188
Union Pacific Resources Group, Inc.............................46,900 597,975
---------------
19,288,188
---------------
Pharmaceuticals - 4.7%
American Home Products Corp....................................64,700 2,551,606
Amgen, Inc.....................................................25,500 1,531,594
Bristol-Myers Squibb Co........................................39,300 2,522,569
Eli Lilly & Co.................................................53,600 3,564,400
Warner Lambert Co..............................................20,000 1,638,750
-------------
11,808,919
-------------
Retailers - 3.9%
Abercrombie & Fitch Co.........................................39,200 1,046,150
Circuit City Stores, Inc.......................................24,800 1,117,550
Dayton-Hudson Corp.............................................20,100 1,476,094
Federated Department Stores, Inc.*.............................34,000 1,719,125
TJX Companies, Inc.............................................61,000 1,246,688
Wal-Mart Stores, Inc...........................................46,500 3,214,313
--------------
9,819,920
--------------
Telephone Systems - 10.4%
AT&T Corp. - Liberty Media Group*..............................82,700 4,693,225
AT&T Corp......................................................72,000 3,654,000
Bell Atlantic Corp.............................................18,000 1,108,125
Global Crossing Ltd.*..........................................39,800 1,990,000
GTE Corp.......................................................35,200 2,483,800
Level 3 Communications, Inc.*..................................27,800 2,276,125
MCI WorldCom, Inc..............................................86,871 4,609,592
SBC Communications Corp........................................82,077 4,001,254
Sprint Corp (PCS Group)*........................................8,200 840,500
----------------
25,656,621
----------------
Transportation - 1.3%
CSX Corp.......................................................28,000 878,500
Union Pacific Corp.............................................55,800 2,434,275
---------------
3,312,775
---------------
TOTAL INVESTMENTS - 99.0%
(Cost $225,019,940) 247,148,708
Other Assets and Liabilities (net) - 1.0% 2,553,241
---------------
TOTAL NET ASSETS - 100.0% $ 249,701,949
===============
Portfolio Footnotes:
* Non-income producing security.
ADR - American Depositary Receipt
</TABLE>
<PAGE>
Cova Series Trust
Large Cap Stock Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 98.5%
Advertising - 0.1%
<S> <C> <C>
DoubleClick Inc.* ..............................................1,500 $ 379,594
-------------
Aerospace & Defense - 0.9%
B.F. Goodrich Company (The).....................................5,300 145,750
Honeywell International Inc....................................24,900 1,436,419
Lockheed Martin Corp...........................................30,900 675,938
Teledyne Technologies, Inc.*........................................5 47
-------------
2,258,154
-------------
Airlines - 0.1%
Northwest Airlines Corp.*.......................................2,400 53,400
Southwest Airlines, Inc.........................................8,800 142,450
------------
195,850
------------
Automotive - 1.7%
Cooper Tire & Rubber Co.........................................1,600 24,900
Dana Corp......................................................11,700 350,269
Delphi Automotive Systems Corp.................................33,100 521,325
Ford Motor Co..................................................49,100 2,623,781
Genuine Parts Co...............................................10,400 258,050
Goodyear Tire & Rubber Co......................................11,000 310,063
Lear Corp.*.....................................................4,600 147,200
Paccar, Inc.....................................................3,600 159,525
-------------
4,395,113
-------------
Banking - 6.5%
AmSouth Bancorp................................................17,000 328,313
Associated Banc-Corp............................................3,000 102,750
Associates First Capital Corp..................................32,200 883,488
Astoria Financial Corp..........................................1,400 42,613
BancWest Corp...................................................3,300 64,350
Bank of America Corp...........................................73,700 3,698,819
Bank One Corp..................................................50,200 1,609,538
Colonial Bancgroup, Inc...........................................600 6,225
Comerica, Inc...................................................6,900 322,144
Commercial Federal Corp...........................................600 10,688
Compass Bancshares, Inc.........................................5,400 120,488
Dime Bancorp, Inc...............................................6,600 99,825
First Tennessee National Corp...................................6,200 176,700
First Union Corp...............................................48,800 1,601,250
Firstar Corp...................................................35,400 747,825
FirstMerit Corp.................................................4,300 98,900
Fleet Boston Financial Corp....................................28,100 978,231
Golden West Financial Corp......................................7,800 261,300
Greenpoint Financial Corp.......................................5,500 130,969
Hibernia Corp...................................................7,600 80,750
Household International, Inc...................................19,100 711,475
Huntington Bancshares, Inc.....................................11,000 262,625
KeyCorp........................................................21,400 473,475
Mercantile Bankshares Corp......................................3,300 105,394
M&T Bank Corp.....................................................400 165,700
National City Corp.............................................27,300 646,669
North Fork Bancorp., Inc........................................6,500 113,750
Pacific Century Financial Corp..................................2,400 44,850
Peoples Heritage Financial Group, Inc...........................3,200 48,200
PNC Bank Corp..................................................14,700 654,150
Southtrust Corp.................................................7,300 276,031
Sovereign Bancorp, Inc..........................................6,000 44,719
Summit Bancorp..................................................8,500 260,313
TCF Financial Corp..............................................3,600 89,550
Union Planters Corp.............................................6,800 268,175
U.S. Bancorp...................................................33,400 795,338
Washington Federal, Inc...........................................200 3,950
Washington Mutual, Inc.........................................28,800 748,800
Wilmington Trust Corp...........................................1,100 53,075
------------
17,131,405
------------
Beverages, Food & Tobacco - 3.8%
Bestfoods.......................................................9,400 494,088
Coca-Cola Co. (The)............................................26,100 1,520,325
General Mills, Inc.............................................14,100 504,075
Heinz (H.J.), Co...............................................16,200 644,963
Hershey Foods Corp..............................................6,200 294,500
Nabisco Holdings Corp...........................................1,800 56,925
Philip Morris Co., Inc........................................114,800 2,661,925
Sara Lee Corp..................................................40,500 893,531
Seagrams Co., Ltd..............................................38,900 1,748,069
Unilever N.V...................................................21,700 1,181,294
-------------
9,999,695
-------------
Building Materials - 0.1%
Owens Corning...................................................3,300 63,731
USG Corp........................................................1,700 80,113
-------------
143,844
-------------
Chemicals - 2.0%
Air Products & Chemicals, Inc..................................26,800 899,475
Georgia Gulf Corp.................................................200 6,088
IMC Global, Inc.................................................7,300 119,538
Lyondell Petro Chemical Co.....................................13,100 167,025
Monsanto Co....................................................45,500 1,620,938
PPG Industries, Inc.............................................1,700 106,356
Praxair, Inc....................................................2,500 125,781
Rohm & Haas Co.................................................27,900 1,135,181
Solutia, Inc....................................................7,800 120,413
Union Carbide Corp.............................................12,800 854,400
USEC, Inc.......................................................1,800 12,600
-------------
5,167,795
-------------
Commercial Services - 1.2%
Cendant Corp.*.................................................98,700 2,621,719
Equifax, Inc...................................................14,900 351,081
Service Corp. International....................................31,400 217,838
-------------
3,190,638
-------------
Communications - 3.7%
Lucent Technologies, Inc.......................................88,500 6,620,906
Nortel Networks Corp...........................................14,500 1,464,500
QUALCOMM, Inc...................................................8,800 1,551,000
--------------
9,636,406
--------------
Computer Software & Processing - 13.7%
3 Com Corp.*....................................................3,300 155,100
Adobe Systems, Inc..............................................3,300 221,925
America Online, Inc............................................63,600 4,797,825
Automatic Data Processing, Inc.................................19,400 1,045,175
BMC Software, Inc.*.............................................9,300 743,419
Cisco Systems, Inc.............................................94,900 10,166,163
Citrix Systems, Inc.*...........................................1,700 209,100
First Data Corp................................................15,500 764,344
Microsoft Corp................................................131,100 15,305,888
Networks Associates, Inc.*......................................1,900 50,706
Novell, Inc.*..................................................11,400 453,863
Oracle Corp.....................................................2,900 324,981
Yahoo!, Inc.*...................................................3,400 1,471,138
--------------
35,709,627
--------------
Computers & Information - 5.1%
Apple Computer, Inc.*.............................................600 61,688
Compaq Computer Corp...........................................48,600 1,315,238
Dell Computer Corp................................................300 15,300
Electronic Data Systems Corp...................................14,200 950,513
EMC Corp.*.....................................................40,000 4,370,000
International Business Machines Corp...........................13,800 1,490,400
Lexmark International Group, Inc.*..............................3,600 325,800
Quantum Corp. - DLT & Storage Systems*..........................6,000 90,750
Seagate Technology, Inc.*.......................................7,200 335,250
Sun Microsystems, Inc..........................................57,000 4,413,938
-------------
13,368,877
-------------
Cosmetics & Personal Care - 0.7%
Gillette Co....................................................45,300 1,865,794
--------------
Electric Utilities - 2.0%
Allegheny Energy, Inc...........................................6,000 161,625
Carolina Power & Light Co......................................14,700 447,431
Central & South West Corp......................................28,500 570,000
Cinergy Corp....................................................8,100 195,413
CMS Energy Corp.................................................6,200 193,363
Dominion Resources, Inc........................................11,900 467,075
DTE Energy Co...................................................7,000 219,625
Entergy Corp...................................................11,300 290,975
FPL Group, Inc..................................................9,000 385,313
GPU, Inc........................................................6,200 185,613
NiSource, Inc...................................................6,600 117,975
Northern States Power Co.......................................16,900 329,550
PG&E Corp......................................................19,500 399,750
Pinnacle West Capital Corp......................................4,500 137,531
PP&L Resources, Inc.............................................8,000 183,000
Reliant Energy, Inc.............................................9,200 210,450
TECO Energy, Inc................................................6,700 124,369
Texas Utilities Co.............................................14,900 529,881
Wisconsin Energy Corp...........................................6,200 119,350
------------
5,268,289
------------
Electrical Equipment - 4.4%
Emerson Electric Co............................................15,300 877,838
General Electric Co............................................68,200 10,553,950
National Service Industries, Inc..................................300 8,850
Symbol Technologies, Inc........................................2,800 177,975
-------------
11,618,613
-------------
Electronics - 6.2%
Anixter International, Inc.*......................................300 6,188
Applied Materials, Inc.*.......................................11,500 1,456,906
Input/Output, Inc.*...............................................200 1,013
Intel Corp.(a)................................................100,700 8,288,869
Motorola, Inc..................................................18,900 2,783,025
National Semiconductor Corp.*...................................6,200 265,438
Raytheon Co....................................................14,400 357,300
Raytheon Co.(Class B)...........................................5,200 138,125
Texas Instruments, Inc.........................................28,800 2,790,000
Xilinx, Inc.....................................................2,600 118,219
-------------
16,205,083
-------------
Entertainment & Leisure - 1.1%
Eastman Kodak Co...............................................25,200 1,669,500
Hasbro, Inc.....................................................3,600 68,625
International Game Technology...................................5,000 101,563
Mattel, Inc....................................................23,500 308,438
Mirage Resorts, Inc.*..........................................18,200 278,688
Times Mirror Co.................................................7,000 469,000
------------
2,895,814
------------
Environmental Controls - 0.3%
Waste Management, Inc..........................................45,500 782,031
------------
Financial Services - 3.4%
Bear Stearns Co., Inc...........................................5,400 230,850
Charter One Financial, Inc.....................................10,200 195,075
CIT Group, Inc. (The)...........................................6,300 133,088
Citigroup, Inc.................................................23,600 1,311,275
Countrywide Credit Industries, Inc..............................5,400 136,350
Federal Home Loan Mortgage Corp................................31,000 1,458,938
Federal National Mortgage Association..........................31,900 1,991,756
Financial Security Assurance Holdings Ltd.........................500 26,063
Finova Group, Inc...............................................3,100 110,050
Franklin Resources, Inc.........................................1,200 38,475
Goldman Sachs Group, Inc. (The)................................11,900 1,120,831
Merrill Lynch & Co., Inc.......................................17,500 1,461,250
Ocwen Financial Corp.*............................................400 2,500
Paine Webber Group, Inc.........................................6,200 240,638
Provident Financial Group, Inc....................................500 17,938
Regions Financial Corp.........................................10,700 268,838
TD Waterhouse Group, Inc.*.....................................17,900 294,231
-------------
9,038,146
-------------
Food Retailers - 0.7%
Albertson's, Inc................................................6,300 203,175
Kroger Co......................................................43,500 821,063
Safeway, Inc.*.................................................26,600 945,963
------------
1,970,201
------------
Forest Products & Paper - 0.6%
Bowater, Inc....................................................1,900 103,194
Fort James Corp.................................................9,500 260,063
Georgia-Pacific Corp............................................2,800 142,100
International Paper Co.........................................14,900 840,919
Louisiana-Pacific Corp..........................................3,900 55,575
Pactiv Corporation*.............................................1,000 10,625
Smurfit-Stone Container Corp.*..................................8,400 205,800
-------------
1,618,276
-------------
Health Care Providers - 0.8%
Columbia/HCA Healthcare Corp...................................20,600 603,838
HEALTHSOUTH Corp.*.............................................19,900 106,963
Medtronic, Inc.................................................15,400 561,138
Tenet Healthcare Corp.*........................................18,400 432,400
United Healthcare Corp..........................................5,100 270,938
Wellpoint Health Networks, Inc.*................................3,400 224,188
------------
2,199,465
------------
Heavy Machinery - 0.8%
Baker Hughes, Inc...............................................8,500 179,031
Caterpillar Inc...................................................200 9,413
Cooper Industries, Inc..........................................7,100 287,106
Deere & Co.....................................................16,400 711,350
Eaton Corp......................................................5,000 363,125
Ingersoll-Rand Co...............................................6,800 374,425
Smith International, Inc.*......................................2,600 129,188
------------
2,053,638
------------
Home Construction, Furnishings & Appliances - 0.1%
Furniture Brands International, Inc.*.............................900 19,800
Leggett & Platt, Inc...........................................13,600 291,550
------------
311,350
------------
Household Products - 2.2%
Clorox Co......................................................11,000 554,125
Procter & Gamble Co............................................47,800 5,237,088
--------------
5,791,213
--------------
Industrial - Diversified - 1.2%
ITT Industries, Inc.............................................8,600 287,563
Temple Inland, Inc..............................................2,000 131,875
Tyco International Ltd.........................................67,800 2,635,725
Water Pik Tecnologies, Inc.*........................................5 48
-------------
3,055,211
-------------
Insurance - 3.3%
Aetna, Inc......................................................7,200 401,850
Allstate Corp..................................................63,200 1,516,800
Ambac Financial Group, Inc......................................5,600 292,250
American International Group....................................8,600 929,875
Aon Corp.......................................................19,900 796,000
AXA Financial, Inc.............................................11,600 392,950
Cigna Corp.....................................................10,200 821,738
Fremont General Corp............................................1,600 11,800
Hartford Financial Services Group, Inc.........................18,000 852,750
Lincoln National Corp..........................................13,000 520,000
MBIA, Inc.......................................................8,300 438,344
Mercury General Corp............................................3,000 66,750
Safeco Corp....................................................10,400 258,700
St. Paul Co....................................................14,600 491,838
Torchmark Corp..................................................5,200 151,125
Travelers Property Casualty Corp................................4,800 164,400
UnumProvident Corp.............................................19,800 634,838
------------
8,742,008
------------
Lodging - 0.3%
Extended Stay America, Inc.*......................................700 5,338
Hilton Hotels Corp.............................................26,400 254,100
Mandalay Resort Group*..........................................1,000 20,125
Starwood Hotels & Resorts Worldwide, Inc.......................17,700 415,950
------------
695,513
------------
Media - Broadcasting & Publishing - 2.9%
Comcast Corp...................................................39,000 1,959,750
Gannett Co., Inc...............................................12,400 1,011,375
Knight-Ridder, Inc.............................................10,000 595,000
MediaOne Group, Inc.*..........................................40,300 3,095,544
New York Times Co..............................................18,300 898,988
-------------
7,560,657
-------------
Medical Supplies - 0.6%
Becton Dickinson & Co...........................................4,900 131,075
Boston Scientific Corp.*........................................7,600 166,250
Forest Laboratories, Inc.*.....................................11,900 731,106
Humana, Inc.*...................................................6,000 49,125
Perkin-Elmer Biosystems Group...................................3,500 421,094
St. Jude Medical, Inc.*.........................................2,300 70,581
-------------
1,569,231
-------------
Metals - 0.8%
Alcoa, Inc.....................................................16,300 1,352,900
Allegheny Technologies, Inc.....................................7,850 176,134
Freeport-McMoran Copper & Gold, Inc. (Class B)*................10,900 230,263
Hubbell, Inc....................................................2,400 65,400
Phelps Dodge Corp.................................................600 40,275
Reynolds Metals Co..............................................2,900 222,213
-------------
2,087,185
-------------
Office Equipment - 0.3%
Harris Corp., Inc.................................................100 2,669
Xerox Corp.....................................................39,300 891,619
-------------
894,288
-------------
Oil & Gas - 5.6%
Chevron Corp...................................................18,800 1,628,550
Columbia Energy Group...........................................4,100 259,325
Conoco Inc. (Class B)..........................................17,900 445,263
Consolidated Natural Gas Co.....................................3,900 253,256
Cooper Cameron Corp.*...........................................2,900 141,919
ENSCO International, Inc........................................6,600 150,975
Exxon Mobil Corp...............................................97,184 7,829,386
Global Marine, Inc.*............................................9,000 149,625
Phillips Petroleum Co...........................................7,900 371,300
Royal Dutch Petroleum Co.......................................49,500 2,991,656
R&B Falcon Corp.*..............................................10,400 137,800
Tosco Corp......................................................8,200 222,938
Ultramar Diamond Shamrock Corp..................................4,700 106,631
Union Pacific Resources Group, Inc..............................7,300 93,075
Valero Energy Corp................................................800 15,900
-------------
14,797,599
-------------
Pharmaceuticals - 6.9%
Abbott Laboratories............................................44,200 1,605,013
Alza Corp.*....................................................19,100 661,338
American Home Products Corp....................................55,700 2,196,669
Bristol-Myers Squibb Co........................................77,600 4,980,950
Eli Lilly & Co.................................................49,000 3,258,500
Genzyme Corp.*..................................................7,900 355,500
Human Genome Sciences, Inc.*......................................900 137,363
Johnson & Johnson...............................................1,700 158,313
Merck & Co., Inc...............................................14,500 972,406
Pfizer, Inc....................................................17,500 567,656
Schering-Plough Corp............................................2,200 92,813
Warner Lambert Co..............................................35,500 2,908,781
Watson Pharmaceutical, Inc.*....................................6,500 232,781
------------
18,128,083
------------
Retailers - 5.8%
Abercrombie & Fitch Co..........................................5,500 146,781
Circuit City Stores, Inc........................................3,400 153,213
CompUSA, Inc.*..................................................2,100 10,763
CVS Corp........................................................3,700 147,769
Dayton-Hudson Corp.............................................23,600 1,733,125
Federated Department Stores, Inc.*.............................11,400 576,413
Gap, Inc.......................................................45,000 2,070,000
Home Depot, Inc................................................36,600 2,509,388
J.C. Penney Co., Inc...........................................14,200 283,113
K-Mart Corp.*..................................................26,900 270,681
May Department Stores Co. (The)................................18,200 586,950
Nordstrom, Inc..................................................7,300 191,169
Sears, Roebuck and Co.............................................400 12,175
TJX Companies, Inc.............................................17,800 363,788
Wal-Mart Stores, Inc...........................................89,300 6,172,863
-------------
15,228,191
-------------
Telephone Systems - 7.9%
AT&T Corp......................................................31,900 1,618,925
AT&T Corp. - Liberty Media Group...............................33,900 1,923,825
Bell Atlantic Corp.............................................22,700 1,397,469
Exodus Communications, Inc......................................5,200 461,825
Global Crossing Ltd.*..........................................24,600 1,230,000
GTE Corp.......................................................34,400 2,427,350
Level 3 Communications, Inc.*..................................15,600 1,277,250
MCI WorldCom, Inc..............................................99,750 5,292,984
SBC Communications Corp.......................................111,500 5,435,625
-------------
21,065,253
-------------
Textiles, Clothing & Fabrics - 0.1%
Jones Apparel Group, Inc.*......................................7,300 198,013
Reebok International Ltd.*......................................1,100 9,006
Unifi, Inc.*....................................................1,100 13,544
-------------
220,563
-------------
Transportation - 0.6%
AMR Corp. *.....................................................5,500 368,500
Burlington Northern Santa Fe Corp..............................14,100 341,925
CNF Transportation, Inc.........................................1,400 48,300
Consolidated Freightways Corp.*...................................100 794
CSX Corp........................................................6,500 203,938
Norfolk Southern Corp..........................................10,600 217,300
Ryder System, Inc...............................................1,900 46,431
Union Pacific Corp..............................................7,400 322,825
Wisconsin Central Transport Corp.*................................300 4,031
-------------
1,554,044
-------------
Total Common Stocks (Cost $232,008,679) 258,792,737
-------------
U.S. Treasury Securities - 0.0% Par
U.S. Treasury Note at 5.875%, due 2/15/00 (a)................$310,000 $ 310,291
(Cost $311,519) -------------
TOTAL INVESTMENTS - 98.5%
(Cost $232,320,198) 259,103,028
Other Assets and Liabilities - 1.5% 4,024,120
-------------
TOTAL NET ASSETS - 100.0% $ 263,127,148
=============
Portfolio Footnotes:
(a) Held as collateral for open futures contracts.
* Non-income producing security.
</TABLE>
<PAGE>
Cova Series Trust
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common and Preferred Stocks - 99.1%
Australia - 2.8%
<S> <C> <C>
AMP Ltd........................................................21,000 $ 231,673
Broken Hill Proprietary Co., Ltd...............................29,800 390,698
CSR Ltd........................................................73,500 178,263
Lend Lease Corp., Ltd..........................................24,400 341,316
National Australia Bank Ltd....................................30,800 470,413
News Corp., Ltd. (The) Preferred...............................96,000 821,210
Southcorp Holdings Ltd........................................108,400 381,572
Telstra Corp., Ltd.............................................92,900 504,218
Telstra Corp., Ltd.*...........................................29,192 158,441
Westpac Banking Corp. Ltd......................................30,900 212,819
WMC Ltd........................................................34,900 192,166
-------------
3,882,789
-------------
Austria - 0.5%
Bank Austria AG ...............................................12,153 686,081
-------------
Belgium - 0.0%
Real Software.....................................................814 64,663
-------------
Denmark - 0.1%
Ratin A/S (B Shs) ..............................................1,733 194,893
--------------
Finland - 3.0%
Nokia Oyj......................................................12,966 2,352,790
Sonera Oyj......................................................7,061 484,393
Stora Enso Oyj.................................................57,484 988,419
Tietoenator Oyj.................................................5,705 356,575
------------
4,182,177
------------
France -11.5%
Alcatel.........................................................4,024 924,904
Alstom.........................................................18,386 613,506
Atos SA*........................................................1,510 250,559
Aventis S.A....................................................18,659 1,085,336
AXA Co..........................................................6,933 967,299
Banque Nationale de Paris......................................11,070 1,022,225
Carrefour S.A...................................................4,278 789,647
Castorama Dubois Investisse.....................................1,900 578,448
Christian Dior SA...............................................1,484 368,021
CNP Assurances..................................................5,600 206,394
Coflexip SA.....................................................1,603 116,593
Compagnie de Saint Goban........................................2,767 520,783
Elf Aquitaine SA ..................................................65 10,026
Groupe Danone...................................................2,707 638,569
Lagardere Groupe................................................8,614 468,924
LVMH (Louis Vuitton Moet Hennessy)................................789 353,710
Pinault-Printemps-Redoute S.A...................................2,388 630,724
Renault S.A.....................................................4,942 238,440
Rhodia, S.A....................................................22,490 508,763
Suez Lyonnaise Des Eaux SA......................................1,509 242,027
Total Fina SA..................................................21,045 2,811,049
Usinor Sacilor.................................................19,821 372,656
Vivendi........................................................22,847 2,064,824
-------------
15,783,427
-------------
Germany - 10.7%
BASF AG........................................................14,475 744,205
Bayer AG........................................................7,749 367,153
Bilfinger and Berger Bau AG....................................12,540 273,058
Celanese AG*....................................................1,116 20,363
Consors Discount Broker AG*.....................................2,808 234,952
DaimlerChrysler AG.............................................14,013 1,090,566
Deutsche Bank AG...............................................14,408 1,217,896
Deutsche Telekom AG............................................28,108 2,011,833
Dresdner Bank AG................................................8,240 448,564
Entrium Direct Bankers AG*......................................6,500 99,600
Hochtief AG.....................................................4,400 164,119
Mannesmann AG..................................................13,546 3,304,685
Marschollek, Lautenschlaeger und Partner AG.......................600 181,458
ProSieben Media AG Preferred (144A)^............................4,100 238,486
SAP AG..........................................................1,452 715,779
Schering AG.....................................................2,607 317,608
Siemans AG.....................................................12,590 1,602,997
Stinnes AG*....................................................11,148 236,004
Thyssen Krupp AG...............................................15,893 484,657
Veba AG........................................................12,682 616,863
Volkswagen AG - Preferred.......................................3,900 126,204
Volkswagen AG...................................................5,979 337,235
-------------
14,834,285
-------------
Hong Kong - 2.8%
Cable & Wireless HKT Ltd......................................150,000 433,230
Cheung Kong (Holdings) Ltd.....................................54,000 686,029
Dao Heng Bank Group Ltd........................................80,000 412,711
Hong Kong Electric.............................................71,000 221,961
Hutchison Whampoa Ltd..........................................80,000 1,163,000
SmarTone Telecommunications Holdings Ltd.......................68,500 330,471
Sun Hung Kai Properties Ltd....................................45,000 468,931
Wharf (Holdings) Ltd...........................................86,000 199,704
-------------
3,916,037
-------------
Ireland - 0.9%
Bank of Ireland................................................42,633 339,529
CRH Plc........................................................15,728 339,305
Irish Life & Permanent Plc.....................................19,361 183,468
Jefferson Smurfit Group Plc...................................135,628 410,180
------------
1,272,482
------------
Italy - 4.2%
Assicurazioni Generali..........................................6,975 231,618
Banca Fideuram SpA.............................................60,681 707,215
Banca Nazionale del Lavoro *...................................64,729 215,336
Bipop-Carire SpA................................................2,703 239,273
ENI SpA.......................................................114,421 627,838
Fiat SpA*.......................................................9,790 279,795
Mediaset SpA...................................................23,973 370,773
Mediolanum SpA.................................................22,410 299,699
Saipem SpA.....................................................48,900 178,008
Telecom Italia Mobile SpA......................................88,868 990,931
Telecom Italia SpA.............................................39,263 552,155
Telecom Italia SpA.............................................64,630 394,439
Unicredito Italiano SpA.......................................143,670 707,368
-------------
5,794,448
-------------
Japan - 19.2%
Advantest Corp..................................................1,000 264,343
Aiful Corp........................................................500 61,191
Ajinomoto Co., Inc.............................................15,000 156,403
Asahi Bank Ltd.................................................79,000 487,272
Bank of Fukuoka Ltd............................................23,000 159,653
Bank of Tokyo - Mitsubishi Ltd. (The)..........................33,000 460,074
Bridgestone Corp................................................9,000 198,257
Citizen Watch Co, Ltd..........................................25,000 159,095
DDI Corp...........................................................33 452,320
EBARA Corp.....................................................39,000 435,285
Fuji Bank, Ltd.................................................36,000 349,990
Fuji Heavy Industries Ltd......................................21,000 143,920
Fujitsu Ltd....................................................23,000 1,049,344
Hitachi Ltd....................................................25,000 401,410
Hitachi Software Engineering Co., Ltd...........................2,200 320,932
Honda Motor Co., Ltd...........................................11,000 409,242
Ito-Yokado Co., Ltd.............................................4,000 434,697
Japan Tobacco, Inc.................................................19 145,467
Kaken Pharmaceutical Co. Ltd...................................10,000 55,610
Kawasaki Steel Corp............................................97,000 173,791
Kyocera Corp....................................................4,000 1,037,791
Marui Co., Ltd.................................................11,000 164,343
Matsushita Electric Industry...................................20,000 554,141
Minebea Co., Ltd...............................................34,000 583,532
Mitsubishi Chemical Corp......................................158,000 556,883
Mitsubishi Corp................................................72,000 556,178
Mitsubishi Estate Co., Ltd.....................................20,000 195,222
Mitsui Marine & Fire Insurance Co., Ltd........................25,000 148,326
Mitsui Trust & Banking Co., Ltd (The)..........................31,000 70,110
NAMCO Ltd.......................................................9,300 602,761
NEC Corp.......................................................16,000 381,437
Nintendo Co. Ltd................................................1,400 232,739
Nippon Telegraph and Telephone Corp...............................129 2,210,202
Nippon Yusen Kabushiki Kaisha.................................140,000 572,939
Nishimatsu Construction Co.....................................73,000 293,029
Nisshin Steel Co., Ltd..........................................4,000 4,425
Omron Corp......................................................9,000 207,509
Osaka Gas Co., Ltd.............................................75,000 180,634
Pioneer Corp...................................................19,000 502,252
Promise Co., Ltd................................................5,200 264,735
Ricoh Corp., Ltd...............................................28,000 527,981
Rohm Co.........................................................1,600 657,921
Sanyo Electric Co., Ltd........................................42,000 170,648
Sekisui Chemical Co., Ltd......................................41,000 181,839
Shohkoh Fund......................................................440 174,251
Snow Brand Milk Product Co Ltd.................................29,000 116,977
Softbank Corp...................................................1,400 1,340,513
Sony Music Entertainment, Inc...................................9,600 1,915,489
Sumitomo Bakelite Co., Ltd.....................................14,000 125,416
Sumitomo Bank, Ltd.............................................16,000 219,150
Sumitomo Rubber Industries Ltd.................................45,000 199,138
Suzuki Motor Corp..............................................23,000 335,745
Taiheiyo Cement Corp...........................................49,000 93,548
Takeda Chemical Industries.....................................13,000 642,745
Takefuji Corp...................................................1,000 125,220
Tokuyama Corp..................................................31,000 113,814
Tokyo Electric Power Co., Inc..................................13,100 351,420
Tokyo Gas Co., Ltd.............................................66,000 160,897
Tokyo Steel Manufacturing Co., Ltd.............................27,200 95,868
Toppan Printing Co., Ltd.......................................18,000 179,753
Tostem Corp....................................................14,000 251,518
Toyo Trust & Banking Co., Ltd..................................62,000 254,944
Toyota Motor Co................................................22,104 1,071,224
Uny Co. Ltd....................................................15,000 146,710
West Japan Railway Co.............................................153 542,256
Yamaha Corp.....................................................7,000 45,506
Yamanouchi Pharmaceutical......................................11,000 384,472
York-Benimaru Co., Ltd..........................................3,000 78,128
Yoshitomi Pharmaceutical Industries, Ltd.......................16,000 203,642
-------------
26,344,217
-------------
Netherlands - 8.6%
ABN Amro Holding N.V...........................................23,590 589,771
Aegon N.V.......................................................4,638 448,387
Equant N.V.*....................................................9,032 1,026,151
Fortis (NL) NV.................................................25,066 903,368
Getronics N.V...................................................5,263 420,206
Heineken N.V...................................................10,660 520,338
ING Groep N.V..................................................19,312 1,166,938
Koninklijke KPN N.V............................................10,952 1,069,845
Koninklijke Numico, N.V.........................................7,300 272,288
Koninklijke (Royal) Philips Electonics N.V.....................12,033 1,637,613
Laurus N.V.....................................................13,151 237,310
Royal Dutch Petroleum Co.......................................10,680 655,142
STMicroelectronics..............................................3,458 532,662
TNT Post Group N.V.................................................41 1,176
United Pan-Europe Communications NV*............................4,661 596,742
Vedior N.V.....................................................21,987 226,084
Vendex N.V.....................................................21,816 580,608
VNU NV..........................................................7,400 389,260
Wolters Kluwer N.V.............................................16,999 575,793
------------
11,849,682
------------
New Zealand - 0.2%
Fletcher Challenge Energy......................................16,300 42,616
Fletcher Challenge Ltd.........................................28,300 41,731
Fletcher Challenge Paper Shares................................76,200 53,392
Telecom New Zealand............................................32,100 151,066
-------------
288,805
-------------
Portugal - 0.7%
Banco Pinto & Sotto Mayor S.A..................................23,800 510,566
Portugal Telecom S.A...........................................14,935 163,960
PT Multimedia Servicos*.........................................5,410 307,977
-------------
982,503
-------------
Singapore - 0.9%
DBS Bank Ltd...................................................27,705 454,535
Neptune Orient Lines Ltd......................................157,000 210,403
Singapore Press Holdings Ltd....................................9,000 195,252
Singapore Telecommunications, Ltd..............................86,000 177,788
Venture Manufacturing Ltd......................................23,000 264,002
-------------
1,301,980
-------------
Spain - 4.7%
Altadis S.A. (ex Tabacalera S.A.)...............................4,450 63,702
Banco Bilbao Vizcaya S.A.......................................20,632 294,100
Banco Santander Central Hispano S.A...........................115,538 1,309,166
Centros Comerciales Continente, S.A.............................8,025 160,991
Endesa S.A.....................................................46,172 917,422
Indra Sistemas S.A.............................................18,969 356,637
Repsol S.A.....................................................32,900 763,493
Telefonica S.A.................................................97,872 2,446,886
Union Electrica Fenosa, S.A....................................12,822 224,134
-------------
6,536,531
-------------
Sweden - 3.5%
ABB Ltd.*.......................................................2,882 351,977
Autoliv, Inc...................................................13,203 387,180
Electrolux AB...................................................8,292 208,985
ForeningsSparbanken AB.........................................10,857 159,831
Modern Times Group MTG AB (B shares)*...........................4,592 228,221
Skandia Forsakrings AB.........................................11,048 334,394
Telefonaktiebolaget LM Ericsson................................48,600 3,130,868
-------------
4,801,456
-------------
Switzerland - 6.9%
Compagnie Financiere Richemont AG (Units A).......................205 489,414
Geberit International AG .........................................590 202,017
Holderbank Financiere Glarus AG...................................139 190,375
Nestle S.A........................................................838 1,535,745
Novartis AG.......................................................737 1,082,557
Roche Holding AG .................................................192 2,279,827
Schweizerische Lebensversicherungs-und Rentenanstal...............470 273,136
SGS Societe Generale de Surveillance Holding S.A.*................191 243,595
Swisscom AG.....................................................2,990 1,209,751
UBS AG..........................................................3,505 946,881
Zurich Allied AG................................................1,813 1,034,243
-------------
9,487,541
-------------
United Kingdom - 17.8%
Allied Zurich Plc..............................................24,450 287,761
ARM Holdings Plc*...............................................2,200 148,730
Arriva Plc......................................................9,000 35,038
AstraZeneca Group Plc..........................................17,650 733,324
Barclays Plc...................................................17,300 497,934
Bass Plc.......................................................13,939 175,408
BG Group Plc...................................................28,711 184,128
Billiton Plc...................................................64,200 380,611
BP Amoco Plc..................................................266,234 2,683,933
British Aerospace Plc..........................................50,048 329,049
British American Tobacco Plc...................................25,250 142,761
British Sky Broadcasting Group Plc.............................27,600 445,850
British Telecommunications Plc.................................46,100 1,103,458
Cable & Wireless Plc...........................................50,100 849,781
Cadbury Schweppes Plc..........................................34,500 207,320
CMG Plc.........................................................1,900 139,711
Compass Group Plc..............................................44,300 608,279
Corus Group Plc...............................................106,700 277,505
Diageo Plc.....................................................32,184 259,976
Dixons Group Plc...............................................10,400 250,322
Enterprise Oil Plc..............................................9,600 65,366
FirstGroup Plc.................................................22,000 85,293
Glaxo Wellcome Plc.............................................53,900 1,528,950
Glynwed International Plc......................................56,700 219,824
Great Universal Stores Plc.....................................19,500 114,604
Hanson Plc.....................................................27,900 233,912
Hays Plc........................................................8,500 135,593
HSBC Holdings Plc..............................................76,650 1,083,429
Imperial Chemical Industries Plc...............................14,700 155,301
Kingfisher Plc.................................................27,200 301,120
Lloyds TSB Group Plc..........................................135,800 1,686,965
Marconi Plc....................................................36,900 654,767
MEPC Plc.......................................................36,274 272,476
MFI Furniture Group Plc.......................................104,932 76,278
National Power Plc.............................................27,540 160,077
Northern Foods Plc..............................................4,165 6,728
Norwich Union Plc..............................................12,200 93,514
Nycomed Amersham Plc...........................................18,475 116,394
Ocean Group Plc.................................................9,300 173,518
Pearson Plc....................................................19,400 631,476
Pilkington Plc.................................................53,500 72,855
Prudential Corp................................................27,500 524,197
Racal Electronics..............................................44,100 395,377
Reckitt & Colman Plc...........................................12,500 117,317
Reuters Group Plc..............................................17,700 245,896
Royal Bank of Scotland.........................................15,500 274,424
Royal & Sun Alliance Insurance Group Plc.......................37,381 270,224
Scottish Power Plc.............................................56,300 415,855
SEMA Group Plc..................................................5,100 91,708
Smith & Nephew Plc.............................................17,000 57,121
SmithKline Beecham Plc.........................................66,802 851,425
Tate & Lyle Plc................................................13,200 84,547
Tesco Plc.....................................................103,800 315,236
The Sage Group Plc.............................................12,600 155,098
Thus Plc*......................................................14,000 88,427
TI Group Plc...................................................14,600 105,896
Unilever Plc...................................................32,068 236,238
Vodafone Group Plc............................................440,200 2,169,069
Williams Plc...................................................20,700 94,297
Wolseley Plc...................................................16,000 111,915
Woolwich Plc...................................................54,300 290,779
-------------
24,504,365
-------------
United States - 0.1%
LHS Group Inc. ................................................ 3,856 95,237
-------------
Total Common and Preferred Stocks (Cost $106,756,850) 136,803,599
-------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Par Security Value
Amount Description Coupon Maturity (Note 1)
- -------------------------------------------------------------------------------------------------------------------------
Foreign Bonds & Debt Securities - 0.3%
Bermuda - 0.2%
<S> <C> <C> <C>
(Y)10,000,000 AB International Cayman Trust............................... 0.500% 08/01/2007 $ 123,796
(Y)15,000,000 Sanwa International Finance Convertible..................... + 08/01/2005 161,719
--------------
285,515
--------------
Japan - 0.1%
(Y)10,000,000 Yamanouchi Pharmaceutical .................................. 1.250% 03/31/2014 175,503
--------------
United Kingdom - 0.0%
(pound)4,000 BG Transco Holdings - Float................................. 7.057% 12/14/2009 6,501
(pound)4,000 BG Transco Holdings - Variable.............................. 4.188% 12/14/2022 6,445
(pound)4,000 BG Transco Holdings......................................... 7.000% 12/16/2024 6,278
--------------
19,224
--------------
Total Foreign Bonds & Debt Securities (Cost $277,210) 480,242
--------------
TOTAL INVESTMENTS - 99.4%
(Cost $107,034,060) $137,283,841
Other Assets and Liabilities (net) - 0.6% 787,312
--------------
TOTAL NET ASSETS - 100.0% $138,071,153
==============
Portfolio Footnotes:
*Non-income producing security.
^Securities that may be resold to "qualified institutional buyers"
under Rule 144A or securities offered pursuant to Section 4(2) of the
Securities Act of 1933, as amended. These securities have been
determined to be liquid under guidelines established by the Board of Trustees.
+Zero coupon bond
(Y) - Japanese Yen
(pound) - British Pound
</TABLE>
<PAGE>
Cova Series Trust
Bond Debenture Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Par/Share Security Value
Amount Description Coupon Maturity (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------------
Domestic Bonds & Debt Securities - 78.1%
Advertising - 2.9%
<S> <C> <C> <C>
$1,000,000 Ackerley Group, Inc. (The) ..........................................9.000% 01/15/2009 $ 980,000
505,000 Interpublic Group of Companies, Inc. (The) Convertible (144A)^ ......1.800% 09/16/2004 795,375
95,000 Interpublic Group of Companies, Inc. (The) Convertible ..............1.800% 09/16/2004 149,625
300,000 Interpublic Group of Companies, Inc. (The) (144A)^ ..................1.870% 06/01/2006 340,875
1,500,000 Lamar Media Corp. ...................................................9.625% 12/01/2006 1,537,500
1,200,000 R.H. Donnelly Corp. .................................................9.125% 06/01/2008 1,182,000
----------------
4,985,375
----------------
Aerospace & Defense - 1.5%
1,000,000 BE Aerospace, Inc. ..................................................9.875% 02/01/2006 970,000
850,000 Dyncorp, Inc. .......................................................9.500% 03/01/2007 751,188
500,000 Orbital Sciences Corp. (144A)^ ......................................5.000% 10/01/2002 428,125
500,000 United Defense Industries, Inc. .....................................8.750% 11/15/2007 480,000
----------------
2,629,313
----------------
Airlines - 0.9%
1,000,000 America West Airlines, Inc. ........................................10.750% 09/01/2005 976,250
650,000 Continental Airlines, Inc. ..........................................8.000% 12/15/2005 601,250
----------------
1,577,500
----------------
Automotive - 1.8%
750,000 Diamond Triumph Autoglass (144A)^ ...................................9.250% 04/01/2008 528,750
700,000 Navistar International Corp. ........................................8.000% 02/01/2008 668,500
1,100,000 Oshkosh Truck Corp. .................................................8.750% 03/01/2008 1,072,500
700,000 Tenneco Inc. (144A)^ ...............................................11.625% 10/15/2009 717,500
----------------
2,987,250
----------------
Building Materials - 0.6%
1,000,000 American Standard Inc.* .............................................8.250% 06/01/2009 963,750
----------------
Chemicals - 2.0%
1,000,000 Huntsman Corp. (144A)^ ..............................................9.500% 07/01/2007 952,500
1,000,000 Lyondell Chemical ...................................................9.625% 05/01/2007 1,027,500
1,000,000 Scotts Co. (The) (144A)^ ............................................8.625% 01/15/2009 975,000
500,000 Sovereign Specialty Chemicals, Inc. .................................9.500% 08/01/2007 505,000
----------------
3,460,000
----------------
Commercial Services - 4.0%
1,000,000 Allied Waste North America, Inc. ....................................7.875% 01/01/2009 888,750
750,000 Avis Rent A Car, Inc. ..............................................11.000% 05/01/2009 791,250
600,000 Budget Group, Inc. ..................................................9.125% 04/01/2006 561,000
1,500,000 Iron Mountain, Inc. ................................................10.125% 10/01/2006 1,533,750
90,000 Iron Mountain, Inc. .................................................8.250% 07/01/2011 82,125
725,000 Mail-Well I Corp. ...................................................8.750% 12/15/2008 692,375
400,000 Metamor Worldwide, Inc. Convertible .................................2.940% 08/15/2004 347,000
1,250,000 Pierce Leahy Corp. .................................................11.125% 07/15/2006 1,331,250
700,000 Unicco Service Co. ..................................................9.875% 10/15/2007 649,250
----------------
6,876,750
----------------
Communications - 9.5%
1,775,000 Bresnan Communications Co. .....................................0%, 9.250% ++ 02/01/2009 1,233,625
1,000,000 Cencall Communications Corp. .......................................10.125% 01/15/2004 1,040,000
450,000 Dobson Communications Corp. ........................................11.750% 04/15/2007 510,750
1,500,000 EchoStar Communications Corp.(144A)^ ................................4.875% 01/01/2007 1,846,875
1,000,000 Frontiervision LP/Capital .....................................0%, 11.875% ++ 09/15/2007 900,000
1,000,000 ICG Holdings, Inc. ............................................0%, 13.500% ++ 09/15/2005 875,000
400,000 Logix Communications Enterprises ...................................12.250% 06/15/2008 313,000
2,000,000 McLeodUSA, Inc. ...............................................0%, 10.500% ++ 03/01/2007 1,650,000
2,000,000 Nextel Communications, Inc. ..................................0%, 9.950% ++ 02/15/2008 1,430,000
1,000,000 NTL, Inc. ..........................................................10.000% 02/15/2007 1,032,500
1,000,000 NTL, Inc. .....................................................0%, 12.375% ++ 10/01/2008 712,500
1,500,000 NTL Inc. (144A)^ ....................................................5.750% 12/15/2009 1,620,000
450,000 Splitrock Services, Inc. ...........................................11.750% 07/15/2008 423,000
1,250,000 Sprint Spectrum L.P. ..........................................0%, 12.500% ++ 08/15/2006 1,157,459
500,000 Time Warner Telecom, LLC ............................................9.750% 07/15/2008 517,500
900,000 Williams Communications Group, Inc. ................................10.875% 10/01/2009 945,000
----------------
16,207,209
----------------
Computer Software & Processing - 2.5%
600,000 Affiliated Computer Services, Inc. Convertible (144A)^ ..............4.000% 03/15/2005 724,128
600,000 Arbor Software Corp. Convertible (144A)^ ............................4.500% 03/15/2005 582,000
800,000 BEA Systems, Inc. (144A)^ ...........................................4.000% 12/15/2006 937,000
500,000 CheckFree Holdings Corp. (144A) ^....................................6.500% 12/01/2006 796,250
600,000 Orbital Imaging Corp. (144A)^ ......................................11.625% 03/01/2005 417,000
200,000 PSINet, Inc. .......................................................11.500% 11/01/2008 210,000
600,000 Verio Inc. (144A)^ .................................................10.625% 11/15/2009 618,000
----------------
4,284,378
----------------
Computers & Information - 2.1%
1,000,000 Hewlett-Packard Co. ......................................................+ 10/14/2017 688,750
1,500,000 National Data Corp. Convertible .....................................5.000% 11/01/2003 1,365,000
400,000 Solectron Corp. Convertible ..............................................+ 01/27/2019 302,500
1,600,000 Solectron Corp. Convertible (144A)^ ......................................+ 01/27/2019 1,223,648
----------------
3,579,898
----------------
Containers & Packaging - 0.6%
1,000,000 U.S. Can Corp. .....................................................10.125% 10/15/2006 1,025,000
----------------
Cosmetics & Personal Care - 0.6%
1,000,000 Chattem, Inc. .......................................................8.875% 04/01/2008 941,250
----------------
Electric Utilities - 0.8%
50,000 El Paso Electric Co. ................................................8.250% 02/01/2003 50,732
88,294 Midland Cogeneration Venture L.P. ..................................10.330% 07/23/2002 92,833
1,250,000 PP&L Resources, Inc. ................................................6.550% 03/01/2006 1,190,746
----------------
1,334,311
----------------
Electronics - 1.2%
300,000 DecisionOne Holdings Corp. ....................................0%, 12.375% ++ 08/01/2008 1,686
500,000 Lattice Semiconductor Corp. (144A)^ .................................4.750% 11/01/2006 655,625
1,000,000 Sanmina Corp. (144A)^ ...............................................4.250% 05/01/2004 1,322,500
----------------
1,979,811
----------------
Entertainment & Leisure - 2.1%
1,000,000 Harrah's Operating Co., Inc. ........................................7.875% 12/15/2005 971,250
700,000 Harrah's Operating Co., Inc. ........................................7.500% 01/15/2009 654,380
500,000 Loews Cineplex Entertainment Corp. ..................................8.875% 08/01/2008 443,750
1,500,000 Mohegan Tribal Gaming ...............................................8.750% 01/01/2009 1,485,000
----------------
3,554,380
----------------
Financial Services - 1.7%
1,000,000 Accuride Corp. ......................................................9.250% 02/01/2008 915,000
1,000,000 AEI Holding Co., Inc. (144A)^ ......................................10.500% 12/15/2005 755,000
500,000 Merrill Lynch & Co., Inc. ...........................................1.500% 12/15/2005 579,375
500,000 Navistar Financial Corp. ............................................9.000% 06/01/2002 503,750
150,000 Ocwen Financial Corp. ..............................................11.875% 10/01/2003 141,750
----------------
2,894,875
----------------
Forest Products & Paper - 1.1%
750,000 Kevco, Inc. ........................................................10.375% 12/01/2007 191,250
1,250,000 Packaging Corp. of America ..........................................9.625% 04/01/2009 1,282,813
300,000 SD Warren Co. ......................................................12.000% 12/15/2004 314,250
----------------
1,788,313
----------------
Health Care Providers - 1.3%
1,000,000 Leiner Health Products Group ........................................9.625% 07/01/2007 755,000
500,000 Prime Medical Services, Inc. ........................................8.750% 04/01/2008 462,500
1,000,000 Tenet Healthcare Corp. ..............................................8.625% 01/15/2007 970,000
----------------
2,187,500
----------------
Heavy Construction - 0.5%
1,000,000 Lennar Corp. ........................................................7.625% 03/01/2009 906,580
----------------
Home Construction, Furnishings & Appliances - 1.1%
1,000,000 D.R. Horton, Inc. ..................................................10.000% 04/15/2006 1,023,750
1,000,000 MDC Holdings, Inc. ..................................................8.375% 02/01/2008 925,000
----------------
1,948,750
----------------
Industrial - Diversified - 1.1%
200,000 Compass Aerospace Corp. (144A)^ ....................................10.125% 04/15/2005 111,000
500,000 Dura Operating Corp. ................................................9.000% 05/01/2009 473,750
1,000,000 Fisher Scientific International, Inc. ...............................9.000% 02/01/2008 963,750
250,000 Fonda Group, Inc. ...................................................9.500% 03/01/2007 210,000
1,000,000 Safelite Glass Corp. ................................................9.875% 12/15/2006 55,000
----------------
1,813,500
----------------
Lodging - 1.5%
1,000,000 Aztar Corporation ...................................................8.875% 05/15/2007 965,000
750,000 Isle of Capri Casinos, Inc. .........................................8.750% 04/15/2009 693,750
1,000,000 Park Place Entertainment Corp. ......................................7.875% 12/15/2005 962,500
----------------
2,621,250
----------------
Media - Broadcasting & Publishing - 8.5%
1,000,000 Allbritton Communications Co. .......................................9.750% 11/30/2007 1,007,500
350,000 Capstar Broadcasting Corp. ..........................................9.250% 07/01/2007 365,750
1,000,000 Century Communications Corp. ........................................9.500% 03/01/2005 1,005,000
300,000 Century Communications Corp. ........................................8.875% 01/15/2007 292,500
150,000 Century Communications Corp. ........................................8.750% 10/01/2007 145,125
1,000,000 Chancellor Radio ....................................................9.375% 10/01/2004 1,045,000
1,000,000 Charter Communications Holdings LLC .................................8.625% 04/01/2009 928,750
200,000 Clear Channel Communications, Inc. ..................................1.500% 12/01/2002 205,500
400,000 Clear Channel Communications, Inc. Convertible ......................2.625% 04/01/2003 596,000
500,000 CSC Holdings, Inc. ..................................................9.250% 11/01/2005 515,000
300,000 CSC Holdings, Inc. .................................................10.500% 05/15/2016 334,500
500,000 Cumulus Media, Inc. ................................................10.375% 07/01/2008 525,000
450,000 EZ Communications, Inc. .............................................9.750% 12/01/2005 481,015
1,000,000 Fox Liberty Networks LLC ............................................8.875% 08/15/2007 1,025,000
400,000 Gray Communications Systems, Inc. ..................................10.625% 10/01/2006 415,000
1,000,000 Interep National Radio Sales .......................................10.000% 07/01/2008 962,500
425,000 K-III Communications Corp. .........................................10.250% 06/01/2004 444,125
500,000 L-3 Communications Corp. ...........................................10.375% 05/01/2007 518,750
1,000,000 Mediacom LLC ........................................................8.500% 04/15/2008 935,000
250,000 Price Communications Wireless, Inc. .................................9.125% 12/15/2006 254,375
750,000 Renaissance Media Group .......................................0%, 10.000% ++ 04/15/2008 528,750
1,591,000 Sinclair Broadcast Group, Inc. .....................................10.000% 09/30/2005 1,591,000
350,000 Young Broadcasting, Inc. ...........................................11.750% 11/15/2004 367,063
----------------
14,488,203
----------------
Medical Supplies - 0.2%
350,000 Advanced Energy Industries, Inc. ....................................5.250% 11/15/2006 418,250
----------------
Metals - 1.6%
500,000 AK Steel Corp. ......................................................9.125% 12/15/2006 511,250
500,000 Armco Inc. ..........................................................9.000% 09/15/2007 508,125
1,000,000 Mascotech, Inc. .....................................................4.500% 12/15/2003 732,500
500,000 Nortek, Inc. ........................................................8.875% 08/01/2008 477,500
500,000 WCI Steel, Inc. ....................................................10.000% 12/01/2004 510,000
----------------
2,739,375
----------------
Oil & Gas - 3.7%
500,000 Chesapeake Energy Corp. .............................................9.625% 05/01/2005 473,750
2,000,000 Devon Energy Corp. ..................................................4.950% 08/15/2008 1,960,000
1,000,000 HS Resources, Inc. ..................................................9.875% 12/01/2003 1,002,500
150,000 KCS Energy, Inc. ...................................................11.000% (a) 01/15/2003 120,750
500,000 Parker Drilling Corp. Convertible ...................................5.500% 08/01/2004 350,000
800,000 Plains Resources, Inc. (144A)^ .....................................10.250% 03/15/2006 780,000
500,000 Pogo Producing Co. ..................................................8.750% 05/15/2007 477,500
750,000 Swift Energy Co. Convertible ........................................6.250% 11/15/2006 588,750
500,000 Vintage Petroleum, Inc. .............................................8.625% 02/01/2009 481,250
----------------
6,234,500
----------------
Retailers - 0.6%
246,000 Businessland, Inc. ..................................................5.500% 03/01/2007 178,350
500,000 Costco Wholesale Corp. Convertible (144A)^ ...............................+ 08/19/2017 532,500
250,000 Costco Wholesale Corp. Convertible .......................................+ 08/19/2017 266,250
----------------
977,100
----------------
Telephone Systems - 7.3%
350,000 AMSC Acquisition Co., Inc. .........................................12.250% 04/01/2008 275,188
1,000,000 Exodus Communications, Inc.(144A)^ ..................................4.750% 07/15/2008 1,384,880
600,000 Exodus Communications, Inc. (144A)^ ................................10.750% 12/15/2009 613,500
1,000,000 GST USA, Inc. .................................................0%, 13.875% ++ 12/15/2005 745,000
1,000,000 Hyperion Telecommunications, Inc. ..................................12.250% 09/01/2004 1,082,500
150,000 Intermedia Communications of Florida, Inc. .........................13.500% 06/01/2005 163,790
2,500,000 Intermedia Communications of Florida, Inc. ....................0%, 11.250% ++ 07/15/2007 1,862,500
400,000 MasTec, Inc. ........................................................7.750% 02/01/2008 378,000
300,000 Metromedia Fiber Network, Inc. .....................................10.000% 12/15/2009 309,000
1,000,000 NEXTLINK Communications, Inc. ......................................10.750% 11/15/2008 1,035,000
1,000,000 Qwest Communications International, Inc. ............................7.500% 11/01/2008 985,000
1,000,000 SBA Communications Corp. ......................................0%, 12.000% ++ 03/01/2008 595,000
250,000 Triton PCS, Inc. ..............................................0%, 11.000% ++ 05/01/2008 178,125
1,400,000 United States Cellular Corp. Convertible .................................+ 06/15/2015 1,349,250
1,000,000 Viatel, Inc. .......................................................11.250% 04/15/2008 997,500
500,000 VoiceStream Wireless Corp. (144A)^ .................................10.375% 11/15/2009 517,500
----------------
12,471,733
----------------
Textiles, Clothing & Fabrics - 1.0%
1,000,000 Collins & Aikman Corp. .............................................11.500% 04/15/2006 992,500
410,000 GFSI, Inc. ..........................................................9.625% 03/01/2007 247,538
$500,000 Interface, Inc. .....................................................9.500% 11/15/2005 471,875
----------------
1,711,913
----------------
Transportation - 0.4%
600,000 Commscope, Inc. (144A)^ .............................................4.000% 12/15/2006 651,750
----------------
U.S. Government Agency - 0.9%
1,500,000 Federal National Mortgage Association ...............................8.500% 02/01/2005 1,502,514
----------------
U.S. Treasury Securities - 12.5%
15,000,000 U.S. Treasury Note ..................................................5.500% 05/31/2003 14,601,570
7,500,000 U.S. Treasury Note ..................................................4.750% 11/15/2008 6,618,750
----------------
21,220,320
----------------
Total Domestic Bonds & Debt Securities (Cost $136,377,062) 132,962,601
----------------
Foreign Bonds & Debt Securities - 15.1%
Argentina - 0.5%
1,000,000 Telefonica de Argentina S.A. (U.S.$) (144A)^ ........................9.125% 05/07/2008 875,000
----------------
Bermuda - 1.2%
2,500,000 Elan Finance Corp. Convertible (144A)^ ...................................+ 12/14/2018 1,306,250
750,000 Global Crossing Holdings Ltd. (U.S.$) ...............................9.625% 05/15/2008 753,750
----------------
2,060,000
----------------
Brazil - 0.2%
400,000 Globo Comunicacoes Participation (U.S.$) (144A)^ ...................10.625% 12/05/2008 339,000
----------------
Canada - 3.3%
3,000,000 Call-Net Enterprises, Inc. (Yankee) ...........................0%, 8.940% ++ 08/15/2008 1,552,500
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 1,462,500
1,000,000 Rogers Cantel, Inc. (Yankee) ........................................8.300% 10/01/2007 1,015,000
1,000,000 Tembec Industries, Inc. (Yankee) ....................................8.625% 06/30/2009 1,002,500
----------------
5,637,500
----------------
China - 0.1%
250,000 Cathay International Ltd. (U.S.$) (144A)^ ..........................13.500% 04/15/2008 126,875
----------------
Luxembourg - 0.5%
1,000,000 Millicom International Cellular S.A. (Yankee) (144A)^ ..........0%, 13.500% ++ 06/01/2006 805,000
----------------
Mexico - 1.6%
1,000,000 Grupo Televisa S.A. (Yankee) .......................................11.875% 05/15/2006 1,072,500
400,000 Pepsi-Gemex S.A. (Yankee) ...........................................9.750% 03/30/2004 401,000
500,000 Satelites Mexicanos S.A. (Yankee) ..................................10.125% 11/01/2004 341,250
1,000,000 TV Azteca S.A. (Yankee) ............................................10.500% 02/15/2007 870,000
----------------
2,684,750
----------------
Netherlands - 2.8%
700,000 ASM Lithography Holding NV (144A)^ ..................................4.250% 11/30/2004 846,797
1,000,000 STMicroelectronics NV (U.S.$) ............................................+ 09/22/2009 1,378,160
2,700,000 United Pan-Europe Communications NV(Yankee) ...................0%, 12.500% ++ 08/01/2009 1,539,000
500,000 United Pan-Europe Communications NV (U.S.$) (144A)^ ................11.250% 11/01/2009 515,625
500,000 Versatel Telecom International NV (Yankee) .........................11.875% 07/15/2009 510,000
----------------
4,789,582
----------------
Panama - 0.5%
1,000,000 Panama (Republic of) (U.S.$) ........................................8.875% 09/30/2027 842,500
----------------
Switzerland - 1.3%
500,000 Credit Suisse First Boston Convertible (Yankee) .....................2.625% 04/20/2003 471,250
600,000 Credit Suisse First Boston Convertible (Yankee) .....................2.250% 03/16/2004 538,500
2,000,000 Roche Holdings, Inc. Convertible (U.S.$)(144A)^ ..........................+ 04/20/2010 1,215,000
----------------
2,224,750
----------------
United Kingdom - 3.1%
550,000 Diamond Cable Communication Plc (Yankee) ......................0%, 10.750% ++ 02/15/2007 453,750
1,000,000 Esprit Telecom Group Plc (Yankee) ..................................10.875% 06/15/2008 995,000
1,000,000 Orange Plc (U.S.$) ..................................................8.000% 08/01/2008 1,013,750
1,000,000 RSL Communications Plc (Yankee) ....................................12.000% 11/01/2008 1,012,500
750,000 Swiss Life Finance Ltd. (U.S.$) (144A)^ .............................2.000% 05/20/2003 739,688
1,500,000 TeleWest Communications Plc (U.S.$)(144A)^ ....................0%, 9.250% ++ 04/15/2009 952,500
----------------
5,167,188
----------------
Total Foreign Bonds & Debt Securities (Cost $25,274,030) 25,552,145
----------------
</TABLE>
<TABLE>
<CAPTION>
Common and Preferred Stocks - 4.9%
Banking - 0.1%
<S> <C> <C>
10,000 Coastal Finance, Inc. Preferred ................................................................. 226,250
----------------
Beverages, Food & Tobacco - 0.3%
10,000 Seagram Co Ltd .................................................................................. 450,000
----------------
Chemicals - 0.3%
15,000 Monsanto Co. Convertible Preferred .............................................................. 496,875
----------------
Computer Software & Processing - 0.7%
20,000 Verio Inc. (144A)^ .............................................................................. 1,130,000
----------------
Electric Utilities - 0.5%
20,000 Texas Utilities Co. Convertible Preferred ....................................................... 872,500
----------------
Financial Services - 0.6%
20,000 DECS TRUST VI* .................................................................................. 930,000
----------------
Forest Products & Paper - 0.3%
10,000 Georgia-Pacific Group ........................................................................... 511,250
----------------
Heavy Machinery - 0.1%
10,000 Ingersoll-Rand Co. Convertible Preferred ........................................................ 255,000
----------------
Insurance - 1.0%
25,000 AmerUs Life Holdings, Inc. Convertible Preferred ................................................ 568,750
5,000 Jefferson - Pilot "NB" (ACES) ................................................................... 418,750
35,000 Lincoln National Corp. Convertible Preferred .................................................... 770,000
----------------
1,757,500
----------------
Media - Broadcasting & Publishing - 0.9%
10,000 Cox Communication, Inc. ......................................................................... 680,000
12,000 MediaOne Group, Inc. - Preferred* ............................................................... 576,000
8,500 Sinclair Broadcast Group, Inc. Convertible Preferred ............................................ 298,031
----------------
1,554,031
----------------
Telephone Systems - 0.1%
2,015 Viatel, Inc. Convertible Preferred* ............................................................ 108,054
----------------
Total Common and Preferred Stocks (Cost $8,890,341) 8,291,460
----------------
Warrants - 0.0%
Communications - 0.0%
522 NTL, Inc. (expiring 10/14/08) ................................................................... 26,165
450 Splitrock Services, Inc. (expiring 07/15/08) .................................................... 42,516
----------------
68,681
----------------
Computer Software & Processing - 0.0%
600 Orbital Imaging corp. (expiring 03/01/05) (144A)^ ............................................... 12,075
----------------
Media - Broadcasting & Publishing - 0.0%
930 American Telecasting, Inc. (expiring 08/10/00) .................................................. 9
----------------
Medical Supplies - 0.0%
250 Urohealth Systems, Inc. (expiring 04/10/04) ..................................................... 3
----------------
Telephone Systems - 0.0%
350 American Mobile Satellite Corp. (expiring 04/01/08) ............................................. 14,044
350 Intermedia Communications of Florida, Inc. (expiring 06/01/00) .................................. 39,288
----------------
53,332
----------------
Total Warrants (Cost $57,828) 134,100
----------------
TOTAL INVESTMENTS - 98.1% 166,940,306
(Cost $170,599,261)
Other Assets and Liabilities - 1.9% 3,215,501
----------------
NET ASSETS - 100.0% 170,155,807
----------------
</TABLE>
Portfolio Footnotes:
*Non-income producing security.
^Securities that may be resold to "qualified institutional
buyers" under Rule 144A or securities offered pursuant to
Section 4(2) of the Securities Act of 1933, as amended.
These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
+Zero coupon bond
++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.
(a) Security currently in default on interest payment due
July 1999. The Fund is not accruing stated interest.
ACES - Adjustable Convertible Rate Equity Security
<TABLE>
<CAPTION>
Portfolio Composition by Credit Quality (Unaudited)
December 31, 1999
- ----------------------------------------------------------------------------------------------------
The following table summarizes the portfolio composition of
long-term debt holdings at December 31, 1999, based upon
quality ratings issued by Standard & Poor's. For securities
not rated by Standard & Poor's, the Moody's rating is used.
Portfolio Composition by Credit Quality
----------------------------------------------------------------------------------
Ratings % of Portfolio
<S> <C>
U.S. Gov't and Agency Obligations 14.0%
AA 1.0
A 1.9
BBB 10.4
BB 19.2
B 41.5
CCC 2.6
NR 9.4
--------------------
100.0%
====================
Note: NR = Not Rated
- ----------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
Cova Series Trust
Mid-Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 98.2%
Airlines - 1.4%
<S> <C> <C>
Skywest, Inc...................................................15,000 $ 420,000
---------------
Banking - 0.9%
Cullen/Frost Bankers, Inc......................................10,300 265,225
---------------
Beverages, Food & Tobacco - 10.7%
Corn Products International, Inc...............................20,800 681,200
Dean Foods Co..................................................16,400 651,900
Del Monte Foods Co.*...........................................49,300 607,006
IBP, Inc.......................................................32,900 592,200
Universal Foods Corp...........................................30,600 623,475
---------------
3,155,781
---------------
Chemicals - 4.1%
CK Witco Corp..................................................68,000 909,500
IMC Global, Inc................................................18,600 304,575
--------------
1,214,075
--------------
Computers & Information - 3.1%
Cabletron Systems, Inc.*.......................................35,600 925,600
---------------
Containers & Packaging - 3.6%
American National Can Group, Inc...............................34,600 449,800
Ball Corp......................................................15,300 602,438
--------------
1,052,238
--------------
Electric Utilities - 12.1%
FirstEnergy Corp...............................................16,400 372,075
Illinova Corp..................................................23,500 816,625
IPALCO Enterprises, Inc........................................26,500 452,156
Niagara Mohawk Holdings, Inc.*.................................40,300 561,681
Northeast Utilities............................................27,100 557,244
Scana Corp.....................................................18,700 502,563
Sierra Pacific Resources.......................................17,056 295,282
---------------
3,557,626
---------------
Electronics - 2.9%
Varian Semiconductor Equipment Associates, Inc.*...............24,900 846,600
---------------
Entertainment & Leisure - 1.9%
Mirage Resorts, Inc.*..........................................36,000 551,250
---------------
Financial Services - 1.6%
CIT Group, Inc. (The)..........................................21,700 458,413
---------------
Forest Products & Paper - 2.2%
Pactiv Corporation*............................................60,000 637,500
---------------
Health Care Providers - 3.0%
Caremark Rx, Inc.*............................................148,400 751,275
Manor Care, Inc.*...............................................7,600 121,600
---------------
872,875
---------------
Heavy Machinery - 3.0%
Varian Medical Systems, Inc.*..................................29,600 882,450
---------------
Household Products - 1.0%
Snap-On, Inc...................................................10,700 284,219
---------------
Insurance - 9.2%
Ace Ltd........................................................18,000 300,375
MONY Group, Inc. (The).........................................18,870 550,768
Oxford Health Plans, Inc.*.....................................19,000 241,063
PartnerRe Ltd...................................................4,200 136,238
Transatlantic Holdings, Inc.....................................6,700 523,019
Trigon Healthcare, Inc.*.......................................12,600 371,700
XL Capital Ltd.................................................11,500 596,563
---------------
2,719,726
---------------
Medical Supplies - 4.3%
Acuson Corp.*..................................................48,000 603,000
St. Jude Medical, Inc.*........................................21,200 650,575
---------------
1,253,575
---------------
Oil & Gas - 19.2%
Amerada Hess Corp...............................................7,400 419,950
Dynegy, Inc....................................................47,700 1,159,702
Eastern Enterprises............................................11,100 637,556
EOG Resources, Inc.............................................39,800 698,988
Kerr-Mcgee Corp................................................10,100 626,200
Santa Fe Snyder Corp.*.........................................55,600 444,800
Southwest Gas Corp.............................................20,000 460,000
Ultramar Diamond Shamrock Corp.................................26,000 589,875
Valero Energy Corp.............................................31,700 630,038
---------------
5,667,109
---------------
Pharmaceuticals - 2.8%
Mylan Laboratories, Inc........................................33,000 831,188
---------------
Real Estate - 2.0%
Healthcare Realty Trust, Inc. (REIT)...........................38,355 599,297
---------------
Restaurants - 2.0%
CBRL Group, Inc................................................61,600 597,711
---------------
Retailers - 2.2%
Consolidated Stores Corp.*.....................................39,100 635,375
---------------
Textiles, Clothing & Fabrics - 5.0%
Polymer Group, Inc.............................................59,400 1,084,050
Tommy Hilfiger Corp.*..........................................16,000 373,000
---------------
1,457,050
---------------
TOTAL INVESTMENTS - 98.2%
(Cost $27,678,819) 28,884,883
Other Assets and Liabilities (net) - 1.8% 539,237
---------------
TOTAL NET ASSETS - 100.0% $29,424,120
===============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
REIT - Real Estate Investment Trust
<PAGE>
Cova Series Trust
Large Cap Research Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 91.5%
Aerospace & Defense -2.4%
<S> <C> <C>
Boeing Co......................................................12,000 $ 498,750
Honeywell International Inc.....................................6,100 351,894
------------
850,644
------------
Automotive - 2.6%
Ford Motor Co...................................................6,000 320,625
General Motors Corp.............................................5,600 407,050
Rockwell International Corp.....................................4,300 205,863
------------
933,538
------------
Banking - 4.7%
Bank of America Corp............................................5,456 273,823
Chase Manhattan Corp............................................4,650 361,247
Fleet Boston Financial Corp.....................................9,295 323,582
Mellon Financial Corp..........................................10,200 347,438
Wells Fargo Co..................................................9,650 390,222
------------
1,696,312
------------
Beverages, Food & Tobacco - 3.3%
Archer-Daniels-Midland Co......................................25,600 312,000
Heinz (H.J.), Co...............................................14,900 593,206
Ralston-Ralston Purina Group....................................9,800 273,175
------------
1,178,381
------------
Commercial Services - 1.1%
Cendant Corp.*.................................................14,600 387,813
------------
Communications - 2.5%
QUALCOMM, Inc...................................................5,200 915,850
------------
Computer Software & Processing - 8.7%
Cadence Design Systems, Inc.*..................................18,400 441,600
Ceridian Corp.*................................................29,000 625,313
Computer Associates International, Inc..........................5,600 391,650
Computer Sciences Corp.*.......................................10,100 955,713
First Data Corp................................................14,400 710,100
------------
3,124,376
------------
Computers & Information -10.7%
Apple Computer, Inc.*...........................................7,000 719,688
Compaq Computer Corp...........................................26,100 706,331
EMC Corp.*......................................................5,500 600,875
Minnesota Mining & Manufacturing Co. (3M).......................4,000 391,500
Sun Microsystems, Inc...........................................4,400 340,725
Unisys Corp.*..................................................33,800 1,079,481
------------
3,838,600
------------
Electric Utilities - 3.4%
Carolina Power & Light Co.......................................8,720 265,415
Duke Energy Corp...............................................11,700 586,463
FPL Group, Inc..................................................8,650 370,328
------------
1,222,206
------------
Electrical Equipment - 1.0%
Emerson Electric Co.............................................6,100 349,988
------------
Financial Services - 1.1%
Morgan Stanley, Dean Witter & Co................................2,900 413,975
------------
Forest Products & Paper - 3.9%
Abitibi-Consolidated, Inc......................................25,600 304,000
Champion International Corp.....................................8,250 510,984
International Paper Co.........................................10,600 598,238
------------
1,413,222
------------
Health Care Providers - 1.2%
Columbia/HCA Healthcare Corp...................................15,100 442,619
------------
Heavy Machinery - 2.2%
Baker Hughes, Inc..............................................18,100 381,231
Deere & Co......................................................9,800 425,075
------------
806,306
------------
Insurance - 9.5%
Ace Ltd........................................................27,300 455,569
Aetna, Inc......................................................5,600 312,550
American General Corp...........................................8,650 656,319
Aon Corp.......................................................20,600 824,000
Cigna Corp......................................................5,600 451,150
Marsh & McLennan Co., Inc.......................................7,500 717,656
------------
3,417,244
------------
Media - Broadcasting & Publishing - 6.2%
CBS Corp.*......................................................6,470 413,676
Dow Jones & Co., Inc............................................7,200 489,600
Gannett Co., Inc................................................4,600 375,188
MediaOne Group, Inc.*...........................................7,900 606,819
Time Warner, Inc................................................4,800 347,700
------------
2,232,983
------------
Metals - 3.5%
Alcoa, Inc......................................................7,600 630,800
Phelps Dodge Corp...............................................9,200 617,550
------------
1,248,350
------------
Oil & Gas - 8.8%
BP Amoco Plc (ADR)..............................................9,320 552,793
Coastal Corp....................................................8,420 298,384
Exxon Mobil Corp...............................................17,920 1,443,680
Schlumberger Ltd................................................5,100 286,875
Total S.A. (ADR)................................................8,000 554,000
Transocean Sedco Forex, Inc.......................................987 33,262
------------
3,168,994
------------
Pharmaceuticals - 3.6%
American Home Products Corp....................................11,000 433,813
Bristol-Myers Squibb Co.........................................8,300 532,756
Pharmacia & Upjohn, Inc.........................................7,700 346,500
------------
1,313,069
------------
Retailers - 3.0%
Consolidated Stores Corp.*.....................................38,500 625,625
Federated Department Stores, Inc.*..............................8,800 444,950
------------
1,070,575
------------
Telephone Systems - 7.7%
Alltel Corp.....................................................5,900 487,856
AT&T Corp......................................................14,950 758,713
Bell Atlantic Corp..............................................5,500 338,594
Globalstar Telecommunications Ltd.*............................15,900 699,600
Loral Space & Communications Ltd.*.............................20,500 498,406
------------
2,783,169
------------
Transportation - 0.4%
United Parcel Service, Inc. - Class B...........................2,000 138,000
------------
TOTAL INVESTMENTS - 91.5%
(Cost $29,243,853) $32,946,214
------------
Other Assets and Liabilities (net) - 8.5% 3,051,699
------------
TOTAL NET ASSETS - 100.0% $35,997,913
============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
ADR - American Depositary Receipt
<PAGE>
Cova Series Trust
Developing Growth Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 94.4%
Aerospace & Defense - 1.3%
<S> <C> <C>
Orbital Sciences Corp.*........................................23,800 $ 441,788
------------
Airlines - 0.4%
Frontier Airlines, Inc.*.......................................11,400 129,675
------------
Apparel Retailers - 1.5%
Pacific Sunwear of California, Inc.............................14,250 454,219
Stage Stores, Inc.*............................................21,300 49,256
------------
503,475
------------
Automotive - 0.2%
JLG Industries, Inc.............................................4,300 68,531
------------
Banking - 0.3%
Net.B@nk, Inc.*.................................................5,800 107,300
------------
Beverages, Food & Tobacco - 1.1%
Horizon Organic Holding Corp.*..................................9,700 72,750
Northland Cranberries, Inc......................................9,200 55,200
Smithfield Foods, Inc.*.........................................6,100 146,400
Twinlab Corp.*.................................................12,500 99,219
------------
373,569
------------
Building Materials - 0.6%
Insight Enterprises, Inc.*......................................4,900 199,063
------------
Chemicals - 0.7%
OM Group, Inc...................................................7,300 251,394
------------
Commercial Services - 10.3%
Aegis Communications Group, Inc.*.............................120,600 116,837
Butler International, Inc......................................13,450 147,950
Caribiner International, Inc.*.................................14,800 53,650
Core Laboratories N.V.*........................................19,300 387,206
Cornell Corrections, Inc.*.....................................22,000 184,250
Diamond Technology Partners, Inc................................5,450 468,359
First Consulting Group, Inc.*...................................1,200 18,600
G & K Services, Inc.............................................6,600 213,675
ICOS Corp.*.....................................................4,100 119,925
Iron Mountain, Inc.*...........................................10,200 400,988
Labor Ready, Inc.*..............................................7,800 94,575
Memberworks, Inc.*..............................................2,900 96,244
Modis Professional Services, Inc.*..............................7,900 112,575
Steiner Leisure Ltd.*...........................................3,100 51,731
TeleTech Holdings, Inc.*.......................................22,900 771,801
U S Liquids Inc.*...............................................7,500 62,813
US Oncology, Inc.*.............................................15,500 76,531
Xceed Inc.*.....................................................1,800 74,700
------------
3,452,410
------------
Communications - 6.0%
Cable Design Technologies Corp.*................................2,500 57,500
Netro Corp.*....................................................4,700 239,700
PairGain Technologies, Inc.*...................................17,100 242,606
Plantronics, Inc.*.............................................10,700 765,719
Sawtek, Inc....................................................10,800 718,875
------------
2,024,400
------------
Computer Software & Processing - 24.2%
Activision, Inc.*..............................................10,200 156,188
Acxiom Corp.*..................................................13,600 326,400
Aspect Development, Inc.*.......................................2,000 137,000
Best Software, Inc.*...........................................12,300 362,850
Caere Corp.*...................................................12,600 92,138
Cambridge Technology Partners, Inc.*...........................36,500 958,109
CheckFree Corp.*................................................2,200 229,900
CIBER, Inc.*...................................................12,000 330,000
Complete Business Solutions, Inc.*..............................2,300 57,788
Computer Horizons Corp.*.......................................12,400 200,725
Daleen Technologies, Inc.*......................................3,400 74,375
Dendrite International, Inc.....................................6,300 213,413
eCollege.com Inc.*..............................................8,300 90,781
Exchange Applications, Inc.*....................................3,600 201,150
IMRglobal Corp.*...............................................17,500 219,844
InfoCure Corp.*.................................................3,400 106,038
Jupiter Communications, Inc.*...................................3,000 90,750
Landmark Systems Corp.*........................................15,300 159,694
Lionbridge Technologies, Inc.*..................................4,500 82,125
Mastech Corp.*.................................................12,700 314,325
National Computer Systems, Inc..................................4,500 169,313
National Instruments Corp.......................................4,650 177,863
Optio Software, Inc.*...........................................5,600 131,600
Phoenix Technologies Ltd.*......................................5,600 88,550
Primus Knowledge Solutions, Inc.*...............................5,400 244,688
Proxicom, Inc.*.................................................1,800 223,763
RadiSys Corp...................................................13,100 668,100
Renaissance Worldwide, Inc.*......................................500 3,688
Rudolph Technologies, Inc.*.....................................5,500 184,250
S1 Corp.*......................................................11,500 898,438
Sykes Enterprises, Inc.*........................................3,700 162,338
Technology Solutions Co.*.......................................3,400 111,350
THQ, Inc. *.....................................................4,250 98,547
Transaction Systems Architects, Inc.*...........................5,700 159,600
USWeb Corp.*....................................................7,500 333,281
------------
8,058,962
------------
Computers & Information - 6.7%
Advanced Digital Information Corp...............................7,800 379,275
Analogic Corp...................................................4,900 161,700
Fvc.com, Inc.*.................................................10,500 122,719
In Focus Systems, Inc.*.........................................8,100 187,819
MICROS Systems, Inc.*...........................................9,600 710,400
MicroTouch Systems, Inc.*.......................................8,400 106,050
Xircom, Inc.*...................................................7,700 577,500
------------
2,245,463
------------
Electric Utilities - 0.8%
Independent Energy Holdings Plc (ADR)*..........................7,800 259,838
------------
Electrical Equipment - 1.4%
Ampex Corp.*...................................................19,900 108,206
Technitrol, Inc.................................................7,800 347,100
------------
455,306
------------
Electronics - 4.1%
American Xtal Technology, Inc.*.................................6,600 115,088
Artesyn Technologies, Inc.*.....................................9,500 199,500
CellStar Corp.*................................................29,200 288,350
Dionex Corp.*...................................................2,400 98,850
EMS Technologies, Inc.*.........................................7,600 89,300
Lecroy Corp.*...................................................8,300 101,675
NVIDIA Corp.*...................................................5,900 276,931
SLI, Inc.*.....................................................15,100 204,794
------------
1,374,488
------------
Entertainment & Leisure - 1.2%
Bally Total Fitness Holdings Corp.*.............................3,300 88,069
Championship Auto Racing Teams, Inc.*...........................8,200 188,600
Cinar Corp.*....................................................5,200 127,400
------------
404,069
------------
Financial Services - 0.3%
Federal Agricultural Mortgage Corp..............................5,400 109,013
------------
Food Retailers - 1.4%
Whole Foods Market, Inc.*.......................................6,900 319,988
Wild Oats Markets, Inc.*........................................7,350 163,078
------------
483,066
------------
Health Care Providers - 2.9%
Apria Healthcare Group Inc.*...................................12,800 229,600
Express Scripts, Inc.*..........................................2,800 179,200
Healthcare Services Group, Inc.*...............................17,850 124,950
Hooper Holmes, Inc.............................................12,400 319,300
Matria Healthcare, Inc.*.......................................29,600 122,100
------------
975,150
------------
Heavy Construction - 0.4%
McGrath Rentcorp................................................8,100 141,750
------------
Heavy Machinery - 0.4%
Flow International Corp.*......................................11,000 125,125
------------
Home Construction, Furnishings & Appliances - 0.4%
Crossmann Communities, Inc.*....................................9,400 145,700
------------
Industrial - Diversified - 0.4%
Identix, Inc.*.................................................13,300 120,531
------------
Media - Broadcasting & Publishing - 2.8%
NBC Internet, Inc. Class A*....................................10,800 834,300
Salem Communications Corp. - Class A*...........................4,500 101,813
------------
936,113
------------
Medical Supplies - 3.9%
Armor Holdings, Inc.*..........................................19,400 254,625
Arrow International, Inc........................................4,200 121,800
ATS Medical, Inc.*.............................................13,800 206,138
Coherent, Inc.*.................................................8,900 238,075
Hanger Orthopedic Group, Inc.*.................................14,400 144,000
Orthofix International N.V.*....................................4,600 65,838
SonoSite, Inc.*.................................................5,300 167,613
Theragenics Corp.*.............................................10,800 97,875
------------
1,295,964
------------
Metals - 2.0%
Matthews International Corp.....................................7,200 198,000
Stillwater Mining Co.*.........................................14,800 471,750
------------
669,750
------------
Miscellaneous - 1.4%
Student Advantage, Inc.*.......................................21,800 483,688
------------
Oil & Gas - 3.0%
Evergreen Resources, Inc.*.....................................10,100 199,475
Harken Energy Corp.*...........................................51,800 38,850
Louis Dreyfus Natural Gas Corp.*...............................10,900 197,563
Seitel, Inc.*..................................................11,400 76,950
Stone Energy Corp.*.............................................5,500 195,938
TransMontaigne Oil Co.*.........................................8,900 62,300
Vintage Petroleum, Inc.........................................20,900 252,106
------------
1,023,182
------------
Pharmaceuticals - 0.8%
Albany Molecular Research, Inc.*................................3,500 106,750
PathoGenesis Corp.*.............................................8,100 173,644
------------
280,394
------------
Real Estate - 0.4%
Catellus Development Corp.*.....................................4,700 60,219
Healthcare Realty Trust, Inc. (REIT)............................5,400 84,375
------------
144,594
------------
Retailers - 2.5%
Alloy Online, Inc.*.............................................5,400 85,050
Ames Department Stores, Inc.*...................................9,400 270,838
Cost Plus, Inc.*................................................4,850 172,781
iGo Corp.*......................................................5,700 51,656
Tuesday Morning Corp.*..........................................4,500 82,969
Zany Brainy, Inc.*.............................................16,600 170,150
------------
833,444
------------
Telephone Systems - 3.1%
Boston Communications Group, Inc.*..............................7,100 37,275
Clearnet Communications Inc.*..................................10,900 374,688
GST Telecommunications, Inc.*...................................8,600 77,938
MGC Communications, Inc.*.......................................4,900 248,675
Talk. com, Inc.*...............................................16,400 291,100
------------
1,029,676
------------
Textiles, Clothing & Fabrics - 5.1%
Cutter & Buck, Inc.*............................................2,200 33,275
Kenneth Cole Productions, Inc.*.................................6,500 297,375
Quiksilver, Inc.*..............................................19,200 297,600
Shoe Carnival, Inc.*...........................................10,700 107,669
Skechers U.S.A., Inc.*.........................................13,900 52,994
Tarrant Apparel Group*.........................................14,000 134,750
Timberland Co. (The)*...........................................9,100 481,163
Tropical Sportswear International Corp.*........................7,700 124,163
Vans, Inc.*....................................................16,100 197,225
------------
1,726,214
------------
Transportation - 2.4%
American Classic Voyages Co.*...................................7,600 266,000
Pegasus Systems, Inc.*..........................................6,100 367,906
Westinghouse Air Brake Co.......................................9,669 171,625
------------
805,531
------------
TOTAL INVESTMENTS - 94.4%
(Cost $25,444,809) $ 31,678,616
Other Assets and Liabilities (net) - 5.6% 1,878,497
------------
TOTAL NET ASSETS - 100.0% $33,557,113
============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
<PAGE>
Cova Series Trust
Lord Abbett Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 94.3%
Aerospace & Defense - 2.2%
<S> <C> <C>
Honeywell International Inc...................................340,000 $19,613,750
------------
Automotive - 1.0%
Ford Motor Co.................................................160,000 8,550,000
------------
Banking - 5.5%
Bank One Corp.................................................250,000 8,015,625
Chase Manhattan Corp..........................................190,000 14,760,625
Fleet Boston Financial Corp...................................340,000 11,836,250
Wells Fargo Co................................................350,000 14,153,125
------------
48,765,625
------------
Beverages, Food & Tobacco - 2.8%
Archer-Daniels-Midland Co...................................1,000,000 12,187,500
Ralston-Ralston Purina Group..................................460,000 12,822,500
------------
25,010,000
------------
Chemicals - 3.4%
Dow Chemical Co...............................................130,000 17,371,250
Rohm & Haas Co................................................320,000 13,020,000
------------
30,391,250
------------
Computer Software & Processing - 5.8%
Cadence Design Systems, Inc.*.................................600,000 14,400,000
Ceridian Corp.*...............................................270,000 5,821,875
First Data Corp...............................................200,000 9,862,500
Oracle Corp.*.................................................190,000 21,291,875
------------
51,376,250
------------
Computers & Information - 8.5%
Apple Computer, Inc.*..........................................70,000 7,196,875
Compaq Computer Corp..........................................380,000 10,283,750
International Business Machines Corp..........................155,000 16,740,000
Minnesota Mining & Manufacturing Co. (3M).....................110,000 10,766,250
Sun Microsystems, Inc.*.......................................190,000 14,713,125
Unisys Corp.*.................................................480,001 15,330,021
------------
75,030,021
------------
Electric Utilities - 5.4%
Carolina Power & Light Co.....................................240,000 7,305,000
Dominion Resources, Inc.......................................320,000 12,560,000
Duke Energy Corp..............................................325,000 16,290,625
FirstEnergy Corp..............................................530,000 12,024,375
------------
48,180,000
------------
Electrical Equipment - 1.4%
Emerson Electric Co...........................................210,000 12,048,750
------------
Electronics - 1.7%
Texas Instruments, Inc........................................160,000 15,500,000
------------
Financial Services - 2.9%
Federal National Mortgage Association.........................160,000 9,990,000
Morgan Stanley, Dean Witter & Co..............................110,000 15,702,500
------------
25,692,500
------------
Forest Products & Paper - 2.7%
International Paper Co........................................420,000 23,703,748
------------
Health Care Providers - 1.3%
Columbia/HCA Healthcare Corp..................................400,000 11,725,000
------------
Heavy Machinery - 2.9%
Black & Decker Corp...........................................210,000 10,972,500
Deere & Co....................................................350,000 15,181,250
------------
26,153,750
------------
Insurance - 9.3%
Ace Ltd.......................................................880,000 14,685,000
Aetna, Inc....................................................150,000 8,371,875
American General Corp.........................................270,000 20,486,250
Aon Corp......................................................440,000 17,600,000
Cigna Corp....................................................130,000 10,473,125
Jefferson-Pilot Corp..........................................160,000 10,920,000
------------
82,536,250
------------
Media - Broadcasting & Publishing - 5.3%
CBS Corp.*....................................................240,000 15,345,000
Dow Jones & Co., Inc..........................................240,000 16,320,000
Gannett Co., Inc..............................................150,000 12,234,375
MediaOne Group, Inc.*..........................................40,000 3,072,500
------------
46,971,875
------------
Metals - 4.8%
Alcoa, Inc....................................................260,000 21,580,000
Phelps Dodge Corp.............................................240,000 16,110,000
USX - U.S. Steel Group, Inc...................................140,000 4,620,000
------------
42,310,000
------------
Oil & Gas - 11.7%
Atlantic Richfield Co.........................................110,000 9,515,000
BP Amoco Plc (ADR)............................................240,000 14,235,000
Coastal Corp..................................................375,000 13,289,063
Exxon Mobil Corp..............................................275,000 22,154,688
Schlumberger Ltd..............................................260,000 14,625,000
Texaco, Inc...................................................200,000 10,862,500
Total S.A. (ADR)..............................................240,000 16,620,000
Transocean Sedco Forex, Inc....................................50,336 1,695,694
------------
102,996,945
------------
Pharmaceuticals - 3.2%
American Home Products Corp...................................400,000 15,775,000
Pharmacia & Upjohn, Inc.......................................290,000 13,050,000
------------
28,825,000
------------
Retailers - 2.4%
Consolidated Stores Corp.*....................................580,000 9,425,000
Federated Department Stores, Inc.*............................240,000 12,135,000
------------
21,560,000
------------
Telephone Systems - 10.1%
Alltel Corp...................................................200,000 16,537,500
AT&T Corp.....................................................380,000 19,285,000
Bell Atlantic Corp............................................240,000 14,775,000
Loral Space & Communications Ltd.*............................500,000 12,156,250
MCI WorldCom, Inc.*...........................................255,000 13,530,938
SBC Communications Corp.......................................270,000 13,162,500
------------
89,447,188
------------
Total Common Stocks (Cost $769,733,326) $836,387,902
------------
Convertible Preferred Stocks - 2.4%
Beverages, Food & Tobacco - 1.0%
Seagram Co Ltd (ACES).........................................200,000 9,000,000
------------
Electric Utilities - 1.4%
Houston Industries, Inc. .....................................100,000 12,050,000
------------
Total Convertible Preferred Stocks (Cost $19,902,624) 21,050,000
------------
TOTAL INVESTMENTS - 96.7%
(Cost $789,635,950) 857,437,902
Other Assets and Liabilities (net) - 3.3% $ 29,550,456
------------
TOTAL NET ASSETS - 100.0% $886,988,358
============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
ADR - American Depositary Receipt
ACES - Adjustable Convertible Rate Equity Security
<PAGE>
Cova Series Trust
Balanced Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 52.1%
Aerospace & Defense - 0.4%
<S> <C> <C>
Raytheon Co.....................................................1,375 $ 34,117
------------
Banking -1.7%
Chase Manhattan Corp............................................1,230 95,556
First Union Corp................................................2,180 71,531
------------
167,087
------------
Beverages, Food & Tobacco - 3.3%
Heinz (H.J.), Co................................................2,600 103,513
Pepsico, Inc....................................................2,580 90,945
Sysco Corp......................................................3,225 127,589
------------
322,047
------------
Building Materials - 0.9%
Masco Corp......................................................3,515 89,193
------------
Chemicals - 1.4%
Millipore Corp..................................................2,560 98,880
Solutia, Inc....................................................2,290 35,352
------------
134,232
------------
Communications - 0.6%
Lucent Technologies, Inc..........................................750 56,109
------------
Computer Software & Processing - 4.6%
BMC Software, Inc.*.............................................1,800 143,888
Cisco Systems, Inc.*..............................................700 74,988
First Data Corp.................................................2,090 103,063
Microsoft Corp..................................................1,085 126,674
------------
448,613
------------
Computers & Information - 1.6%
Compaq Computer Corp............................................1,910 51,689
Hewlett-Packard Co................................................950 108,241
------------
159,930
------------
Containers & Packaging - 2.5%
Avery-Dennison Corp.............................................1,610 117,329
Crown Cork & Seal, Inc..........................................1,780 39,828
Sealed Air Corp.*...............................................1,595 82,641
------------
239,798
------------
Cosmetics & Personal Care - 1.6%
Estee Lauder Co.................................................2,130 107,432
Gillette Co.....................................................1,140 46,954
------------
154,386
------------
Electric Utilities - 1.3%
Cinergy Corp....................................................3,160 76,235
Duke Energy Corp..................................................910 45,614
------------
121,849
------------
Electrical Equipment - 1.4%
General Electric Co...............................................875 135,406
------------
Electronics - 6.7%
Adaptec, Inc.*..................................................1,320 65,835
Altera Corp.....................................................2,310 114,489
Applied Materials, Inc.*........................................1,365 172,925
Intel Corp........................................................775 63,792
KLA-Tencor Corp.*...............................................1,505 167,619
Maxim Integrated Products, Inc..................................1,440 67,950
------------
652,610
------------
Entertainment & Leisure - 1.0%
Carnival Corp...................................................2,100 100,406
------------
Financial Services - 3.0%
Heller Financial, Inc...........................................1,895 38,018
MBNA Corp.......................................................3,290 89,653
Morgan Stanley, Dean Witter & Co..................................525 74,944
SLM Holding Corp................................................2,163 91,387
------------
294,002
------------
Forest Products & Paper - 1.0%
Mead Corp.......................................................2,230 96,866
------------
Heavy Machinery - 0.5%
Illinois Tool Works, Inc..........................................660 44,591
------------
Household Products - 0.6%
Newell Rubbermaid, Inc..........................................2,170 62,930
------------
Media - Broadcasting & Publishing - 0.5%
Time Warner, Inc..................................................670 48,533
------------
Medical Supplies - 1.6%
Bard (C.R.), Inc................................................1,040 55,120
Baxter International, Inc.......................................1,580 99,244
------------
154,364
------------
Metals - 1.3%
Alcoa, Inc......................................................1,500 124,500
------------
Oil & Gas - 2.8%
Murphy Oil Corp...................................................960 55,080
Ocean Energy, Inc.*.............................................4,105 31,814
Unocal Corp.....................................................1,660 55,714
USX - Marathon Group............................................3,140 77,519
Vastar Resources, Inc.............................................935 55,165
------------
275,292
------------
Pharmaceuticals - 4.1%
Allergan, Inc.....................................................920 45,770
Bristol-Myers Squibb Co.........................................1,345 86,332
Eli Lilly & Co..................................................1,380 91,770
Merck & Co., Inc................................................1,350 90,534
Schering-Plough Corp............................................1,925 81,211
------------
395,617
------------
Restaurants - 0.4%
Tricon Global Restaurants, Inc.*..................................940 36,308
------------
Retailers - 3.4%
Consolidated Stores Corp.*......................................3,573 58,061
Dillard's, Inc..................................................2,835 57,232
Office Depot, Inc.*.............................................4,995 54,633
Wal-Mart Stores, Inc............................................2,290 158,296
------------
328,222
------------
Telephone Systems - 3.1%
GTE Corp........................................................1,400 98,788
MCI WorldCom, Inc...............................................1,950 103,472
SBC Communications Corp.........................................2,100 102,375
------------
304,635
------------
Transportation - 0.8%
Burlington Northern Santa Fe Corp...............................3,400 82,450
------------
Total Common Stocks (Cost $4,426,964) 5,064,093
------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Par Security Value
Amount Description Coupon Maturity (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------------
Corporate Debt - 10.4%
Automotive - 1.5%
<S> <C> <C> <C>
$150,000 General Motors Acceptance Corp.......................................6.850% 06/17/2004 $ 147,648
--------------
Banking - 1.5%
150,000 Household Finance Corp...............................................6.000% 05/01/2004 142,563
--------------
Chemicals - 1.6%
150,000 Du Pont (E.I.) de Nemours and Co.....................................8.250% 09/15/2006 156,903
--------------
Entertainment & Leisure - 1.5%
150,000 Walt Disney Co. (The)................................................5.250% 11/10/2003 141,852
--------------
Financial Services - 2.9%
150,000 Associates Corp. of North America....................................5.800% 04/20/2004 142,216
150,000 Merrill Lynch & Co., Inc.............................................6.550% 08/01/2004 145,740
--------------
287,956
--------------
Retailers - 1.4%
150,000 J.C. Penney Co., Inc.................................................7.600% 04/01/2007 138,401
--------------
Total Corporate Debt (Cost $1,094,632) 1,015,323
--------------
U.S. Government and Agency Obligations - 21.9%
U.S. Government Agency Mortgage Backed Securities - 7.6%
31,250 Federal Home Loan Mortgage Corp......................................6.500% 01/01/2012 30,337
31,729 Federal National Mortgage Association................................6.000% 03/01/2011 30,130
438,895 Federal National Mortgage Association................................6.000% 11/01/2013 416,767
76,195 Federal National Mortgage Association................................7.000% 02/01/2016 74,757
123,451 Government National Mortgage Association.............................6.000% 01/15/2011 119,073
33,093 Government National Mortgage Association.............................6.500% 03/15/2024 31,097
34,435 Government National Mortgage Association.............................7.000% 07/20/2027 33,191
--------------
735,352
--------------
U.S. Treasury Securities - 14.3%
150,000 U.S. Treasury Note...................................................6.375% 05/15/2000 150,422
150,000 U.S. Treasury Note...................................................6.375% 08/15/2002 150,328
300,000 U.S. Treasury Note...................................................7.250% 05/15/2004 309,281
300,000 U.S. Treasury Note...................................................6.625% 05/15/2007 301,313
150,000 U.S. Treasury Note...................................................6.125% 08/15/2007 146,250
150,000 U.S. Treasury Note...................................................5.625% 05/15/2008 141,141
200,000 U.S. Treasury Note...................................................6.000% 08/15/2009 193,813
--------------
1,392,548
--------------
Total U.S. Government and Agency Obligations (Cost $2,207,861) 2,127,900
--------------
TOTAL INVESTMENTS - 84.4%
(Cost $7,729,457) $ 8,207,316
Other Assets and Liabilities (net) - 15.6% 1,520,330
--------------
TOTAL NET ASSETS - 100.0% $ 9,727,646
==============
Portfolio Footnotes:
*Non-income producing security.
</TABLE>
<PAGE>
Cova Series Trust
Equity Income Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 91.4%
Aerospace & Defense - 1.0%
<S> <C> <C>
Raytheon Co.....................................................2,900 $ 71,956
-------------
Banking - 12.0%
Chase Manhattan Corp............................................1,700 132,069
Citigroup, Inc..................................................2,200 122,238
Comerica, Inc...................................................2,000 93,375
First Union Corp................................................3,000 98,438
Mellon Financial Corp...........................................3,500 119,212
National City Corp..............................................3,600 85,275
PNC Bank Corp...................................................1,800 80,100
Union Planters Corp.............................................2,500 98,594
-------------
829,301
-------------
Beverages, Food & Tobacco - 8.3%
Heinz (H.J.), Co................................................2,900 115,456
Pepsico, Inc....................................................4,400 155,100
Ralston-Ralston Purina Group....................................2,500 69,688
Sara Lee Corp...................................................3,400 75,013
Sysco Corp......................................................4,200 166,163
-------------
581,420
-------------
Building Materials - 2.8%
Masco Corp......................................................4,800 121,800
Sherwin Williams Co.............................................3,500 73,500
-------------
195,300
-------------
Chemicals - 0.8%
Solutia, Inc....................................................3,400 52,488
-------------
Computer Software & Processing - 3.2%
BMC Software, Inc.*...............................................900 71,944
First Data Corp.................................................3,000 147,938
-------------
219,882
-------------
Computers & Information - 3.5%
Hewlett-Packard Co..............................................1,100 125,331
International Business Machines Corp............................1,100 118,800
-------------
244,131
-------------
Containers & Packaging - 1.8%
Crown Cork & Seal, Inc..........................................5,500 123,063
-------------
Cosmetics & Personal Care - 0.9%
Gillette Co.....................................................1,600 65,900
-------------
Electric Utilities - 8.1%
Ameren Corp.....................................................3,100 101,525
Cinergy Corp....................................................3,400 82,025
Constellation Energy Group, Inc.................................3,200 92,800
Duke Energy Corp................................................2,300 115,288
New Century Energies, Inc.......................................2,800 85,050
Scana Corp......................................................3,400 91,375
-------------
568,063
-------------
Electronics - 2.0%
Intel Corp......................................................1,700 139,931
-------------
Financial Services - 6.0%
Federal National Mortgage Association...........................1,700 106,144
Heller Financial, Inc...........................................4,000 80,250
MBNA Corp.......................................................4,200 114,450
SLM Holding Corp................................................2,800 118,300
-------------
419,144
-------------
Forest Products & Paper - 3.6%
Mead Corp.......................................................3,000 130,313
Temple Inland, Inc..............................................1,800 118,688
-------------
249,001
-------------
Health Care Providers - 1.0%
Columbia/HCA Healthcare Corp....................................2,400 70,350
-------------
Household Products - 0.7%
Newell Rubbermaid, Inc..........................................1,800 52,200
-------------
Medical Supplies - 3.9%
Bard (C.R.), Inc................................................2,500 132,500
Baxter International, Inc.......................................2,200 138,188
-------------
270,688
-------------
Metals - 4.8%
Alcoa, Inc......................................................2,200 182,600
USX - U.S. Steel Group, Inc.....................................4,700 155,100
-------------
337,700
-------------
Oil & Gas - 11.3%
Murphy Oil Corp.................................................2,500 143,438
National Fuel Gas Co............................................2,600 120,900
NICOR, Inc......................................................2,400 78,000
Ocean Energy, Inc.*.............................................5,900 45,725
Phillips Petroleum Co...........................................2,400 112,800
Unocal Corp.....................................................3,307 110,991
USX - Marathon Group............................................4,500 111,094
Vastar Resources, Inc...........................................1,000 59,000
-------------
781,948
-------------
Pharmaceuticals - 2.8%
Merck & Co., Inc................................................1,300 87,181
Pharmacia & Upjohn, Inc.........................................2,400 108,000
-------------
195,181
-------------
Real Estate - 3.7%
Archstone Communities Trust (REIT)..............................4,800 98,400
Felcor Lodging Trust, Inc. (REIT)...............................3,900 68,250
Prentiss Properties Trust (REIT)................................4,500 94,500
-------------
261,150
-------------
Retailers - 4.1%
Consolidated Stores Corp.*......................................3,400 55,250
Dillard's, Inc..................................................5,800 117,088
May Department Stores Co. (The).................................3,500 112,875
-------------
285,213
-------------
Telephone Systems - 3.7%
GTE Corp........................................................2,100 148,181
SBC Communications Corp.........................................2,200 107,250
-------------
255,431
-------------
Transportation - 1.4%
Burlington Northern Santa Fe Corp...............................4,100 99,425
-------------
Total Common Stocks (Cost $6,505,094) 6,368,866
-------------
Mutual Funds - 4.8%
S&P 500 Depository Receipt (Cost $287,710)......................2,300 337,813
-------------
TOTAL INVESTMENTS - 96.2%
(Cost $6,792,804) 6,706,679
Other Assets and Liabilities (net) - 3.8% $ 263,837
-------------
TOTAL NET ASSETS - 100.0% $6,970,516
=============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
REIT - Real Estate Investment Trust
<PAGE>
Cova Series Trust
Growth & Income Equity Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 92.4%
Aerospace & Defense - 0.6%
<S> <C> <C>
Raytheon Co.....................................................3,900 $ 96,769
------------
Banking - 2.7%
Chase Manhattan Corp............................................3,680 285,890
First Union Corp................................................4,750 155,859
------------
441,749
------------
Beverages, Food & Tobacco - 5.7%
Heinz (H.J.), Co................................................7,500 298,594
Pepsico, Inc....................................................7,380 260,145
Sysco Corp......................................................9,460 374,261
------------
933,000
------------
Building Materials - 1.5%
Masco Corp.....................................................10,000 253,750
------------
Chemicals - 2.5%
Millipore Corp..................................................8,915 344,342
Solutia, Inc....................................................4,650 71,784
------------
416,126
------------
Communications - 1.0%
Lucent Technologies, Inc........................................2,150 160,847
------------
Computer Software & Processing - 9.5%
BMC Software, Inc.*.............................................7,800 623,513
Cisco Systems, Inc.*............................................2,150 230,319
First Data Corp.................................................6,355 313,381
Microsoft Corp..................................................3,300 385,275
------------
1,552,488
------------
Computers & Information - 3.1%
Compaq Computer Corp............................................5,900 159,669
Hewlett-Packard Co..............................................3,100 353,206
------------
512,875
------------
Containers & Packaging - 4.4%
Avery-Dennison Corp.............................................4,800 349,800
Crown Cork & Seal, Inc..........................................5,225 116,909
Sealed Air Corp.*...............................................4,800 248,700
------------
715,409
------------
Cosmetics & Personal Care - 2.8%
Estee Lauder Co.................................................6,400 322,800
Gillette Co.....................................................3,200 131,800
------------
454,600
------------
Electric Utilities - 1.2%
Cinergy Corp....................................................2,378 57,369
Duke Energy Corp................................................2,700 135,338
------------
192,707
------------
Electrical Equipment - 2.4%
General Electric Co.............................................2,575 398,481
------------
Electronics - 13.0%
Adaptec, Inc.*..................................................4,980 248,378
Altera Corp.....................................................7,300 361,806
Applied Materials, Inc.*........................................4,650 589,096
Intel Corp......................................................2,000 164,625
KLA-Tencor Corp.*...............................................5,000 556,875
Maxim Integrated Products, Inc..................................4,400 207,625
------------
2,128,405
------------
Entertainment & Leisure - 1.9%
Carnival Corp...................................................6,400 306,000
------------
Financial Services - 5.4%
Heller Financial, Inc...........................................5,700 114,356
MBNA Corp.......................................................9,700 264,325
Morgan Stanley, Dean Witter & Co................................1,700 242,675
SLM Holding Corp................................................6,235 263,429
------------
884,785
------------
Forest Products & Paper - 1.8%
Mead Corp.......................................................6,775 294,289
------------
Heavy Machinery - 0.8%
Illinois Tool Works, Inc........................................2,000 135,125
------------
Household Products - 1.1%
Newell Rubbermaid, Inc..........................................6,565 190,385
------------
Media - Broadcasting & Publishing - 0.9%
Time Warner, Inc................................................2,100 152,119
------------
Medical Supplies - 2.7%
Bard (C.R.), Inc................................................3,220 170,660
Baxter International, Inc.......................................4,400 276,375
------------
447,035
------------
Metals - 2.3%
Alcoa, Inc......................................................4,600 381,800
------------
Oil & Gas - 4.6%
Murphy Oil Corp.................................................2,750 157,781
Ocean Energy, Inc.*............................................11,000 85,250
Unocal Corp.....................................................4,533 152,139
USX - Marathon Group............................................8,580 211,819
Vastar Resources, Inc...........................................2,575 151,925
------------
758,914
------------
Pharmaceuticals - 7.0%
Allergan, Inc...................................................2,511 124,879
Bristol-Myers Squibb Co.........................................3,900 250,331
Eli Lilly & Co..................................................3,980 264,670
Merck & Co., Inc................................................4,240 284,345
Schering-Plough Corp............................................5,210 219,797
------------
1,144,022
------------
Restaurants - 0.6%
Tricon Global Restaurants, Inc.*................................2,623 101,313
------------
Retailers - 5.9%
Consolidated Stores Corp.*.....................................11,881 193,066
Dillard's, Inc..................................................8,750 176,641
Office Depot, Inc. *...........................................13,950 152,578
Wal-Mart Stores, Inc............................................6,360 439,635
------------
961,920
------------
Telephone Systems - 5.4%
GTE Corp........................................................3,960 279,428
MCI WorldCom, Inc...............................................6,000 318,375
SBC Communications Corp.........................................6,000 292,500
------------
890,303
------------
Transportation - 1.6%
Burlington Northern Santa Fe Corp..............................11,000 266,750
------------
TOTAL INVESTMENTS - 92.4%
(Cost $12,822,610) $15,171,966
------------
Other Assets and Liabilities (net) - 7.6% 1,246,077
------------
TOTAL NET ASSETS - 100.0% $16,418,043
============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
<PAGE>
Cova Series Trust
Riggs U.S. Government Securities Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Par Security Value
Amount Description Coupon Maturity (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Government and Agency Obligations - 103.5%
Mortgage Backed Securities - 7.4%
<S> <C> <C> <C>
$21,826 Government National Mortgage Association (Cost $21,622)..............7.000% 05/15/2007 $ 21,610
---------------
U.S. Government Agencies - 70.3%
50,000 Federal Farm Credit Bank.............................................7.100% 12/06/2005 49,234
50,000 Federal Home Loan Bank...............................................8.000% 08/25/2009 49,352
55,000 Federal Home Loan Bank...............................................7.200% 11/16/2009 53,488
35,000 Federal Home Loan Mortgage Corp......................................7.760% 12/22/2009 34,581
20,000 Federal National Mortgage Association................................7.400% 09/15/2014 19,117
---------------
Total U.S. Government Agencies (Cost $209,400) 205,772
---------------
U.S. Treasury Securities - 25.8%
25,000 U.S. Treasury Note...................................................6.875% 05/15/2006 25,445
25,000 U.S. Treasury Note...................................................6.500% 10/15/2006 24,938
25,000 U.S. Treasury Note...................................................6.625% 05/15/2007 25,109
---------------
Total U.S.Treasury Securities (Cost $76,238) 75,492
---------------
TOTAL INVESTMENTS - 103.5%
(Cost $307,260) 302,874
Other Assets and Liabilities (net) - (3.5%) (10,357)
---------------
TOTAL NET ASSETS - 100.0% $ 292,517
===============
</TABLE>
<PAGE>
Cova Series Trust
Riggs Stock Portfolio
PORTFOLIO OF INVESTMENTS
December 31, 1999
(Percentage of Net Assets)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Security Value
Description Shares (Note 1)
- --------------------------------------------------------------------------------------
Common Stocks - 97.9%
Aerospace & Defense - 3.2%
<S> <C> <C>
Textron, Inc.......................................................45 $ 3,451
United Technologies Corp...........................................55 3,575
-------------
7,026
-------------
Banking - 10.7%
American Express Credit Corp.......................................25 4,156
Bank of America Corp...............................................80 4,015
Fleet Boston Financial Corp.......................................115 4,003
Southtrust Corp....................................................60 2,269
Washington Mutual, Inc............................................170 4,420
Wells Fargo Co.....................................................80 3,235
Zions Bancorporation...............................................20 1,184
-------------
23,282
-------------
Beverages, Food & Tobacco - 5.5%
Nabisco Holdings Corp.............................................100 3,163
Pepsi Bottling Group, Inc. (The)..................................205 3,395
Philip Morris Co., Inc............................................240 5,565
-------------
12,123
-------------
Commercial Services - 2.1%
Cendant Corp.*....................................................170 4,516
-------------
Communications - 5.3%
General Instrument Corp.*..........................................25 2,125
Koninklijke (Royal) Philips Electronics N.V........................25 3,375
Lucent Technologies, Inc...........................................80 5,985
-------------
11,485
-------------
Computer Software & Processing - 3.8%
Cisco Systems, Inc.*...............................................45 4,821
First Data Corp....................................................70 3,452
------------
8,273
------------
Computers & Information - 6.1%
Apple Computer, Inc.*..............................................35 3,598
EMC Corp.*.........................................................35 3,824
International Business Machines Corp...............................55 5,940
-------------
13,362
-------------
Electric Utilities - 3.5%
Edison International...............................................80 2,095
GPU, Inc...........................................................70 2,096
PECO Energy Co....................................................100 3,475
-------------
7,666
-------------
Electronics - 4.8%
Intel Corp.........................................................45 3,704
SCI Systems, Inc.*.................................................60 4,931
Texas Instruments, Inc.............................................20 1,938
-------------
10,573
-------------
Entertainment & Leisure - 1.4%
Eastman Kodak Co...................................................45 2,981
-------------
Financial Services - 3.3%
Federal National Mortgage Association..............................70 4,371
Merrill Lynch & Co., Inc...........................................35 2,923
-------------
7,294
-------------
Food Retailers - 4.5%
Albertson's, Inc...................................................90 2,903
Safeway, Inc.*....................................................195 6,935
-------------
9,838
-------------
Forest Products & Paper - 2.8%
Fort James Corp...................................................115 3,148
Georgia-Pacific Corp...............................................60 3,045
-------------
6,193
-------------
Health Care Providers - 1.1%
United Healthcare Corp.............................................45 2,391
-------------
Heavy Machinery - 1.8%
Ingersoll-Rand Co..................................................70 3,854
-------------
Industrial - Diversified - 2.6%
Tyco International Ltd............................................147 5,715
-------------
Insurance - 3.1%
Hartford Financial Services Group, Inc.............................95 4,501
Lincoln National Corp..............................................55 2,200
-------------
6,701
-------------
Media - Broadcasting & Publishing - 2.0%
Tribune Co.........................................................80 4,405
-------------
Medical Supplies - 1.0%
Baxter International, Inc..........................................35 2,198
-------------
Office Equipment - 1.1%
Xerox Corp........................................................105 2,382
-------------
Oil & Gas - 5.6%
BP Amoco Plc (ADR).................................................70 4,152
Coastal Corp.......................................................70 2,481
Exxon Mobil Corp...................................................69 5,559
-------------
12,192
-------------
Pharmaceuticals - 7.8%
Abbott Laboratories................................................60 2,179
American Home Products Corp.......................................100 3,944
Cardinal Health, Inc...............................................70 3,351
Elan Corp. Plc - (ADR)*...........................................115 3,393
Johnson & Johnson..................................................45 4,191
-------------
17,058
-------------
Retailers - 9.4%
Circuit City Stores, Inc...........................................95 4,275
Dayton-Hudson Corp.................................................35 2,570
Gap, Inc...........................................................60 2,760
Sears, Roebuck and Co.............................................135 4,109
TJX Companies, Inc................................................175 3,577
Toys "R" Us, Inc.*................................................230 3,292
-------------
20,583
-------------
Telephone Systems - 5.4%
AT&T Corp..........................................................55 2,791
GTE Corp...........................................................35 2,470
MCI WorldCom, Inc..................................................83 4,378
SBC Communications Corp............................................45 2,194
-------------
11,833
-------------
Total Common Stocks (Cost $210,184) 213,924
-------------
Convertible Preferred Stocks - 1.5%
Cendant Corp. (Cost $2,707)........................................90 3,364
-------------
TOTAL INVESTMENTS - 99.4%
(Cost $212,891) 217,288
Other Assets and Liabilities (net) - 0.6% $ 1,263
-------------
TOTAL NET ASSETS - 100.0% $ 218,551
=============
</TABLE>
Portfolio Footnotes:
* Non-income producing security.
ADR - American Depositary Receipt
<PAGE>
- -------------------------------------------------------------------------------
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Small Cap
Stock Quality Bond Select Equity
Portfolio Portfolio Portfolio
--------------- --------------- ---------------
ASSETS
<S> <C> <C> <C>
Investments, at value (Note 1)* $ 104,013,126 $ 99,417,118 $ 247,148,708
Cash 5,358,769 2,966,248 2,580,559
Cash denominated in foreign currencies ** ---- 3,938 ----
Receivable for investments sold ---- 45,032 ----
Receivable for Trust shares sold ---- ---- ----
Dividends receivable 61,296 ---- 235,928
Interest receivable 19,588 1,034,424 26,088
Net variation margin on financial futures contracts (Note 1) ---- 42,906 ----
Unrealized appreciation on forward currency contracts (Note 5) ---- ---- ----
Receivable from investment adviser (Note 2) ---- ---- ----
--------------- --------------- ---------------
Total assets 109,452,779 103,509,666 249,991,283
--------------- --------------- ---------------
LIABILITIES
Payables for:
Investments purchased ---- ---- ----
Delayed delivery investments ---- 7,794,244 ----
Trust shares redeemed 34,290 32,053 106,361
Unrealized depreciation on forward currency contracts (Note 5) ---- ---- ----
Investment advisory fee payable (Note 2) 73,254 45,439 137,756
Accrued expenses 33,604 32,861 45,217
--------------- --------------- ---------------
Total liabilities 141,148 7,904,597 289,334
--------------- --------------- ---------------
NET ASSETS $ 109,311,631 $ 95,605,069 $ 249,701,949
=============== =============== ===============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 75,535,935 $ 96,449,789 $ 211,748,797
Accumulated net realized gain (loss) 4,242,600 (3,118,233) 14,614,740
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency 29,531,639 (3,085,537) 22,128,768
Undistributed net investment income 1,457 5,359,050 1,209,644
--------------- --------------- ---------------
Total $ 109,311,631 $ 95,605,069 $ 249,701,949
=============== =============== ===============
Capital shares outstanding 6,330,087 8,960,770 15,497,466
=============== =============== ===============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $17.269 $10.669 $16.112
=============== =============== ===============
- --------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 74,481,487 $ 102,601,908 $ 225,019,940
** Cost of cash denominated in foreign currencies ---- 1,430 ----
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Large Cap International
Stock Equity Bond Debenture
Portfolio Portfolio Portfolio
-------------- ------------- -------------
ASSETS
<S> <C> <C> <C>
Investments, at value (Note 1)* $ 259,103,028 $ 137,283,841 $ 166,940,306
Cash 3,908,331 143,346 941,140
Cash denominated in foreign currencies ** ---- 1,703,601 ----
Receivable for investments sold 1,757 68,900 ----
Receivable for Trust shares sold ---- ---- ----
Dividends receivable 318,003 154,875 ----
Interest receivable 24,124 6,048 2,533,298
Net variation margin on financial futures contracts (Note 1) 9,350 ---- ----
Unrealized appreciation on forward currency contracts (Note 5) ---- 106,559 ----
Receivable from investment adviser (Note 2) ---- ---- ----
-------------- ------------- -------------
Total assets 263,364,593 139,467,170 170,414,744
-------------- ------------- -------------
LIABILITIES
Payables for:
Investments purchased ---- 1,133,748 ----
Delayed delivery investments ---- ---- ----
Trust shares redeemed 46,300 15,359 109,216
Unrealized depreciation on forward currency contracts (Note 5) ---- 91,611 ----
Investment advisory fee payable (Note 2) 146,636 88,049 110,678
Accrued expenses 44,509 67,250 39,043
-------------- ------------- -------------
Total liabilities 237,445 1,396,017 258,937
-------------- ------------- -------------
NET ASSETS $ 263,127,148 $ 138,071,153 $ 170,155,807
============== ============= =============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 213,714,570 $ 99,046,201 $ 165,230,410
Accumulated net realized gain (loss) 20,783,207 8,275,714 (2,297,965)
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency 26,924,802 30,271,049 (3,658,955)
Undistributed net investment income 1,704,569 478,189 10,882,317
-------------- ------------- -------------
Total $ 263,127,148 $ 138,071,153 $ 170,155,807
============== ============= =============
Capital shares outstanding 12,726,910 8,509,824 13,640,172
============== ============= =============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $20.675 $16.225 $12.475
============== ============= =============
- ---------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 232,320,198 $ 107,034,060 $ 170,599,261
** Cost of cash denominated in foreign currencies ---- 1,699,091 ----
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Mid-Cap Large Cap Developing
Value Research Growth
Portfolio Portfolio Portfolio
-------------- ------------- -------------
ASSETS
<S> <C> <C> <C>
Investments, at value (Note 1)* $ 28,884,883 $ 32,946,214 $ 31,678,616
Cash 2,737,489 3,061,707 1,944,097
Cash denominated in foreign currencies ** ---- ---- ----
Receivable for investments sold ---- ---- 1,696,777
Receivable for Trust shares sold 375 ---- 40,416
Dividends receivable 29,677 29,963 268
Interest receivable 9,019 9,901 8,179
Net variation margin on financial futures contracts (Note 1) ---- ---- ----
Unrealized appreciation on forward currency contracts (Note 5) ---- ---- ----
Receivable from investment adviser (Note 2) ---- ---- ----
-------------- ------------- -------------
Total assets 31,661,443 36,047,785 35,368,353
-------------- ------------- -------------
LIABILITIES
Payables for:
Investments purchased 2,191,246 ---- 1,765,606
Delayed delivery investments ---- ---- ----
Trust shares redeemed ---- 1,104 ----
Unrealized depreciation on forward currency contracts (Note 5) ---- ---- ----
Investment advisory fee payable (Note 2) 23,070 28,267 22,356
Accrued expenses 23,007 20,501 23,278
-------------- ------------- -------------
Total liabilities 2,237,323 49,872 1,811,240
-------------- ------------- -------------
NET ASSETS $ 29,424,120 $ 35,997,913 $ 33,557,113
============== ============= =============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 27,868,059 $ 28,623,360 $ 25,252,333
Accumulated net realized gain 235,179 3,572,619 2,070,329
Unrealized appreciation on investments,
futures contracts and foreign currency 1,206,064 3,702,361 6,233,807
Undistributed net investment income 114,818 99,573 644
-------------- ------------- -------------
Total $ 29,424,120 $ 35,997,913 $ 33,557,113
============== ============= =============
Capital shares outstanding 2,634,576 2,401,262 2,254,403
============== ============= =============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $11.168 $14.991 $14.885
============== ============= =============
- ---------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 27,678,819 $ 29,243,853 $ 25,444,809
** Cost of cash denominated in foreign currencies ---- ---- ----
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Lord Abbett
Growth Equity
and Income Balanced Income
Portfolio Portfolio Portfolio
--------------- ------------- -------------
ASSETS
<S> <C> <C> <C>
Investments, at value (Note 1)* $ 857,437,902 $ 8,207,316 $ 6,706,679
Cash 32,164,725 1,483,010 257,984
Cash denominated in foreign currencies ** ---- ---- ----
Receivable for investments sold ---- ---- ----
Receivable for Trust shares sold ---- ---- ----
Dividends receivable 978,658 5,061 17,994
Interest receivable 104,454 54,229 7,280
Net variation margin on financial futures contracts (Note 1) ---- ---- ----
Unrealized appreciation on forward currency contracts (Note 5) ---- ---- ----
Receivable from investment adviser (Note 2) ---- ---- ----
--------------- ------------- -------------
Total assets 890,685,739 9,749,616 6,989,937
--------------- ------------- -------------
LIABILITIES
Payables for:
Investments purchased 2,697,723 ---- ----
Delayed delivery investments ---- ---- ----
Trust shares redeemed 441,866 507 298
Unrealized depreciation on forward currency contracts (Note 5) ---- ---- ----
Investment advisory fee payable (Note 2) 479,925 3,762 1,575
Accrued expenses 77,867 17,701 17,548
--------------- ------------- -------------
Total liabilities 3,697,381 21,970 19,421
--------------- ------------- -------------
NET ASSETS $ 886,988,358 $ 9,727,646 $ 6,970,516
=============== ============= =============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 795,461,769 $ 9,182,511 $ 7,095,660
Accumulated net realized gain (loss) 13,627,935 66,534 (40,503)
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency 67,801,952 477,859 (86,125)
Undistributed net investment income 10,096,702 742 1,484
--------------- ------------- -------------
Total $ 886,988,358 $ 9,727,646 $ 6,970,516
=============== ============= =============
Capital shares outstanding 36,849,506 820,358 624,111
=============== ============= =============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $24.071 $11.858 $11.169
=============== ============= =============
- --------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 789,635,950 $ 7,729,457 $ 6,792,804
** Cost of cash denominated in foreign currencies ---- ---- ----
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Growth & Riggs
Income U.S Government Riggs
Equity Securities Stock
Portfolio Portfolio Portfolio
---------------- ------------- -------------
ASSETS
<S> <C> <C> <C>
Investments, at value (Note 1)* $ 15,171,966 $ 302,874 $ 217,288
Cash 1,258,789 636 5,830
Cash denominated in foreign currencies ** ---- ---- ----
Receivable for investments sold ---- ---- ----
Receivable for Trust shares sold ---- ---- ----
Dividends receivable 15,058 ---- 213
Interest receivable 4,836 3,685 209
Net variation margin on financial futures contracts (Note 1) ---- ---- ----
Unrealized appreciation on forward currency contracts (Note 5) ---- ---- ----
Receivable from investment adviser (Note 2) ---- 1,146 9,709
---------------- ------------- -------------
Total assets 16,450,649 308,341 233,249
---------------- ------------- -------------
LIABILITIES
Payables for:
Investments purchased ---- ---- ----
Delayed delivery investments ---- ---- ----
Trust shares redeemed 4,041 ---- ----
Unrealized depreciation on forward currency contracts (Note 5) ---- ---- ----
Investment advisory fee payable (Note 2) 12,302 ---- ----
Accrued expenses 16,263 15,824 14,698
---------------- ------------- -------------
Total liabilities 32,606 15,824 14,698
---------------- ------------- -------------
NET ASSETS $ 16,418,043 $ 292,517 $ 218,551
================ ============= =============
NET ASSETS REPRESENTED BY:
Paid in surplus $ 13,838,660 $ 292,631 $ 213,229
Accumulated net realized gain (loss) 230,025 (266) (603)
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency 2,349,356 (4,386) 4,397
Undistributed net investment income 2 4,538 1,528
---------------- ------------- -------------
Total $ 16,418,043 $ 292,517 $ 218,551
================ ============= =============
Capital shares outstanding 1,190,729 29,121 21,243
================ ============= =============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $13.788 $10.045 $10.288
================ ============= =============
- --------------------------------------------------------------------------------------------------------------------------------
* Investments in securities, at cost $ 12,822,610 $ 307,260 $ 212,891
** Cost of cash denominated in foreign currencies ---- ---- ----
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
YEAR OR PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Small Cap
Stock Quality Bond Select Equity
Portfolio Portfolio Portfolio
---------------- --------------- ---------------
INVESTMENT INCOME
<S> <C> <C> <C>
Dividends (1) $ 727,093 $ ---- $ 2,782,219
Interest 208,444 5,913,782 177,630
---------------- --------------- ---------------
Total investment income 935,537 5,913,782 2,959,849
---------------- --------------- ---------------
EXPENSES
Investment advisory fee (Note 2) 687,540 505,285 1,507,688
Custody, fund accounting, administration, and transfer agent fees 146,888 113,716 173,155
Audit 14,545 14,545 14,545
Trustee fees and expenses 4,255 4,255 4,255
Legal 5,203 5,203 5,203
Shareholder reporting 21,596 17,292 32,610
---------------- --------------- ---------------
Total expenses 880,027 660,296 1,737,456
Less expenses reimbursed by the adviser 32,598 59,975 412
---------------- --------------- ---------------
Net expenses 847,429 600,321 1,737,044
---------------- --------------- ---------------
Net investment income 88,108 5,313,461 1,222,805
---------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FUTURES CONTRACTS AND FOREIGN
CURRENCY RELATED TRANSACTIONS
Net realized gain (loss) on investments 8,168,219 (3,171,061) 15,949,952
Net realized gain on futures contracts ---- 78,546 ----
Net realized gain (loss) on foreign currency related transactions ---- 48,150 ----
Net realized gain (loss) on investments, futures contracts ---------------- --------------- ---------------
and foreign currency related transactions 8,168,219 (3,044,365) 15,949,952
---------------- --------------- ---------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 4,089,235 451,018 18,157,304
End of period 29,531,639 (3,085,537) 22,128,768
---------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency 25,442,404 (3,536,555) 3,971,464
---------------- --------------- ---------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 33,610,623 (6,580,920) 19,921,416
---------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 33,698,731 $ (1,267,459) $ 21,144,221
================ =============== ===============
- --------------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withholding taxes of: $ 1,710 $ ---- $ 5,616
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
YEAR OR PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Large Cap International Bond
Stock Equity Debenture
Portfolio Portfolio Portfolio
-------------- -------------- --------------
INVESTMENT INCOME
<S> <C> <C> <C>
Dividends (1) $ 3,176,340 $ 1,943,135 $ 547,724
Interest 233,449 15,234 11,705,130
-------------- -------------- --------------
Total investment income 3,409,789 1,958,369 12,252,854
-------------- -------------- --------------
EXPENSES
Investment advisory fee (Note 2) 1,479,955 905,709 1,210,327
Custody, fund accounting, administration, and transfer agent fees 193,308 354,501 133,302
Audit 14,545 14,545 13,624
Trustee fees and expenses 4,255 4,255 4,255
Legal 5,203 5,203 5,203
Shareholder reporting 29,065 25,613 26,416
-------------- -------------- --------------
Total expenses 1,726,331 1,309,826 1,393,127
Less expenses reimbursed by the adviser 21,826 55,853 21,437
-------------- -------------- --------------
Net expenses 1,704,505 1,253,973 1,371,690
-------------- -------------- --------------
Net investment income 1,705,284 704,396 10,881,164
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FUTURES CONTRACTS AND FOREIGN
CURRENCY RELATED TRANSACTIONS
Net realized gain (loss) on investments 20,233,757 9,047,808 (2,283,490)
Net realized gain on futures contracts 811,103 ---- ----
Net realized gain (loss) on foreign currency related transactions ---- (434,899) ----
Net realized gain (loss) on investments, futures contracts -------------- -------------- --------------
and foreign currency related transactions 21,044,860 8,612,909 (2,283,490)
-------------- -------------- --------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 16,345,829 9,106,756 (371,612)
End of period 26,924,802 30,271,049 (3,658,955)
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency 10,578,973 21,164,293 (3,287,343)
-------------- -------------- --------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 31,623,833 29,777,202 (5,570,833)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 33,329,117 $ 30,481,598 $ 5,310,331
============== ============== ==============
- --------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withholding taxes of: $ 40,044 $ 183,208 $ ----
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
YEAR OR PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Mid-Cap Large Cap Developing
Value Research Growth
Portfolio Portfolio Portfolio
-------------- --------------- --------------
INVESTMENT INCOME
<S> <C> <C> <C>
Dividends (1) $ 353,959 $ 328,358 $ 36,471
Interest 78,143 72,920 57,870
-------------- --------------- --------------
Total investment income 432,102 401,278 94,341
-------------- --------------- --------------
EXPENSES
Investment advisory fee (Note 2) 247,340 241,534 203,145
Custody, fund accounting, administration, and transfer agent fees 69,305 63,360 69,443
Audit 13,577 13,624 13,624
Trustee fees and expenses 4,255 4,255 4,255
Legal 5,203 5,203 5,203
Shareholder reporting 8,310 5,663 6,395
-------------- --------------- --------------
Total expenses 347,990 333,639 302,065
Less expenses reimbursed by the adviser 39,659 31,960 42,877
-------------- --------------- --------------
Net expenses 308,331 301,679 259,188
-------------- --------------- --------------
Net investment income 123,771 99,599 (164,847)
-------------- --------------- --------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS, FUTURES CONTRACTS AND FOREIGN
CURRENCY RELATED TRANSACTIONS
Net realized gain on investments 459,652 3,703,701 2,631,357
Net realized gain on futures contracts ---- ---- ----
Net realized gain on foreign currency related transactions ---- ---- ----
Net realized gain on investments, futures contracts -------------- --------------- --------------
and foreign currency related transactions 459,652 3,703,701 2,631,357
-------------- --------------- --------------
Unrealized appreciation on investments,
futures contracts and foreign currency
Beginning of period 384,795 1,468,700 1,397,844
End of period 1,206,064 3,702,361 6,233,807
-------------- --------------- --------------
Net change in unrealized appreciation on
investments, futures contracts and foreign currency 821,269 2,233,661 4,835,963
-------------- --------------- --------------
Net realized and unrealized gain on investments, futures
contracts and foreign currency related transactions 1,280,921 5,937,362 7,467,320
-------------- --------------- --------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 1,404,692 $ 6,036,961 $ 7,302,473
============== =============== ==============
- ------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withholding taxes of: $ 695 $ 1,722 $ 1,304
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
YEAR OR PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Lord Abbett
Growth and Equity
Income Balanced Income
Portfolio * Portfolio Portfolio
--------------- -------------- --------------
INVESTMENT INCOME
<S> <C> <C> <C>
Dividends (1) $ 14,487,882 $ 55,647 $ 157,994
Interest 1,345,079 210,499 25,938
--------------- -------------- --------------
Total investment income 15,832,961 266,146 183,932
--------------- -------------- --------------
EXPENSES
Investment advisory fee (Note 2) 5,289,797 73,532 62,362
Custody, fund accounting, administration, and transfer agent fees 352,737 55,606 54,505
Audit 14,551 10,567 10,567
Trustee fees and expenses 4,640 4,255 4,255
Legal 5,545 5,203 5,203
Shareholder reporting 68,989 2,168 2,140
--------------- -------------- --------------
Total expenses 5,736,259 151,331 139,032
Less expenses reimbursed by the adviser ---- 70,427 70,417
--------------- -------------- --------------
Net expenses 5,736,259 80,904 68,615
--------------- -------------- --------------
Net investment income 10,096,702 185,242 115,317
--------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS, FUTURES CONTRACTS AND FOREIGN
CURRENCY RELATED TRANSACTIONS
Net realized gain on investments 13,627,935 148,258 199,162
Net realized gain on futures contracts ---- ---- ----
Net realized gain on foreign currency related transactions ---- ---- ----
Net realized gain on investments, futures contracts --------------- -------------- --------------
and foreign currency related transactions 13,627,935 148,258 199,162
--------------- -------------- --------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period ---- 302,837 147,788
End of period 67,801,952 477,859 (86,125)
--------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency 67,801,952 175,022 (233,913)
--------------- -------------- --------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 81,429,887 323,280 (34,751)
--------------- -------------- --------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 91,526,589 $ 508,522 $ 80,566
=============== ============== ==============
- -------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withholding taxes of: $ 68,893 $ ---- $ ----
* Fund commenced operations on January 8, 1999
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF OPERATIONS
YEAR OR PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
Growth & Riggs
Income U.S. Government Riggs
Equity Securities Stock
Portfolio Portfolio ** Portfolio ***
-------------- ----------------- --------------
INVESTMENT INCOME
<S> <C> <C> <C>
Dividends (1) $ 160,434 $ 2,875 $ 291
Interest 42,817 2,080 1,492
-------------- ----------------- --------------
Total investment income 203,251 4,955 1,783
-------------- ----------------- --------------
EXPENSES
Investment advisory fee (Note 2) 131,419 368 231
Custody, fund accounting, administration, and transfer agent fees 54,609 11,797 11,570
Audit 10,567 8,250 8,250
Trustee fees and expenses 4,255 1,170 891
Legal 5,203 490 553
Shareholder reporting 2,940 2,367 1,804
-------------- ----------------- --------------
Total expenses 208,993 24,442 23,299
Less expenses reimbursed by the adviser 64,401 24,025 23,044
-------------- ----------------- --------------
Net expenses 144,592 417 255
-------------- ----------------- --------------
Net investment income 58,659 4,538 1,528
-------------- ----------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FUTURES CONTRACTS AND FOREIGN
CURRENCY RELATED TRANSACTIONS
Net realized gain (loss) on investments 230,954 (266) (603)
Net realized gain on futures contracts ---- ---- ----
Net realized gain (loss) on foreign currency related transactions ---- ---- ----
Net realized gain (loss) on investments, futures contracts -------------- ----------------- --------------
and foreign currency related transactions 230,954 (266) (603)
-------------- ----------------- --------------
Unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency
Beginning of period 670,606 ---- ----
End of period 2,349,356 (4,386) 4,397
-------------- ----------------- --------------
Net change in unrealized appreciation (depreciation) on
investments, futures contracts and foreign currency 1,678,750 (4,386) 4,397
-------------- ----------------- --------------
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency related transactions 1,909,704 (4,652) 3,794
-------------- ----------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 1,968,363 $ (114) $ 5,322
============== ================= ==============
- ------------------------------------------------------------------------------------------------------------------------------
(1) Dividend income is net of withholding taxes of: $ ---- $ ---- $ ----
** Fund commenced operations on October 15, 1999
*** Fund commenced operations on November 3, 1999
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Cap Stock Quality Bond
Portfolio Portfolio
------------------------------- -------------------------------
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1999 1998 1999 1998
------------------------------- -------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 88,108 $ 317,239 $ 5,313,461 $ 1,680,139
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 8,168,219 (3,831,239) (3,044,365) 530,948
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 25,442,404 (966,387) (3,536,555) 106,028
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations 33,698,731 (4,480,387) (1,267,459) 2,317,115
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (225,815) (96,253) (1,063,522) (643,157)
Net realized gains ---- (2,461,868) (532,208) ----
-------------- -------------- -------------- --------------
Total distributions (225,815) (2,558,121) (1,595,730) (643,157)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 5,349,852 26,987,297 66,930,667 26,526,504
Net asset value of shares issued through
dividend reinvestment 225,815 2,558,121 1,595,730 643,157
Cost of shares repurchased (7,898,260) (4,102,670) (15,870,190) (1,659,034)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets from capital
share transactions (2,322,593) 25,442,748 52,656,207 25,510,627
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS 31,150,323 18,404,240 49,793,018 27,184,585
NET ASSETS:
Beginning of period 78,161,308 59,757,068 45,812,051 18,627,466
-------------- -------------- -------------- --------------
End of period $ 109,311,631 $ 78,161,308 $ 95,605,069 $ 45,812,051
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment income $ 1,457 $ 252,035 $ 5,359,050 $ 1,045,701
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 6,523,058 4,559,948 4,157,310 1,790,249
-------------- -------------- -------------- --------------
Shares sold 433,399 2,121,662 6,125,624 2,461,040
Shares issued through dividend reinvestment 18,118 194,906 150,560 60,846
Shares repurchased (644,488) (353,458) (1,472,724) (154,825)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares outstanding (192,971) 1,963,110 4,803,460 2,367,061
-------------- -------------- -------------- --------------
Ending shares 6,330,087 6,523,058 8,960,770 4,157,310
============== ============== ============== ==============
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Select Equity Large Cap Stock
Portfolio Portfolio
------------------------------ -------------------------------
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1999 1998 1999 1998
------------------------------ -------------------------------
INCREASE IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 1,222,805 $ 1,016,876 $ 1,705,284 $ 479,549
Net realized gain on investments, futures contracts,
and foreign currency related transactions 15,949,952 18,543,240 21,044,860 6,665,787
Net change in unrealized appreciation on investments,
futures contracts and foreign currency
related transactions 3,971,464 12,359,297 10,578,973 11,617,524
-------------- -------------- -------------- --------------
Net increase in net assets resulting
from operations 21,144,221 31,919,413 33,329,117 18,762,860
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (584,001) (455,252) (316,889) (163,389)
Net realized gains (19,820,406) (9,083,861) (6,916,352) (537,969)
-------------- -------------- -------------- --------------
Total distributions (20,404,407) (9,539,113) (7,233,241) (701,358)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 34,325,012 61,596,707 152,714,691 54,597,695
Net asset value of shares issued through
dividend reinvestment 20,404,407 9,539,113 7,233,241 701,358
Cost of shares repurchased (3,535,467) (2,678,812) (26,677,903) (1,855,401)
-------------- -------------- -------------- --------------
Net increase in net assets from
capital share transactions 51,193,952 68,457,008 133,270,029 53,443,652
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS 51,933,766 90,837,308 159,365,905 71,505,154
NET ASSETS:
Beginning of period 197,768,183 106,930,875 103,761,243 32,256,089
-------------- -------------- -------------- --------------
End of period $ 249,701,949 $ 197,768,183 $ 263,127,148 $ 103,761,243
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment income $ 1,209,644 $ 583,645 $ 1,704,569 $ 316,175
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 12,301,851 7,656,774 5,727,886 2,329,781
-------------- -------------- -------------- --------------
Shares sold 2,116,682 4,185,304 8,057,353 3,472,771
Shares issued through dividend reinvestment 1,303,210 641,497 375,063 42,928
Shares repurchased (224,277) (181,724) (1,433,392) (117,594)
-------------- -------------- -------------- --------------
Net increase in shares outstanding 3,195,615 4,645,077 6,999,024 3,398,105
-------------- -------------- -------------- --------------
Ending shares 15,497,466 12,301,851 12,726,910 5,727,886
============== ============== ============== ==============
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
International Equity Bond Debenture
Portfolio Portfolio
------------------------------- -------------------------------
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1999 1998 1999 1998
------------------------------- -------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 704,396 $ 874,030 $ 10,881,164 $ 5,679,014
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 8,612,909 2,053,712 (2,283,490) 1,031,304
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 21,164,293 7,821,050 (3,287,343) (1,585,315)
-------------- -------------- -------------- --------------
Net increase in net assets resulting
from operations 30,481,598 10,748,792 5,310,331 5,125,003
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (565,919) (1,590,564) (3,223,792) (2,455,079)
Net realized gains (1,512,457) (20,171) (1,044,699) (954,738)
-------------- -------------- -------------- --------------
Total distributions (2,078,376) (1,610,735) (4,268,491) (3,409,817)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 11,679,051 30,533,316 53,944,111 69,629,076
Net asset value of shares issued through
dividend reinvestment 2,078,376 1,610,735 4,268,491 3,409,817
Cost of shares repurchased (8,564,792) (5,575,851) (9,101,140) (10,163,753)
-------------- -------------- -------------- --------------
Net increase in net assets from
capital share transactions 5,192,635 26,568,200 49,111,462 62,875,140
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS 33,595,857 35,706,257 50,153,302 64,590,326
NET ASSETS:
Beginning of period 104,475,296 68,769,039 120,002,505 55,412,179
-------------- -------------- -------------- --------------
End of period $ 138,071,153 $ 104,475,296 $ 170,155,807 $ 120,002,505
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment income $ 478,189 $ 169,470 $ 10,882,317 $ 3,224,362
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 8,125,765 5,994,704 9,692,597 4,574,812
-------------- -------------- -------------- --------------
Shares sold 861,951 2,462,998 4,336,782 5,684,070
Shares issued through dividend reinvestment 153,263 125,855 349,891 277,516
Shares repurchased (631,155) (457,792) (739,098) (843,801)
-------------- -------------- -------------- --------------
Net increase in shares outstanding 384,059 2,131,061 3,947,575 5,117,785
-------------- -------------- -------------- --------------
Ending shares 8,509,824 8,125,765 13,640,172 9,692,597
============== ============== ============== ==============
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Mid-Cap Value Large Cap Research
Portfolio Portfolio
------------------------------- -------------------------------
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1999 1998 1999 1998
------------------------------- -------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 123,771 $ 40,234 $ 99,599 $ 58,972
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 459,652 (225,973) 3,703,701 (130,449)
Net change in unrealized appreciation on investments,
futures contracts and foreign currency
related transactions 821,269 337,809 2,233,661 1,462,116
-------------- -------------- -------------- --------------
Net increase in net assets resulting
from operations 1,404,692 152,070 6,036,961 1,390,639
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (33,769) (14,075) (43,197) (15,994)
Net realized gains ---- ---- ---- ----
-------------- -------------- -------------- --------------
Total distributions (33,769) (14,075) (43,197) (15,994)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 10,362,789 16,144,764 16,222,683 11,287,023
Net asset value of shares issued through
dividend reinvestment 33,769 14,075 43,197 15,994
Cost of shares repurchased (663,920) (205,183) (127,622) (164,781)
-------------- -------------- -------------- --------------
Net increase in net assets from
capital share transactions 9,732,638 15,953,656 16,138,258 11,138,236
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS 11,103,561 16,091,651 22,132,022 12,512,881
NET ASSETS:
Beginning of period 18,320,559 2,228,908 13,865,891 1,353,010
-------------- -------------- -------------- --------------
End of period $ 29,424,120 $ 18,320,559 $ 35,997,913 $ 13,865,891
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment income $ 114,818 $ 33,563 $ 99,573 $ 43,171
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 1,731,193 212,659 1,158,927 136,592
-------------- -------------- -------------- --------------
Shares sold 960,855 1,537,405 1,248,721 1,036,127
Shares issued through dividend reinvestment 2,901 1,252 3,287 1,409
Shares repurchased (60,373) (20,123) (9,673) (15,201)
-------------- -------------- -------------- --------------
Net increase in shares outstanding 903,383 1,518,534 1,242,335 1,022,335
-------------- -------------- -------------- --------------
Ending shares 2,634,576 1,731,193 2,401,262 1,158,927
============== ============== ============== ==============
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Lord Abbett
Developing Growth Growth and Income
Portfolio Portfolio*
------------------------------- ------------------
Year ended Year ended Period ended
December 31, December 31, December 31,
1999 1998 1999
------------------------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C>
Net investment income (loss) $ (164,847)$ (35,670) $ 10,096,702
Net realized gain (loss) on investments, futures contracts,
and foreign currency related transactions 2,631,357 (395,538) 13,627,935
Net change in unrealized appreciation on investments,
futures contracts and foreign currency
related transactions 4,835,963 1,389,339 67,801,952
--------------- -------------- ------------------
Net increase in net assets resulting from operations 7,302,473 958,131 91,526,589
--------------- -------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ---- ---- ----
Net realized gains ---- (4,573) ----
--------------- -------------- ------------------
Total distributions ---- (4,573) ----
--------------- -------------- ------------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 11,026,779 13,397,485 831,899,157
Net asset value of shares issued through dividend reinvestment ---- 4,573 ----
Cost of shares repurchased (662,604) (199,301) (36,437,388)
--------------- -------------- ------------------
Net increase in net assets from capital
share transactions 10,364,175 13,202,757 795,461,769
--------------- -------------- ------------------
TOTAL INCREASE IN NET ASSETS 17,666,648 14,156,315 886,988,358
NET ASSETS:
Beginning of period 15,890,465 1,734,150 ----
--------------- -------------- ------------------
End of period $ 33,557,113 $ 15,890,465 $ 886,988,358
=============== ============== ==================
Net Assets at end of period includes
undistributed net investment income $ 644 $ ---- $ 10,096,702
=============== ============== ==================
CAPITAL SHARE TRANSACTIONS:
Beginning shares 1,413,656 164,390 ----
--------------- -------------- ------------------
Shares sold 895,038 1,268,600 38,459,861
Shares issued through dividend reinvestment ---- 408 ----
Shares repurchased (54,291) (19,742) (1,610,355)
--------------- -------------- ------------------
Net increase in shares outstanding 840,747 1,249,266 36,849,506
--------------- -------------- ------------------
Ending shares 2,254,403 1,413,656 36,849,506
=============== ============== ==================
* Fund commenced operations on January 8, 1999.
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Balanced Equity Income
Portfolio Portfolio
------------------------------- -------------------------------
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
1999 1998 1999 1998
------------------------------- -------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 185,242 $ 69,008 $ 115,317 $ 54,047
Net realized gain on investments, futures contracts,
and foreign currency related transactions 148,258 73,015 199,162 192,938
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions 175,022 257,913 (233,913) 25,037
-------------- -------------- -------------- --------------
Net increase in net assets resulting
from operations 508,522 399,936 80,566 272,022
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (185,699) (68,643) (112,474) (54,210)
Net realized gains (92,940) (56,389) (327,155) (109,174)
-------------- -------------- -------------- --------------
Total distributions (278,639) (125,032) (439,629) (163,384)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 5,153,301 2,741,532 2,550,012 2,814,364
Net asset value of shares issued through
dividend reinvestment 278,639 125,032 439,629 163,384
Cost of shares repurchased (506,935) (29,760) (355,199) (74,560)
-------------- -------------- -------------- --------------
Net increase in net assets from
capital share transactions 4,925,005 2,836,804 2,634,442 2,903,188
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS 5,154,888 3,111,708 2,275,379 3,011,826
NET ASSETS:
Beginning of period 4,572,758 1,461,050 4,695,137 1,683,311
-------------- -------------- -------------- --------------
End of period $ 9,727,646 $ 4,572,758 $ 6,970,516 $ 4,695,137
============== ============== ============== ==============
Net Assets at end of period includes
undistributed net investment income $ 742 $ 365 $ 1,484 $ ----
============== ============== ============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 401,205 140,640 403,852 152,372
-------------- -------------- -------------- --------------
Shares sold 436,860 252,322 209,770 244,072
Shares issued through dividend reinvestment 23,528 11,070 38,718 14,080
Shares repurchased (41,235) (2,827) (28,229) (6,672)
-------------- -------------- -------------- --------------
Net increase in shares outstanding 419,153 260,565 220,259 251,480
-------------- -------------- -------------- --------------
Ending shares 820,358 401,205 624,111 403,852
============== ============== ============== ==============
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Growth & Income Equity
Portfolio
-------------------------------
Year ended Year ended
December 31, December 31,
1999 1998
-------------------------------
INCREASE IN NET ASSETS:
OPERATIONS:
<S> <C> <C>
Net investment income $ 58,659 $ 34,637
Net realized gain on investments, futures contracts,
and foreign currency related transactions 230,954 299,371
Net change in unrealized appreciation on investments,
futures contracts and foreign currency
related transactions 1,678,750 571,684
-------------- --------------
Net increase in net assets resulting from operations 1,968,363 905,692
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (58,640) (35,035)
Net realized gains (104,246) (185,828)
-------------- --------------
Total distributions (162,886) (220,863)
-------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 5,893,218 5,979,912
Net asset value of shares issued through dividend reinvestment 162,886 220,863
Cost of shares repurchased (510,033) (210,468)
-------------- --------------
Net increase in net assets from capital share transactions 5,546,071 5,990,307
-------------- --------------
TOTAL INCREASE IN NET ASSETS 7,351,548 6,675,136
NET ASSETS:
Beginning of period 9,066,495 2,391,359
-------------- --------------
End of period $ 16,418,043 $ 9,066,495
============== ==============
Net Assets at end of period includes
undistributed net investment income $ 2 $ ----
============== ==============
CAPITAL SHARE TRANSACTIONS:
Beginning shares 755,861 223,292
-------------- --------------
Shares sold 461,285 532,806
Shares issued through dividend reinvestment 12,120 18,488
Shares repurchased (38,537) (18,725)
-------------- --------------
Net increase in shares outstanding 434,868 532,569
-------------- --------------
Ending shares 1,190,729 755,861
============== ==============
</TABLE>
<PAGE>
COVA SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Riggs
U.S. Government Riggs
Securities Stock
Portfolio ** Portfolio ***
---------------- ----------------
Period ended Period ended
December 31, December 31,
1999 1999
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
<S> <C> <C>
Net investment income $ 4,538 $ 1,528
Net realized (loss) on investments, futures contracts,
and foreign currency related transactions (266) (603)
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and foreign currency
related transactions (4,386) 4,397
---------------- ----------------
Net increase (decrease) in net assets resulting from operations (114) 5,322
---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ---- ----
Net realized gains ---- ----
---------------- ----------------
Total distributions ---- ----
---------------- ----------------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Proceeds from shares sold 91,774 112,597
Net asset value of shares issued through dividend reinvestment ---- ----
Cost of shares repurchased (562) (327)
---------------- ----------------
Net increase in net assets from capital share transactions 91,212 112,270
---------------- ----------------
TOTAL INCREASE IN NET ASSETS 91,098 117,592
NET ASSETS:
Beginning of period 201,419 100,959
---------------- ----------------
End of period $ 292,517 $ 218,551
================ ================
Net Assets at end of period includes
undistributed net investment income $ 4,538 $ 1,528
================ ================
CAPITAL SHARE TRANSACTIONS:
Beginning shares 19,978 9,988
---------------- ----------------
Shares sold 9,199 11,287
Shares issued through dividend reinvestment ---- ----
Shares repurchased (56) (32)
---------------- ----------------
Net increase in shares outstanding 9,143 11,255
---------------- ----------------
Ending shares 29,121 21,243
================ ================
**Fund commenced operations on October 15, 1999.
**Fund commenced operations on November 3, 1999.
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Small Cap Stock
Portfolio
--------------------------------------------------------------------
For the period
from May 1, 1996
Year ended Year ended Year ended (date of initial
December 31, December 31, December 31, public offering) to
1999 1998 1997 December 31, 1996
--------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.982 $ 13.105 $ 10.922 $ 10.512
-------------- -------------- --------------- ------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.015 0.051 0.057 0.057
Net realized and unrealized gains 5.307 (0.722) 2.217 0.843
-------------- -------------- --------------- ------------------
Total from investment operations 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 ---- (0.435) (0.036) (0.435)
-------------- -------------- --------------- ------------------
Total distributions (0.035) (0.452) (0.091) (0.490)
-------------- -------------- --------------- ------------------
NET ASSET VALUE, END OF PERIOD $ 17.269 $ 11.982 $ 13.105 $ 10.922
-------------- -------------- --------------- ------------------
TOTAL RETURN 44.56% (5.40%) 20.89% 8.65%*
-------------- -------------- --------------- ------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 109.3 $ 78.2 $ 59.8 $ 14.7
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.05% 0.95% 0.95% 0.95%**
Net investment income 0.11% 0.45% 0.56% 0.87%**
PORTFOLIO TURNOVER RATE 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: 1.09% 1.12% 1.39% 2.68% **
Ratio of Net Investment Income to Average Net Assets: 0.07% 0.28% 0.12% (0.86%)**
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Quality Bond
Portfolio
-------------------------------------------------------------------
For the period
from May 1, 1996
Year ended Year ended Year ended (date of initial
December 31, December 31, December 31, public offering) to
1999 1998 1997 December 31, 1996
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.020 $ 10.405 $ 10.082 $ 9.897
------------- ------------- ------------- -------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.459 0.490 0.446 0.459
Net realized and unrealized gains (0.631) 0.365 0.452 0.102
------------- ------------- ------------- -------------------
Total from investment operations (0.172) 0.855 0.898 0.561
------------- ------------- ------------- -------------------
DISTRIBUTIONS
Dividends from net investment income (0.119) (0.240) (0.531) (0.376)
Distributions from net realized gains (0.060) ---- (0.044) ----
------------- ------------- ------------- -------------------
Total distributions (0.179) (0.240) (0.575) (0.376)
------------- ------------- ------------- -------------------
NET ASSET VALUE, END OF PERIOD $ 10.669 $ 11.020 $ 10.405 $ 10.082
------------- ------------- ------------- -------------------
TOTAL RETURN (1.54%) 8.37% 9.06% 5.68% *
------------- ------------- ------------- -------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 95.6 $ 45.8 $ 18.6 $ 5.8
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.64% 0.65% 0.65% 0.65% **
Net investment income 5.67% 5.59% 5.92% 5.94% **
PORTFOLIO TURNOVER RATE 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: 0.71% 0.86% 1.08% 1.52% **
Ratio of Net Investment Income to Average Net Assets: 5.60% 5.38% 5.49% 5.07% **
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Select Equity
Portfolio
-----------------------------------------------------------------------
For the period
from May 1, 1996
Year ended Year ended Year ended (date of initial
December 31, December 31, December 31, public offering) to
1999 1998 1997 December 31, 1996
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.076 $ 13.966 $ 10.742 $ 10.084
-------------- -------------- -------------- ----------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.074 0.091 0.078 0.081
Net realized and unrealized gains 1.451 2.983 3.294 0.771
-------------- -------------- -------------- ----------------
Total from investment operations 1.525 3.074 3.372 0.852
-------------- -------------- -------------- ----------------
DISTRIBUTIONS
Dividends from net investment income (0.043) (0.046) (0.077) (0.081)
Distributions from net realized gains (1.446) (0.918) (0.071) (0.113)
-------------- -------------- -------------- ----------------
Total distributions (1.489) (0.964) (0.148) (0.194)
-------------- -------------- -------------- ----------------
NET ASSET VALUE, END OF PERIOD $ 16.112 $ 16.076 $ 13.966 $ 10.742
-------------- -------------- -------------- ----------------
TOTAL RETURN 9.71% 22.56% 31.55% 8.52% *
-------------- -------------- -------------- ----------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 249.7 $ 197.8 $ 106.9 $ 23.8
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.77% 0.78% 0.83% 0.85% **
Net investment income 0.55% 0.68% 0.81% 1.35% **
PORTFOLIO TURNOVER RATE 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 0.86% 1.00% 1.70% **
Ratio of Net Investment Income to Average Net Assets: N/A 0.60% 0.64% 0.50% **
* Non-annualized
** Annualized
N/A Not Applicable
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Large Cap Stock
Portfolio
-----------------------------------------------------------------------
For the period
from May 1, 1996
Year ended Year ended Year ended (date of initial
December 31, December 31, December 31, public offering) to
1999 1998 1997 December 31, 1996
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.115 $ 13.845 $ 11.112 $ 10.003
-------------- -------------- -------------- ------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.105 0.098 0.113 0.124
Net realized and unrealized gains 3.057 4.357 3.560 1.304
-------------- -------------- -------------- ------------------
Total from investment operations 3.162 4.455 3.673 1.428
-------------- -------------- -------------- ------------------
DISTRIBUTIONS
Dividends from net investment income (0.026) (0.043) (0.118) (0.122)
Distributions from net realized gains (0.576) (0.142) (0.822) (0.197)
-------------- -------------- -------------- ------------------
Total distributions (0.602) (0.185) (0.940) (0.319)
-------------- -------------- -------------- ------------------
NET ASSET VALUE, END OF PERIOD $ 20.675 $ 18.115 $ 13.845 $ 11.112
-------------- -------------- -------------- ------------------
TOTAL RETURN 17.64% 32.31% 33.25% 14.35% *
-------------- -------------- -------------- ------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 263.1 $ 103.8 $ 32.3 $ 16.8
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.75% 0.75% 0.75% 0.75% **
Net investment income 0.75% 0.77% 0.99% 1.56% **
PORTFOLIO TURNOVER RATE 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: 0.76% 0.94% 1.08% 1.23% **
Ratio of Net Investment Income to Average Net Assets: 0.74% 0.58% 0.66% 1.08% **
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
International Equity
Portfolio
-----------------------------------------------------------------------
For the period
from May 1, 1996
Year ended Year ended Year ended (date of initial
December 31, December 31, December 31, public offering) to
1999 1998 1997 December 31, 1996
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.857 $ 11.472 $ 10.959 $ 10.215
-------------- -------------- -------------- ------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.083 0.117 0.122 0.096
Net realized and unrealized gains 3.534 1.491 0.539 0.755
-------------- -------------- -------------- ------------------
Total from investment operations 3.617 1.608 0.661 0.851
-------------- -------------- -------------- ------------------
DISTRIBUTIONS
Dividends from net investment income (0.068) (0.220) (0.137) (0.086)
Distributions from net realized gains (0.181) (0.003) (0.011) (0.021)
-------------- -------------- -------------- ------------------
Total distributions (0.249) (0.223) (0.148) (0.107)
-------------- -------------- -------------- ------------------
NET ASSET VALUE, END OF PERIOD $ 16.225 $ 12.857 $ 11.472 $ 10.959
-------------- -------------- -------------- ------------------
TOTAL RETURN 28.52% 14.07% 5.96% 8.44% *
-------------- -------------- -------------- ------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 138.1 $ 104.5 $ 68.8 $ 15.6
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.10% 0.91% 0.95% 0.95% **
Net investment income 0.62% 0.97% 1.35% 1.43% **
PORTFOLIO TURNOVER RATE 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: 1.15% 1.09% 1.53% 3.80% **
Ratio of Net Investment Income to Average Net Assets: 0.57% 0.79% 0.77% (1.42%)**
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Bond Debenture
Portfolio
-----------------------------------------------------------------------
For the period
from May 1, 1996
Year ended Year ended Year ended (date of initial
December 31, December 31, December 31, public offering) to
1999 1998 1997 December 31, 1996
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.381 $ 12.112 $ 10.970 $ 10.098
-------------- -------------- -------------- -----------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.710 0.682 0.544 0.345
Net realized and unrealized gains (0.293) 0.072 1.147 0.949
-------------- -------------- -------------- -----------------
Total from investment operations 0.417 0.754 1.691 1.294
-------------- -------------- -------------- -----------------
DISTRIBUTIONS
Dividends from net investment income (0.244) (0.349) (0.549) (0.342)
Distributions from net realized gains (0.079) (0.136) ---- (0.080)
-------------- -------------- -------------- -----------------
Total distributions (0.323) (0.485) (0.549) (0.422)
-------------- -------------- -------------- -----------------
NET ASSET VALUE, END OF PERIOD $ 12.475 $ 12.381 $ 12.112 $ 10.970
-------------- -------------- -------------- -----------------
TOTAL RETURN 3.40% 6.26% 15.63% 12.89% *
-------------- -------------- -------------- -----------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 170.2 $ 120.0 $ 55.4 $ 7.7
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.85% 0.85% 0.85% 0.85% **
Net investment income 6.74% 6.58% 6.68% 7.26% **
PORTFOLIO TURNOVER RATE 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: 0.86% 0.93% 1.07% 2.05% **
Ratio of Net Investment Income to Average Net Assets: 6.73% 6.50% 6.46% 6.06% **
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Mid-Cap Value
Portfolio
-----------------------------------------------------
For the period
from August 20, 1997
Year ended Year ended (commencement
December 31, December 31, of operations) to
1999 1998 December 31, 1997
-----------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.583 $ 10.481 $ 10.000
-------------- -------------- -------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.042 0.032 0.010
Net realized and unrealized gains 0.557 0.087 0.481
-------------- -------------- -------------------
Total from investment operations 0.599 0.119 0.491
-------------- -------------- -------------------
DISTRIBUTIONS
Dividends from net investment income (0.014) (0.017) (0.010)
Distributions from net realized gains ---- ---- ----
-------------- -------------- -------------------
Total distributions (0.014) (0.017) (0.010)
-------------- -------------- -------------------
NET ASSET VALUE, END OF PERIOD $ 11.168 $ 10.583 $ 10.481
-------------- -------------- -------------------
TOTAL RETURN 5.71% 1.11% 4.90% *
-------------- -------------- -------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 29.4 $ 18.3 $ 2.2
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.25% 1.10% 1.10% **
Net investment income 0.50% 0.44% 0.97% **
PORTFOLIO TURNOVER RATE 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: 1.41% 1.68% 8.41% **
Ratio of Net Investment Income to Average Net Assets: 0.34% (0.14%) (6.34%)**
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Large Cap Research
Portfolio
---------------------------------------------------
For the period
from August 20, 1997
Year ended Year ended (commencement
December 31, December 31, of operations) to
1999 1998 December 31, 1997
---------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.964 $ 9.905 $ 10.000
-------------- -------------- -----------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.026 0.069 0.017
Net realized and unrealized gains 3.023 2.023 (0.096)
-------------- -------------- -----------------
Total from investment operations 3.049 2.092 (0.079)
-------------- -------------- -----------------
DISTRIBUTIONS
Dividends from net investment income (0.022) (0.033) (0.016)
Distributions from net realized gains ---- ---- ----
-------------- -------------- -----------------
Total distributions (0.022) (0.033) (0.016)
-------------- -------------- -----------------
NET ASSET VALUE, END OF PERIOD $ 14.991 $ 11.964 $ 9.905
-------------- -------------- -----------------
TOTAL RETURN 25.54% 21.04% (0.74%)*
-------------- -------------- -----------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 36.0 $ 13.9 $ 1.4
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.25% 1.10% 1.10% **
Net investment income 0.41% 0.97% 1.53% **
PORTFOLIO TURNOVER RATE 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: 1.38% 1.95% 10.04% **
Ratio of Net Investment Income to Average Net Assets: 0.28% 0.12% (7.41%)**
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Developing Growth
Portfolio
-----------------------------------------------------
For the period
from August 20, 1997
Year ended Year ended (commencement
December 31, December 31, of operations) to
1999 1998 December 31, 1997
-----------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.241 $ 10.549 $ 10.000
-------------- -------------- --------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (0.073) (0.025) 0.002
Net realized and unrealized gains 3.717 0.723 0.549
-------------- -------------- --------------------
Total from investment operations 3.644 0.698 0.551
-------------- -------------- --------------------
DISTRIBUTIONS
Dividends from net investment income ---- ---- (0.002)
Distributions from net realized gains ---- (0.006) ----
-------------- -------------- --------------------
Total distributions ---- (0.006) (0.002)
-------------- -------------- --------------------
NET ASSET VALUE, END OF PERIOD $ 14.885 $ 11.241 $ 10.549
-------------- -------------- --------------------
TOTAL RETURN 32.47% 6.60% 5.52% *
-------------- -------------- --------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 33.6 15.9 $ 1.7
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.15% 1.00% 1.00% **
Net investment income (0.73%) (0.47%) 0.18% **
PORTFOLIO TURNOVER RATE 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: 1.34% 1.70% 9.00% **
Ratio of Net Investment Income to Average Net Assets: (0.92%) (1.17%) (7.82%)**
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Lord Abbett
Growth and Income
Portfolio
------------------
For the period from
January 8, 1999
(commencement of
operations) to
December 31, 1999
------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.603
------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.274
Net realized and unrealized gains 2.194
------------------
Total from investment operations 2.468
------------------
DISTRIBUTIONS
Dividends from net investment income ----
Distributions from net realized gains ----
------------------
Total distributions ----
------------------
NET ASSET VALUE, END OF PERIOD $ 24.071
------------------
TOTAL RETURN 11.38% *
------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 887.0
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.70% **
Net investment income 1.24% **
PORTFOLIO TURNOVER RATE 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
Ratio of Net Investment Income to Average Net Assets: N/A
* Non-annualized
** Annualized
N/A Not Applicable
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Balanced
Portfolio
---------------------------------------------------
For the period
from July 1, 1997
Year ended Year ended (commencement
December 31, December 31, of operations) to
1999 1998 December 31, 1997
---------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.398 $ 10.389 $ 10.000
-------------- -------------- -----------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.232 0.223 0.123
Net realized and unrealized gains 0.581 1.152 0.477
-------------- -------------- -----------------
Total from investment operations 0.813 1.375 0.600
-------------- -------------- -----------------
DISTRIBUTIONS
Dividends from net investment income (0.233) (0.222) (0.124)
Distributions from net realized gains (0.120) (0.144) (0.087)
-------------- -------------- -----------------
Total distributions (0.353) (0.366) (0.211)
-------------- -------------- -----------------
NET ASSET VALUE, END OF PERIOD $ 11.858 $ 11.398 $ 10.389
-------------- -------------- -----------------
TOTAL RETURN 7.14% 13.31% 6.01% *
-------------- -------------- -----------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 9.7 $ 4.6 $ 1.5
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.10% 1.10% 1.10% **
Net investment income 2.52% 2.54% 2.74% **
PORTFOLIO TURNOVER RATE 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: 2.06% 3.08% 3.81% **
Ratio of Net Investment Income to Average Net Assets: 1.56% 0.56% 0.03% **
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Equity Income
Portfolio
---------------------------------------------------
For the period
from July 1, 1997
Year ended Year ended (commencement
December 31, December 31, of operations) to
1999 1998 December 31, 1997
---------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.626 $ 11.047 $ 10.000
-------------- -------------- ------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.194 0.167 0.074
Net realized and unrealized gains 0.107 0.862 1.192
-------------- -------------- ------------------
Total from investment operations 0.301 1.029 1.266
-------------- -------------- ------------------
DISTRIBUTIONS
Dividends from net investment income (0.190) (0.167) (0.074)
Distributions from net realized gains (0.568) (0.283) (0.145)
-------------- -------------- ------------------
Total distributions (0.758) (0.450) (0.219)
-------------- -------------- ------------------
NET ASSET VALUE, END OF PERIOD $ 11.169 $ 11.626 $ 11.047
-------------- -------------- ------------------
TOTAL RETURN 2.51% 9.35% 12.69% *
-------------- -------------- ------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 7.0 $ 4.7 $ 1.7
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.10% 1.10% 1.10% **
Net investment income 1.85% 1.79% 1.65% **
PORTFOLIO TURNOVER RATE 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: 2.23% 2.69% 3.58% **
Ratio of Net Investment Income to Average Net Assets: 0.72% 0.20% (0.83%)**
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Growth & Income Equity
Portfolio
-----------------------------------------------------
For the period
from July 1, 1997
Year ended Year ended (commencement
December 31, December 31, of operations) to
1999 1998 December 31, 1997
-----------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.995 $ 10.710 $ 10.000
-------------- -------------- --------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.049 0.057 0.033
Net realized and unrealized gains 1.890 1.538 0.793
-------------- -------------- --------------------
Total from investment operations 1.939 1.595 0.826
-------------- -------------- --------------------
DISTRIBUTIONS
Dividends from net investment income (0.049) (0.058) (0.032)
Distributions from net realized gains (0.097) (0.252) (0.084)
-------------- -------------- --------------------
Total distributions (0.146) (0.310) (0.116)
-------------- -------------- --------------------
NET ASSET VALUE, END OF PERIOD $ 13.788 $ 11.995 $ 10.710
-------------- -------------- --------------------
TOTAL RETURN 16.17% 14.95% 8.26% *
-------------- -------------- --------------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 16.4 $ 9.1 $ 2.4
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 1.10% 1.10% 1.10% **
Net investment income 0.45% 0.65% 0.87%
PORTFOLIO TURNOVER RATE 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: 1.59% 2.00% 3.51% **
Ratio of Net Investment Income to Average Net Assets: (0.04%) (0.25%) (1.54%)**
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE HELD THROUGHOUT THE PERIODS INDICATED
<TABLE>
<CAPTION>
Riggs Riggs
U.S. Government Securities Stock
Portfolio Portfolio
For the period For the period
from November 3, 1999 from November 3, 1999
(date of initial (date of initial
public offering) to public offering) to
December 31, 1999 December 31, 1999
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.158 $ 10.107
-------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.081 0.072
Net realized and unrealized gains (0.194) 0.109
-------------- --------------
Total from investment operations (0.113) 0.181
-------------- --------------
DISTRIBUTIONS
Dividends from net investment income ---- ----
Distributions from net realized gains ---- ----
-------------- --------------
Total distributions ---- ----
-------------- --------------
NET ASSET VALUE, END OF PERIOD $ 10.045 $ 10.288
-------------- --------------
TOTAL RETURN (1.18%) * 1.78% *
-------------- --------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (In millions) $ 0.3 $ 0.2
RATIOS TO AVERAGE NET ASSETS (1):
Expenses 0.85% ** 1.05% **
Net investment income 6.10% ** 6.29% **
PORTFOLIO TURNOVER RATE 10.5% * 4.2% *
(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: 41.14% ** 95.97% **
Ratio of Net Investment Income to Average Net Assets: (34.19%) ** (88.63%) **
* Non-annualized
** Annualized
</TABLE>
<PAGE>
COVA SERIES TRUST
Notes to Financial Statements
December 31, 1999
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 fifteen 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. Mississippi
Valley Advisors Inc. manages the Balanced Portfolio, Equity Income Portfolio and
Growth & Income Equity Portfolio. Riggs Bank N.A. manages the Riggs U.S.
Government Securities Portfolio and Riggs Stock 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 commenced operations on October 15,
1999 and the Riggs Stock Portfolio commenced operations on November 3, 1999.
The preparation of financial statements in conformity with generally accepted
accounting principles may require management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses during the
reporting period. 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.
<PAGE>
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 and Quality Bond Portfolios, net realized gains and losses
may differ for financial and tax reporting purposes primarily as a result of
timing differences related to open futures at year end.
The Funds utilize the provisions of the federal income tax laws that provide for
the carryforward of capital losses for eight years, offsetting such losses
against any future net realized capital gains. At December 31, 1999, the
accumulated capital loss carryforwards and expiration dates by Fund were as
follows: Quality Bond $3,023,092 expiring in 2007, Bond Debenture $2,276,221
expiring in 2007, Riggs U.S. Government Securities $266 expiring in 2007, and
Riggs Stock $603 expiring in 2007.
For tax purposes, the Equity Income and Growth and Equity Income Portfolios
elected to defer to its fiscal year ending December 31, 2000, $41,363 and $1,868
of losses, respectively, recognized during the period of November 1, 1999 to
December 31, 1999.
E. Distribution of Income and Gains - The Funds annually declare, pay and
automatically reinvest dividends from net investment income and distributions of
any net realized capital gains.
F. Derivatives - A derivative financial instrument, in general terms, is a
security whose value is "derived" from the value of an underlying asset,
reference rate or index. The Funds primarily use derivative instruments to
protect against possible changes in the market value of their investments. All
of the Funds' holdings, including derivative instruments, are marked to market
each day with the change in value reflected in unrealized
appreciation/depreciation of investments.
Upon disposition, a realized gain or loss is recognized accordingly.
The primary risks associated with the use of these financial instruments for
hedging purposes are the possibility of (a) an imperfect correlation between the
change in market value of the hedged securities held by the Funds and the change
in market value of these financial instruments, and (b) an illiquid market. As a
result, the use of these financial instruments may involve, to a varying degree,
elements of market risk in excess of the amount recognized in the Statement of
Assets and Liabilities. The following are brief descriptions of derivative
instruments the Funds may hold.
a. Futures Contracts - A futures contract is an agreement involving the delivery
of a particular asset on a specified future date at an agreed upon price. These
contracts are generally used to provide the return of an index without
purchasing all of the securities underlying the index or as a temporary
substitute for purchasing or selling specific securities.
Upon entering into a futures contract, the Funds are required to make initial
margin deposits with the broker or segregate liquid investments to satisfy the
broker's margin requirements. Initial margin deposits are recorded as assets and
held in a segregated account at the custodian. During the period the futures
contract is open, changes in the value of the contract are recognized as
unrealized gains or losses by "marking to market" the contract on a daily basis
to reflect the value of the contract's settlement price at the end of each day's
trading. Variation margin payments are made or received and recognized as assets
due from or liabilities to the broker depending upon whether unrealized gains or
losses, respectively, are incurred. When the contract is closed, the Fund
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transaction and its basis in the contract.
b. Options Contracts - A purchased option contract gives the buyer the right,
but not the obligation, to buy (call) or sell (put) an underlying item at a
fixed exercise price during a specified period. These contracts are generally
used by the Funds to provide the return of an index without purchasing all of
the securities underlying the index or as a substitute for purchasing or selling
specific securities.
Purchases of put and call options are recorded as investments, the value of
which are marked-to-market daily. When a purchased option expires, the Fund will
realize a loss equal to the premium paid. When the Fund enters into a closing
sale transaction, the Fund will realize a gain or loss depending on whether the
sales proceeds from the closing sale transaction are greater or less the cost of
the option. When the Fund exercises a put option, it will realize a gain or loss
from the sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. When the Fund exercises a call option,
the cost of the security which the Fund purchases upon exercise will be
increased by the premium originally paid.
<PAGE>
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. 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.
H. Repurchase Agreements - The Funds may enter into repurchase agreements with
selected commercial banks and broker-dealers, under which the Fund acquires
securities as collateral and agrees to resell the securities at an agreed upon
time and at an agreed upon price. The Fund accrues interest for the difference
between the amount it pays for the securities and the amount it receives upon
resale. At the time the Fund enters into a repurchase agreement, the value of
the collateral securities including accrued interest will be equal to or exceed
the value of the repurchase agreement and, for repurchase agreements that mature
in more than one day, the seller will agree that the value of the collateral
securities including accrued interest will continue to be at least equal to the
value of the repurchase agreement.
I. Reverse Repurchase Agreements - The Funds may enter into reverse repurchase
agreements with selected commercial banks or broker-dealers. In a reverse
repurchase agreement, the Fund sells securities as collateral and agrees to
repurchase them at a mutually agreed upon date and price. This practice is the
equivalent of borrowing using the securities as collateral and can create
leverage. During the reverse repurchase agreement period, the Fund continues to
receive principal and interest payments on these securities but pays interest to
the counter-party based upon competitive market rates at the time of issuance.
At the time the Fund enters into a reverse repurchase agreement, it will
establish and maintain a segregated account with the custodian containing liquid
assets having a value not less than the repurchase price (including accrued
interest). If the counterparty to the transaction is rendered insolvent, the
ultimate realization of the collateral securities to be repurchased by the Fund
may be delayed or limited.
<PAGE>
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., Mississippi Valley Advisors Inc., and Riggs Bank N.A. ( 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.
<PAGE>
<TABLE>
<CAPTION>
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:
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%
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%
Riggs U.S. Government Securities All .95%
Riggs Stock All .75%
</TABLE>
For the period January 1, 1999 to April 30, 1999, the Adviser had voluntarily
reimbursed each of the Funds, exclusive of the Lord Abbett Growth and Income
Portfolio, 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 each Fund.
As of May 1, 1999, the Adviser has discontinued this reimbursement arrangement
for the Small Cap, Select Equity, and International Equity Portfolios. Also,
beginning May 1, 1999, the Adviser has 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 of each Fund.
The Trust has entered into a Custodian, Fund Accounting, and Transfer Agency
Agreement with Investors Bank & Trust Company ("Investors Bank").
<PAGE>
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 December 31, 1999, 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. Mississippi Valley Advisors Inc.
<S> <C> <C> <C>
Mid-Cap Value 99.6% 0.4% --
Large Cap Research 99.5% 0.5% --
Developing Growth 99.6% 0.4% --
Balanced 86.8% -- 13.2%
Equity Income 81.9% -- 18.1%
Growth & Income Equity 91.2% -- 8.8%
</TABLE>
3. Investment Transactions
<TABLE>
<CAPTION>
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the year or period ended December 31, 1999
were as follows:
Purchases
------------------------------------------------------------------------------------
Portfolio: U.S. Government Non-Government Total
- ---------- --------------- -------------- ---------------
<S> <C> <C> <C>
Small Cap Stock $ 0 $ 95,452,554 $ 95,452,554
Quality Bond 293,514,679 81,726,812 375,241,491
Select Equity 0 316,598,193 316,598,193
Large Cap Stock 472,914 263,050,365 263,523,279
International Equity 0 97,837,182 97,837,182
Bond Debenture 14,304,492 113,132,435 127,436,927
Mid-Cap Value 0 24,741,053 24,741,053
Large Cap Research 0 29,465,523 29,465,523
Developing Growth 0 20,481,039 20,481,039
Lord Abbett Growth and Income* 0 1,342,563,401 1,342,563,401
Balanced 1,141,136 4,463,941 5,605,077
Equity Income 0 5,644,025 5,644,025
Growth & Income Equity 0 9,510,185 9,510,185
Riggs U.S. Government Securities** 332,518 0 332,518
Riggs Stock*** 0 220,899 220,899
Sales
------------------------------------------------------------------------------------
Portfolio: U.S. Government Non-Government Total
- ---------- ---------------- -------------- ---------------
Small Cap Stock $ 0 $ 99,476,197 $ 99,476,197
Quality Bond 260,174,629 49,900,632 310,075,261
Select Equity 0 294,057,915 294,057,915
Large Cap Stock 360,000 136,697,117 137,057,117
International Equity 0 93,613,126 93,613,126
Bond Debenture 7,309,688 63,407,235 70,716,923
Mid-Cap Value 0 14,778,368 14,778,368
Large Cap Research 0 15,223,732 15,223,732
Developing Growth 0 11,404,084 11,404,084
Lord Abbett Growth and Income* 0 566,555,386 566,555,386
Balanced 0 1,751,490 1,751,490
Equity Income 0 3,368,373 3,368,373
Growth & Income Equity 0 4,548,107 4,548,107
Riggs U.S. Government Securities** 24,992 0 24,992
Riggs Stock*** 0 7,405 7,405
* Portfolio commenced January 8, 1999.
** Portfolio commenced October 15, 1999.
*** Portfolio commenced November 3, 1999.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
At December 31, 1999, the cost of securities for federal income tax purposes and
the unrealized appreciation (depreciation) of investments for federal income tax
purposes for each Fund was as follows:
Federal Income Gross Unrealized Gross Unrealized Unrealized Net
Portfolio: Tax Cost Appreciation (Depreciation) Appreciation/(Depreciation)
- --------- -------------- ---------------- ---------------- ---------------------------
<S> <C> <C> <C> <C>
Small Cap Stock $74,712,217 $35,064,037 ($5,763,128) $29,300,909
Quality Bond 102,602,669 82,648 (3,268,199) (3,185,551)
Select Equity 226,636,085 39,616,099 (19,103,476) 20,512,623
Large Cap Stock 232,630,079 50,867,747 (24,394,798) 26,472,949
International Equity 107,348,707 34,252,392 (4,317,258) 29,935,134
Bond Debenture 170,621,005 6,570,564 (10,251,263) (3,680,699)
Mid-Cap Value 27,687,173 3,319,147 (2,121,437) 1,197,710
Large Cap Research 29,257,039 5,552,667 (1,863,492) 3,689,175
Developing Growth 25,444,165 9,203,404 (2,968,953) 6,234,451
Lord Abbett Growth and Income 790,033,032 119,460,427 (52,055,557) 67,404,870
Balanced 7,729,483 1,056,236 (578,403) 477,833
Equity Income 6,791,944 610,737 (696,002) (85,265)
Growth & Income Equity 12,823,320 3,530,593 (1,181,947) 2,348,646
Riggs U.S. Government Securities 307,260 - - (4,386) (4,386)
Riggs Stock 212,891 10,915 (6,518) 4,397
</TABLE>
4. Futures Contracts
<TABLE>
<CAPTION>
Transactions in futures contracts for the year ended December 31, 1999, were as
follows:
Large Quality
Cap Stock Bond
Portfolio Portfolio
<S> <C> <C>
Futures Contracts Outstanding at December 31, 1998 12 --
Contracts Opened 154 1,050
Contracts Closed (155) (732)
------------- -------------
Futures Contracts Outstanding at December 31, 1999 11 318
============= =============
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The futures contracts outstanding as of December 31, 1999 and the description
and unrealized appreciation or depreciation were as follows:
Unrealized Appreciation/
Contracts Notional Value (Depreciation)
--------- -------------- ------------------------
<S> <C> <C> <C>
Large Cap Stock Portfolio:
S & P 500 Index Futures 11 $ 4,081,550 $ 141,971
March 2000 - Long
Quality Bond Portfolio:
U.S. Treasury Bond Futures 95 $ 8,639,063 $ (322,316)
March 2000 - Long
Quality Bond Portfolio:
U.S. Treasury Note 5 Year Futures 2 $ 196,031 $ 2,551
March 2000 - Short
Quality Bond Portfolio:
U.S. Treasury Note 10 Year Futures 221 $ 21,184,922 $ 416,510
March 2000 - Short
</TABLE>
5. Forward Foreign Currency Contracts
<TABLE>
<CAPTION>
Open forward foreign currency contracts for the International Equity Portfolio
at December 31, 1999, were as follows:
Unrealized
Forward Foreign Currency Contracts to Buy: Value at In Exchange Appreciation/
Settlement Date Contracts to Receive December 31, 1999 for U.S. $ (Depreciation)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1/19/2000 783,000 Euro $ 790,498 $ 790,924 $ (426)
1/19/2000 313,022,186 Japanese Yen 3,074,934 2,992,469 82,465
1/19/2000 555,850 New Zealand Dollar 290,777 288,981 1,796
----------------
83,835
================
Unrealized
Forward Foreign Currency Contracts to Sell: Value at In Exchange Appreciation/
Settlement Date Contracts to Deliver December 31, 1999 for U.S. $ (Depreciation)
- -------------------------------------------------------------------------------------------------------------------------
1/19/2000 2,190,000 Euro $ 2,210,971 $ 2,233,269 $ 22,297
1/19/2000 676,156,367 Japanese Yen 6,642,138 6,551,583 (90,555)
1/19/2000 555,850 New Zealand Dollar 290,777 290,148 (629)
----------------
(68,887)
================
</TABLE>
