<PAGE>
SHAREHOLDER LETTER
Dear Shareholders:
As President of the Endeavor Series Trust, I am pleased to report
that for the
period ended June 30, 1996, the Endeavor Management Team has
continued to
deliver competitive returns through quality investments, and
position the
portfolios of the Endeavor Series Trust to be
nefit from today's financial
markets and the financial markets in the future.
On behalf of the Board of Trustees and the entire Endeavor
Management Team, I
would like to thank you for your continued confidence in the
Endeavor Variable
Annuity and Endeavor Series Trust. Please do not hesitate to call
us if you
have any questions or comments.
Sincerely,
/s/James R. McInnis
James R. McInnis
President
August 29, 1996
1
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MONEY MARKET PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
COMMERCIAL PAPER -- 73.2%
$1,240,000 Abbott Laboratories Company,
5.300%# due
07/18/1996............................... $ 1,236,897
1,100,000 American Express Credit Corporation,
5.300%# due
07/01/1996............................... 1,100,000
1,300,000 Ameritech Corporation,
5.350%# due
07/30/1996............................... 1,294,397
1,000,000 Beckton Dickinson & Company,
5.520%# due
07/01/1996............................... 1,000,000
1,211,000 BellSouth Telecommunications Inc.,
5.320%# due
07/16/1996............................... 1,208,315
1,300,000 Chevron Oil Finance Company,
5.350%# due
07/17/1996............................... 1,296,909
1,000,000 Ciba Geigy Corporation,
5.340%# due
07/01/1996............................... 1,000,000
1,000,000 Ciesco L.P.,
5.300%# due
07/18/1996............................... 997,497
1,000,000 Dean Witter Discover and Company,
5.350%# due
07/05/1996............................... 999,406
980,000 Deere (John) Capital Corporation,
5.340%# due
07/23/1996............................... 976,802
1,300,000 Florida Power Corporation,
5.400%# due
07/03/1996............................... 1,299,610
1,200,000 Ford Motor Credit Corporation,
5.330%# due
07/08/1996............................... 1,198,756
1,000,000 MetLife Funding, Inc,
5.320%# due
07/22/1996............................... 996,897
1,000,000 Nordstrom Credit, Inc.,
5.320%# due
07/11/1996............................... 998,522
1,000,000 Pacific Mutual Life Insurance Company,
5.340%# due
07/12/1996............................... 998,368
1,000,000 Pitney-Bowes Credit Corporation,
5.340%# due
08/19/1996............................... 992,732
1,300,000 Prudential Funding Corporation,
5.350%# due
07/02/1996............................... 1,299,807
1,000,000 Schering Corporation,
5.250%# due
09/24/1996............................... 987,604
1,000,000 Student Loan Corporation,
5.320%# due
07/09/1996............................... 998,818
1,000,000 Toys "R' Us Inc.,
5.330%# due
07/26/1996............................... 996,299
1,000,000 Wal-Mart Stores Inc.,
5.270%# due
07/10/1996............................... 998,682
- -----------
Total Commercial Paper
(Cost
$22,876,318)................................... 22,876,318
- -----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
CORPORATE FIXED INCOME SECURITIES -- 21.1%
$1,180,000 Associates Corporation of North America, Note,
4.750% due 08/01/1996...............................
$ 1,179,461
500,000 CIT Group Holdings, Inc.,
Medium Term Note,
7.125% due 11/15/1996...............................
502,653
1,000,000 duPont (EI) de Nemours, Note,
8.450% due 10/15/1996...............................
1,008,907
1,000,000 General Electric Cap Corporation,
Medium Term Note,
5.200% due 01/17/1997...............................
1,000,577
1,000,000 Norwest Financial Inc., Note,
6.250% due 02/15/1997...............................
1,002,612
1,000,000 Shell Oil Company, Note,
6.000% due 01/15/1997...............................
1,001,220
900,000 Toyota Motor Credit Corporation,
Medium Term Note,
6.875% due 10/15/1996...............................
903,078
- -----------
Total Corporate Fixed Income Securities
(Cost $6,598,508)...................................
6,598,508
- -----------
U.S. GOVERNMENT AGENCY NOTES -- 6.1%
Federal National Mortgage Association (FNMA), Medium
Term Notes:
500,000 5.680% due 10/07/1996................................
500,147
500,000 5.470% due 11/14/1996................................
499,882
600,000 7.720% due 12/16/1996................................
607,258
300,000 Federal Farm Credit Bank (FFCB),
Medium Term Note,
5.400%# due 11/08/1996..............................
299,588
- -----------
Total U.S. Government Agency Notes
(Cost $1,906,875)...................................
1,906,875
- -----------
U.S. GOVERNMENT AGENCY VARIABLE RATE NOTES -- 3.2%
(Cost $999,874)
1,000,000 Student Loan Marketing Association (SLMA),
5.360%## due 10/10/1996.............................
999,874
- -----------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $32,381,575*).......................
103.6% 32,381,575
OTHER ASSETS AND LIABILITIES (NET)..........................
(3.6) (1,140,655)
----
- - -----------
NET ASSETS..................................................
100.0% $31,240,920
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
# Rate represents annualized yield at date of purchase.
## Variable rate security. The interest rate shown reflects the
rate in effect
at June 30, 1996.
See Notes to Financial Statements.
2
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- 72.7%
TECHNOLOGY -- 25.1%
37,800 Applied Materials, Inc. .............................
$ 1,152,900
119,200 Cisco Systems Inc. ..................................
6,749,700
104,700 Computer Sciences Corporation+.......................
7,826,325
101,500 Electronic Data Systems Corporation..................
5,455,625
18,700 Hewlett-Packard Company..............................
1,862,987
106,300 Intel Corporation....................................
7,806,406
56,300 Microsoft Corporation+...............................
6,763,038
120,600 Motorola, Inc. ......................................
7,582,725
33,000 Texas Instruments Inc................................
1,645,875
153,300 Xerox Corporation....................................
8,201,550
- ------------
55,047,131
- ------------
FINANCIAL SERVICES -- 9.4%
45,100 Associates First Capital Corporation+................
1,696,888
67,600 Citicorp.............................................
5,585,450
41,900 First Data Corporation...............................
3,336,288
139,200 Green Tree Financial Corporation.....................
4,350,000
87,000 Merrill Lynch & Company, Inc. .......................
5,665,875
- ------------
20,634,501
- ------------
TRANSPORTATION -- 8.3%
52,800 AMR Corporation+.....................................
4,804,800
61,727 Burlington Northern Santa Fe Corporation.............
4,992,171
63,200 Delta Air Lines Inc. ................................
5,245,600
60,400 UAL Corporation......................................
3,246,500
- ------------
18,289,071
- ------------
CONSUMER DURABLES -- 8.2%
89,800 American Standard Companies Inc.+....................
2,963,400
111,000 Chrysler Corporation.................................
6,882,000
84,426 Ford Motor Company...................................
2,733,292
113,600 Lear Seating Corporation+............................
4,004,400
32,900 Magna International Inc., Class A....................
1,513,400
- ------------
18,096,492
- ------------
HEALTH CARE -- 5.7%
116,000 Amgen, Inc. .........................................
6,264,000
81,200 Columbia/HCA Healthcare Corporation..................
4,334,050
38,600 Johnson & Johnson Company............................
1,910,700
- ------------
12,508,750
- ------------
CONSUMER NON-DURABLES -- 3.9%
23,800 America Online Inc. .................................
1,041,250
35,900 Procter & Gamble Company.............................
3,253,438
108,864 Viacom Inc., Class B+................................
4,232,088
- ------------
8,526,776
- ------------
CAPITAL GOODS -- 3.7%
55,000 Boeing Company.......................................
4,791,875
50,700 Caterpillar Inc. ....................................
3,434,925
- ------------
8,226,800
- ------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
BASIC INDUSTRIES -- 3.3%
20,700 Corrections Corporation of America..................
$ 1,449,000
50,600 United Technologies Corporation.....................
5,819,000
- ------------
7,268,000
- ------------
PAPER AND PAPER PRODUCTS -- 1.8%
52,600 Kimberly-Clark Corporation..........................
4,063,350
- ------------
RETAIL -- 1.7%
67,866 Home Depot Inc. ....................................
3,664,764
- ------------
INSURANCE -- 1.0%
22,400 Marsh & McLennan Companies, Inc. ...................
2,161,600
- ------------
PRINTING AND PUBLISHING -- 0.6%
58,800 News Corporation Ltd., ADR..........................
1,381,800
- ------------
Total Common Stock
(Cost $111,073,490)................................
159,869,035
- ------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S>
<C>
MORTGAGE-BACKED SECURITIES -- 10.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.5%
FHLMC:
$2,488,691 6.000% due 03/01/2011...............................
2,354,922
2,323,000 7.500% due 06/01/2011...............................
2,325,178
2,814,291 7.000% due 08/01/2025...............................
2,709,627
2,683,623 7.000% due 01/01/2026...............................
2,583,819
2,191,700 8.000% due 06/01/2026...............................
2,198,549
- ------------
12,172,095
- ------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 4.9%
GNMA:
1,832,431 6.500% due 02/20/2023...............................
1,844,177
1,080,858 6.500% due 01/20/2025...............................
1,088,121
2,523,907 6.000% due 08/20/2025...............................
2,549,928
3,872,381 7.500% due 02/15/2026...............................
3,816,696
1,358,450 8.000% due 06/15/2026...............................
1,363,120
- ------------
10,662,042
- ------------
Total Mortgage-Backed Securities
(Cost $23,215,619).................................
22,834,137
- ------------
U.S. TREASURY OBLIGATIONS -- 6.5%
U.S. TREASURY NOTES -- 4.0%
U.S. Treasury Notes:
1,315,000 7.250% due 11/30/1996 ..............................
1,324,244
625,000 7.500% due 01/31/1997 ..............................
631,638
3,265,000 5.000% due 01/31/1998 ..............................
3,213,968
2,225,000 6.625% due 06/30/2001...............................
2,239,596
1,320,000 7.875% due 11/15/2004 ..............................
1,418,789
- ------------
8,828,235
- ------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
U.S. TREASURY OBLIGATIONS -- (CONTINUED)
U.S. TREASURY BONDS -- 2.5%
U.S. Treasury Bonds:
$1,410,000 12.000% due 08/15/2013..............................
$ 1,987,663
3,210,000 7.500% due 11/15/2024...............................
3,402,600
- ------------
5,390,263
- ------------
Total U.S. Treasury Obligations
(Cost $14,477,091).................................
14,218,498
- ------------
CORPORATE BONDS -- 3.3%
730,000 Disney (Walt) Company, Global Bond, 6.750% due
03/30/2006.........................................
706,384
175,000 First Interstate Bancorp, Subordinate Capital Note,
8.625% due 04/01/1999..............................
183,250
500,000 Florida Power & Light Company, First Mortgage Bond,
7.050% due 12/01/2026..............................
451,430
750,000 General American Transportation, Note, 6.750% due
03/01/2006.........................................
713,308
1,000,000 General Motors Corporation, Debenture, 8.100% due
06/15/2024.........................................
997,040
15,000 May Department Stores Company, Debenture,
9.750% due 02/15/2021..............................
17,657
900,000 Mead Corporation, Debenture,
7.125% due 08/01/2025..............................
810,990
1,400,000 Praxair Inc., Debenture,
8.700% due 07/15/2022..............................
1,442,770
1,200,000 Texas Utilities Electric Company, First Mortgage
Bond,
7.875% due 03/01/2023..............................
1,167,168
730,000 Wells Fargo & Company, Subordinate Note,
6.875% due 04/01/2006..............................
703,238
- ------------
Total Corporate Bonds
(Cost $7,252,742)..................................
7,193,235
- ------------
ASSET-BACKED SECURITIES -- 1.4%
AFC Home Equity Loan, Class A:
77,554 Tranche 92-4,
6.200% due 10/15/2007..............................
76,027
128,477 Tranche 93-2,
6.000% due 01/20/2013..............................
123,929
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
$ 238,347 EQCC Home Equity Loan Trust, Class A-1, Tranche 93-
3,
5.150% due 09/15/2008..............................
$ 229,037
First Alliance Mortgages, Class A-1:
314,701 Tranche 94-1,
5.850% due 04/25/2025..............................
300,367
739,833 Tranche 94-2,
7.625% due 07/25/2025..............................
736,828
632,561 General Electric Capital Corporation,
Series 1995-HE1,
7.500% due 09/25/2010..............................
628,607
897,082 TMS Home Equity Loan, Class A-1, Tranche 93-D,
5.675% due 02/15/2009..............................
857,029
112,459 UCFC Home Equity Loan, Class A-1, Tranche 93-B1,
6.075% due 07/25/2014..............................
108,135
- ------------
Total Asset-Backed Securities
(Cost $3,127,201)..................................
3,059,959
- ------------
COMMERCIAL PAPER -- 5.0%
1,000,000 Associates Corporation of North America, 5.380%# due
07/24/1996.........................................
996,563
5,000,000 Federal National Mortgage Association, 5.250%# due
07/03/1996.........................................
4,998,542
5,000,000 Wal-Mart Stores Inc.,
5.330%# due 07/02/1996.............................
4,999,260
- ------------
Total Commercial Paper
(Cost $10,994,365).................................
10,994,365
- ------------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $170,140,508*).....................
99.3% 218,169,229
OTHER ASSETS AND LIABILITIES (NET)......................... 0.7
1,620,818
-----
- ------------
NET ASSETS.................................................
100.0% $219,790,047
=====
============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
4
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- 92.2%
JAPAN -- 23.4%
2,200 Advantest
........................................... $ 87,477
16,000 Alps Electric
Company................................ 194,516
37,000 Amada Company Ltd.
.................................. 399,086
43,000 Canon Inc.
.......................................... 896,161
23,000 Citizen Watch
Company................................ 191,947
31,000 Dai Nippon Screen Manufacturing
..................... 276,563
33,000 Daichi Pharmaceutical
Company........................ 509,781
6,000 Daifuku Company Ltd.
................................ 92,139
42,000 Daiwa House Industry Company
........................ 652,651
48 DDI
Corporation...................................... 419,452
107 East Japan Railway Company
.......................... 562,386
9,000 Fanuc Company Ltd.
.................................. 358,684
56,000 Hitachi Ltd.
........................................ 522,121
48,000 Hitachi Zosen Corporation
........................... 272,468
4,000 Honda Motor Company Ltd.
............................ 103,839
16,000 Inax
................................................ 159,415
15,000 Ishihara Sangyo Kaisha
.............................. 59,781
12,000 Ito-Yokado Company
.................................. 725,046
8,000 Kao
Corporation...................................... 108,227
17,000 Kokuyo Company Ltd.
................................. 470,841
46,000 Komatsu Ltd.
........................................ 454,113
14,000 Komori Corporation
.................................. 358,318
31,000 Kumagai Gumi
........................................ 124,680
35,000 Kuraray Company
..................................... 393,510
14,000 Kyocera Corporation
................................. 991,773
25,000 Makita Corporation
.................................. 406,764
27,000 Marui Company Ltd.
.................................. 599,726
40,000 Matsushita Electric Industrial
Company............... 745,887
23,000 Mitsubishi Corporation
.............................. 302,742
118,000 Mitsubishi Heavy Industries Ltd.
.................... 1,027,916
22,000 Mitsubishi Paper Mills Ltd.
......................... 137,751
63,000 Mitsui Fudosan Company
.............................. 852,285
15,000 Mitsui Petrochemical Industries
..................... 120,658
16,000 Murata Manufacturing Company
........................ 606,947
9,000 National House Industrial Company
................... 140,676
79,000 NEC Corporation
..................................... 859,324
9,000 Nippon Hodo
......................................... 153,016
198,000 Nippon Steel
Corporation............................. 680,512
49 Nippon Telegraph & Telephone
Corporation............. 363,693
41,000 Nippondenso Company Ltd.
............................ 891,956
40,000 Nomura Securities Company Ltd.
...................... 782,450
20,000 Pioneer Electronics
Corporation...................... 477,148
4,000 Sangetso Company Ltd.
............................... 107,130
29,000 Sankyo Company
...................................... 752,834
6,000 Sega Enterprises
.................................... 280,804
42,000 Sekisui Chemical Company Ltd.
....................... 514,442
31,000 Sekisui House
....................................... 354,205
4,620 Seven-Eleven Japan Company Ltd.
..................... 295,190
40,000 Sharp Corporation
................................... 702,011
25,000 Shinetsu Chemicals Company Ltd.
.................... 479,890
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
11,000 Sony Corporation ...................................
$ 724,954
61,000 Sumitomo Corporation ...............................
543,090
58,000 Sumitomo Electric Industries Ltd. .................
832,358
20,000 Sumitomo Forestry Company Ltd. .....................
297,989
11,000 TDK Corporation ....................................
657,587
73,000 Teijin .............................................
397,029
17,000 Tokio Marine & Fire Insurance Company...............
226,874
7,000 Tokyo Electron .....................................
204,113
17,000 Tokyo Steel Manufacturing...........................
334,095
29,000 Toppan Printing Company Ltd. .......................
424,132
6,000 Total Access Communications.........................
51,000
6,000 UNY Company Ltd. ...................................
119,013
7,350 Yurtec Corporation .................................
129,666
- ------------
26,962,832
- ------------
UNITED KINGDOM -- 13.9%
84,000 Abbey National Ord. ................................
706,359
45,733 Argos Ord. .........................................
530,295
66,000 Argyll Group Ord. ..................................
355,977
206,000 ASDA Group Plc .....................................
374,629
12,000 British Airport Authority Ord. .....................
87,012
44,000 British Gas Ord. ...................................
123,104
29,000 British Petroleum Company Ord. .....................
254,455
80,000 Cable & Wireless....................................
529,101
58,768 Cadbury Schweppes Ord. .............................
464,951
36,000 Coats Viyella Ord. .................................
95,966
33,000 Compass Group Ord. .................................
300,324
23,000 East Midlands Electricity Ord. .....................
186,258
18,000 Electrocomponents Ord. .............................
106,737
7,000 GKN Ord. ...........................................
107,499
52,000 Glaxo Wellcome Ord. ................................
700,359
94,000 Grand Metropolitan Ord. ............................
623,885
80,000 Guinness Ord. ......................................
581,948
11,000 Heywood Williams Group Corporation Ord. ............
40,351
33,000 Hillsdown Holdings Ord. ............................
89,764
77,000 Kingfisher Ord. ....................................
773,763
52,000 Ladbroke Group Ord. ................................
144,275
28,000 Laing (John), Class A, Non-Voting Ord. .............
124,908
31,286 London Electricity Ord.+............................
304,177
108,000 MB Caradon Plc. ...................................
361,759
28,106 National Grid Group Plc. ..........................
74,487
141,000 National Westminster Bank Ord. .....................
1,348,950
64,000 Rank Organization Ord. .............................
494,905
74,000 Reed International Ord. ............................
1,238,210
29,518 Rolls Royce Ord. ...................................
102,774
38,000 RTZ Corporation Ord. ...............................
562,892
26,000 Sears Holdings Ord. ................................
40,008
65,000 Shell Transport & Trading Ord. .....................
952,738
58,000 Smith (David S.) Holdings Ord. .....................
246,566
122,000 SmithKline Beecham Equity Units ....................
1,305,606
68,000 T&N Plc Ord. .......................................
147,974
49,000 Tesco Ord. .........................................
223,919
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- (CONTINUED)
UNITED KINGDOM -- (CONTINUED)
163,000 Tomkins Ord. .......................................
$ 610,595
62,000 United Newspapers & Media Ord. .....................
670,733
- ------------
15,988,213
- ------------
NETHERLANDS -- 9.5%
8,390 ABN Amro Holdings N.V. .............................
450,615
4,780 Ahold (Kon) N.V. ...................................
259,249
994 Akzo Nobel N.V.+++..................................
119,187
12,126 CSM CVA ............................................
581,593
122,476 Elsevier N.V. ......................................
1,859,940
11,325 Fortis Amev N.V. ...................................
324,710
2,040 Hagemeyer...........................................
145,449
31,300 International Nederlanden Groep N.V.................
934,136
4,254 Koninklijke PTT Nederland ..........................
161,131
1,900 Nutricia (Veringde Bedrijven) ......................
201,085
2,500 Otra, N.V. .........................................
57,608
12,805 Polygram N.V. ......................................
756,813
12,550 Royal Dutch Petroleum Company.......................
1,939,713
4,040 Unilever N.V. ......................................
585,095
22,058 Wolters Kluwer .....................................
2,507,796
- ------------
10,884,120
- ------------
FRANCE -- 7.9%
1,445 Accor ..............................................
202,245
1,120 Alcatel Alsthom Cie Generale D'Electric.............
97,756
3,199 Assurances Generales de France .....................
86,687
700 AXA Company.........................................
38,319
1,000 Canal Plus..........................................
244,739
1,010 Carrefour ..........................................
566,232
981 Castorama Dubois ...................................
193,368
845 Changeurs International S.A.+.......................
37,796
3,440 Compagnie de Saint-Gobain ..........................
460,740
1,813 Credit Local de France .............................
147,669
10,330 Eaux (Cie Generale des)+++ .........................
1,154,639
1,620 Ecco ...............................................
407,815
1,630 GTM--Entrepose .....................................
105,831
1,296 Guilbert SA ........................................
188,949
1,210 Havas...............................................
99,025
150 Hermes International+++.............................
39,656
2,820 Lapeyre ............................................
165,278
541 Legrand ............................................
96,753
420 L'Oreal ............................................
139,531
3,050 LVHM Moet Hennessey ................................
723,925
845 Pathe+..............................................
198,427
2,380 Pinault Printemps Redoute...........................
833,237
1,504 Primagaz ...........................................
166,941
350 Promodes............................................
100,967
685 Rexel ..............................................
189,351
1,530 Sanofi SA ..........................................
114,744
4,720 Schneider+..........................................
247,733
750 Societe Generale Ord. ..............................
82,519
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
4,450 Societe Nationale Elf Aquitaine ....................
$ 327,505
930 Sodexho ............................................
412,911
5,780 Television Francaise ...............................
660,668
6,730 Total "B' Shares ...................................
499,492
- ------------
9,031,448
- ------------
HONG KONG -- 4.6%
124,000 Cathay Pacific Airways..............................
227,471
68,000 Dao Heng Bank Group ................................
262,662
391,540 First Pacific Company Ltd. .........................
601,922
306,000 Guangdong Investment Ltd. ..........................
193,702
1,044,000 Guangzhou Investments Company Ltd.+.................
262,998
85,000 Guoco Group+........................................
405,193
328,475 Hong Kong Land Holdings Ord. .......................
739,069
832,000 Hopewell Holdings Ltd. .............................
451,429
92,000 Hutchison Whampoa, Ltd. ............................
578,807
116,908 New World Development Company ......................
542,195
53,000 Swire Pacific Company, Class A .....................
453,606
145,000 Wharf Holdings .....................................
518,877
420,000 Yizheng Chemical Fibre .............................
92,782
- ------------
5,330,713
- ------------
SWITZERLAND -- 3.9%
591 Brown Boveri & Cie AG, Class A .....................
731,895
419 Ciba Geigy AG ......................................
511,180
1,950 CS Holdings ........................................
185,640
846 Nestle SA ..........................................
967,147
140 Roche Holdings AG Genuscheine ......................
1,069,040
560 Sandoz AG ..........................................
641,088
1,860 Schweizerischer Bankverein .........................
367,536
- ------------
4,473,526
- ------------
GERMANY -- 3.9%
208 Allianz AG..........................................
360,425
92 Altana .............................................
71,118
19,100 Bayer AG ...........................................
675,122
360 Bilfinger & Berger Bau AG ..........................
151,988
232 Buderus AG .........................................
98,451
4,900 Deutsche Bank AG ...................................
232,006
2,042 Fielmann AG.........................................
98,028
1,430 Gehe AG ............................................
961,076
3,690 Hoechst AG .........................................
125,212
700 Hornbach Baumarkt AG ...............................
31,763
566 Mannesmann AG ......................................
195,782
1,294 Praktiker Bau und Heimwerker+.......................
33,570
2,342 Rhoen Klinikum AG +++...............................
308,026
850 SAP AG..............................................
126,048
2,323 Schering AG ........................................
169,109
3,450 Siemens AG..........................................
184,451
10,190 Veba AG ............................................
541,917
264 Volkswagen AG ......................................
98,176
- ------------
4,462,268
- ------------
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- (CONTINUED)
MALAYSIA -- 3.0%
261,000 Affin Holdings Berhad .............................
$ 612,087
80,000 Berjaya Sports Toto Berhad ........................
264,582
154,000 MBF Capital Berhad ................................
212,371
219,000 Multi-Purpose Holdings Berhad......................
352,928
189,000 Renong Berhad .....................................
301,551
80,000 Tanjong............................................
301,463
246,000 Technology Resources Industries Ltd.+..............
857,968
80,000 United Engineers (Malaysia) Berhad+++..............
554,821
- ------------
3,457,771
- ------------
SPAIN -- 2.5%
3,702 Argentaria ........................................
161,667
5,942 Banco de Santander Ord. ...........................
277,592
1,670 Banco Popular de Espanol+++........................
297,979
2,480 Centros Comerciales Continente, S.A. ..............
58,898
5,056 Centros Comerciales Pryca .........................
126,395
11,510 Empresa Nacional de Electricidad (Endesa)..........
718,448
614 Fomento de Construcciones Y
Contratas S.A. ...................................
50,845
1,768 Gas Natural S.D.G., S.A. ..........................
371,542
25,276 Iberdrola S.A. ....................................
259,661
13,393 Repsol S.A. .......................................
466,121
510 Repsol S.A., ADR ..................................
17,722
1,618 Sociedad General de Aguas de
Barcelona S.A. ...................................
60,167
- ------------
2,867,037
- ------------
SWEDEN -- 2.4%
2,170 Asea AB Free, Series A.............................
230,405
25,000 Astra AB, Series B.................................
1,091,225
11,090 Atlas Copco AS, Series B ..........................
206,859
7,780 Electrolux Company AB, Series B....................
391,879
1,900 Esselte AB, Series B...............................
38,884
3,250 Hennes & Mauritz AB, Series 5 .....................
301,880
2,480 Sandvik AB, Series A ..............................
56,934
13,340 Sandvik AB, Series B ..............................
308,265
3,330 Scribona AB Free, Series B.........................
34,955
8,000 Stora Kopparbergs AB, Series B.....................
105,724
- ------------
2,767,010
- ------------
SINGAPORE -- 2.1%
59,000 D.B.S. Land Ord. .................................
202,381
16,000 Development Bank of Singapore (F)..................
199,575
18,000 Far East-Levingston Shipbuilding ..................
99,504
8,400 Fraser & Neave Ord. ..............................
86,917
6,000 Jurong Shipyard Ord. .............................
30,404
11,000 Keppel Corporation Ord. ..........................
91,992
28,000 Neptune Orient Lines ..............................
29,369
56,000 Overseas Union Bank (F) ...........................
384,975
9,000 Sembawang Corporation Ltd. ........................
44,649
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
5,000 Singapore International Airlines (F) ...............
$ 52,800
60,000 Singapore Land......................................
406,095
12,000 Singapore Press Holdings (F) .......................
235,578
91,000 United Industrial Corporation ......................
92,870
42,600 United Overseas Bank (F) ...........................
407,583
- ------------
2,364,692
- ------------
ITALY -- 2.0%
17,000 Assicurazioni Generali S.p.A. ......................
392,329
113,070 Banca Fideuram......................................
245,074
27,000 Ente Nazionale Idrocarburi .........................
134,758
11,114 Finanziaria Autogrill S.p.A.+ ......................
12,748
4,000 IMI S.p.A. Ord. ....................................
33,426
2,070 Industrie Natuzzi S.p.A. ...........................
106,088
28,000 Istituto Nazionale delle Assicurazion+++ ...........
41,769
34,740 Italgas S.p.A. .....................................
129,843
10,960 Mediolanum S.p.A.+ .................................
109,117
2,200 Ras.................................................
22,758
8,000 Rinascente Ord. ....................................
57,320
16,077 Sasib di Risp Ord. ................................
32,012
89,000 S.T.E.T. Societa' Finanziaria Telefonica S.p.A. ....
300,976
45,000 S.T.E.T. di Risp....................................
118,247
47,990 Telecom Italia Mobile di Risp S.p.A. ...............
65,480
149,353 Telecom Italia Mobile S.p.A. .......................
333,954
83,173 Telecom Italia S.p.A. ..............................
178,916
4,560 Unichem (Union-Cem-March Emil) S.p.A. ..............
33,342
- ------------
2,348,157
- ------------
AUSTRALIA -- 1.7%
18,000 Amcor Ltd. Ord. ....................................
122,357
41,330 Australian Gas Light Company........................
171,815
17,597 Broken Hill Property Company Ord. .................
242,969
42,645 Burns Philip & Company Ltd. .......................
80,430
9,355 Coca Cola Amatil Ltd. .............................
103,879
6,265 Lend Lease Corporation Ord. .......................
96,005
11,000 National Australia Bank Ltd. .......................
101,571
23,000 Publishing & Broadcasting Ltd. ....................
101,218
21,430 Smith (Howard) Ltd. ................................
133,042
71,000 Sydney Harbour Casino+ ............................
98,200
35,000 Tabcorp Holdings Ltd. ..............................
158,152
25,156 The News Corporation Ord. ..........................
142,533
17,000 Western Mining Corporation
Holdings Ltd. .....................................
121,571
29,000 Westpac Banking Corporation ........................
128,306
25,000 Woodside Petroleum Ltd. ............................
150,097
- ------------
1,952,145
- ------------
MEXICO -- 1.7%
16,590 Cementos Mexicanos S.A., Series B...................
64,413
49,110 Cemex S.A. .........................................
174,167
27,310 Cemex, S.A. de C.V. ................................
187,620
3,930 Cesp, ADR++.........................................
37,335
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- (CONTINUED)
MEXICO -- (CONTINUED)
205,798 Cifra S.A. de CV, Class E, ADR .....................
$ 290,175
18,790 Cifra S.A. de CV, NPV, Class C .....................
26,804
18,169 Fomento Economico Mexicana, Series B ...............
51,501
32,170 Gruma S.A. de CV, Series B .........................
148,869
29,860 Grupo Embotellador de Mexico........................
52,358
47,166 Grupo Financiero Banamex, Series B .................
98,001
1,942 Grupo Financiero Banamex, Series L .................
3,687
84,790 Grupo Industrial Maseca S.A., Class B...............
88,535
18,986 Grupo Modelo S.A. de CV, Series C...................
89,235
3,491 Grupo Telivisa S.A., GDR+...........................
107,348
6,403 Kimberly-Clark de Mexico, Class A...................
116,495
11,364 Telefonos de Mexico S.A., ADR.......................
380,694
- ------------
1,917,237
- ------------
BRAZIL -- 1.6%
3,410 Brazil Fund, Inc. ..................................
81,414
6,086 Cemig Companhia, ADR................................
171,930
2,110 CIA Brasil Dist Pao Acuar, GDR......................
33,127
3,719,511 Companhia Energetica de Minas Gerais................
98,900
2,280,000 Companhia Siderugica Nacional.......................
58,127
13,663 Telebras, ADR.......................................
951,286
547 Telebras, ADR ......................................
38,085
2,000,000 Telec Brasileiras -- Telebras ......................
117,512
21,660 Usinas Siderurgicas de Minas Gerais S.A. ...........
234,253
41,460,000 White Mountains S.A. ...............................
58,217
- ------------
1,842,851
- ------------
NORWAY -- 1.4%
2,170 Bergesen DY AS, Class A.............................
45,138
17,470 Norsk Hydro AS......................................
855,996
11,190 Orkla Booregaard AS.................................
589,669
4,670 Saga Petroleum, Series B............................
63,322
- ------------
1,554,125
- ------------
ARGENTINA -- 1.1%
2,222 Banco de Galicia -- Buenos Aires....................
57,494
1,633 Banco Frances, ADR..................................
46,949
943 Buenos Aires Embotelladora S.A., ADR................
12,495
11,480 Comercial del Plata S.A.+...........................
35,601
1,080 Comercial del Plata S.A., ADR +++...................
34,155
1,140 Enron Global Power & Pipelines......................
27,645
20,501 Perez Companc (Naviera).............................
134,330
6,950 Telecom Argentina+..................................
32,677
850 Telecom Argentina Stet S.A., ADR....................
39,844
24,000 Telefonica de Argentina S.A., ADR...................
711,000
2,630 Transportadora de Gas, ADR..........................
32,218
7,140 Y.P.F Sociedad Anonima..............................
160,650
- ------------
1,325,058
- ------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
BELGIUM -- 1.0%
800 Generale de Banque Ord. ............................
$ 277,977
1,940 Kredietbank International NV........................
582,047
142 U.B.C. .............................................
265,874
- ------------
1,125,898
- ------------
THAILAND -- 0.9%
7,300 Advanced Information Services (F)...................
114,440
26,300 Bangkok Bank Public Company Ltd. (F)................
356,357
15,600 Bank of Ayudhya (F).................................
86,025
3,000 Land & House Public Company Ltd. (F)................
37,813
1,500 Siam Cement Public Company Ltd. (F).................
73,617
13,600 Siam Commercial Bank Public Company Ord. (F)........
197,133
13,600 Thai Farmers Bank Public Company (F)................
148,921
- ------------
1,014,306
- ------------
KOREA -- 0.8%
3,000 Korea Electric Power Corporation....................
72,750
27,700 Korea Fund..........................................
585,163
1,900 Pohang Iron & Steel, ADR............................
46,312
958 Samsung Electronics Company, GDR....................
49,097
1,415 Samsung Electronics Company, GDR+...................
72,519
392 Samsung Electronics Company, GDR New++..............
20,078
288 Samsung Electronics Company, GDR New++..............
14,760
1,236 Samsung Electronics Company,
GDR 1/2 NV++.......................................
29,973
3,991 Samsung Electronics Company,
Non-Voting, GDR++..................................
96,782
- ------------
987,434
- ------------
CHILE -- 0.6%
718 AFP Provida, ADR+...................................
17,860
1,910 Chilectra S.A. .....................................
106,129
2,515 Chilgener S.A., ADS.................................
60,360
2,241 Compania Cervecerias, ADR...........................
52,663
1,055 Compania de Telefonos de Chile......................
98,616
6,066 Empresa Nacional Electricidad Chile, ADR............
130,419
3,701 Enersis S.A., ADR...................................
114,731
5,460 The Chile Fund......................................
133,770
- ------------
714,548
- ------------
NEW ZEALAND -- 0.6%
29,000 Air New Zealand Ltd., Class B, Ord. ................
88,786
45,000 Carter Holt Harvey Ord. ............................
103,097
22,000 Fernz Corporation Ord. .............................
65,842
7,000 Fletcher Challenge (Building Division)+.............
13,726
7,000 Fletcher Challenge (Energy Division)+...............
15,508
63,973 Fletcher Challenge (Forest Division)................
79,664
14,000 Fletcher Challenge Ord. ............................
27,162
66,000 Telecom Corporation of New Zealand..................
277,897
- ------------
671,682
- ------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- (CONTINUED)
PORTUGAL -- 0.5%
6,030 Estabelec Jeronimo Martins & Filho..................
$ 543,104
- ------------
CHINA -- 0.4%
20,100 Huaneng Power International, ADS+...................
359,288
548,000 Shanghai Petrochemical, Class H.....................
155,747
- ------------
515,035
- ------------
CANADA -- 0.3%
7,730 Alcan Aluminum......................................
235,255
3,040 Royal Bank Of Canada................................
72,924
- ------------
308,179
- ------------
DENMARK -- 0.2%
2,080 Den Danske Bank.....................................
139,519
650 Tele Danmark AS, Series B...........................
32,728
1,950 UniDanmark AS, Series A.............................
90,527
- ------------
262,774
- ------------
PANAMA -- 0.1%
3,500 Panamerican Beverages Inc., Class A.................
156,625
- ------------
FINLAND -- 0.1%
3,580 Nokia AB, Class A...................................
132,049
- ------------
AUSTRIA -- 0.1%
336 EVN Energie-Versorgung Niederoesterreich AG.........
46,464
630 Flughafen Wein AG...................................
43,124
- ------------
89,588
- ------------
Total Common Stock
(Cost $90,588,575).................................
106,050,425
- ------------
PREFERRED STOCK -- 2.0%
BRAZIL -- 1.7%
34,920,147 Banco Bradesco S.A. ................................
285,162
280,000 Brahma-Companhia Cervejaria.........................
167,027
270,000 Brasmotor S.A. .....................................
84,430
240,000 Companhia Cimento Portland Itau.....................
67,878
199,060 Coteminas PN........................................
78,304
500,000 Electrobras B.......................................
134,442
150,000 Itaubanco PN........................................
60,946
2,620,000 Lojas Americanas NPV................................
51,662
530,000 Petroleo Brasiliero-Petrobras.......................
65,184
3,371,640 Telebras............................................
235,375
577,000 Telec de Minas Gerais S.A. .........................
59,478
543,000 Telecom Do Rio de Janeiro S.A. .....................
61,105
1,296,430 Telecomunicacoes de Sao Paulo.......................
277,580
5,612,000 Unibanco-Uniao de Bancos Brasileir..................
151,960
141,370,000 Usiminas PN.........................................
149,233
- ------------
1,929,766
- ------------
GERMANY -- 0.2%
1,820 Hornbach AG.........................................
156,788
279 Krones AG+..........................................
106,415
- ------------
263,203
- ------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
AUSTRALIA -- 0.1%
41,000 TNT Ltd. (Cumulative Convertible Shares)...........
$ 46,075
- ------------
AUSTRIA -- 0.0%#
480 Creditanstalt Bankverein...........................
24,308
- ------------
Total Preferred Stock
(Cost $2,057,949).................................
2,263,352
- ------------
WARRANTS -- 0.4%
38,600 Affin Holdings, Warrants, Expire 11/15/1999+.......
37,293
42,000 Commerce Asset Holdings Berhad, Warrants, Expire
06/27/1998+++.....................................
151,533
79 Primagaz, Warrants, Expire 06/30/1998+.............
1,674
400 Rinascente S.p.A., Warrants, Expire 12/31/1999+....
326
10,800 United Overseas Bank, Warrants, Expire
06/17/1997+.......................................
42,863
780 Veba AG, Warrants, Expire 04/06/1998+..............
224,154
- ------------
Total Warrants
(Cost $652,729)...................................
457,843
- ------------
RIGHTS -- 0.2%
3,900 Bank of Ayudhya Rights.............................
2,791
1,010 Carrefour Supermarche Rights.......................
279,189
125,901 Telebras Rights....................................
0
39,918 Telebras On Rights ................................
0
34,764 Telebras Pn Rights ................................
0
55,560 Telecom De Sao Paolo Rights........................
3,020
- ------------
Total Rights
(Cost $170,638)...................................
285,000
- ------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S>
<C>
CORPORATE BONDS -- 0.0%# (COST $18,166)
$7,000 Kredietbank International NV, Convertible Bond,
5.750% due 11/30/2003.............................
21,494
- ------------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $93,488,057*)......................
94.8% 109,078,114
OTHER ASSETS AND LIABILITIES (NET)......................... 5.2
5,957,657
-----
- ------------
NET ASSETS.................................................
100.0% $115,035,771
=====
============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the
Securities Act of
1933. These securities may be resold in transactions exempt
from
registration, normally to qualified institutional buyers.
+++ The Adviser has deemed these securities to be illiquid.
# Amount represents less than 0.1%.
Abbreviations:
ADR--American Depositary Receipt
ADS--American Depositary Shares
(F)--Foreign or Alien Shares
GDR--Global Depositary Receipt
Ord.--Ordinary
See Notes to Financial Statements.
9
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
At June 30, 1996, sector diversification of the Portfolio was as
follows:
<TABLE>
<CAPTION>
% OF
VALUE
SECTOR DIVERSIFICATION NET
ASSETS (NOTE 1)
- ---------------------- --------
- -- --------
<S> <C>
<C>
COMMON STOCK:
Utilities............................................... 8.2%
$ 9,430,115
Banking................................................. 8.0
9,185,285
Media................................................... 7.4
8,564,187
Health and Personal Care................................ 6.8
7,878,950
Retail Trade............................................ 6.2
7,179,560
Energy.................................................. 5.7
6,502,928
Electronics and Instruments............................. 4.9
5,673,257
Construction and Building Materials..................... 4.0
4,590,280
Household Products...................................... 3.6
4,088,762
Real Estate............................................. 3.4
3,876,843
Food and Grocery Products............................... 3.2
3,629,501
Chemicals............................................... 3.1
3,601,825
Metals and Mining....................................... 2.9
3,348,344
Machinery and Engineering Services...................... 2.7
3,136,957
Entertainment and Leisure............................... 2.6
3,014,511
Diversified Industrial Manufacturing.................... 2.6
2,999,328
Financial Institutions.................................. 2.4
2,744,832
Beverage and Tobacco.................................... 2.2
2,535,431
Business Services....................................... 2.0
2,338,483
Electrical Equipment.................................... 1.6
1,808,518
Diversified Holding Companies........................... 1.6
1,738,477
Heavy Engineering....................................... 1.2
1,399,888
Transport and Storage................................... 1.1
1,228,079
Insurance............................................... 1.0
1,130,842
Computers and Communications............................ 0.9
1,074,633
Wholesale Trade......................................... 0.9
1,071,711
</TABLE>
<TABLE>
<CAPTION>
% OF
VALUE
SECTOR DIVERSIFICATION NET
ASSETS (NOTE 1)
- ---------------------- ---------
- - --------
<S> <C>
<C>
Investment Trusts...................................... 0.7%
$ 800,346
Forestry and Paper Products............................ 0.5
575,756
Automotive............................................. 0.4
457,489
Textiles............................................... 0.3
342,532
Aerospace and Defense.................................. 0.1
102,775
-----
- ------------
TOTAL COMMON STOCK..................................... 92.2
106,050,425
TOTAL PREFERRED STOCK.................................. 2.0
2,263,352
TOTAL WARRANTS......................................... 0.4
457,843
TOTAL RIGHTS........................................... 0.2
285,000
TOTAL CORPORATE BONDS.................................. 0.0#
21,494
-----
- ------------
TOTAL INVESTMENTS...................................... 94.8
109,078,114
OTHER ASSETS AND LIABILITIES (NET)..................... 5.2
5,957,657
-----
- ------------
NET ASSETS............................................. 100.0%
$115,035,771
=====
============
</TABLE>
- ------------
# Amount represents less than 0.1%.
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
---
- ----- --------
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY:
<C> <S> <C>
<C>
179,713 French Francs.................................
07/01/1996 $ 34,935
11,700,312 Japanese Yen..................................
07/01/1996 106,949
206,790 Maylasia Ringitt..............................
07/03/1996 8,145
206,790 Maylasia Ringitt..............................
07/03/1996 8,145
- --------
Total Forward Foreign Exchange Contracts to Buy (Contract
Amount $158,288)........................................
$158,174
========
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- 83.2%
INSURANCE -- 22.4%
92,000 ACE Ltd.
............................................. $ 4,324,000
50,000 AFLAC Inc.
........................................... 1,493,750
16,200 American International Group, Inc.
................... 1,597,725
101,000 Everest Reinsurance Holdings, Inc.
................... 2,613,375
65,300 EXEL Ltd. Ord.
....................................... 4,603,650
7,000 General Re
Corporation................................ 1,065,750
20,000 Markel
Corporation+................................... 1,860,000
62,000 Mid Ocean Ltd.
....................................... 2,542,000
50,000 RenaissanceRe Holdings Ltd.
.......................... 1,537,500
- -----------
21,637,750
- -----------
FINANCIAL SERVICES -- 8.9%
21,700 American Express
Company.............................. 968,363
120,000 Countrywide Credit Industries, Inc.
.................. 2,970,000
39,500 Federal Home Loan Mortgage
Corporation................ 3,377,250
27,000 Travelers Group, Inc.
................................ 1,231,875
- -----------
8,547,488
- -----------
AEROSPACE AND DEFENSE -- 6.9%
25,000 AlliedSignal, Inc.
................................... 1,428,125
32,000 Lockheed Martin
Corporation........................... 2,688,000
53,000 McDonnell Douglas
Corporation......................... 2,570,500
- -----------
6,686,625
- -----------
BANKING -- 6.6%
36,000
Citicorp..............................................
2,974,500
14,000 Wells Fargo &
Company................................. 3,344,250
- -----------
6,318,750
- -----------
MANUFACTURING AND ENGINEERING -- 6.5%
43,000 Caterpillar Inc.
..................................... 2,913,250
70,000 Varity
Corporation+................................... 3,368,750
- -----------
6,282,000
- -----------
HEALTH CARE -- 4.8%
41,000 Columbia/ HCA Healthcare
Corporation.................. 2,188,375
114,000 Tenet Healthcare
Corporation+......................... 2,436,750
- -----------
4,625,125
- -----------
TELECOMMUNICATIONS -- 4.1%
40,000 Loral Space &
Communications+......................... 545,000
43,000 Sprint
Corporation.................................... 1,806,000
90,000 Tele-Communications, Inc., Class
A.................... 1,631,250
- -----------
3,982,250
- -----------
TRANSPORTATION -- 3.6%
23,000 AMR
Corporation+...................................... 2,093,000
28,000 CSX
Corporation....................................... 1,351,000
- -----------
3,444,000
- -----------
ENERGY -- 3.5%
37,000 Tenneco Inc.
......................................... 1,891,625
30,500 Triton Energy
Corporation+............................ 1,483,063
- -----------
3,374,688
- -----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
RETAIL -- 3.1%
69,500 May Department Stores
Company......................... $ 3,040,625
- -----------
DRUGS AND MEDICAL PRODUCTS -- 2.8%
34,000 Becton, Dickinson &
Company........................... 2,728,500
- -----------
PRINTING AND PUBLISHING -- 2.4%
65,000 Donnelley (R.R.) & Sons
Company....................... 2,266,875
- -----------
TOYS, GAMES AND HOBBIES -- 1.8%
59,375 Mattel, Inc.
......................................... 1,699,609
- -----------
ELECTRONICS -- 1.7%
38,000 Arrow Electronics,
Inc.+.............................. 1,638,750
- -----------
DIVERSIFIED CHEMICALS -- 1.2%
15,000 duPont (E.I.) de Nemours &
Company.................... 1,186,875
- -----------
COSMETICS AND TOILETRIES -- 1.1%
24,200 Avon Products Inc.
................................... 1,092,025
- -----------
TEXTILES AND APPAREL -- 0.8%
60,000 Shaw Industries Inc.
................................. 787,500
- -----------
METALS AND MINING -- 0.6%
18,315 Freeport McMoRan Copper & Gold, Inc., Class
B......... 583,791
- -----------
PAPER AND PAPER PRODUCTS -- 0.4%
10,000 Champion International
Corporation.................... 417,500
- -----------
Total Common Stock
(Cost
$62,274,099)................................... 80,340,726
- -----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S>
<C>
COMMERCIAL PAPER -- 17.0%
$ 711,700 Ford Motor Credit Corporation,
5.340%# due
07/10/1996............................... 710,750
1,110,000 IBM Corporation,
5.360%# due
07/19/1996............................... 1,107,025
3,069,000 Marsh & McLennan Companies, Inc.,
5.520%# due
07/01/1996............................... 3,069,000
3,800,000 Merrill Lynch & Company, Inc.,
5.330%# due
07/15/1996............................... 3,792,123
3,500,000 Norwest Financial Corporation,
5.360%# due
07/24/1996............................... 3,488,014
4,240,000 Prudential Funding Corporation,
5.350%# due
07/31/1996............................... 4,221,097
- -----------
Total Commercial Paper
(Cost
$16,388,009)................................... 16,388,009
- -----------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $78,662,108*).......................
100.2% 96,728,735
OTHER ASSETS AND LIABILITIES (NET)..........................
(0.2) (173,531)
----
- - -----------
NET ASSETS..................................................
100.0% $96,555,204
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
Ord. -- Ordinary
See Notes to Financial Statements.
11
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
VALUE SMALL CAP PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
COMMON STOCK -- 71.2%
HEALTH CARE -- 11.5%
30,300 DENTSPLY International Inc.
.......................... $ 1,287,750
108,400 Magellan Health Services,
Inc.+....................... 2,330,600
125,400 SpaceLabs Medical
Inc.+............................... 2,915,550
58,100 Summit Care
Corporation+.............................. 1,278,200
- -----------
7,812,100
- -----------
INSURANCE -- 7.4%
38,300 Capitol American Financial
Corporation................ 962,288
30,000 Capsure Holdings
Corporation+......................... 536,250
27,600 Delphi Financial Group, Class
A+...................... 745,200
50,500 E.W. Blanch Holdings, Inc.
........................... 1,003,687
27,300 First Financial Caribbean
Corporation................. 559,650
27,800 Horace Mann Educator
Corporation...................... 882,650
12,200 United Wisconsin Services Inc.
....................... 317,200
- -----------
5,006,925
- -----------
ELECTRONICS -- 7.1%
40,000 EG&G Inc.
............................................ 855,000
87,700 Exar
Corporation+..................................... 1,140,100
58,200 Exide Electronics
Corporation......................... 552,900
20,000 Marshall
Industries+.................................. 560,000
41,000 Oak Industries,
Inc.+................................. 1,214,625
25,000 Unitrode
Corporation+................................. 484,375
- -----------
4,807,000
- -----------
OIL AND GAS -- 6.9%
42,600 Aquila Gas Pipeline
Corporation....................... 553,800
24,000 Belden & Blake
Corporation+........................... 498,000
72,500 Global Natural Resources,
Inc.+....................... 1,187,187
26,600 Nuevo Energy
Company+................................. 857,850
58,900 Petroleum Heat & Power, Inc., Class
A................. 456,475
67,500 St. Mary Land & Exploration
Company................... 1,130,625
- -----------
4,683,937
- -----------
COMPUTER SERVICE AND SOFTWARE -- 5.6%
148,000 BancTec,
Inc.+........................................ 2,997,000
64,100 Exabyte
Corporation+.................................. 837,306
- -----------
3,834,306
- -----------
TEXTILES AND APPAREL -- 4.2%
110,000 Dyersburg
Corporation................................. 563,750
95,700 WestPoint Stevens
Inc.+............................... 2,284,837
- -----------
2,848,587
- -----------
PRINTING AND PUBLISHING -- 3.3%
245,000 Baldwin Technology, Inc., Class
A+.................... 857,500
58,000 International Imaging Materials,
Inc.+................ 1,377,500
- -----------
2,235,000
- -----------
BUILDING AND CONSTRUCTION -- 3.0%
87,400 Falcon Building Products, Inc., Class
A+.............. 1,048,800
16,000 Martin Marietta Materials, Inc.
...................... 388,000
25,800 McGrath
Rentcorp...................................... 580,500
- -----------
2,017,300
- -----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- --------
<C> <S>
<C>
REAL ESTATE -- 2.9%
43,400 Cousins Properties Inc.
.............................. $ 851,725
21,936 Security Capital Pacific
Trust........................ 477,108
58,900 Taubman Centers, Inc.
................................ 655,263
- -----------
1,984,096
- -----------
MANUFACTURING -- 2.8%
17,400 Alltrista
Corporation+................................ 413,250
97,500 Easco Inc.
........................................... 804,375
31,100 United Dominion Industries, Ltd.
..................... 715,300
- -----------
1,932,925
- -----------
CHEMICALS -- 2.6%
48,300 McWhorter Technologies
Inc.+.......................... 857,325
60,500 Sybron Chemicals
Inc.+................................ 877,250
- -----------
1,734,575
- -----------
ADVERTISING -- 2.0%
92,600 Katz Media Group
Inc.+................................ 1,331,125
- -----------
CONTAINERS -- 1.7%
76,900 Shorewood Packaging
Corporation+...................... 1,182,338
- -----------
RETAIL -- 1.4%
18,400 Blair
Corporation..................................... 434,700
37,500 Maxim Group
Inc.+..................................... 529,688
- -----------
964,388
- -----------
TRANSPORTATION -- 1.4%
55,600 MTL,
Inc.+............................................ 945,200
- -----------
PAPER AND PAPER PRODUCTS -- 1.2%
220,000 Repap Enterprises
Inc.+............................... 838,750
- -----------
LEASING -- 1.2%
45,500 Interpool, Inc.
...................................... 830,375
- -----------
CONSUMER SERVICES -- 1.2%
55,000 Armor All Products
Corporation........................ 818,125
34,200 SpectraVision, Inc., Class
B+......................... 8,550
- -----------
826,675
- -----------
OFFICE EQUIPMENT -- 1.0%
40,000 Nu-Kote Holdings, Inc., Class
A+...................... 665,000
- -----------
MACHINERY AND ENGINEERING -- 0.9%
36,900 Harmon Industries Inc.
............................... 599,625
- -----------
AUTO PARTS--ORIGINAL EQUIPMENT -- 0.7%
53,000 Jason,
Inc.+.......................................... 443,875
- -----------
FOOD AND BEVERAGES -- 0.6%
31,800 Sylvan,
Inc.+......................................... 425,325
- -----------
UTILITIES -- 0.6%
18,500 UGI
Corporation....................................... 407,000
- -----------
Total Common Stock
(Cost
$45,556,736)................................... 48,356,427
- -----------
PREFERRED STOCK -- 0.6% (Cost $450,000)
4,500 Interpool, Inc. Pfd. Conv.
........................... 417,375
- -----------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
VALUE SMALL CAP PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
COMMERCIAL PAPER -- 27.2%
$3,100,000 Beneficial Corporation,
5.280%# due 07/10/1996..............................
$ 3,095,908
100,000 Daimler Benz of North America Corporation, 5.480%#
due 07/03/1996......................................
99,969
Ford Motor Credit Corporation:
1,695,000 5.340%# due 07/10/1996..............................
1,692,734
1,245,000 5.360%# due 07/10/1996..............................
1,243,335
1,500,000 Household Financial Corporation,
5.290%# due 07/10/1996..............................
1,498,016
2,702,000 Marsh & McLennan Companies, Inc., 5.520%# due
07/01/1996..........................................
2,702,000
Merrill Lynch & Company, Inc:
2,300,000 5.330%# due 07/15/1996..............................
2,295,232
100,000 5.360%# due 07/15/1996..............................
99,792
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
$2,800,000 Norwest Financial Inc.,
5.360%# due
07/24/1996............................... $ 2,790,412
3,000,000 Prudential Funding Corporation,
5.350%# due
07/31/1996............................... 2,986,625
- -----------
Total Commercial Paper
(Cost
$18,504,023)................................... 18,504,023
- -----------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $64,510,759*).......................
99.0% 67,277,825
OTHER ASSETS AND LIABILITIES (NET)..........................
1.0 661,932
----
- - -----------
NET ASSETS..................................................
100.0% $67,939,757
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
13
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
U.S. TREASURY OBLIGATIONS -- 49.0%
U.S. TREASURY NOTES -- 33.2%
U.S. Treasury Notes:
$ 709,000 7.875% due 01/15/1998................................
$ 728,051
2,330,000 7.250% due 02/15/1998................................
2,371,148
150,000 6.500% due 04/30/1999................................
150,796
565,000 7.125% due 02/29/2000 ...............................
577,803
127,000 7.875% due 08/15/2001 ...............................
134,540
250,000 6.375% due 08/15/2002 ...............................
248,007
825,000 5.750% due 08/15/2003................................
785,680
1,456,000 7.250% due 08/15/2004................................
1,508,096
- -----------
6,504,121
- -----------
U.S. TREASURY BONDS -- 15.8%
U.S. Treasury Bonds:
1,069,000 7.125% due 05/15/2016................................
1,094,057
1,966,000 7.125% due 02/15/2023................................
1,987,193
- -----------
3,081,250
- -----------
Total U.S. Treasury Obligations
(Cost $10,217,312)..................................
9,585,371
- -----------
CORPORATE FIXED INCOME SECURITIES -- 25.1%
FINANCIAL SERVICES -- 9.2%
65,000 Aetna Travelers, Note,
6.750% due 04/15/2001...............................
64,527
40,000 Ahmanson (H.F.) & Company,
Medium Term Note,
7.650% due 04/15/2000...............................
40,634
General Motors Acceptance Corporation:
365,000 Medium Term Note,
6.625% due 09/19/2002................................
356,576
95,000 Note,
7.100% due 03/15/2006................................
93,437
150,000 Lehman Brothers, Inc.,
Senior Subordinate Note,
6.125% due 02/01/2001...............................
144,137
Merrill Lynch & Company, Inc:
110,000 Medium Term Note,
7.375% due 05/15/2006................................
109,887
125,000 Note,
6.000% due 01/15/2001................................
120,572
79,000 Midland Bank, Subordinate Note,
7.625% due 06/15/2006...............................
80,136
104,000 NationsBank Corporation, Subordinate Note,
6.500% due 03/15/2006...............................
97,737
110,000 Paine Webber Group Inc.,
Medium Term Note,
7.310% due 08/09/2000...............................
111,530
Sears Roebuck Acceptance Corporation,
Medium Term Notes:
95,000 5.600% due 11/16/1998................................
93,119
45,000 5.710% due 02/06/2001................................
42,947
155,000 6.690% due 04/30/2001................................
153,572
165,000 Smith Barney Inc., Medium Term Note, 6.125% due
06/30/1998..........................................
163,322
25,000 Smith Barney Holdings Inc.,
Medium Term Note,
7.875% due 10/01/1999 ..............................
25,792
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
$ 100,000 Wharf Cap Inc., Note,
8.875% due
11/01/2004................................ $ 102,676
- ----------
1,800,601
- ----------
MEDIA AND COMMUNICATIONS -- 3.9%
150,000 Jones Intercable Inc., Senior Note,
9.625% due
03/15/2002................................ 150,750
150,000 Lenfest Communications, Senior Note,
8.375% due
11/01/2005................................ 136,875
165,000 Rogers Cablesystems, Note,
9.625% due 08/01/2002
............................... 163,350
150,000 Tele-Communications Inc.,
Medium Term Note,
7.130% due 02/02/1998
............................... 151,008
165,000 360 Communications Company, Senior Note,
7.000% due 07/15/2003
............................... 157,783
- ----------
759,766
- ----------
RETAIL -- 2.6%
Federated Department Stores Inc., Senior Notes:
80,000 10.000% due
02/15/2001................................ 84,200
50,000 8.125% due
10/15/2002................................. 49,000
165,000 Kroger Company, Debenture,
8.500% due 06/15/2003
............................... 165,825
140,000 Safeway Inc., Senior Subordinate Debenture,
9.650% due
01/15/2004................................ 149,100
50,000 Vons Companies Inc.,
Senior Subordinate Note,
9.625% due
04/01/2002................................ 52,688
- ----------
500,813
- ----------
OIL AND GAS -- 1.8%
120,000 Atlantic Richfield, Debenture,
9.875% due
03/01/2016................................ 147,791
175,000 NorAm Energy, Note,
7.500% due
08/01/2000................................ 177,359
30,000 Norcen Energy Resources, Debenture,
7.375 due
05/15/2006................................. 29,619
- ----------
354,769
- ----------
HEALTH CARE -- 1.2%
150,000 American Home Products Corporation, Note,
7.900% due
02/15/2005................................ 156,852
70,000 Tenet Healthcare Corporation, Senior Note,
9.625% due
09/01/2002................................ 74,375
- ----------
231,227
- ----------
AEROSPACE AND DEFENSE -- 1.1%
225,000 Lockheed Martin Corporation, Guaranteed Debenture,
7.750% due
05/01/2026................................ 224,289
- ----------
TEXTILES -- 0.9%
170,000 Westpoint Stevens Inc., Senior Note,
8.750% due
12/15/2001................................ 167,875
- ----------
BUILDING AND CONSTRUCTION -- 0.8%
160,000 USG Corporation, Senior Note,
9.250% due
09/15/2001................................ 164,000
- ----------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
UTILITIES -- 0.8%
$ 140,000 El Paso Electric Company, First Mortgage,
7.250% due 02/01/1999...............................
$ 137,844
20,000 Ohio Edison, First Mortgage,
8.750% due 02/15/1998...............................
20,571
- -----------
158,415
- -----------
TRANSPORTATION -- 0.8%
80,000 Southern Pacific Rail, Senior Note,
9.375% due 08/15/2005...............................
83,200
70,000 Teekay Shipping Corporation, Guaranteed,
8.320% due 02/01/2008...............................
65,625
- -----------
148,825
- -----------
MANUFACTURING -- 0.6%
120,000 Stone Consolidated, Senior Note,
10.250 due 12/15/2000...............................
123,750
- -----------
ELECTRONICS -- 0.3%
55,000 Philips Electronics, Note,
7.200% due 06/01/2026...............................
54,657
- -----------
LEASING -- 0.2%
50,000 Hertz Corporation, Junior Subordinate Note,
7.000% due 07/15/2003...............................
49,265
- -----------
OTHER -- 0.9%
100,000 ADT Operations, Inc., Guaranteed Senior Note, 8.250%
due 08/01/2000......................................
101,500
36,000 Carter Holt Harvey, Ltd., Senior Note,
8.875% due 12/01/2004...............................
38,838
30,000 Lincoln National Corporation, Note,
7.250% due 05/15/2005...............................
29,388
- -----------
169,726
- -----------
Total Corporate Fixed Income Securities
(Cost $5,468,820)...................................
4,907,978
- -----------
MORTGAGE-BACKED SECURITIES -- 20.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 8.5%
FNMA:
274,238 7.500% due 06/01/2009................................
276,207
252,231 8.000% due 10/01/2010................................
257,590
403,000 8.500% due 07/01/2011................................
416,472
334,665 9.000% due 06/01/2026................................
349,202
372,000 8.000% due 07/01/2026................................
374,790
- -----------
1,674,261
- -----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- --------
<C> <S>
<C>
FEDERAL FARM CREDIT BANK (FFCB) -- 5.1%
$1,000,000 FFCB, Medium Term Note,
6.250% due 06/26/1998............................
$ 1,002,000
- -----------
TENNESSEE VALLEY AUTHORITY (TVA) -- 3.4%
625,000 TVA,
8.375% due 10/01/1999............................
658,400
- -----------
FEDERAL HOME LOAN BANK (FHLB) -- 2.7%
550,000 FHLB,
5.590% due 01/05/2001............................
528,258
- -----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.4%
84,000 FHLMC,
6.420% due 12/01/2005............................
79,067
- -----------
Total Mortgage-Backed Securities
(Cost $2,987,435)................................
3,941,986
- -----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.9%
The Money Store:
65,000 Series 1994-B-A4,
7.600% due 07/15/2021.............................
65,492
34,000 Series 1994-CI-A4,
7.800% due 10/15/2021.............................
34,872
5,777 UAC, 1996-B-A,
6.450% due 07/08/2003............................
5,763
72,000 UCFC, Home Equity,
8.075% due 04/10/2014............................
73,872
- -----------
Total Collateralized Mortgage Obligations
(Cost $180,820)..................................
179,999
- -----------
FOREIGN GOVERNMENT BOND -- 0.5%
(Cost $92,093)
100,000 Province of Ontario,
6.000% due 02/21/2006............................
91,622
- -----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 2.5%
(Cost $497,747)
500,000 Federal Home Loan Bank (FHLB),
4.170%# due 09/09/1996 ..........................
498,670
- -----------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $19,444,227*).......................
98.1% 19,205,626
OTHER ASSETS & LIABILITIES (NET).............................
1.9% 363,168
---
- -- -----------
NET ASSETS...................................................
100.0% $19,568,794
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
# Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
15
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
COMMON STOCK -- 83.7%
BANKING AND FINANCE -- 7.7%
<C> <S>
<C>
7,820 Banc One
Corporation...................................... $ 265,880
5,500 Bank of Boston
Corporation................................ 272,250
4,000 Bankers Trust New York
Corporation........................ 295,501
9,232 Chase Manhattan
Corporation............................... 652,010
4,100 Mercantile Bankshares
Corporation......................... 104,550
6,300 Morgan (J.P.) & Company Inc.
............................. 533,137
7,000 National City
Corporation................................. 245,875
8,600 PNC Bank
Corporation...................................... 255,850
11,600 Skandinaviska
Enskil...................................... 92,856
7,800 U.S.
Bancorp..............................................
281,775
2,133 Wells Fargo &
Company..................................... 509,520
- -----------
3,509,204
- -----------
PHARMACEUTICALS -- 7.5%
8,800 Abbott Laboratories
Company............................... 382,800
9,000 American Home Products
Corporation........................ 541,124
355 Ciba-Geigy
Corporation.................................... 433,100
7,100 Lilly (Eli) &
Company..................................... 461,500
13,990 Pharmacia & Upjohn Inc.
.................................. 620,806
9,600 SmithKline Beecham Plc,
ADR............................... 522,000
8,800 Warner-Lambert
Company.................................... 484,000
- -----------
3,445,330
- -----------
PETROLEUM -- INTERNATIONAL -- 6.7%
3,550 British Petroleum Company Plc,
ADR........................ 379,406
7,600 Chevron
Corporation....................................... 448,400
8,300 Exxon
Corporation.........................................
721,062
2,600 Mobil
Corporation.........................................
291,525
5,600 Repsol S.A.,
ADR.......................................... 194,600
3,000 Royal Dutch Petroleum Company,
ADR........................ 461,250
6,700 Texaco Inc.
.............................................. 561,962
- -----------
3,058,205
- -----------
UTILITIES -- ELECTRIC -- 6.4%
6,000 Baltimore Gas & Electric
Company.......................... 170,250
18,100 Centerior Energy
Corporation.............................. 133,487
5,700 Dominion Resources Inc.
.................................. 228,000
3,600 DQE Inc.
................................................. 99,000
10,400 Edison International
Company.............................. 183,300
12,100 Entergy
Corporation....................................... 343,337
3,300 Florida Progress
Corporation.............................. 114,675
3,700 General Public Utilities
Corporation...................... 130,425
12,900 Pacific Gas & Electric
Company............................ 299,925
13,650
PacifiCorp................................................
303,712
12,600 Peco Energy
Company....................................... 327,600
8,200 Public Service Enterprise Group, Inc.
.................... 224,475
7,500 Southern
Company.......................................... 184,687
7,500 Unicom
Corporation........................................ 209,062
- -----------
2,951,935
- -----------
FINANCIAL SERVICES -- 6.2%
9,700 American Express
Company.................................. 432,862
12,300 American General
Corporation.............................. 447,412
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
<C> <S>
<C>
5,200 Block (H&R) Inc.
......................................... $ 169,650
10,200 Federal National Mortgage
Association..................... 341,700
8,800 Fleet Financial Group, Inc.
.............................. 382,800
7,600 Salomon,
Inc.............................................. 334,400
4,800 Student Loan Marketing
Association........................ 355,200
8,600 Travelers Group, Inc.
.................................... 392,375
- -----------
2,856,399
- -----------
CONSUMER PRODUCTS -- 6.1%
10,200 American Brands Inc.
..................................... 462,825
10,000 Corning Inc.
............................................. 383,750
150 Dixie Yarns
Inc.+......................................... 731
4,300 Eastman Kodak
Company..................................... 334,325
4,700 Philip Morris Companies Inc.
............................. 488,800
4,400 RJR Nabisco Holdings
Corporation.......................... 136,400
6,900 Tambrands Inc.
........................................... 282,037
3,000 Unilever, NV
ADR.......................................... 435,375
8,200 UST Inc.
................................................. 280,850
- -----------
2,805,093
- -----------
FOOD AND BEVERAGE -- 5.9%
5,300 Anheuser-Busch Companies Inc.
............................ 397,500
5,400 Brown-Forman Corporation, Class
B......................... 216,000
9,700 General Mills Inc.
....................................... 528,650
7,900 Grand Metropolitan Plc,
ADR............................... 211,326
12,200 Heinz (H.J.)
Company...................................... 370,575
12,400 McCormick & Company, Inc.
................................ 274,350
14,100 Quaker Oats
Company....................................... 481,163
6,600 Sara Lee
Corporation...................................... 213,675
- -----------
2,693,239
- -----------
TELECOMMUNICATIONS -- 4.9%
8,200 ALLTEL
Corporation........................................ 252,150
8,000 BCE Inc.
................................................. 316,000
3,300 Bell Atlantic
Corporation................................. 210,376
8,100 BellSouth
Corporation..................................... 343,237
9,500 GTE
Corporation...........................................
425,125
3,400 Pacific Telesis Group Inc.
............................... 114,750
3,400 SBC Communications, Inc.
................................. 167,450
5,200 Southern New England Telecommunications
Corporation....... 218,400
6,200 US West Inc.
............................................. 197,625
- -----------
2,245,113
- -----------
PAPER AND PAPER PRODUCTS -- 4.1%
3,300 Consolidated Papers Inc.
................................. 171,600
6,900 Georgia-Pacific
Company................................... 489,900
7,500 International Paper
Company............................... 276,562
6,000 James River Corporation of
Virginia....................... 158,251
4,200 Kimberly-Clark
Corporation................................ 324,450
9,400 Union Camp
Corporation.................................... 458,250
- -----------
1,879,013
- -----------
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
COMMON STOCK -- (CONTINUED)
ELECTRICAL EQUIPMENT -- 3.7%
<C> <S>
<C>
6,907 Cooper Industries Inc. ................................
$ 286,640
10,100 General Electric Company...............................
873,650
2,000 General Signal Corporation.............................
75,750
4,200 Hubbell Inc., Class B..................................
278,250
1,900 TRW Inc................................................
170,763
- -----------
1,685,053
- -----------
SPECIALTY CHEMICALS -- 3.5%
7,200 Betz Laboratories Inc. ................................
315,900
2,000 Crompton & Knowles Corporation.........................
33,500
1,200 FMC Corporation+.......................................
78,300
5,200 Great Lakes Chemical Corporation.......................
323,700
7,000 Lubrizol Corporation...................................
212,625
5,600 Minnesota Mining & Manufacturing Company...............
386,400
7,800 Nalco Chemical Company.................................
245,700
- -----------
1,596,125
- -----------
PETROLEUM -- DOMESTIC -- 3.1%
6,850 Atlantic Richfield Company.............................
811,725
5,100 McDermott International Inc. ..........................
106,462
2,600 Pennzoil Company.......................................
120,250
3,487 Sun Company Inc. ......................................
105,918
13,700 USX-Marathon Group ....................................
275,713
- -----------
1,420,068
- -----------
MEDIA AND COMMUNICATIONS -- 3.0%
5,500 Dun & Bradstreet Corporation...........................
343,750
4,100 Gannet Company Ltd. ...................................
290,075
5,700 McGraw-Hill Companies Inc. ............................
260,775
3,200 Readers Digest Association Inc., Class A...............
136,000
2,600 Readers Digest Association Inc., Class B...............
102,375
6,300 US West Media Group Inc.+..............................
114,975
3,400 Vodafone Group Plc, ADR................................
125,375
- -----------
1,373,325
- -----------
INSURANCE -- 2.2%
2,400 Hilb, Rogal and Hamilton Company.......................
33,300
5,300 Provident Companies, Inc. .............................
196,101
2,700 Safeco Corporation.....................................
95,512
4,200 St. Paul Companies, Inc. ..............................
224,700
1,300 Travelers/Aetna Property Casualty Corporation+.........
36,888
2,300 UNUM Corporation.......................................
143,175
9,700 USF&G Corporation......................................
158,838
11,800 Willis Corroon Group Plc, ADR..........................
140,125
- -----------
1,028,639
- -----------
REAL ESTATE -- 2.1%
12,400 DeBartolo Realty Corporation...........................
199,950
3,900 General Growth Properties Inc. ........................
94,087
2,800 Rouse Company..........................................
72,450
2,200 Security Capital Pacific Trust.........................
47,851
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
<C> <S>
<C>
13,300 Simon Property Group Inc.
.............................. $ 325,850
400 Taubman Centers Inc.
................................... 4,450
5,600 Weingarten Realty Inc.
................................. 217,000
- -----------
961,638
- -----------
DIVERSIFIED CHEMICALS -- 1.6%
2,800 Dow Chemical
Company.................................... 212,800
6,400 du Pont (E.I.) de Nemours &
Company..................... 506,400
- -----------
719,200
- -----------
METALS AND MINING -- 1.3%
5,736 Newmont Mining
Corporation.............................. 283,215
6,100 Reynolds Metals
Company................................. 317,963
- -----------
601,178
- -----------
RETAIL -- 1.3%
2,350 Fleming Companies Inc.
................................. 33,781
200 Hancock Fabrics Inc.
................................... 2,200
3,800 May Department Stores
Company........................... 166,250
7,100 Penney (J.C.) Company, Inc.
............................ 372,750
- -----------
574,981
- -----------
ELECTRONIC SYSTEMS -- 1.1%
3,500 Eaton
Corporation....................................... 205,188
5,800 Honeywell, Inc.
........................................ 316,100
- -----------
521,288
- -----------
RAILROADS -- 1.1%
3,600 Conrail Inc.
........................................... 238,950
3,700 Union Pacific
Corporation............................... 258,538
- -----------
497,488
- -----------
MEDICAL SUPPLIES -- 1.0%
2,700 Bausch & Lomb Inc.
..................................... 114,750
6,900 Baxter International Inc.
.............................. 326,025
- -----------
440,775
- -----------
TRANSPORTATION SERVICES -- 0.5%
5,300 Alexander & Baldwin Inc.
............................... 127,863
2,200 PHH
Corporation.........................................
125,400
- -----------
253,263
- -----------
BUSINESS SERVICES -- 0.5%
2,500 Deluxe
Corporation...................................... 88,750
1,700 GATX
Corporation........................................ 82,025
1,400 Pitney Bowes Inc.
...................................... 66,850
- -----------
237,625
- -----------
AUTOMOTIVES -- 0.5%
3,600 Ford Motor
Company...................................... 116,550
2,100 Genuine Parts
Company................................... 96,075
- -----------
212,625
- -----------
ENERGY SERVICES -- 0.5%
6,100 Witco
Corporation....................................... 209,688
- -----------
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- ----------
COMMON STOCK -- (CONTINUED)
CONGLOMERATES -- 0.4%
<C> <S>
<C>
64,300 Lonhro Ord.
.......................................... $ 184,898
- ----------
MACHINERY -- 0.4%
2,684 Cooper Cameron
Corporation+........................... 117,425
1,500 TRINOVA
Corporation................................... 50,063
- ----------
167,488
- ----------
BUILDING AND CONSTRUCTION -- 0.2%
2,000 Armstrong World Industries Inc.
...................... 115,249
- ----------
GAS TRANSMISSION -- 0.2%
5,000 TransCanada Pipeline Ltd.
............................ 73,750
- ----------
Total Common Stock
(Cost
$34,571,728)................................... 38,317,875
- ----------
PREFERRED STOCK -- 0.0%# (Cost $4,489)
200 James River Corporation of Virginia, Conv. Pfd.
...... 5,050
- ----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S>
<C>
U.S. TREASURY OBLIGATIONS -- 3.6%
U.S. TREASURY NOTES -- 2.5%
U.S. Treasury Notes:
$ 200,000 6.625% due
03/31/1997................................. 201,344
100,000 7.250% due
02/15/1998................................. 101,766
100,000 7.125% due
02/29/2000................................. 102,266
300,000 6.500% due
05/31/2001................................. 300,141
400,000 5.750% due
08/15/2003................................. 380,936
50,000 7.500% due
02/15/2005................................. 52,602
- ----------
1,139,055
- ----------
U.S. TREASURY BONDS -- 1.1%
U.S. Treasury Bonds:
180,000 5.625% due
02/15/2006................................. 166,781
400,000 6.000% due
02/15/2026................................. 354,688
- ----------
521,469
- ----------
Total U.S. Treasury Obligations
(Cost
$1,906,878).................................... 1,660,524
- ----------
CORPORATE BONDS -- 1.8%
150,000 B.F. Saul Real Estate Investment Trust,
Senior Note,
11.625% due
04/01/2002............................... 153,750
300,000 El Paso Electric Company, First Mortgage,
8.900% due
02/01/2006................................ 294,750
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- -----------
<C> <S>
<C>
$ 200,000 Hills Stores Company, Senior Note,
12.500% due
07/01/2003............................... $ 196,000
160,000 Liberty Property, L.P., Sub. Note,
8.000% due
07/01/2001................................ 164,000
- -----------
Total Corporate Bonds
(Cost
$816,825)...................................... 808,500
- -----------
MORTGAGE-BACKED SECURITIES -- 0.2%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.2%
FHLMC:
38,000 5.280%## due
07/15/1996............................... 37,922
40,000 5.260%## due
07/16/1996............................... 39,912
- -----------
Total Mortgage-Backed Securities
(Cost
$77,834)....................................... 77,834
- -----------
COMMERCIAL PAPER -- 9.2%
218,000 Aon Corporation,
5.350%## due
07/01/1996.............................. 218,000
1,081,000 Corporate Asset Funding Company, Inc.,
5.270%## due
07/08/1996.............................. 1,079,892
1,311,000 Great Lakes Chemical Corporation,
5.280%## due
07/01/1996.............................. 1,311,000
870,000 Heinz (H.J.) Company,
5.330%## due
07/18/1996.............................. 867,810
735,000 Preferred Receivables Funding Corporation,
5.370%## due
07/22/1996.............................. 732,698
- -----------
Total Commercial Paper
(Cost
$4,209,400).................................... 4,209,400
- -----------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $41,587,154*).......................
98.5% 45,079,183
OTHER ASSETS AND LIABILITIES (NET)..........................
1.5 685,131
----
- - -----------
NET ASSETS..................................................
100.0% $45,764,314
===== ===========
</TABLE>
- ------------
*Aggregate cost for federal tax purposes.
+Non-income producing security.
#Amount represents less than 0.1%.
##Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord.-- Ordinary
See Notes to Financial Statements.
18
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
<C> <S>
<C>
COMMON STOCK -- 93.7%
COMPUTER SERVICE AND SOFTWARE -- 10.4%
6,800 Adobe Systems Inc.
...................................... $ 243,950
6,600 Automatic Data Processing Inc.
.......................... 254,925
8,600 Bay Networks Inc.+
...................................... 221,450
6,600 BMC Software, Inc.+
..................................... 394,350
3,700 Broderbund Software Corporation+
........................ 119,325
9,800 Ceridian Corporation+
................................... 494,900
6,900 Cerner Corporation
...................................... 147,487
700 Dassault Systemes SA,
ADR+............................... 21,700
12,000 Getronics NV
............................................ 265,963
5,300 Informix Corporation+
................................... 119,250
4,100 Intel Corporation
....................................... 301,094
5,700 Intuit
Inc.+............................................. 269,325
2,400 Microsoft Corporation+
.................................. 288,300
8,500 Oracle Corporation+
..................................... 335,219
8,000 Platinum Technology Inc.+
............................... 121,000
9,100 Sybase, Inc.+
........................................... 214,988
6,500 3Com Corporation+
....................................... 297,375
- -----------
4,110,601
- -----------
FINANCIAL SERVICES -- 9.2%
6,500 AMBAC Inc.
.............................................. 338,813
1,400 Fairfax Financial Holdings, Ltd.
........................ 177,625
17,500 Federal Home Loan Mortgage Corporation
.................. 1,496,250
18,300 Federal National Mortgage Association
................... 613,050
4,440 First Data Corporation
.................................. 353,535
3,600 Fund American Enterprises
Holdings....................... 291,600
2,500 PartnerRe Ltd.
.......................................... 74,687
2,600 PMI Group Inc.
.......................................... 110,500
5,100 Quick & Reilly Group Inc.
............................... 165,750
- -----------
3,621,810
- -----------
INSURANCE -- 5.3%
12,500 ACE Ltd.
................................................ 587,500
2,500 Erie Indemnity Company
.................................. 105,000
1,900 Foremost Corporation of America
......................... 107,825
2,000 Harleysville Group, Inc.
................................ 59,000
5,200 Leucadia National Corporation
........................... 127,400
11,700 UNUM Corporation
........................................ 728,325
11,800 Zurich Reinsurance Centre Holdings Inc.
................. 371,700
- -----------
2,086,750
- -----------
TELECOMMUNICATIONS -- 5.1%
3,500 Airtouch Communications,
Inc.+........................... 98,875
28,200 Ericsson (LM) Telephone, Class B,
ADR.................... 606,300
60,000 Grupo Iusacell S.A. de CV, Series D,
ADR+................ 525,000
3,900 Omnipoint
Corporation+................................... 101,644
5,400 Telebras
ADR............................................. 375,975
25,000 Telecom Italia Mobile SpA
............................... 55,900
34,500 Telecom Italia Risp
..................................... 59,574
2,000 Teleport Communications Group Inc., Class
A+............. 38,250
6,200 360 Communications
Company+.............................. 148,800
- -----------
2,010,318
- -----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
<C> <S>
<C>
CONSUMER PRODUCTS -- 4.6%
13,600 Corning Inc.
............................................ $ 521,900
5,000 First Brands Corporation
................................ 135,000
2,900 Masco Corporation
....................................... 87,725
7,000 Newell Company
.......................................... 214,375
2,200 Philip Morris Companies Inc.
............................ 228,800
3,300 Procter & Gamble Company
................................ 299,062
3,300 Tupperware
Corporation+.................................. 139,425
1,300 Unilever NV, ADR
........................................ 188,663
- -----------
1,814,950
- -----------
MEDIA AND COMMUNICATIONS -- 4.5%
12,900 Cox Communications, Inc., Class
A+....................... 278,962
9,200 Gaylord Entertainment Company, Class A
.................. 259,900
1,400 Readers Digest Association Inc., Class B
................ 55,125
7,600 United International Holdings Inc., Class
A+............. 104,500
15,000 Ver Ned Uitgevers
....................................... 233,069
61,000 Vodafone Group Ord.
..................................... 227,083
17,100 Vodafone Group Plc, ADR
................................. 630,563
- -----------
1,789,202
- -----------
PHARMACEUTICALS -- 4.2%
2,500 Amgen,
Inc.+............................................. 135,000
8,000 Astra AB, Class B
....................................... 349,192
3,100 Biogen
Inc.+............................................. 170,112
14,000 Medeva Plc, ADR
......................................... 217,000
2,300 Merck & Company
......................................... 148,637
9,300 Mylan Labs Inc.
......................................... 160,425
5,300 Pfizer Inc.
............................................. 378,288
2,200 SmithKline Beecham Plc, ADR
............................. 119,625
- -----------
1,678,279
- -----------
ELECTRICAL EQUIPMENT -- 3.8%
14,800 Exide Corporation
....................................... 358,900
13,200 General Electric Company
................................ 1,141,800
- -----------
1,500,700
- -----------
BANKING AND FINANCE -- 3.7%
175,000 Banca
Fideuram........................................... 379,305
5,400 Northern Trust Corporation
.............................. 311,850
13,500 Norwest Corporation
..................................... 470,812
1,300 Wells Fargo & Company
................................... 310,538
- -----------
1,472,505
- -----------
BUSINESS SERVICES -- 3.5%
15,000 Elsevier NV
............................................. 227,792
5,300 Interpublic Group of Companies Inc.
..................... 248,438
10,667 Mutual Risk Management Ltd.
............................. 333,333
6,700 Olsten
Corporation....................................... 196,813
5,400 Reuters Holdings Plc, Class B,
ADR....................... 391,500
- -----------
1,397,876
- -----------
MACHINERY -- 3.4%
16,400 Danaher Corporation
..................................... 713,400
2,500 Hagermeyer
Company....................................... 178,247
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
<C> <S>
<C>
COMMON STOCK -- (CONTINUED)
MACHINERY -- (CONTINUED)
5,100 Teleflex Inc. ..........................................
$ 243,525
9,200 TriMas Corporation .....................................
215,050
- -----------
1,350,222
- -----------
RETAIL -- 3.0%
13,900 Circuit City Stores Inc. ...............................
502,137
5,900 General Nutrition Companies, Inc.+ .....................
103,250
1,300 Hennes & Mauritz Company, Series B .....................
120,752
4,400 Home Depot Inc. ........................................
237,600
2,400 Kohl's Corporation+ ....................................
87,900
6,100 Revco D.S. Inc.+........................................
145,637
- -----------
1,197,276
- -----------
ELECTRONIC COMPONENTS -- 2.9%
5,700 ADT Ltd.+ ..............................................
107,588
6,500 Altera Corporation+ ....................................
247,000
3,900 Analog Devices Inc.+ ...................................
99,450
2,300 Hewlett-Packard Company ................................
229,137
4,600 Linear Technology Corporation ..........................
138,000
7,100 Maxim Integrated Products Inc.+ ........................
193,918
4,200 Xilinx Inc.+ ...........................................
133,350
- -----------
1,148,443
- -----------
HEALTH CARE SERVICES -- 2.8%
8,800 Apria Healthcare Group+.................................
276,100
6,800 Columbia Healthcare Corporation.........................
362,950
9,400 United Healthcare Corporation...........................
474,700
- -----------
1,113,750
- -----------
ENERGY SERVICES -- 2.7%
5,900 BJ Services Company+....................................
207,238
8,000 Cooper Cameron Corporation..............................
350,000
3,500 Halliburton Company.....................................
194,250
3,700 Schlumberger Ltd........................................
311,725
- -----------
1,063,213
- -----------
ENTERTAINMENT AND LEISURE -- 2.6%
7,800 Boston Chicken Inc.+....................................
253,500
8,969 Disney (Walt) Company ..................................
563,926
4,600 McDonald's Corporation .................................
215,050
- -----------
1,032,476
- -----------
CONGLOMERATES -- 2.6%
25 Berkshire Hathaway Inc.+................................
767,500
8,000 Kinnevik Investment AB, Class B ........................
242,864
- -----------
1,010,364
- -----------
SPECIALTY CHEMICALS -- 2.1%
12,100 Great Lakes Chemical Corporation........................
753,225
2,700 Schulman Inc. ..........................................
66,150
- -----------
819,375
- -----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES
(NOTE 1)
------
- -----------
<C> <S>
<C>
PETROLEUM--INTERNATIONAL -- 2.0%
5,100 Royal Dutch Petroleum Company, ADR......................
$ 784,125
- -----------
PAPER AND PAPER PRODUCTS -- 2.0%
6,600 James River Corporation of Virginia ....................
174,075
4,064 Kimberly-Clark Corporation .............................
313,944
16,000 Kimberly-Clark de Mexico, SA............................
291,101
- -----------
779,120
- -----------
FOOD AND BEVERAGE -- 2.0%
4,600 Heinz (H.J.) Company....................................
139,725
1,000 LVMH Moet Hennessey Louis Vitton Ord. ..................
237,352
9,700 PepsiCo Inc. ...........................................
343,137
1,600 Sara Lee Corporation....................................
51,800
- -----------
772,014
- -----------
TRANSPORTATION -- 1.7%
49,000 Hutchinson Whampoa, Ltd. ...............................
308,278
25,100 Tranz Rail Holdings Ltd.+...............................
348,262
- -----------
656,540
- -----------
MEDICAL SUPPLIES -- 1.6%
9,200 Boston Scientific Corporation+..........................
414,000
6,550 St. Jude Medical Inc.+..................................
219,426
- -----------
633,426
- -----------
AEROSPACE AND DEFENSE -- 1.4%
9,900 AlliedSignal Corporation................................
565,537
- -----------
METALS AND MINING -- 1.1%
3,250 Nucor Corporation.......................................
164,531
1,700 Pohang Iron & Steel, ADR................................
41,438
15,000 Rustenburg Platinum Holdings Ltd. ......................
233,672
- -----------
439,641
- -----------
BIOTECHNOLOGY -- 1.1%
8,000 Genentech Inc.+.........................................
419,000
- -----------
REAL ESTATE -- 0.9%
10,100 Starwood Lodging Trust..................................
367,387
- -----------
ENGINEERING AND CONSTRUCTION -- 0.9%
51,000 United Engineers (Malaysia) Berhad++....................
353,698
- -----------
TOYS, GAMES AND HOBBIES -- 0.5%
6,000 Hasbro Inc. ............................................
214,500
- -----------
MANUFACTURING -- 0.3%
3,300 Tyco International Ltd. ................................
134,475
- -----------
SPECIALIZED COMPUTER -- 0.2%
2,900 Silicon Graphics Inc.+..................................
69,600
- -----------
OTHER -- 1.6%
50 Sig Schweiz Ag .........................................
118,400
140,000 Tomkins Plc, ADR........................................
524,437
- -----------
642,837
- -----------
Total Common Stock
(Cost $33,802,611) ....................................
37,050,010
- -----------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
VALUE
AMOUNT
(NOTE 1)
---------
- -----------
<C> <S>
<C>
CORPORATE BOND -- 0.3%
(Cost $135,600)
$ 120,000 Reliance Industries Ltd.,
3.500% due
11/03/1999................................ $ 122,640
- -----------
U.S. GOVERNMENT AGENCY NOTE -- 0.2%
(Cost $99,868)
100,000 Federal Home Loan Mortgage Corporation (FHLMC),
5.290% due
07/10/1996................................ 99,868
- -----------
U.S. GOVERNMENT TREASURY -- 0.2%
(Cost $70,415)
71,000 U.S. Treasury Bill,
5.030%# due
08/29/1996............................... 70,415
- -----------
COMMERCIAL PAPER -- 5.5%
402,000 Aon Corporation,
5.350%# due
07/01/1996............................... 402,000
380,000 Bank of New York Inc.,
5.300%# due
07/02/1996............................... 379,944
148,000 Ford Motor Credit Company,
5.370%# due
07/12/1996............................... 147,757
245,000 Heinz (H.J.) Company,
5.380%# due
07/10/1996............................... 244,671
1,000,000 Toys 'R' Us Inc.,
5.260%# due
07/08/1996............................... 998,977
- -----------
Total Commercial Paper
(Cost
$2,173,349).................................... 2,173,349
- -----------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (COST $36,281,843*).......................
99.9% 39,516,282
OTHER ASSETS AND LIABILITIES (NET)..........................
0.1 22,881
----
- - -----------
NET ASSETS..................................................
100.0% $39,539,163
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ The Adviser has deemed this security to be illiquid.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY:
(CONTRACT AMOUNT $272,384)
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
----
- ---- --------
<C> <S> <C>
<C>
173,548 British Pound Sterling...........................
07/03/1996 $269,751
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL:
(CONTRACT AMOUNT $132,076)
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
---
- ----- --------
<C> <S> <C>
<C>
888,566 Swedish Krona.....................................
07/02/1996 $134,204
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
ENDEAVOR SERIES TRUST
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
TCW
DREYFUS
TCW MANAGED T. ROWE
PRICE U.S. T. ROWE PRICE
MONEY ASSET
INTERNATIONAL VALUE VALUE GOVERNMENT EQUITY
MARKET ALLOCATION
STOCK EQUITY SMALL CAP SECURITIES INCOME
PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ --------
- ----- ----------- ----------- ----------- -------------
<S> <C> <C> <C>
<C> <C> <C> <C>
ASSETS:
Investments, at
value (Note 1)
See accompanying
schedule........ $32,381,575 $218,169,229
$109,078,114 $96,728,735 $67,277,825 $19,205,626 $45,079,183
Cash............. 538,803 1,353,975
4,752,281 1,766 6,241 22,901 931
Foreign currency
(Cost $833,310,
$21 and $7,799,
respectively)... -- --
833,781 -- -- -- 21
Receivable for
investment
securities
sold............ -- 4,218,912
44,426 -- -- 1,413,446 67,705
Receivable for
Portfolio shares
sold............ 28,614 777,785
841,993 935,385 673,327 100,844 1,158,746
Unamortized
organization
costs (Note 5).. -- -- --
5,744 5,744 12,485 8,499
Dividends and/or
interest
receivable...... 146,618 729,900
470,526 62,158 41,935 386,465 146,338
Prepaid
expenses........ 7,249 11,331
9,676 1,753 1,257 322 841
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
Total Assets..... 33,102,859 225,261,132
116,030,797 97,735,541 68,006,329 21,142,089 46,462,264
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
LIABILITIES:
Payable for
investment
securities
purchased....... 1,029,053 5,276,965
840,164 1,092,675 -- 1,402,313 645,034
Payable for
Portfolio shares
redeemed........ 806,735 -- --
- -- -- 153,630 --
Unrealized
depreciation on
forward foreign
exchange
contracts....... -- --
114 -- -- -- --
Transfer agent
fees payable.... 187 187
187 187 187 187 187
Investment
management fee
payable (Note
2).............. 13,145 135,099
82,934 61,790 44,227 10,048 28,038
Custodian fees
payable (Note
2).............. 2,129 12,385
41,042 7,255 7,780 2,196 8,246
Accrued dividends
payable......... 303 -- --
- -- -- -- --
Accrued expenses
and other
payables........ 10,387 46,449
30,585 18,430 14,378 4,921 16,445
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
Total
Liabilities..... 1,861,939 5,471,085
995,026 1,180,337 66,572 1,573,295 697,950
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
NET ASSETS....... $31,240,920 $219,790,047
$115,035,771 $96,555,204 $67,939,757 $19,568,794 $45,764,314
=========== ============
============ =========== =========== =========== ===========
Investments, at
Identified
Cost............ $32,381,575 $170,140,508 $
93,488,057 $78,662,108 $64,510,759 $19,444,227 $41,587,154
=========== ============
============ =========== =========== =========== ===========
NET ASSETS
CONSIST OF:
Undistributed net
investment
income.......... $ -- $ 1,528,991 $
611,087 $ 555,271 $ 362,406 $ 423,535 $ 487,957
Accumulated net
realized
gain/(loss) on
investments
sold, forward
foreign exchange
contracts and
foreign currency
transactions.... (978) (4,868,545)
(3,243,460) 2,126,975 3,890,139 (197,316) 540,435
Net unrealized
appreciation/(depreciation)
of investments,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets.......... -- 48,028,704
15,582,418 18,066,627 2,767,066 (238,601) 3,492,021
Paid-in capital.. 31,241,898 175,100,897
102,085,726 75,806,331 60,920,146 19,581,176 41,243,901
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
Total Net
Assets......... $31,240,920 $219,790,047
$115,035,771 $96,555,204 $67,939,757 $19,568,794 $45,764,314
=========== ============
============ =========== =========== =========== ===========
NET ASSET VALUE,
offering price
and redemption
price per share
of beneficial
interest
outstanding..... $ 1.00 $ 17.38 $
13.25 $ 15.55 $ 12.72 $ 10.75 $ 13.93
=========== ============
============ =========== =========== =========== ===========
Number of
Portfolio shares
outstanding..... 31,241,898 12,645,258
8,681,357 6,209,304 5,340,731 1,821,200 3,285,004
=========== ============
============ =========== =========== =========== ===========
<CAPTION>
T. ROWE PRICE
GROWTH
STOCK
PORTFOLIO
-------------
<S> <C>
ASSETS:
Investments, at
value (Note 1)
See accompanying
schedule........ $39,516,282
Cash............. 16,484
Foreign currency
(Cost $833,310,
$21 and $7,799,
respectively)... 7,773
Receivable for
investment
securities
sold............ 557,869
Receivable for
Portfolio shares
sold............ 678,266
Unamortized
organization
costs (Note 5).. 8,499
Dividends and/or
interest
receivable...... 38,039
Prepaid
expenses........ 599
-------------
Total Assets..... 40,823,811
-------------
LIABILITIES:
Payable for
investment
securities
purchased....... 1,230,347
Payable for
Portfolio shares
redeemed........ --
Unrealized
depreciation on
forward foreign
exchange
contracts....... 4,761
Transfer agent
fees payable.... 187
Investment
management fee
payable (Note
2).............. 24,905
Custodian fees
payable (Note
2).............. 9,317
Accrued dividends
payable......... --
Accrued expenses
and other
payables........ 15,131
-------------
Total
Liabilities..... 1,284,648
-------------
NET ASSETS....... $39,539,163
=============
Investments, at
Identified
Cost............ $36,281,843
=============
NET ASSETS
CONSIST OF:
Undistributed net
investment
income.......... $ 185,791
Accumulated net
realized
gain/(loss) on
investments
sold, forward
foreign exchange
contracts and
foreign currency
transactions.... 532,464
Net unrealized
appreciation/(depreciation)
of investments,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets.......... 3,228,504
Paid-in capital.. 35,592,404
-------------
Total Net
Assets......... $39,539,163
=============
NET ASSET VALUE,
offering price
and redemption
price per share
of beneficial
interest
outstanding..... $ 14.56
=============
Number of
Portfolio shares
outstanding..... 2,716,111
=============
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
STATEMENT OF OPERATIONS
ENDEAVOR SERIES TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
TCW
DREYFUS
TCW MANAGED T. ROWE
PRICE U.S. T. ROWE PRICE T. ROWE
PRICE
MONEY ASSET
INTERNATIONAL VALUE VALUE GOVERNMENT EQUITY
GROWTH
MARKET ALLOCATION STOCK
EQUITY SMALL CAP SECURITIES INCOME STOCK
PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ----------- -----------
- -- ---------- ---------- ---------- ------------- -------------
<S> <C> <C> <C>
<C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends (Net of
foreign witholding
taxes of $0, $3,348,
$205,638, $0, $676,
$0, $7,594, and
$13,583
respectively)......... $ -- $ 888,001 $1,321,570
$ 514,729 $ 223,941 $ -- $ 484,702 $ 289,639
Interest............... 796,247 1,549,307 7,339
421,060 421,524 485,040 173,732 57,397
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
Total Investment
Income............... 796,247 2,437,308 1,328,909
935,789 645,465 485,040 658,434 347,036
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
EXPENSES:
Investment management
fee (Note 2).......... 73,765 784,328 468,203
328,484 237,853 50,064 131,851 120,170
Custodian fees (Note
2).................... 5,467 24,508 101,328
13,374 14,906 967 14,012 17,436
Transfer agent fees.... 563 563 563
563 563 563 563 563
Legal and audit fees... 4,384 50,408 25,021
20,226 14,636 3,872 9,104 8,321
Amortization of
organization costs
(Note 5).............. 3,438 3,438 3,438
1,567 1,567 2,179 1,211 1,211
Trustees' fees and
expenses (Note 2)..... 661 4,596 2,247
1,733 1,254 318 646 598
Other.................. 372 40,476 28,720
14,566 12,280 3,541 13,090 12,944
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
Total Expenses........ 88,650 908,317 629,520
380,513 283,059 61,504 170,477 161,243
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
NET INVESTMENT INCOME.. 707,597 1,528,991 699,389
555,276 362,406 423,536 487,957 185,793
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
REALIZED AND UNREALIZED
GAIN/ (LOSS) ON
INVESTMENTS (NOTES 1
AND 3):
Net realized
gain/(loss) on:
Securities............ (763) 4,142,658 1,174,871
2,127,040 3,909,182 (197,253) 546,420 553,803
Forward foreign
exchange contracts... -- --
(41,048) -- -- -- (9,408) -
- -
Foreign currencies.... -- 36 62,920
(55) -- -- 3,426 (16,406)
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
Net realized
gain/(loss) on
investments during the
period................ (763) 4,142,694 1,196,743
2,126,985 3,909,182 (197,253) 540,438 537,397
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
Net change in
unrealized
appreciation/(depreciation)
of:
Securities............ -- 11,857,870 7,473,844
6,017,290 669,343 (561,155) 1,305,711 1,402,221
Forward foreign
exchange contracts... -- --
(536) -- -- -- --
(4,761)
Foreign currencies and
net other assets..... -- (17)
(12,545) 10 -- -- 121
(151)
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
Net unrealized
appreciation/(depreciation)
of investments during
the period............ -- 11,857,853 7,460,763
6,017,300 669,343 (561,155) 1,305,832 1,397,309
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
Net realized and
unrealized gain/(loss)
on investments during
the period............ (763) 16,000,547 8,657,506
8,144,285 4,578,525 (758,408) 1,846,270 1,934,706
-------- ----------- ----------
- ---------- ---------- --------- ---------- ----------
NET INCREASE/(DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS............ $706,834 $17,529,538 $9,356,895
$8,699,561 $4,940,931 $(334,872) $2,334,227 $2,120,499
======== =========== ==========
========== ========== ========= ========== ==========
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
TCW
DREYFUS
TCW MANAGED T. ROWE
PRICE U.S. T. ROWE PRICE
MONEY ASSET
INTERNATIONAL VALUE VALUE GOVERNMENT EQUITY
MARKET ALLOCATION
STOCK EQUITY SMALL CAP SECURITIES INCOME
PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ --------
- ----- ----------- ----------- ----------- -------------
<S> <C> <C> <C>
<C> <C> <C> <C>
Net investment
income.......... $ 707,597 $ 1,528,991 $
699,389 $ 555,276 $ 362,406 $ 423,536 $ 487,957
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign currency
transactions
during the
period.......... (763) 4,142,694
1,196,743 2,126,985 3,909,182 (197,253) 540,438
Net unrealized
appreciation/(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other assets
during the
period.......... -- 11,857,853
7,460,763 6,017,300 669,343 (561,155) 1,305,832
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
Net
increase/(decrease)
in net assets
resulting from
operations...... 706,834 17,529,538
9,356,895 8,699,561 4,940,931 (334,872) 2,334,227
Distributions to
shareholders
from net
investment
income.......... (707,597) (3,944,143)
(773,312) (773,270) (669,355) (365,880) (286,763)
Distributions to
shareholders
from net
realized gains.. -- --
(289) (1,416,519) (2,256,700) (202,126) (123,166)
Net increase in
net assets from
Portfolio share
transactions
(Note 4)........ 3,690,516 7,328,962
14,100,623 21,414,998 13,328,051 7,753,504 21,929,522
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
Net increase in
net assets...... 3,689,753 20,914,357
22,683,917 27,924,770 15,342,927 6,850,626 23,853,820
NET ASSETS:
Beginning of
period.......... 27,551,167 198,875,690
92,351,854 68,630,434 52,596,830 12,718,168 21,910,494
----------- ------------ --------
- ---- ----------- ----------- ----------- -----------
End of period.... $31,240,920 $219,790,047
$115,035,771 $96,555,204 $67,939,757 $19,568,794
$45,764,314
=========== ============
============ =========== =========== ===========
===========
Undistributed net
investment
income.......... $ -- $ 1,528,991 $
611,087 $ 555,271 $ 362,406 $ 423,535 $ 487,957
=========== ============
============ =========== =========== ===========
===========
<CAPTION>
T. ROWE PRICE
GROWTH
STOCK
PORTFOLIO
-------------
<S> <C>
Net investment
income.......... $ 185,793
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign currency
transactions
during the
period.......... 537,397
Net unrealized
appreciation/(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other assets
during the
period.......... 1,397,309
-------------
Net
increase/(decrease)
in net assets
resulting from
operations...... 2,120,499
Distributions to
shareholders
from net
investment
income.......... (34,313)
Distributions to
shareholders
from net
realized gains.. (589,782)
Net increase in
net assets from
Portfolio share
transactions
(Note 4)........ 16,391,474
-------------
Net increase in
net assets...... 17,887,878
NET ASSETS:
Beginning of
period.......... 21,651,285
-------------
End of period.... $39,539,163
=============
Undistributed net
investment
income.......... $ 185,791
=============
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
YEAR ENDED DECEMBER 31, 1995*
<TABLE>
<CAPTION>
TCW
DREYFUS
TCW MANAGED T. ROWE PRICE
U.S. T. ROWE PRICE T. ROWE PRICE
MONEY ASSET INTERNATIONAL
VALUE VALUE GOVERNMENT EQUITY GROWTH
MARKET ALLOCATION STOCK
EQUITY SMALL CAP SECURITIES INCOME STOCK
PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------- --
- --------- ----------- ----------- ------------- -------------
<S> <C> <C> <C>
<C> <C> <C> <C> <C>
Net investment
income.......... $ 1,261,809 $ 3,921,872 $ 687,861 $
772,167 $ 662,266 $ 365,364 $ 286,172 $ 65,407
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign currency
transactions
during the
year............ 18 (4,595,305) (4,184,971)
1,415,693 2,255,743 210,680 121,433 551,432
Net unrealized
appreciation of
securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other assets
during the
year............ -- 38,153,355 11,930,185
11,560,772 2,796,456 374,777 2,186,189 1,831,195
----------- ------------ ----------- --
- --------- ----------- ----------- ----------- -----------
Net increase in
net assets
resulting from
operations...... 1,261,827 37,479,922 8,433,075
13,748,632 5,714,465 950,821 2,593,794 2,448,034
Distributions to
shareholders
from net
investment
income.......... (1,263,251) (3,105,304) --
(311,416) (330,888) (51,383) -- --
Distributions
from net
realized gains.. -- -- (1,955,766)
(141,867) (596,287) -- -- --
Net
increase/(decrease)
in net assets
from Portfolio
share
transactions
(Note 4)........ 6,787,031 (7,948,127) 1,772,335
22,558,607 11,843,218 8,313,442 19,316,700 19,203,251
----------- ------------ ----------- --
- --------- ----------- ----------- ----------- -----------
Net increase in
net assets...... 6,785,607 26,426,491 8,249,644
35,853,956 16,630,508 9,212,880 21,910,494 21,651,285
NET ASSETS:
Beginning of
year............ 20,765,560 172,449,199 84,102,210
32,776,478 35,966,322 3,505,288 -- --
----------- ------------ ----------- --
- --------- ----------- ----------- ----------- -----------
End of year...... $27,551,167 $198,875,690 $92,351,854
$68,630,434 $52,596,830 $12,718,168 $21,910,494 $21,651,285
=========== ============ ===========
=========== =========== =========== =========== ===========
Undistributed net
investment
income.......... $ -- $ 3,944,143 $ 685,010 $
773,265 $ 669,355 $ 365,879 $ 286,763 $ 34,311
=========== ============ ===========
=========== =========== =========== =========== ===========
</TABLE>
- ------------
* The T. Rowe Price Equity Income Portfolio and the T. Rowe Price
Growth Stock
Portfolio commenced operations on January 3, 1995.
# In 1995, the Portfolio's investment objective changed to one of
an
international basis from one of a global basis. Effective March
24, 1995, the
Portfolio's name changed from Global Growth Portfolio to T.
Rowe Price
International Stock Portfolio.
See Notes to Financial Statements.
25
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
TCW MONEY MARKET PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR
YEAR PERIOD
06/30/96 ENDED ENDED ENDED
ENDED ENDED
(UNAUDITED) 12/31/95 12/31/94
12/31/93 12/31/92 12/31/91*
----------- -------- -------- -------
- - -------- ---------
<S> <C> <C> <C> <C>
<C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00
$ 1.00 $ 1.00
------- ------- ------- -------
- ------- -------
Net investment income#.. 0.0238 0.0540 0.0337 0.0218
0.0287 0.0377
------- ------- ------- -------
- ------- -------
Distributions:
Dividends from net
investment income...... (0.0238) (0.0540) (0.0336)
(0.0218) (0.0287) (0.0377)
Distributions from net
realized gains......... -- -- (0.0001) --
- -- --
------- ------- ------- -------
- ------- -------
Total distributions..... (0.0238) (0.0540) (0.0337)
(0.0218) (0.0287) (0.0377)
------- ------- ------- -------
- ------- -------
Net asset value, end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
$ 1.00 $ 1.00
======= ======= ======= =======
======= =======
Total return++.......... 2.41% 5.54% 3.41%
2.19% 2.90% 3.84%
======= ======= ======= =======
======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $31,241 $27,551 $20,766 $12,836
$ 4,527 $ 1,907
Ratio of net investment
income to average net
assets................. 4.80%+ 5.37% 3.58%
2.19% 2.84% 5.02%+
Ratio of operating
expenses to average net
assets **.............. 0.60%+ 0.60% 0.85%
0.99% 0.91% 0.00%+
</TABLE>
- ------------
* The Portfolio commenced operations on April 8, 1991.
** Annualized operating expense ratios before waiver of fees
and/or
reimbursement of expenses by investment manager for the years
ended December
31, 1993 and December 31, 1992, and the period ended December
31, 1991 were
1.23%, 2.37% and 8.48%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
# Net investment income/(loss) before waiver of fees and/or
reimbursement of
expenses by investment manager for the years ended December
31, 1993,
December 31, 1992 and the period ended December 31, 1991 was
$0.0195, $0.0140
and $(0.0259), respectively.
See Notes to Financial Statements.
26
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR
YEAR YEAR PERIOD
06/30/96 ENDED ENDED
ENDED ENDED ENDED
(UNAUDITED) 12/31/95 12/31/94+++
12/31/93+++ 12/31/92+++ 12/31/91*
----------- -------- ----------- ---
- -------- ----------- ---------
<S> <C> <C> <C> <C>
<C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 16.28 $ 13.48 $ 14.30 $
12.31 $ 11.37 $ 10.00
-------- -------- -------- -
- ------ ------- -------
Net investment income#.. 0.12 0.33 0.28
0.23 0.24 0.10
Net realized and
unrealized gain/ (loss)
on investments......... 1.30 2.72 (1.03)
1.84 0.77 1.27
-------- -------- -------- -
- ------ ------- -------
Net increase/ (decrease)
in net assets resulting
from investment
operations............. 1.42 3.05 (0.75)
2.07 1.01 1.37
Dividends from net
investment income...... (0.32) (0.25) (0.07)
(0.08) (0.07) --
-------- -------- -------- -
- ------ ------- -------
Net asset value, end of
period................. $ 17.38 $ 16.28 $ 13.48 $
14.30 $ 12.31 $ 11.37
======== ======== ========
======= ======= =======
Total return++.......... 8.69% 22.91% (5.28)%
16.79% 9.01% 13.70%
======== ======== ========
======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $219,790 $198,876 $172,449
$96,657 $14,055 $ 4,247
Ratio of net investment
income to average net
assets................. 1.46%+ 2.12% 2.03%
1.71% 2.11% 4.54%+
Ratio of operating
expenses to average net
assets **.............. 0.87%+ 0.84% 0.90%
1.12% 1.18% 0.00%+
Portfolio turnover
rate................... 33% 93% 67%
67% 50% 61%
Average commission rate
(per share of
security)(a)........... $ 0.0029 -- --
- -- -- --
</TABLE>
- ------------
* The Portfolio commenced operations on April 8, 1991.
** Annualized operating expense ratios before waiver of fees
and/or
reimbursement of expenses by investment manager for the year
ended December
31, 1992 and the period ended December 31, 1991 were 1.73%
and 5.18%,
respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Per share amounts have been calculated using the monthly
average share
method which more appropriately presents the per share data
for the period
since use of the undistributed method did not accord with
results of
operations.
# Net investment income/(loss) before waiver of fees and/or
reimbursement of
expenses by investment manager for the year ended December
31, 1992 and the
period ended December 31, 1991 was $0.18 and $(0.01),
respectively.
(a) Average commission rate paid per share of securities
purchased and sold by
the Portfolio.
See Notes to Financial Statements.
27
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR
YEAR YEAR PERIOD
06/30/96 ENDED ENDED
ENDED ENDED ENDED
(UNAUDITED)+++ 12/31/95## 12/31/94
12/31/93+++ 12/31/92+++ 12/31/91*
-------------- ---------- -------- --
- --------- ----------- ---------
<S> <C> <C> <C>
<C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 12.19 $ 11.31 $ 11.99
$ 10.12 $ 10.52 $ 10.00
-------- ------- -------
- ------- ------- -------
Net investment
income/(loss)#......... 0.09 0.09 (0.02)
(0.04) 0.00*** 0.06
Net realized and
unrealized gain/(loss)
on investments......... 1.06 1.06 (0.66)
1.91 (0.38) 0.46
-------- ------- -------
- ------- ------- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 1.15 1.15 (0.68)
1.87 (0.38) 0.52
-------- ------- -------
- ------- ------- -------
Distributions:
Dividends from net
investment income...... (0.09) -- --
- -- (0.02) --
Distributions from net
realized gains......... 0.00*** (0.27) --
- -- -- --
-------- ------- -------
- ------- ------- -------
Total distributions..... (0.09) (0.27) --
- -- (0.02) --
-------- ------- -------
- ------- ------- -------
Net asset value, end of
period................. $ 13.25 $ 12.19 $ 11.31
$ 11.99 $ 10.12 $ 10.52
======== ======= =======
======= ======= =======
Total return++.......... 9.45% 10.37% (5.67)%
18.48% (3.61)% 5.20%
======== ======= =======
======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $115,036 $92,352 $84,102
$52,777 $ 6,305 $ 3,200
Ratio of net investment
income/(loss) to
average net assets..... 1.34%+ 0.81% (0.16)%
(0.31)% 0.01% 3.18%+
Ratio of operating
expenses to average net
assets**............... 1.21%+ 1.15% 1.16%
1.52% 1.43% 0.00%+
Portfolio turnover
rate................... 7% 111% 88%
37% 34% 0%
Average commission rate
(per share of
security)(a)........... $ 0.0014 -- --
- -- -- --
</TABLE>
- ------------
* Effective March 24, 1995, the name of the Global Growth
Portfolio was
changed to T. Rowe Price International Stock Portfolio, and
the investment
objective was changed from investment on a global basis to
investment on an
international basis (i.e., in non-U.S. companies). The
Portfolio commenced
operations on April 8, 1991.
** Annualized operating expense ratios before waiver of fees
and/or
reimbursement of expenses by investment manager for the year
ended December
31, 1992 and the period ended December 31, 1991 were 2.10%
and 6.83%,
respectively.
*** Amount represents less than $0.01 per share.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Per share amounts have been calculated using the monthly
average share
method which more appropriately presents the per share data
for the period
since use of the undistributed method did not accord with
results of
operations.
# Net investment loss before waiver of fees and/or
reimbursement of expenses
by investment manager for the year ended December 31, 1992
and the period
ended December 31, 1991 was $(0.07) and $(0.07),
respectively.
## Rowe Price-Fleming International, Inc. became the Portfolio's
Adviser
effective January 3, 1995.
(a) Average commission rate paid per share of securities
purchased and sold by
the Portfolio.
See Notes to Financial Statements.
28
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR
PERIOD
06/30/96 ENDED ENDED
ENDED
(UNAUDITED)+++ 12/31/95 12/31/94
12/31/93*+++
-------------- -------- --------
- ------------
<S> <C> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value, beginning of
period....................... $ 14.23 $ 10.69 $ 10.28
$ 10.00
------- ------- -------
- -------
Net investment income#........ 0.10 0.15 0.09
0.05
Net realized and unrealized
gain on investments.......... 1.59 3.52 0.33
0.23
------- ------- -------
- -------
Net increase in net assets
resulting from investment
operations................... 1.69 3.67 0.42
0.28
------- ------- -------
- -------
Distributions:
Dividends from net investment
income....................... (0.13) (0.09) (0.01)
- --
Distributions from net
realized gains............... (0.24) (0.04) --
- --
------- ------- -------
- -------
Total distributions........... (0.37) (0.13) (0.01)
- --
------- ------- -------
- -------
Net asset value, end of
period....................... $ 15.55 $ 14.23 $ 10.69
$ 10.28
======= ======= =======
=======
Total return++................ 11.89% 34.59% 4.09%
2.80%
======= ======= =======
=======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)....................... $96,555 $68,630 $32,776
$11,178
Ratio of net investment income
to average net assets........ 1.35%+ 1.56% 1.31%
0.84%+
Ratio of operating expenses to
average net assets**......... 0.93%+ 0.86% 1.02%
1.30%+
Portfolio turnover rate....... 20% 28% 56%
1%
Average commission rate (per
share of security)(a)........ $0.0571 -- --
- --
</TABLE>
- ------------
* The Portfolio commenced operations on May 27, 1993.
** Annualized operating expense ratio before waiver of fees by
investment
manager for the period ended December 31, 1993 was 2.10%.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Per share amounts have been calculated using the monthly
average share
method which more appropriately presents the per share data
for the period
since use of the undistributed method did not accord with
results of
operations.
# Net investment income before waiver of fees by investment
manager for the
period ended December 31, 1993 was $0.00.
(a) Average commission rate paid per share of securities
purchased and sold by
the Portfolio.
See Notes to Financial Statements.
29
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
VALUE SMALL CAP PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR
PERIOD
06/30/96 ENDED ENDED
ENDED
(UNAUDITED)+++ 12/31/95
12/31/94+++ 12/31/93*+++
-------------- -------- --------
- --- ------------
<S> <C> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value, beginning of
period....................... $ 12.22 $ 10.98 $
11.18 $ 10.00
------- ------- ------
- - -------
Net investment income#........ 0.08 0.15
0.10 0.22
Net realized and unrealized
gain/(loss) on investments... 1.02 1.36
(0.30) 0.96
------- ------- ------
- - -------
Net increase/(decrease) in net
assets resulting from
investment operations........ 1.10 1.51
(0.20) 1.18
------- ------- ------
- - -------
Distributions:
Dividends from net investment
income....................... (0.14) (0.10) --
- --
Distributions from net
realized gains............... (0.46) (0.17) --
- --
------- ------- ------
- - -------
Total distributions........... (0.60) (0.27) --
- --
------- ------- ------
- - -------
Net asset value, end of
period....................... $ 12.72 $ 12.22 $
10.98 $ 11.18
======= =======
======= =======
Total return++................ 8.78% 14.05%
(1.79)% 11.80%
======= =======
======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)....................... $67,940 $52,597
$35,966 $12,699
Ratio of net investment income
to average net assets........ 1.22%+ 1.56%
0.89% 3.98%+
Ratio of operating expenses to
average net assets**......... 0.95%+ 0.87%
1.03% 1.30%+
Portfolio turnover rate....... 38% 75%
77% 41%
Average commission rate (per
share of security)(a)........ $0.0492 -- --
- --
</TABLE>
- ------------
* The Portfolio commenced operations on May 4, 1993.
** Annualized operating expense ratio before waiver of fees by
investment
manager for the period ended December 31, 1993 was 2.10%.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Per share amounts have been calculated using the monthly
average share
method which more appropriately presents the per share data
for the period
since use of the undistributed method did not accord with
results of
operations.
# Net investment income before waiver of fees by investment
manager for the
period ended December 31, 1993 was $0.18.
(a) Average commission rate paid per share of securities
purchased and sold by
the Portfolio.
See Notes to Financial Statements.
30
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
PERIOD
06/30/96 ENDED
ENDED
(UNAUDITED)+++ 12/31/95
12/31/94*+++
-------------- --------
- ------------
<S> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.... $ 11.39 $ 9.96
$ 10.00
------- -------
- -------
Net investment income#.................. 0.30 0.30
0.24
Net realized and unrealized gain/(loss)
on investments......................... (0.60) 1.25
(0.28)
------- -------
- -------
Net increase/(decrease) in net assets
resulting from investment operations... (0.30) 1.55
(0.04)
------- -------
- -------
Distributions:
Dividends from net investment income.... (0.22) (0.12)
- --
Distributions from net realized gains... (0.12) --
- --
------- -------
- -------
Total distributions..................... (0.34) (0.12)
- --
------- -------
- -------
Net asset value, end of period.......... $ 10.75 $ 11.39
$ 9.96
======= =======
=======
Total return++.......................... (2.54)% 15.64%
(0.40)%
======= =======
=======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).... $19,569 $12,718
$ 3,505
Ratio of net investment income to
average net assets..................... 5.53%+ 5.58%
4.14%+
Ratio of operating expenses to average
net assets**........................... 0.80%+ 0.84%
0.78%+
Portfolio turnover rate................. 143% 161%
100%
</TABLE>
- ------------
* The Portfolio commenced operations on May 13, 1994.
** Annualized operating expense ratio before waiver of fees and
reimbursment of
expenses by investment manager for the period ended December
31, 1994 was
1.83%.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Per share amounts have been calculated using the monthly
average share
method which more appropriately presents the per share data
for the period
since use of the undistributed method did not accord with
results of
operations.
# Net investment income before fees waived and reimbursement of
expenses by
investment manager for the period ended December 31, 1994 was
$0.18.
See Notes to Financial Statements.
31
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
YEAR
06/30/96
ENDED
(UNAUDITED)+++
12/31/95*+++
--------------
- ------------
<S> <C>
<C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 13.05
$ 10.00
-------
- -------
Net investment income............................. 0.20
0.34
Net realized and unrealized gain on investments... 0.82
2.71
-------
- -------
Net increase in net assets resulting from
investment operations............................ 1.02
3.05
-------
- -------
Distributions:
Dividends from net investment income.............. (0.10)
- --
Distributions from net realized gains............. (0.04)
- --
-------
- -------
Total distributions............................... (0.14)
- --
-------
- -------
Net asset value, end of period.................... $ 13.93
$ 13.05
=======
=======
Total return++.................................... 7.81%
30.50%
=======
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).............. $45,764
$21,910
Ratio of net investment income to average net
assets........................................... 2.96%+
3.24%+
Ratio of operating expenses to average net
assets........................................... 1.03%+
1.15%+
Portfolio turnover rate........................... 9%
16%
Average commission rate (per share of
security)(a)..................................... $0.0278
- --
</TABLE>
- ------------
* The Portfolio commenced operations on January 3, 1995.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Per share amounts have been calculated using the monthly
average share
method which more appropriately presents the per share data
for the period
since use of the undistributed method did not accord with
results of
operations.
(a) Average commission rate paid per share of securities
purchased and sold by
the Portfolio.
See Notes to Financial Statements.
32
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
YEAR
06/30/96
ENDED
(UNAUDITED)+++
12/31/95*+++
--------------
- ------------
<S> <C>
<C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 13.72
$ 10.00
-------
- -------
Net investment income............................. 0.09
0.08
Net realized and unrealized gain on investments... 1.00
3.64
-------
- -------
Net increase in net assets resulting from
investment operations............................ 1.09
3.72
-------
- -------
Distributions:
Dividends from net investment income.............. (0.01)
- --
Distributions from net realized gains............. (0.24)
- --
-------
- -------
Total distributions............................... (0.25)
- --
-------
- -------
Net asset value, end of period.................... $ 14.56
$ 13.72
=======
=======
Total return++.................................... 7.94%
37.20%
=======
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).............. $39,539
$21,651
Ratio of net investment income to average net
assets........................................... 1.24%+
0.69%+
Ratio of operating expenses to average net
assets........................................... 1.07%+
1.26%+
Portfolio turnover rate........................... 31%
64%
Average commission rate (per share of
security)(a)..................................... $0.0387
- --
</TABLE>
- ------------
* The Portfolio commenced operations on January 3, 1995.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Per share amounts have been calculated using the monthly
average share
method which more appropriately presents the per share data
for the period
since use of the undistributed method did not accord with
results of
operations.
(a) Average commission rate paid per share of securities
purchased and sold by
the Portfolio.
See Notes to Financial Statements.
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
ENDEAVOR SERIES TRUST
JUNE 30, 1996
1. SIGNIFICANT ACCOUNTING POLICIES
Endeavor Series Trust (the "Fund") was organized as a
"Massachusetts business
trust" on November 19, 1988 under the laws of the Commonwealth of
Massachusetts. The Fund is registered with the Securities and
Exchange
Commission under the Investment Company Act of 1940, as amended,
as a
diversified, open-end management investment company. The Fund
offers eight
managed investment portfolios: TCW Money Market Portfolio
(formerly Money
Market Portfolio), TCW Managed Asset Allocation Portfolio
(formerly Managed
Asset Allocation Portfolio), T. Rowe Price International Stock
Portfolio, Value
Equity Portfolio (formerly the Quest for Value Equity Portfolio),
Value Small
Cap Portfolio (formerly the Quest for Value Small Cap Portfolio),
Dreyfus U.S.
Government Securities Portfolio (formerly U.S. Government
Securities
Portfolio), T. Rowe Price Equity Income Portfolio and T. Rowe
Price Growth
Stock Portfolio (each a "Portfolio" and collectively the
"Portfolios"). The
following is a summary of significant accounting policies
consistently followed
by the Portfolios in the preparation of their financial
statements. The
preparation of financial statements in accordance with generally
accepted
accounting principles requires management to make estimates and
assumptions
that affect the reported amounts and disclosures in the financial
statements.
Actual results could differ from those estimates.
PORTFOLIO VALUATION:
TCW MONEY MARKET PORTFOLIO: The TCW Money Market Portfolio's
investments are
valued on the basis of amortized cost under the guidance of the
Board of
Trustees, based on their determination that this constitutes fair
value.
Amortized cost involves valuing a portfolio instrument at its
cost initially
and, thereafter, assuming a constant amortization to maturity of
any discount
or premium, regardless of the impact of fluctuating interest
rates on the
market value of the instrument.
TCW MANAGED ASSET ALLOCATION PORTFOLIO, T. ROWE PRICE
INTERNATIONAL STOCK
PORTFOLIO, VALUE EQUITY PORTFOLIO, VALUE SMALL CAP PORTFOLIO,
DREYFUS U.S.
GOVERNMENT SECURITIES PORTFOLIO, T. ROWE PRICE EQUITY INCOME
PORTFOLIO AND T.
ROWE PRICE GROWTH STOCK PORTFOLIO:
Generally, a Portfolio's investments are valued at market value
or, in the
absence of market value with respect to any portfolio securities,
at fair value
as determined by, or under the direction of, the Board of
Trustees. Portfolio
securities for which the primary market is on a domestic or
foreign exchange,
or which are traded over-the-counter and quoted on the NASDAQ
System, are
valued at the last sale price on the day of valuation or, if
there was no sale
that day, at the last reported bid price using prices as of the
close of
trading. Portfolio securities not quoted on the NASDAQ System
that are actively
traded in the over-the-counter market, including listed
securities for which
the primary market is believed to be over-the-counter, are valued
at the most
recently quoted bid price provided by the principal market
makers. In the case
of any securities which are not actively traded, these
investments are stated
at fair value as determined under the direction of the Board of
Trustees.
Short-term investments that mature in 60 days or less are valued
at amortized
cost which approximates market value.
Foreign securities traded outside the United States are generally
valued as of
the time their trading is complete, which is usually different
from the close
of the New York Stock Exchange. Occasionally, events affecting
the value of
such securities may occur between such times and the close of the
New York
Stock Exchange that will not be reflected in the computation of
the Portfolios'
net asset value. If events materially affecting the value of such
securities
occur during such period, these securities will be valued at
their fair value
according to procedures decided upon in good faith by the Fund's
Board of
Trustees. All securities and other assets of the Portfolios
initially expressed
in foreign currencies will be converted to U.S. dollar values at
the mean of
the bid and offer prices of such currencies against U.S. dollars
last quoted on
a valuation date by any recognized dealer.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of the trade date.
Realized gains and
losses from securities transactions are recorded on the
identified cost basis.
Dividend income is recorded on the ex-dividend date except that
certain
dividends from foreign securities are recorded as soon as a
Portfolio is
informed of the ex-dividend date. Interest income is recorded on
the accrual
basis.
Securities purchased or sold on a when-issued or delayed-delivery
basis may be
settled a month or more after the trade date. Interest income is
not accrued
until settlement date.
34
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1996
FORWARD FOREIGN CURRENCY CONTRACTS:
The T. Rowe Price International Stock Portfolio, the Dreyfus U.S.
Government
Securities Portfolio, the T. Rowe Price Equity Income Portfolio
and T. Rowe
Price Growth Stock Portfolio may engage in forward foreign
currency exchange
contracts. Each Portfolio engages in forward foreign currency
exchange
transactions to protect against changes in future exchange rates.
Forward
foreign currency exchange contracts are valued at the forward
rate and are
marked-to-market daily. The change in market value is recorded by
each
Portfolio as an unrealized gain or loss. When the contract is
closed, each
Portfolio records 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 exchange contracts does not
eliminate
fluctuations in the underlying prices of a Portfolio's
securities, but it does
establish a rate of exchange that can be achieved in the future.
Although
forward foreign currency contracts limit the risk of loss due to
a decline in
the value of the hedged currency, they also limit any potential
gain that might
result should the value of the currency increase. In addition,
each Portfolio
could be exposed to risks if the counterparties to the contracts
are unable to
meet the terms of their contracts.
FOREIGN CURRENCY:
The books and records of the Portfolios are maintained in U.S.
dollars. Foreign
currencies, investments and other assets and liabilities are
translated into
U.S. dollars at the exchange rates prevailing at the end of the
period.
Purchases and sales of investment securities, and items of income
and expense
are translated on the respective dates of such transactions.
Unrealized gains
and losses which result from changes in foreign currency exchange
rates have
been included in the unrealized appreciation/(depreciation) of
investments and
net other assets. Net realized foreign currency gains and losses
include the
effect of changes in exchange rates between trade date and
settlement date on
investment security transactions, foreign currency transactions
and interest
and dividends received. The portion of foreign currency gains and
losses
related to fluctuation in exchange rates between the initial
purchase trade
date and subsequent sale trade date is included in realized gains
and losses on
investment securities sold.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income of the TCW Money Market
Portfolio are
declared daily and paid monthly. Dividends from net investment
income of the
TCW Managed Asset Allocation Portfolio, T. Rowe Price
International Stock
Portfolio, Value Equity Portfolio, Value Small Cap Portfolio,
Dreyfus U.S.
Government Securities Portfolio, T. Rowe Price Equity Income
Portfolio and T.
Rowe Price Growth Stock Portfolio are declared and paid at least
annually. For
all Portfolios, all net realized long-term or short-term capital
gains, if any,
will be declared and distributed at least annually.
Income dividends and capital gain distributions are determined in
accordance
with income tax regulations which may differ from generally
accepted accounting
principles. These differences are primarily due to differing
treatments of
income, gains and losses on various investment securities held by
a Portfolio,
timing differences in the recognition of income, gains and losses
and differing
characterizations of distributions made by the Fund.
FEDERAL INCOME TAXES:
The Fund intends that each Portfolio separately qualify annually
as a regulated
investment company, if such qualification is in the best interest
of its
shareholders, by complying with the requirements of the Internal
Revenue Code
of 1986, as amended, applicable to regulated investment companies
and by
distributing substantially all of its taxable income to its
shareholders.
Therefore, no federal income tax provision is required.
2. INVESTMENT MANAGEMENT FEE, ADMINISTRATIVE FEE, INVESTMENT
ADVISORY FEE AND
OTHER RELATED PARTY TRANSACTIONS
The Fund is managed by Endeavor Investment Advisers (the
"Investment Manager")
pursuant to a management agreement. The Investment Manager is a
general
partnership of which Endeavor Management Co. is the managing
partner. The
Investment Manager is responsible for providing investment
management and
administrative services to the Fund, including selecting the
investment
advisers (the "Advisers") for the Fund's Portfolios. As
compensation for these
services, the Fund pays the Investment Manager a monthly fee
based on a
percentage of the average daily net assets of each Portfolio at
the following
annual rates: TCW Money Market Portfolio--.50%; TCW Managed Asset
Allocation
Portfolio--.75%; T. Rowe Price
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1996
International Stock Portfolio--.90%; Value Equity Portfolio--
.80%; Value Small
Cap Portfolio--.80%; Dreyfus U.S. Government Securities
Portfolio--.65%; T.
Rowe Price Equity Income Portfolio--.80% and T. Rowe Price Growth
Stock
Portfolio--.80%.
From the investment management fees, the Investment Manager pays
the expenses
of providing investment advisory services to the Portfolios,
including the fees
of the Adviser of each Portfolio. The Investment Manager also
pays the fees and
expenses of First Data Investor Services Group, Inc. ("FDISG"), a
wholly-owned
subsidiary of First Data Corporation, the Fund's Administrator.
FDISG assists
the Investment Manager in the performance of its administrative
responsibilities to the Fund. As compensation for these services,
the
Investment Manager pays FDISG a fee computed and payable monthly
at an annual
rate of .15% of each Portfolio's average daily net assets, but
not less than an
aggregate $320,000 per annum.
TCW Funds Management, Inc. ("TCW"), a wholly-owned subsidiary of
The TCW Group,
Inc., serves as the Adviser to the TCW Money Market Portfolio and
the TCW
Managed Asset Allocation Portfolio pursuant to separate
investment advisory
agreements between the Investment Manager and TCW. As
compensation for its
services as investment adviser, the Investment Manager pays TCW a
monthly fee
based on a percentage of the average daily net assets of each
Portfolio at the
following annual rates: TCW Money Market Portfolio--.25% and TCW
Managed Asset
Allocation Portfolio--.375%, subject to reduction in certain
circumstances.
Rowe Price-Fleming International, Inc. ("Price-Fleming"), a joint
venture
wholly-owned by T. Rowe Price Associates, Inc. ("T. Rowe Price")
and Robert
Fleming Holdings Limited, serves as the Adviser to the T. Rowe
Price
International Stock Portfolio. As compensation for its services
as investment
adviser, the Investment Manager pays Price-Fleming a monthly fee
at the annual
rate of .75% of the average daily net assets of the Portfolio up
to $20
million, .60% of the average daily net assets of the Portfolio in
excess of $20
million up to $50 million and .50% of the average daily net
assets of the
Portfolio in excess of $50 million. At such time as the average
daily net
assets of the Portfolio exceed $200 million, the fee shall be
.50% of total
average daily net assets.
OpCap Advisors ("OpCap") (formerly known as Quest for Value
Advisors), a
subsidiary of Oppenheimer Capital, serves as the Adviser to the
Value Equity
Portfolio and the Value Small Cap Portfolio pursuant to separate
investment
advisory agreements between the Investment Manager and OpCap. As
compensation
for its services as investment adviser, the Investment Manager
pays OpCap a
monthly fee at the annual rate of .40% of the average daily net
assets of each
Portfolio.
The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of
Mellon Bank,
N.A., which is a wholly-owned subsidiary of Mellon Bank
Corporation, as
successor to The Boston Company Asset Management, Inc., serves as
the Adviser
to the Dreyfus U.S. Government Securities Portfolio. As
compensation for its
services as investment adviser, the Investment Manager pays
Dreyfus a monthly
fee at the annual rate of .15% of the average daily net assets of
the
Portfolio.
T. Rowe Price serves as the Adviser to the T. Rowe Price Equity
Income
Portfolio and to the T. Rowe Price Growth Stock Portfolio. As
compensation for
its services as investment adviser, the Investment Manager pays
T. Rowe Price a
monthly fee at the annual rate of .40% of the average daily net
assets of each
Portfolio.
From time to time the Investment Manager may waive a portion or
all of the fees
otherwise payable to it and/or reimburse expenses. The Investment
Manager has
voluntarily undertaken to waive its fees and has agreed to bear
certain
expenses so that total expenses do not exceed the following
percentages of the
respective Portfolio's average daily net assets: TCW Money Market
Portfolio--
.99%, TCW Managed Asset Allocation Portfolio--1.25%, T. Rowe
Price
International Stock Portfolio--1.53%, Value Equity Portfolio--
1.30%, Value
Small Cap Portfolio--1.30%, Dreyfus U.S. Government Securities
Portfolio--
1.00%, T. Rowe Price Equity Income Portfolio--1.30% and T. Rowe
Price Growth
Stock Portfolio--1.30%. For the period ended June 30, 1996, the
Investment
Manager did not waive any fees.
Boston Safe Deposit and Trust Company, an indirect wholly-owned
subsidiary of
Mellon Bank Corporation, serves as the Fund's custodian. FDISG
serves as the
Fund's transfer agent.
For the six months ended June 30, 1996, the Fund incurred total
brokerage
commissions of $283,405, of which $35,733 was paid to Oppenheimer
& Company,
Inc., $2,110 was paid to Jardine Fleming Group Ltd., $311 was
paid to Ord
Minnett Securities, Ltd., Australia and $4,463 was paid to Robert
Fleming
Holdings Ltd., brokers affiliated with certain of the Fund's
Advisers.
No director, officer or employee of the Investment Manager,
Endeavor Management
Co., the Advisers or FDISG received any compensation from the
Fund for serving
as an officer or Trustee of the Fund. The Fund pays each Trustee
who is not a
36
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1996
director, officer or employee of the Investment Manager, Endeavor
Management
Co., the Advisers, FDISG or any of their affiliates $2,500 per
annum plus $500
per regularly scheduled meeting attended and reimburses them for
travel and
out-of-pocket expenses.
3. PURCHASES AND SALES OF SECURITIES
Purchases and proceeds from sales of securities, excluding short-
term
investments, for the six months ended June 30, 1996 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
- ----------------------- -----------------------
U.S. U.S.
GOVERNMENT OTHER GOVERNMENT OTHER
- ----------- ----------- ----------- -----------
<S>
<C> <C> <C> <C>
TCW Managed Asset Allocation Portfolio...................
$49,421,425 $18,195,236 $50,777,916 $22,370,005
T. Rowe Price International Stock Portfolio..............
- -- 22,847,322 -- 6,965,987
Value Equity Portfolio...................................
163,602 30,308,625 -- 13,284,657
Value Small Cap Portfolio................................
- -- 24,522,285 -- 16,733,906
Dreyfus U.S. Government Securities
Portfolio..............................................
24,433,652 5,061,570 19,215,126 2,420,059
T. Rowe Price Equity Income Portfolio....................
1,210,950 22,156,610 -- 2,553,741
T. Rowe Price Growth Stock Portfolio.....................
958,142 22,747,472 121,650 8,647,832
</TABLE>
At June 30, 1996, aggregate gross unrealized appreciation for
all securities
in which there was an excess of value over tax cost and aggregate
gross
unrealized depreciation for all securities in which there was an
excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS TAX BASIS
UNREALIZED UNREALIZED NET UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION/(DEPRECIATION)
- ------------ ------------ ---------------------------
<S>
<C> <C> <C>
TCW Managed Asset Allocation Portfolio.....................
$50,282,398 $2,253,677 $48,028,721
T. Rowe Price International Stock Portfolio................
17,676,194 2,086,137 15,590,057
Value Equity Portfolio.....................................
18,248,792 182,165 18,066,627
Value Small Cap Portfolio..................................
5,418,458 2,651,392 2,767,066
Dreyfus U.S. Government Securities Portfolio...............
69,215 307,816 (238,601)
T. Rowe Price Equity Income Portfolio......................
3,800,055 308,026 3,492,029
T. Rowe Price Growth Stock Portfolio.......................
4,150,654 916,215 3,234,439
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of shares of
beneficial interest
without par value of one or more series. Shares of the Fund are
presently
divided into eight series of shares, each series representing one
of the Fund's
eight Portfolios. Since the TCW Money Market Portfolio has sold
shares, issued
shares as reinvestment of dividends and redeemed shares only at a
constant net
asset value of $1.00 per share, the number of shares represented
by such sales,
reinvestments and redemptions is the same as the amounts shown
below for such
transactions. Changes in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95
- ---------------- ------------
SHARES SHARES
AND AND
AMOUNT AMOUNT
- ---------------- ------------
<S>
<C> <C>
TCW MONEY MARKET PORTFOLIO:
Sold.............................................................
.... $ 20,914,102 $ 30,419,863
Issued as reinvestment of
dividends.................................. 707,380
1,263,109
Redeemed.........................................................
.... (17,930,966) (24,895,941)
- ------------ ------------
Net
increase.........................................................
$ 3,690,516 $ 6,787,031
============ ============
</TABLE>
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1996
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95
- ---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------- ----------- ---------- ------------
<S>
<C> <C> <C> <C>
TCW MANAGED ASSET ALLOCATION PORTFOLIO:
Sold..................................................
689,711 $11,701,230 1,296,208 $ 19,290,512
Issued as reinvestment of dividends...................
223,337 3,944,143 217,458 3,105,304
Redeemed..............................................
(486,711) (8,316,411) (2,086,757) (30,343,943)
- --------- ----------- ---------- ------------
Net increase/(decrease)...............................
426,337 $ 7,328,962 (573,091) $ (7,948,127)
========= =========== ========== ============
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95
- ---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------- ----------- ---------- ------------
<S>
<C> <C> <C> <C>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO:
Sold.................................................
1,293,083 $16,552,432 1,370,945 $ 15,673,385
Issued as reinvestment of dividends..................
59,099 773,601 172,314 1,955,766
Redeemed.............................................
(249,965) (3,225,410) (1,403,454) (15,856,816)
- --------- ----------- ---------- ------------
Net increase.........................................
1,102,217 $14,100,623 139,805 $ 1,772,335
========= =========== ========== ============
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95
- ---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------- ----------- ---------- ------------
<S>
<C> <C> <C> <C>
VALUE EQUITY PORTFOLIO:
Sold..................................................
1,399,364 $21,521,949 2,222,471 $28,332,580
Issued as reinvestment of dividends...................
140,281 2,189,789 38,284 453,284
Redeemed..............................................
(152,911) (2,296,740) (504,238) (6,227,257)
- --------- ----------- ---------- ------------
Net increase..........................................
1,386,734 $21,414,998 1,756,517 $22,558,607
========= =========== ========== ============
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95
- ---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------- ----------- ---------- ------------
<S>
<C> <C> <C> <C>
VALUE SMALL CAP PORTFOLIO:
Sold..................................................
987,542 $12,551,054 1,595,481 $18,222,669
Issued as reinvestment of dividends...................
222,513 2,926,055 85,375 927,175
Redeemed..............................................
(173,171) (2,149,058) (653,036) (7,306,626)
- --------- ----------- ---------- ------------
Net increase..........................................
1,036,884 $13,328,051 1,027,820 $11,843,218
========= =========== ========== ============
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95
- ---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------- ----------- ---------- ------------
<S>
<C> <C> <C> <C>
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO:
Sold..................................................
835,121 $ 9,219,486 1,060,461 $11,485,921
Issued as reinvestment of dividends...................
53,384 568,005 4,969 51,383
Redeemed..............................................
(183,682) (2,033,987) (301,075) (3,223,862)
- --------- ----------- ---------- ------------
Net increase..........................................
704,823 $ 7,753,504 764,355 $ 8,313,442
========= =========== ========== ============
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95
- ---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------- ----------- ---------- ------------
<S>
<C> <C> <C> <C>
T. ROWE PRICE EQUITY INCOME PORTFOLIO:
Sold..................................................
1,614,783 $22,039,856 1,809,529 $20,726,649
Issued as reinvestment of dividends...................
29,619 409,929 -- --
Redeemed..............................................
(38,120) (520,263) (130,807) (1,409,949)
- --------- ----------- ---------- ------------
Net increase..........................................
1,606,282 $21,929,522 1,678,722 $19,316,700
========= =========== ========== ============
</TABLE>
38
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1996
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/96 12/31/95*
- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
- --------- ----------- --------- -----------
<S>
<C> <C> <C> <C>
T. ROWE PRICE GROWTH STOCK PORTFOLIO:
Sold..................................................
1,153,659 $16,594,501 1,804,168 $21,881,004
Issued as reinvestment of dividends...................
42,717 624,095 -- --
Redeemed..............................................
(57,972) (827,122) (226,461) (2,677,753)
- --------- ----------- --------- -----------
Net increase..........................................
1,138,404 $16,391,474 1,577,707 $19,203,251
========= =========== ========= ===========
</TABLE>
======================
* The T. Rowe Price Equity Income Portfolio and the T. Rowe
Price Growth
Stock Portfolio commenced operations on January 3, 1995.
5. ORGANIZATION COSTS
Organization costs are amortized on a straight-line basis over a
period of five
years from the commencement of operations of each Portfolio. In
the event that
any of the initial shares (TCW Money Market Portfolio--100,000
shares, TCW
Managed Asset Allocation Portfolio--10,000 shares, T. Rowe Price
International
Stock Portfolio--10,000 shares, Value Equity Portfolio--10
shares, Value Small
Cap Portfolio--10 shares, Dreyfus U.S. Government Securities
Portfolio--10
shares, T. Rowe Price Equity Income Portfolio--10 shares, and T.
Rowe Price
Growth Stock Portfolio--10 shares) owned by a separate account of
PFL Life
Insurance Company are redeemed during such amortization period,
the redemption
proceeds will be reduced for any unamortized organization costs
in the same
proportion as the number of shares redeemed bears to the number
of initial
shares outstanding at the time of the redemption. The Fund bears
the expense of
registering and qualifying its shares of the various Portfolios
for
distribution under Federal and state securities regulations. As
of June 30,
1996, all such costs for the TCW Money Market Portfolio, TCW
Managed Asset
Allocation Portfolio and T. Rowe Price International Stock
Portfolio have been
fully amortized.
6. FOREIGN SECURITIES
The Portfolios may invest in foreign securities. Investing in
securities of
foreign companies and foreign governments involves special risks
and
considerations not typically associated with investing in the
securities of
U.S. companies and the U.S. government. These risks include re-
valuation of
currencies and future adverse political and economic
developments. Moreover,
securities of many foreign companies and foreign governments and
their markets
may be less liquid and their prices more volatile than those of
securities of
comparable U.S. companies and the U.S. government.
The T. Rowe Price International Stock Portfolio and the T. Rowe
Price Growth
Stock Portfolio's investment policies prohibit each portfolio
from investing
more than 15% of the market or other fair value of its total
assets in illiquid
securities, including securities that are not readily marketable,
securities
that are restricted as to disposition under Federal securities
laws or
otherwise, repurchase agreements maturing in more than seven
days, interest
only and principal only mortgage-backed securities, certain
options traded in
the over-the-counter market and the securities to which such
options relate. In
purchasing securities which could not be sold by a portfolio
without
registration under the Securities Act of 1933, as amended, a
portfolio will
endeavor to obtain the right to registration at the expense of
the issuer.
There generally will be a lapse of time between the decision by a
portfolio to
sell any such security and the registration of the security
permitting the
sale. During any such period, the security will be subject to
market
fluctuations.
7. CAPITAL LOSS CARRYFORWARD
As of December 31, 1995, the Portfolios had available for federal
tax purposes
unused capital loss carryforwards as follows:
<TABLE>
<CAPTION>
EXPIRING IN 2000 EXPIRING IN 2001 EXPIRING IN 2002 EXPIRING IN
2003
-----
- ----------- ---------------- ---------------- ----------------
<S> <C>
<C> <C> <C>
TCW Money Market Portfolio.............................
- -- -- $ 215 --
TCW Managed Asset Allocation Portfolio.................
$54,786 $191,566 3,991,365 $4,769,364
T. Rowe Price International Stock Portfolio............
- -- -- -- 4,376,757
</TABLE>
39
