<PAGE>
ENDEAVOR
ENDEAVOR SERIES TRUST
The Bridge to Equity Opportunity
Dreyfus Small Cap Value Portfolio
------------
Dreyfus U.S. Government Securities Portfolio
------------
Enhanced Index Portfolio
------------
Opportunity Value Portfolio
------------
Value Equity Portfolio
------------
T. Rowe Price International Stock Portfolio
------------
TCW Managed Asset Allocation Portfolio
------------
TCW Money Market Portfolio
------------
T. Rowe Price Equity Income Portfolio
------------
T. Rowe Price Growth Stock Portfolio
SEMI-ANNUAL REPORT
JUNE 30, 1997
<PAGE>
SHAREHOLDER LETTER
Fellow Shareholders:
As President of the Endeavor Series Trust, I am pleased to report competitive
returns for the period ending June 30, 1997. Through quality investments, the
Endeavor Management Team continues to position the portfolios of Endeavor
Series Trust to benefit from present and future financial markets to meet long-
term financial objectives.
Endeavor is pleased to have recently added a new portfolio: the Enhanced Index
Portfolio managed by J.P. Morgan Investment Management. This portfolio offers
both the passive approach found in the S&P 500 Index and the active management
of a stock portfolio.
On behalf of the Board of Trustees and the entire Endeavor Management Team, I
would like to sincerely thank you for your continued confidence in the Endeavor
Variable Annuity and the Endeavor Series Trust.
Questions and comments from our shareholders are always welcome. Please don't
hesitate to give us a call.
Sincerely,
LOGO
/s/ James R. McInnis
James R. McInnis
President
July 21, 1997
1
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 95.4%
FINANCIAL SERVICES -- 10.9%
14,000 ALBANK Financial Corporation............................ $ 553,000
18,500 ARM Financial Group, Inc. .............................. 370,000
20,700 Astoria Financial Corporation........................... 983,250
29,200 Bay View Capital Corporation............................ 766,500
30,000 Block (H&R) Inc. ....................................... 967,500
48,600 City National Corporation............................... 1,169,438
18,800 Coast Savings Financial, Inc.+.......................... 854,225
9,600 Downey Financial Corporation............................ 226,800
25,200 FirstFed Financial Corporation+......................... 782,775
12,600 First Savings Bank of Washington........................ 280,350
20,000 Flushing Financial Corporation.......................... 447,500
19,000 Glendale Federal Bank FSB+.............................. 496,375
34,000 Greater New York Savings Bank........................... 762,875
19,800 Illinova Corporation.................................... 435,600
14,900 Long Island Bancorp, Inc. .............................. 541,056
16,400 ML Bancop............................................... 317,750
45,500 PFF Bancorp, Inc. ...................................... 853,125
13,600 Pinnacle West Capital Corporation....................... 408,850
12,100 Pulte Corporation....................................... 418,206
16,800 RCSB Financial, Inc. ................................... 804,300
------------
12,439,475
------------
RETAIL -- 9.2%
55,600 Apple South, Inc. ...................................... 847,900
32,300 Duty Free International, Inc. .......................... 605,625
60,800 Footstar, Inc.+......................................... 1,588,400
20,400 Fossil, Inc.+........................................... 362,100
36,100 Gymboree Corporation+................................... 866,400
12,000 Harcourt General, Inc. ................................. 571,500
33,000 Huffy Corporation....................................... 482,625
23,200 MicroAge, Inc.+......................................... 426,300
45,200 Micro Warehouse, Inc.+.................................. 774,050
37,200 Neiman Marcus Group, Inc.+.............................. 976,500
69,600 Oakley, Inc.+........................................... 978,750
31,400 Saks Holdings, Inc.+.................................... 785,000
115,200 Sunglass Hut International, Inc.+....................... 727,200
22,000 Woolworth Corporation+.................................. 528,000
------------
10,520,350
------------
TRANSPORTATION -- 7.6%
22,500 Arkansas Best Corporation+.............................. 205,312
46,400 Arnold Industries, Inc. ................................ 788,800
40,500 Avondale Industries, Inc.+.............................. 850,500
38,400 Caliber System, Inc. ................................... 1,430,400
21,000 Circle International Group, Inc. ....................... 553,875
27,400 Knightsbridge Tankers Ltd.+............................. 691,850
24,400 Landstar Systems, Inc.+................................. 686,250
30,700 Skywest, Inc. .......................................... 479,687
40,900 USFreightways Corporation............................... 1,058,288
16,000 Werner Enterprises, Inc. ............................... 310,000
72,900 Yellow Corporation+..................................... 1,631,138
------------
8,686,100
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
INSURANCE -- 4.6%
24,300 Allmerica Financial Corporation.......................... $ 968,962
29,600 Citizens Corporation..................................... 817,700
38,200 Everest Reinsurance Holdings, Inc. ...................... 1,513,675
15,700 Guaranty Life............................................ 394,462
6,000 Horace Mann Educators.................................... 294,000
29,500 Nationwide Financial Services, Inc. ..................... 783,594
15,400 SCPIE Holdings Inc. ..................................... 428,312
------------
5,200,705
------------
MEDICAL SUPPLIES -- 4.4%
27,600 Bard (C.R.), Inc. ....................................... 1,002,225
13,900 Bindley Western Industries, Inc. ........................ 318,831
32,100 CONMED Corporation+...................................... 545,700
66,500 Perrigo Company+......................................... 831,250
82,700 Quest Dianostics Inc.+................................... 1,700,519
24,600 Spacelabs Medical, Inc.+................................. 627,300
------------
5,025,825
------------
OIL AND GAS -- 4.1%
24,600 Aquila Gas Pipeline Corporation.......................... 342,863
10,400 Cabot Oil and Gas Corporation............................ 183,300
29,100 Dravo Corporation+....................................... 316,463
62,600 Houston Exploration Company+............................. 974,213
8,500 Marine Drilling Companies, Inc.+......................... 166,812
57,300 Oryx Energy Company+..................................... 1,210,463
31,000 Santa-Fe Energy Resources, Inc.+......................... 455,312
40,500 Titan Exploration, Inc.+................................. 491,062
15,000 Weatherford Enterra, Inc.+............................... 577,500
------------
4,717,988
------------
ELECTRONICS -- 4.1%
26,600 AVX Corporation.......................................... 718,200
6,400 Charter Power Systems, Inc. ............................. 240,000
19,000 Cubic Corporation........................................ 494,000
29,700 ESCO Electronics Corporation............................. 374,963
32,500 Exar Corporation+........................................ 698,750
36,200 FSI International, Inc.+................................. 579,200
32,400 International Rectifier Corporation+..................... 603,450
16,000 Oak Industries, Inc.+.................................... 460,000
17,760 Vishay Intertechnology, Inc. ............................ 513,930
------------
4,682,493
------------
TELECOMMUNICATIONS -- 3.7%
15,600 Allen Group, Inc.+....................................... 323,700
50,000 ANTEC Corporation+....................................... 587,500
41,600 General Instrument Corporation+.......................... 1,040,000
19,700 Network Equipment Technologies, Inc.+.................... 354,600
57,900 Scientific-Atlanta, Inc. ................................ 1,266,563
27,900 Tele-communications, Inc., Class A+...................... 662,625
------------
4,234,988
------------
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
COMPUTER SERVICE AND SOFTWARE -- 3.2%
15,400 Ceridian Corporation+................................... $ 650,650
26,000 Exabyte Corporation+.................................... 333,125
105,800 Symantec Corporation+................................... 2,063,100
38,600 ViewLogic Systems, Inc.+................................ 564,525
------------
3,611,400
------------
CHEMICALS -- 3.1%
42,200 Albemarle Corporation................................... 888,838
12,200 FMC Corporation+........................................ 969,138
29,700 Geon Company............................................ 601,425
30,000 Quaker Chemical Corporation............................. 521,250
23,700 Schulman (A.), Inc. .................................... 583,612
------------
3,564,263
------------
HEALTH CARE -- 3.1%
33,000 Foundation Health Systems, Inc.+........................ 1,000,313
43,900 Mid Atlantic Medical Services, Inc.+.................... 683,194
4,300 Sierra Health Services+................................. 134,375
34,800 Trigon Healthcare, Inc.+................................ 843,900
18,700 Vencor, Inc.+........................................... 808,775
------------
3,470,557
------------
FOOD AND BEVERAGES -- 2.9%
25,600 Bob Evans Farms, Inc. .................................. 433,600
14,800 Dole Food Company, Inc. ................................ 632,700
51,000 Hudson Foods, Inc. ..................................... 831,938
18,900 Ingles Markets Inc., Class A............................ 309,488
48,700 J.M. Smucker Company, Class B........................... 1,056,181
------------
3,263,907
------------
COMPUTERS -- 2.9%
22,200 Applied Magnetics Corporation+.......................... 502,275
36,200 Cypress Semiconductor+.................................. 524,900
52,100 HMT Technology Corporation+............................. 674,044
48,300 LTX Corporation+........................................ 313,950
36,600 Read-Rite Corporation+.................................. 764,025
31,000 Silicon Graphics, Inc.+................................. 465,000
------------
3,244,194
------------
MEDIA AND COMMUNICATIONS -- 2.4%
10,200 Chancellor Broadcasting, Class A+....................... 408,000
23,800 Cox Radio, Inc., Class A+............................... 609,875
10,400 Emmis Broadcasting Corporation+......................... 453,700
6,600 Ortel Corporation....................................... 118,800
35,300 Young Broadcasting Corporation, Class A+................ 1,147,250
------------
2,737,625
------------
BUILDING AND CONSTRUCTION -- 2.2%
27,200 CalMat Company.......................................... 584,800
27,300 Chicago Bridge & Iron Company NV+....................... 604,012
36,300 Jacobs Engineering Group, Inc.+......................... 975,563
18,800 PLY-GEM Industries, Inc. ............................... 340,750
------------
2,505,125
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
MACHINERY AND ENGINEERING -- 2.1%
13,000 AGCO Corporation......................................... $ 467,187
17,600 Amcast Industrial Corporation............................ 440,000
20,500 OmniQuip International, Inc.+............................ 474,062
22,200 Pacific Scientific Company............................... 294,150
28,800 Stewart & Stevenson Services, Inc. ...................... 748,800
------------
2,424,199
------------
CONSUMER SERVICES -- 2.0%
85,000 ACNielson Corporation+................................... 1,668,125
32,200 Olsten Corporation....................................... 625,887
------------
2,294,012
------------
PAPER AND PAPER PRODUCTS -- 2.0%
18,000 American Greetings....................................... 668,250
22,000 James River Corporation of Virginia...................... 814,000
42,500 Wausau Paper Mills Company............................... 802,188
------------
2,284,438
------------
PRINTING AND PUBLISHING -- 1.9%
47,800 Harland (John H.) Company................................ 1,090,438
65,100 Hollingher International, Inc. ......................... 728,306
15,800 World Color Press, Inc.+................................. 375,250
------------
2,193,994
------------
METALS & MINING -- 1.7%
27,000 Commonwealth Industries Inc. ........................... 550,125
55,000 Special Metals Corporation+.............................. 1,072,500
9,900 Titanium Metals Corporation+............................. 313,087
------------
1,935,712
------------
REAL ESTATE -- 1.7%
35,400 Catellus Development Corporation+........................ 641,625
72,500 Kaufman & Broad Home Corporation......................... 1,273,281
------------
1,914,906
------------
TEXTILES AND APPAREL -- 1.3%
56,000 Dyersburg Corporation.................................... 476,000
47,200 Phillips-Van Heusen Company.............................. 708,000
15,600 Pillowtex Corporation.................................... 342,225
------------
1,526,225
------------
AGRICULTURE -- 1.3%
49,300 Hecla Mining Company+.................................... 264,987
29,200 Mississippi Chemical Corporation......................... 605,900
20,200 Scotts Company (The), Class A+........................... 585,800
------------
1,456,687
------------
MANUFACTURING -- 1.3%
26,900 Imation Corporation+..................................... 709,488
16,500 US Industries, Inc.+..................................... 587,812
12,600 Vitro, Sociedad Anonima, ADS............................. 141,750
------------
1,439,050
------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
DIVERSIFIED OPERATIONS -- 1.3%
44,400 Calgon Carbon Corporation................................ $ 616,050
24,100 Griffon Corporation+..................................... 329,869
23,500 MascoTech, Inc. ......................................... 490,562
------------
1,436,481
------------
ADVERTISING -- 1.2%
54,500 True North Communications, Inc. ......................... 1,348,875
------------
STEEL -- 1.0%
53,000 Bethlehem Steel Corporation+............................. 553,188
22,100 Birmingham Steel Corporation............................. 342,550
12,800 Lukens Inc. ............................................. 240,800
------------
1,136,538
------------
PHARMACEUTICALS -- 0.9%
24,400 Watson Pharmaceuticals+.................................. 1,030,900
------------
UTILITIES -- 0.9%
21,300 Boston Edison Company.................................... 561,788
12,500 New England Electric System.............................. 462,500
------------
1,024,288
------------
CONTAINERS -- 0.8%
54,700 Gaylord Container Corporation, Class A+.................. 420,506
35,000 Stone Container Corporation.............................. 500,937
------------
921,443
------------
AEROSPACE & DEFENSE -- 0.5%
16,900 UNC, Inc.+............................................... 247,162
10,500 Watkins- Johnson Company................................. 322,875
------------
570,037
------------
LEISURE -- 0.4%
15,300 Carmike Cinemas, Inc., Class A+.......................... 501,075
------------
AUTO PARTS -- 0.4%
20,900 Excel Industries, Inc. .................................. 407,550
------------
OTHER -- 4.3%
12,500 Alberto-Culver Company, Class A.......................... 291,406
25,800 Borg-Warner Security Corporation+........................ 461,175
14,300 Essex International, Inc.+............................... 398,612
9,500 General Signal Corporation............................... 414,438
64,400 Newport News Shipbuilding Inc+........................... 1,251,775
21,400 Polaroid Corporation..................................... 1,187,700
27,600 RMI Titanium Company+.................................... 752,100
11,500 Special Devices, Inc.+................................... 181,125
------------
4,938,331
------------
Total Common Stock
(Cost $94,212,944)...................................... 108,689,736
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 3.0% (Cost $3,450,000)
$3,450,000 General Electric Capital Corporation,
6.100% due 07/01/1997.............................. $ 3,450,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $97,662,944*)...................... 98.4% 112,139,736
OTHER ASSETS AND LIABILITIES (NET)......................... 1.6 1,789,111
----- ------------
NET ASSETS................................................. 100.0% $113,928,847
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
Abbreviation:
ADS -- American Depositary Shares
See Notes to Financial Statements.
4
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 44.7%
U.S. TREASURY NOTES -- 31.2%
U.S. Treasury Notes:
$5,683,000 5.500% due 11/15/1998................................. $ 5,649,243
1,279,000 5.875% due 11/15/1999................................. 1,270,801
1,304,000 6.375% due 08/15/2002................................. 1,303,596
2,913,000 6.500% due 10/15/2006................................. 2,900,707
-----------
11,124,347
-----------
U.S. TREASURY BONDS -- 13.5%
U.S. Treasury Bonds:
4,611,000 7.250% due 08/15/2022................................. 4,813,469
-----------
Total U.S. Treasury Obligations
(Cost $15,821,195).................................... 15,937,816
-----------
MORTGAGE-BACKED SECURITIES -- 27.8%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 13.2%
FNMA:
200,224 7.000% due 08/01/2003................................. 200,849
190,034 6.500% due 11/01/2003................................. 187,934
545,924 6.000% due 03/01/2004................................. 529,885
249,223 7.500% due 06/01/2009................................. 253,896
236,410 7.536% due 06/01/2016................................. 238,995
58,807 7.000% due 07/01/2022................................. 58,096
171,918 7.000% due 07/01/2023................................. 169,500
255,857 6.500% due 02/01/2026................................. 244,904
216,177 7.000% due 09/01/2026................................. 211,784
422,970 ACES, 95-M1-E,
2.526%# due 07/25/2010................................ 31,723
180,000 ACES, 95-M1-G,
2.336%# due 07/25/2010................................ 17,100
698,000 ACES, 95-M1-H,
2.211%# due 07/25/2010................................ 85,505
675,000 30 Year, TBA,
8.500% due 09/01/2026................................. 700,313
705,000 30 Year, TBA,
8.000% due 07/01/2027................................. 720,637
892,000 30 Year, TBA,
8.500% due 07/01/2027................................. 925,450
125,000 Series 1996-M7, Class B,
6.856%# due 06/17/2011................................ 123,789
-----------
4,700,360
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 8.0%
FHLMC:
299,047 7.000% due 01/01/2000................................. 301,155
139,207 9.000% due 10/01/2005................................. 145,557
92,608 5.500% due 05/01/2011................................. 87,414
522,169 7.500% due 06/01/2012................................. 531,861
235,336 9.500% due 07/25/2022................................. 253,088
510,000 5.500% due 09/15/2022................................. 425,371
277,295 9.500% due 12/01/2022................................. 298,869
799,000 Gold, 30 Year TBA,
7.500% due 07/15/2026................................. 801,996
-----------
2,845,311
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 6.6%
GNMA:
270,174 8.000% due 07/15/2017................................. 280,557
236,989 8.500% due 12/15/2021................................. 248,689
380,772 9.000% due 12/15/2021................................. 407,243
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
$ 256,930 7.000% due 11/15/2023................................ $ 253,559
455,735 7.500% due 12/15/2023................................ 459,153
263,816 8.500% due 05/15/2027................................ 274,120
417,000 8.000% due 06/15/2027................................ 426,641
-----------
2,349,962
-----------
Total Mortgage-Backed Securities
(Cost $9,890,670).................................... 9,895,633
-----------
CORPORATE FIXED INCOME SECURITIES -- 18.0%
FINANCIAL SERVICES -- 6.0%
65,000 Aetna Travelers, Note,
6.750% due 04/15/2001................................ 65,107
40,000 Ahmanson (H.F.) & Company, Medium Term Note,
7.650% due 04/15/2000................................ 40,969
100,000 ANZ Banking Group Ltd., Subordinate Note,
7.550% due 09/15/2006................................ 102,536
Associates Corporation of North America, Senior
Notes:
60,000 6.625% due 05/15/2001................................ 59,820
50,000 6.750% due 07/15/2001................................ 50,122
45,000 6.750% due 08/01/2001................................ 45,056
250,000 First National Bank of Boston, Subordinate Note,
7.375% due 09/15/2006................................ 252,570
160,000 First Security Corporation, Senior Note,
6.875% due 11/15/2006................................ 156,414
95,000 Fleet Financial Group, Inc., Subordinate Note,
7.125% due 04/15/2006................................ 94,732
104,822 Fleetwood Credit Corporation, 1997-A, Note,
6.640% due 09/15/2012................................ 105,116
305,000 Great Western Financial Corporation, Notes,
8.206% due 02/01/2027................................ 304,152
150,000 Lehman Brothers, Inc., Senior Subordinate Note,
6.125% due 02/01/2001................................ 147,123
30,000 Lincoln National Corporation, Note,
7.250% due 05/15/2005................................ 29,981
79,000 Midland Bank, Subordinate Note,
7.625% due 06/15/2006................................ 81,358
117,000 Morgan Stanley & Company, Notes,
7.630% due 12/15/2006................................ 121,058
Paine Webber Group Inc.:
190,000 Medium Term Note,
8.060% due 01/17/2017................................ 196,401
30,000 Senior Note,
7.625% due 10/15/2008................................ 30,308
Sears Roebuck Acceptance Corporation, Medium Term
Notes:
45,000 5.710% due 02/06/2001................................ 43,608
105,000 6.690% due 04/30/2001................................ 104,923
Smith Barney Holdings Inc., Medium Term Notes:
25,000 7.875% due 10/01/1999................................ 25,682
80,000 7.125% due 10/01/2006................................ 79,500
-----------
2,136,536
-----------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
RETAIL -- 1.5%
Federated Department Stores Inc., Senior Notes:
$ 80,000 10.000% due 02/15/2001................................ $ 87,400
50,000 8.125% due 10/15/2002................................ 52,188
Kroger Company, Senior Notes:
160,000 10.000% due 05/01/1999................................ 169,000
80,000 8.150% due 07/15/2006................................ 84,349
140,000 Safeway Inc., Senior Subordinate Debenture,
9.650% due 01/15/2004................................. 156,428
-----------
549,365
-----------
MEDIA AND COMMUNICATIONS -- 1.4%
190,000 Paramount Communications, Notes,
5.875% due 07/15/2000................................. 183,924
80,000 Rogers Cablesystems, Note,
9.625% due 08/01/2002................................. 84,400
245,000 360 Communications Company, Senior Note,
7.125% due 03/01/2003................................. 243,650
-----------
511,974
-----------
OIL AND GAS -- 1.3%
50,000 Gulf Canada Resources Ltd., Subordinate Debentures,
9.625% due 07/01/2005................................. 53,750
175,000 NorAm Energy, Note,
7.500% due 08/01/2000................................. 178,518
30,000 Norcen Energy Resources, Debenture,
7.375% due 05/15/2006................................. 30,323
Oryx Energy Company, Debentures:
90,000 9.500% due 11/01/1999................................ 94,508
90,000 10.000% due 04/01/2001................................ 98,168
-----------
455,267
-----------
BUILDING AND CONSTRUCTION -- 1.0%
330,000 USG Corporation, Senior Note,
9.250% due 09/15/2001................................. 348,975
-----------
HEALTH CARE -- 0.9%
Tenet Healthcare Corporation, Senior Notes:
70,000 9.625% due 09/01/2002................................. 75,250
70,000 8.625% due 12/01/2003................................. 72,450
180,000 8.000% due 01/15/2005................................. 180,450
-----------
328,150
-----------
SOVEREIGN -- 0.8%
85,000 Province of Quebec, Notes,
7.125% due 02/09/2024................................. 79,948
105,000 Republic of Columbia, Note,
7.625% due 02/15/2007................................. 102,480
125,000 Republic of Indonesia, Note,
7.750% due 08/01/2006................................. 125,098
-----------
307,526
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
ENTERTAINMENT AND LEISURE -- 0.8%
$ 52,000 Hilton Hotels Corporation, Notes,
7.375% due 06/01/2002................................. $ 52,373
237,000 Royal Caribbean Cruises, Note,
7.125% due 09/18/2002................................. 238,071
-----------
290,444
-----------
TRANSPORTATION -- 0.7%
100,000 Burlington Northern Railroad, Certificates,
6.960% due 03/22/2009................................. 99,300
170,000 Union Pacific Corporation, Note,
6.700% due 12/01/2006................................. 164,625
-----------
263,925
-----------
AEROSPACE AND DEFENSE -- 0.5%
190,000 Lockheed Martin Corporation, Guaranteed Debenture,
7.750% due 05/01/2026................................. 194,630
-----------
INDUSTRIAL -- 0.5%
165,000 American Standard Corporation, Notes,
10.875% due 05/15/1999................................ 175,725
-----------
TEXTILES -- 0.5%
170,000 Westpoint Stevens Inc., Senior Note,
8.750% due 12/15/2001................................. 175,100
-----------
UTILITIES -- 0.5%
140,000 El Paso Electric Company, First Mortgage,
7.250% due 02/01/1999................................. 140,256
20,000 Ohio Edison, First Mortgage,
8.750% due 02/15/1998................................. 20,318
-----------
160,574
-----------
MANUFACTURING -- 0.3%
102,000 Conagra Inc., Senior Note,
7.125% due 10/01/2026................................. 102,453
-----------
AUTOMOTIVE -- 0.2%
55,000 Ford Motor Company, Notes,
7.400% due 11/01/2046................................. 53,579
-----------
LEASING -- 0.1%
50,000 Hertz Corporation, Junior Subordinate Note,
7.000% due 07/15/2003................................. 49,895
-----------
OTHER -- 1.0%
100,000 ADT Operations, Inc., Guaranteed Senior Note,
8.250% due 08/01/2000................................. 104,000
235,000 Loewen Group, Inc., Notes,
7.500% due 04/15/2001................................. 237,350
-----------
341,350
-----------
Total Corporate Fixed Income Securities
(Cost $6,384,517)..................................... 6,445,468
-----------
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
AGENCY SECURITIES -- 6.1%
FEDERAL FARM CREDIT BANK (FFCB) -- 2.8%
$1,000,000 FFCB, Medium Term Note,
6.250% due 06/26/1998................................ $ 1,002,340
-----------
TENNESSEE VALLEY AUTHORITY (TVA) -- 1.8%
625,000 TVA,
8.375% due 10/01/1999................................ 651,756
-----------
FEDERAL HOME LOAN BANK (FHLB) -- 1.5%
550,000 FHLB,
5.590% due 01/05/2001................................ 535,046
-----------
Total Agency Securities
(Cost $2,220,046).................................... 2,189,142
-----------
ASSET-BACKED SECURITIES -- 1.0%
92,000 MCFI, 97-MCI, A3,
7.288% due 03/20/2007................................ 92,920
The Money Store:
65,000 Series 1994-B-A4,
7.600% due 07/15/2021................................ 66,402
34,000 Series 1994-CI-A4,
7.800% due 10/15/2021................................ 34,850
144,000 Series 1996-C-A6,
7.690% due 06/15/2024................................ 147,420
-----------
Total Asset-Backed Securities
(Cost $336,525)...................................... 341,592
-----------
REPURCHASE AGREEMENT -- 9.1% (Cost $3,245,000)
3,245,000 Agreement with UBS, 5.850% dated 06/30/97 to be
repurchased at $3,245,527 on 07/01/97 collateralized
by $3,245,000 U.S. Treasury Note, 6.000% due
08/15/99............................................ 3,245,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $37,897,953*)....................... 106.7% 38,054,651
OTHER ASSETS & LIABILITIES (NET)............................ (6.7) (2,389,550)
----- -----------
NET ASSETS.................................................. 100.0% $35,665,101
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
# Variable rate security. The interest rate shown reflects the rate in effect
at June 30, 1997.
Abbreviations:
Gold -- Payments are on an accelerated 45-day payment cycle instead of 75-day
payment cycle.
TBA -- To Be Announced
See Notes to Financial Statements.
7
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
COMMON STOCK -- 98.3%
TELECOMMUNICATIONS -- 7.6%
801 Airtouch Communications, Inc.+............................. $ 21,927
520 Comcast Corporation, Class A............................... 11,115
229 Frontier Corporation....................................... 4,566
448 GTE Corporation............................................ 19,656
968 MCI Communications Corporation............................. 37,056
1,433 Nynex Corporation.......................................... 82,577
1,289 SBC Communications, Inc. .................................. 79,757
638 Sprint Corporation......................................... 33,575
1,141 Tele Communications Inc., Class A+......................... 16,972
196 360 Communications Company+................................ 3,357
1,029 US West Inc. .............................................. 20,837
614 Viacom Inc., Class B....................................... 18,420
1,371 WorldCom Inc. ............................................. 43,872
----------
393,687
----------
TECHNOLOGY -- 7.5%
107 Adobe Systems, Inc.+....................................... 3,752
296 Bay Networks, Inc.+........................................ 7,862
236 Cabletron Systems, Inc.+................................... 6,682
411 Compaq Computer Corporation+............................... 40,792
544 Computer Associates International, Inc.+................... 30,294
81 Electronic Arts Inc.+...................................... 2,724
730 Electronic Data Systems Corporation........................ 29,930
62 Harris Corporation......................................... 5,208
818 Intel Corporation.......................................... 116,003
477 Microsoft Corporation+..................................... 60,281
194 Quantum Corporation+....................................... 3,941
70 Read-Rite Corporation+..................................... 1,461
264 Silicon Graphics, Inc.+.................................... 3,960
577 Sun Microsystems Inc.+..................................... 21,475
67 Symbol Technologies, Inc. ................................. 2,253
4 Texas Instruments, Inc. ................................... 336
615 Xerox Corporation.......................................... 48,508
----------
385,462
----------
PHARMACEUTICALS -- 7.1%
259 ALZA Corporation+.......................................... 7,495
1,100 American Home Products Corporation......................... 84,150
594 Bristol-Myers Squibb Company............................... 48,114
69 Forest Laboratories, Inc.+................................. 2,859
377 Merck & Company............................................ 39,019
321 Pfizer Inc. ............................................... 38,359
1,480 Schering-Plough Corporation................................ 70,855
585 Warner-Lambert Company..................................... 72,686
133 Watson Pharmaceuticals..................................... 5,619
----------
369,156
----------
FINANCIAL SERVICES -- 6.6%
62 A.G. Edwards Inc. ......................................... 2,674
121 Alex Brown, Inc. .......................................... 8,546
59 Associates First Capital Corporation....................... 3,274
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
118 Bear Stearns Companies, Inc. .............................. $ 4,034
57 Beneficial Corporation..................................... 4,050
473 Citicorp................................................... 57,026
43 ContiFinancial Corporation+................................ 1,570
215 Corestate Financial Corporation............................ 11,556
241 Equifax, Inc.+............................................. 8,962
272 Federal Home Loan Mortgage Corporation..................... 9,350
1,093 Federal National Mortgage Association...................... 47,682
27 Finova Group, Inc. ........................................ 2,065
702 First Data Corporation..................................... 30,844
117 Fleet Financial Group, Inc. ............................... 7,400
143 Great Western Financial Corporation........................ 7,686
110 Household International, Inc. ............................. 12,918
99 Lehman Brothers Holdings, Inc. ............................ 4,010
591 Morgan Stanley/Dean Witter Discover........................ 25,437
92 Paine Webber Group, Inc. .................................. 3,220
108 Providian Corporation...................................... 3,469
96 St. Paul Companies, Inc. .................................. 7,320
115 Salomon Inc. .............................................. 6,397
600 Standard & Poor's Depositary Receipt....................... 52,987
96 Summit Bankcorp............................................ 4,812
34 TCF Financial Corporation.................................. 1,679
56 The Money Store Inc. ...................................... 1,606
64 Union Planters Corporation................................. 3,320
41 Valley National Bancorp.................................... 1,112
129 Washington Mutual, Inc. ................................... 7,708
----------
342,714
----------
PETROLEUM -- INTERNATIONAL -- 6.5%
37 Amoco Corporation.......................................... 3,217
2,394 Exxon Corporation.......................................... 147,231
1,128 Mobil Corporation.......................................... 78,819
516 Occidental Petroleum Corporation........................... 12,932
412 Phillips Petroleum Company................................. 18,025
1,408 Royal Dutch Petroleum Company, ADR......................... 76,560
----------
336,784
----------
CONSUMER PRODUCTS -- 6.3%
206 Black & Decker Company..................................... 7,661
856 Chrysler Corporation....................................... 28,088
152 Eastman Kodak Company...................................... 11,666
81 Lear Seating Corporation+.................................. 3,594
159 Leggett & Platt, Inc. ..................................... 6,837
1,738 Philip Morris Companies Inc. .............................. 77,124
792 Proctor & Gamble Company................................... 111,870
63 RJR Nabisco Holdings Corporation, Class A.................. 2,512
283 Rubbermaid, Inc. .......................................... 8,419
111 Sensormatic Electronics Corporation........................ 1,429
406 Service Corporation International.......................... 13,347
201 Unilever, NV ADR........................................... 43,027
170 Whirlpool Corporation...................................... 9,276
----------
324,850
----------
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
FOOD AND BEVERAGE -- 6.1%
608 Anheuser-Busch Companies Inc. ............................. $ 25,498
1,089 Coca-Cola Company.......................................... 75,958
175 CPC International, Inc. ................................... 16,155
202 General Mills Inc. ........................................ 13,155
449 Heinz (H.J.) Company....................................... 20,710
261 Kellogg Company............................................ 22,348
264 McDonald's Corporation..................................... 12,755
1,925 PepsiCo, Inc. ............................................. 72,308
134 Ralston-Purina Group....................................... 11,013
538 Sara Lee Corporation....................................... 22,394
622 Seagram Company Ltd. ...................................... 25,035
----------
317,329
----------
BANKING -- 5.8%
104 Ahmanson (H.F.) & Company.................................. 4,472
604 Banc One Corporation....................................... 29,287
150 BankBoston Corporation..................................... 10,809
107 BB&T Corporation........................................... 4,815
58 Central Fidelity Banks, Inc. .............................. 2,059
45 Charter One Financial, Inc. ............................... 2,424
439 Chase Manhattan Corporation................................ 42,610
105 Comerica Inc. ............................................. 7,140
35 Commerce Bancshares, Inc. ................................. 1,584
108 Crestar Financial Corporation.............................. 4,198
43 Deposit Guaranty Corporation............................... 1,354
58 First American Corporation................................. 2,226
318 First Chicago Corporation NBD.............................. 19,239
38 First Commerce Corporation................................. 1,672
7 First Empire State Corporation............................. 2,359
65 First Tennessee National Corporation....................... 3,120
288 First Union Corporation.................................... 26,640
32 First Virginia Banks Inc. ................................. 1,930
149 Firstar Corporation........................................ 4,545
56 Golden West Financial Corporation.......................... 3,920
46 Greenpoint Financial Corporation........................... 3,062
126 Hibernia Corporation, Class A.............................. 1,756
146 Huntington Bancshares, Inc. ............................... 4,289
47 Marshall & Ilsley Corporation.............................. 1,945
75 Mercantile Bankshares Corporation.......................... 4,556
751 NationsBank Corporation.................................... 48,440
64 North Fork Bancorporation, Inc. ........................... 1,368
47 Old Kent Financial Corporation............................. 2,551
39 Pacific Century Financial.................................. 1,804
193 PNC Bank Corporation....................................... 8,034
128 Regions Financial Corporation.............................. 4,048
56 Republic NY Corporation.................................... 6,020
59 Signet Banking Corporation................................. 2,124
103 Southtrust Corporation..................................... 4,262
44 Washington Federal, Inc. .................................. 1,130
92 Wells Fargo & Company...................................... 24,794
33 Wilmington Trust Company................................... 1,510
----------
298,096
----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C> <C>
COMPUTER SERVICE AND SOFTWARE -- 5.4%
1,047 Cisco Systems, Inc.+................................... $ 70,280
262 Dell Computer Corporation+............................. 30,769
385 EMC Corporation+....................................... 15,015
230 Gateway 2000, Inc.+.................................... 7,461
1,180 International Business Machines Corporation............ 106,421
938 Oracle Corporation+.................................... 47,252
----------
277,198
----------
RETAIL -- 4.5%
285 Albertson's, Inc. ..................................... 10,403
193 Autozone, Inc.+........................................ 4,548
131 Circuit City Stores--Circuit City Group+............... 4,659
278 Federated Department Stores, Inc.+..................... 9,661
327 Gap, Inc. ............................................. 12,712
100 General Nutrition Companies, Inc.+..................... 2,800
214 Lowe's Companies, Inc. ................................ 7,945
278 May Department Stores Company.......................... 13,135
48 Nine West Group, Inc.+................................. 1,833
303 Penney (J.C.) Company, Inc. ........................... 15,813
522 Sears Roebuck & Company................................ 28,058
308 The Limited Inc. ...................................... 6,237
196 TJX Companies Inc. .................................... 5,170
380 Toys R Us Inc. ........................................ 13,300
2,909 Wal-Mart Stores Inc. .................................. 98,360
----------
234,634
----------
INSURANCE -- 4.3%
47 Aegon N.V., ADR........................................ 3,287
126 Aetna Inc. ............................................ 12,899
231 American General Corporation........................... 11,030
639 American International Group Inc. ..................... 95,451
85 CIGNA Corporation+..................................... 15,087
93 General Re Corporation................................. 16,926
135 Hartford Financial Services Group Inc. ................ 11,171
118 Lincoln National Corporation........................... 7,596
228 Marsh & McLennan Companies, Inc. ...................... 16,274
62 MBIA, Inc. ............................................ 6,994
32 Mercury General Corporation............................ 2,328
145 Safeco Corporation..................................... 6,770
48 The PMI Group Inc. .................................... 2,994
95 Transamerica Corporation............................... 8,888
162 UNUM Corporation....................................... 6,804
----------
224,499
----------
UTILITIES -- ELECTRIC -- 3.4%
119 Allegheny Power System, Inc. .......................... 3,176
196 American Electric Power Company........................ 8,232
164 Baltimore Gas & Electric Company....................... 4,377
236 Central and Southwest Corporation...................... 5,015
154 CINergy Corporation.................................... 5,361
99 CMS Energy Corporation................................. 3,490
239 Consolidated Edison Company of New York, Inc .......... 7,036
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
UTILITIES -- ELECTRIC -- (CONTINUED)
205 Dominion Resources Inc. ............................... $ 7,508
161 DTE Energy Company..................................... 4,448
401 Duke Energy Corporation................................ 19,214
449 Emerson Electric Company............................... 24,723
317 Enron Corporation...................................... 12,937
241 Entergy Corporation.................................... 6,597
118 GPU, Inc. ............................................. 4,233
241 Houston Industries, Inc. .............................. 5,166
74 Illinova Corporation................................... 1,628
64 Kansas City Power & Light Company...................... 1,828
72 New England Electric System............................ 2,664
77 Northern States Power Company.......................... 3,985
218 Peco Energy Company.................................... 4,578
95 Pinnacle West Capital Corporation...................... 2,856
132 Potomac Electric Power Company......................... 3,052
159 PP & L Resources, Inc. ................................ 3,170
708 Southern Company....................................... 15,488
241 Unicom Corporation..................................... 5,362
109 Union Electric Company................................. 4,108
119 Wisconsin Energy Corporation........................... 2,960
----------
173,192
----------
AEROSPACE AND DEFENSE -- 3.1%
540 AlliedSignal Corporation............................... 45,360
156 Coltec Industries, Inc.+............................... 3,042
1,307 McDonnell Douglas Corporation.......................... 89,530
434 Raytheon Company....................................... 22,134
----------
160,066
----------
HEALTHCARE -- 2.9%
1,580 Columbia/HCA Healthcare Corporation.................... 62,114
127 Health Care & Retirement Corporation+.................. 4,239
302 Health Management Associates, Inc.+.................... 8,607
462 Humana, Inc.+.......................................... 10,684
181 Johnson & Johnson Company.............................. 11,652
855 Tenet Healthcare Corporation+.......................... 25,276
527 United Healthcare Corporation.......................... 27,404
----------
149,976
----------
AUTOMOTIVES -- 2.3%
42 Cummins Engine Company, Inc. .......................... 2,964
1,350 Ford Motor Company..................................... 50,962
735 General Motors Corporation, Class H.................... 42,446
191 Goodyear Tire & Rubber Company+........................ 12,093
218 ITT Industries......................................... 5,614
172 Johnson Controls, Inc. ................................ 7,063
----------
121,142
----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
ELECTRICAL EQUIPMENT -- 2.3%
174 Cooper Industries Inc. ................................ $ 8,656
1,608 General Electric Company............................... 105,123
52 General Signal Corporation............................. 2,268
----------
116,047
----------
DIVERSIFIED CHEMICALS -- 2.1%
262 Dow Chemical Company................................... 22,827
1,246 du Pont (E.I.) de Nemours & Company.................... 78,342
90 Raychem Corporation.................................... 6,694
----------
107,863
----------
ENERGY SERVICES -- 1.8%
145 Amerada Hess Corporation............................... 8,056
116 Ashland Inc. .......................................... 5,380
227 Baker Hughes, Inc. .................................... 8,782
195 Burlington Resources Inc. ............................. 8,604
80 Cooper Cameron Corporation+............................ 3,740
52 Diamond Offshore Drilling, Inc.+....................... 4,050
207 Noble Drilling Corporation+............................ 4,670
52 Pogo Producing Company................................. 2,012
315 Tenneco Inc. .......................................... 14,234
205 Tosco Corporation...................................... 6,137
391 Unocal Corporation..................................... 15,176
69 Valero Energy Corporation.............................. 2,501
84 Western Atlas, Inc. ................................... 6,153
160 Wheelabrator Technologies, Inc. ....................... 2,470
----------
91,965
----------
PAPER AND PAPER PRODUCTS -- 1.6%
82 Boise Cascade Corporation.............................. 2,896
66 Bowater, Inc. ......................................... 3,053
130 Champion International Corporation..................... 7,183
117 James River Corporation of Virginia.................... 4,329
689 Kimberly-Clark Corporation............................. 34,278
148 Louisiana-Pacific Corporation.......................... 3,127
115 Mead Corporation....................................... 7,159
123 Temple-Inland, Inc. ................................... 6,642
277 Weyerhauser Company.................................... 14,404
----------
83,071
----------
METALS AND MINING -- 1.3%
291 Alcan Aluminum Ltd. ................................... 10,094
274 Allegheny Teledyne Inc. ............................... 7,398
277 Aluminum Company of America............................ 20,879
326 Freeport McMoRan Copper & Gold Inc., Class A........... 9,535
62 Harnischfeger Industries Inc. ......................... 2,573
129 Nucor Corporation...................................... 7,288
93 Reynolds Metals Company................................ 6,626
----------
64,393
----------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
See Notes to Financial Statements.
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
PRINTING AND PUBLISHING -- 1.0%
248 Donnelley (R.R.) & Sons Company........................ $ 9,083
890 Time Warner Inc. ...................................... 42,942
----------
52,025
----------
TRANSPORTATION SERVICES -- 0.9%
79 AMR Corporation+....................................... 7,308
133 Burlington Northern Santa Fe........................... 11,953
38 CNF Transportation, Inc. .............................. 1,225
188 CSX Corporation........................................ 10,434
108 Norfolk Southern Corporation........................... 10,881
66 Ryder System, Inc. .................................... 2,178
126 Southwest Airlines Company............................. 3,260
44 Wisconsin Central Transportation Corporation........... 1,639
----------
48,878
----------
MEDICAL SUPPLIES -- 0.9%
162 Bard (C.R.), Inc. ..................................... 5,883
157 Bausch & Lomb Inc. .................................... 7,399
316 Biomet, Inc. .......................................... 5,886
452 Boston Scientific Corporation+......................... 27,770
----------
46,938
----------
WASTE DISPOSAL -- 0.8%
391 Browning-Ferris Industries, Inc. ...................... 13,001
931 Waste Management Inc. ................................. 29,908
----------
42,909
----------
PETROLEUM -- DOMESTIC -- 0.8%
93 Anadarko Petroleum Company............................. 5,580
504 Atlantic Richfield..................................... 35,532
----------
41,112
----------
ELECTRONIC SYSTEMS -- 0.8%
770 ADT Ltd.+.............................................. 25,410
80 Eaton Corporation...................................... 6,985
221 National Semiconductor Inc.+........................... 6,768
----------
39,163
----------
SPECIALTY CHEMICALS -- 0.7%
112 Air Products and Chemicals Inc. ....................... 9,100
97 ARCO Chemical Company.................................. 4,614
73 Crompton & Knowles Corporation......................... 1,624
46 Cytec Industries Inc.+................................. 1,719
59 Lubrizol Corporation................................... 2,474
81 Lyondell Petrochemical Company......................... 1,767
66 Rohm & Haas Company.................................... 5,944
141 Union Carbide Corporation.............................. 6,636
154 Worthington Industries................................. 2,820
----------
36,698
----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
COSMETICS & TOILETRIES -- 0.7%
162 Avon Products Inc. .................................... $ 11,431
194 Gillette Company....................................... 18,381
134 International Flavors & Fragrances, Inc. .............. 6,767
----------
36,579
----------
LODGING -- 0.5%
154 Extended Stay America, Inc.+........................... 2,425
423 Hilton Hotels Corporation.............................. 11,236
198 ITT Corporation+....................................... 12,090
----------
25,751
----------
TOYS, GAMES AND HOBBIES -- 0.5%
224 Hasbro, Inc. .......................................... 6,356
556 Mattel, Inc. .......................................... 18,835
----------
25,191
----------
BUILDING AND CONSTRUCTION -- 0.5%
117 Fluor Corporation...................................... 6,457
55 Foster Wheeler Corporation............................. 2,227
110 Ingersoll-Rand Company................................. 6,793
121 Owens Corning Inc.+.................................... 5,218
101 USG Corporation........................................ 3,687
----------
24,382
----------
MANUFACTURING -- 0.4%
192 Caterpillar Inc. ...................................... 20,616
90 Cooper Tire & Rubber Company........................... 1,980
----------
22,596
----------
ENTERTAINMENT -- 0.3%
190 Harrah's Entertainment, Inc.+.......................... 3,467
196 International Game Technology Inc. .................... 3,479
92 MGM Grand, Inc.+....................................... 3,404
296 Mirage Resorts, Inc.+.................................. 7,474
----------
17,824
----------
RAILROADS -- 0.3%
214 Union Pacific Corporation.............................. 15,087
----------
APPAREL AND TEXTILES -- 0.2%
158 Fruit of the Loom, Inc.+............................... 4,898
121 Unifi Inc. ............................................ 4,522
----------
9,420
----------
SCIENTIFIC INSTRUMENTS -- 0.2%
124 Perkin-Elmer Corporation+.............................. 9,866
----------
AGRICULTURE -- 0.1%
86 Pioneer Hi-Bred International, Inc. ................... 6,880
----------
DIVERSIFIED -- 0.1%
20 Aeroquip-Vickers Inc. ................................. 945
86 PPG Industries, Inc. .................................. 4,999
----------
5,944
----------
</TABLE>
11
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ----------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
MACHINERY -- 0.1%
70 Grainger, (W.W.), Inc. ................................. $ 5,473
----------
Total Common Stock
(Cost $4,598,996)....................................... 5,084,840
----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
U.S. GOVERNMENT TREASURY -- 3.2% (Cost $167,800)
$169,000 U.S. Treasury Bill,
5.036%# due 08/21/1997................................. 167,800
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $4,766,796*)......................... 101.5% 5,252,640
OTHER ASSETS AND LIABILITIES (NET)........................... (1.5) (76,520)
----- ----------
NET ASSETS................................................... 100.0% $5,176,120
===== ==========
</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.
12
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
OPPORTUNITY VALUE PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- 62.9%
BANKING -- 9.6%
4,000 BankBoston Corporation.................................... $ 288,250
3,500 Citicorp.................................................. 421,969
1,400 Wells Fargo & Company..................................... 377,300
-----------
1,087,519
-----------
AEROSPACE AND DEFENSE -- 8.3%
4,500 Lockheed Martin Corporation............................... 466,031
7,000 McDonnell Douglas Corporation............................. 479,500
-----------
945,531
-----------
DIVERSIFIED CHEMICALS -- 4.8%
8,000 duPont (E.I.) de Nemours & Company........................ 503,000
300 Hercules, Inc. ........................................... 14,363
600 Monsanto Company.......................................... 25,837
-----------
543,200
-----------
TELECOMMUNICATIONS -- 3.9%
30,000 Tele-Communications, Inc., Class A+....................... 446,250
-----------
MANUFACTURING AND ENGINEERING -- 3.8%
4,000 Caterpillar, Inc. ........................................ 429,500
-----------
TRANSPORTATION -- 3.7%
6,000 Union Pacific Corporation................................. 423,000
-----------
ELECTRONICS -- 3.6%
2,800 National Semiconductor Corporation+....................... 85,750
6,000 Varian Associates, Inc. .................................. 325,500
-----------
411,250
-----------
FINANCIAL SERVICES -- 3.1%
7,500 Federal Home Loan Mortgage Corporation.................... 257,813
2,200 Federal National Mortgage Association..................... 95,975
-----------
353,788
-----------
APPAREL -- 3.1%
6,000 Nike, Inc., Class B....................................... 350,250
-----------
COMPUTER SERVICE & SOFTWARE -- 2.9%
6,000 Computer Associates International, Inc. .................. 334,125
-----------
INSURANCE -- 2.6%
2,400 ACE, Ltd. ................................................ 177,300
2,300 EXEL Ltd. Ord. ........................................... 121,325
-----------
298,625
-----------
ENERGY -- 2.6%
4,500 Tenneco, Inc. ............................................ 203,344
2,000 Triton Energy Corporation+................................ 91,625
-----------
294,969
-----------
RESTAURANTS -- 2.5%
6,000 McDonald's Corporation.................................... 289,875
-----------
PAPER AND PAPER PRODUCTS -- 2.4%
5,000 Champion International Corporation........................ 276,250
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
TOYS, GAMES AND HOBBIES -- 2.4%
8,000 Mattel, Inc. ............................................. $ 271,000
-----------
FOOD AND BEVERAGES -- 2.0%
5,000 Heinz (H.J.) Company...................................... 230,625
-----------
WASTE DISPOSAL -- 1.4%
3,000 Browning-Ferris Industries, Inc. ......................... 99,750
1,979 Waste Management Inc. .................................... 63,575
-----------
163,325
-----------
DRUGS AND MEDICAL PRODUCTS -- 0.2%
400 Becton, Dickinson & Company............................... 20,250
-----------
Total Common Stock
(Cost $6,566,638)........................................ 7,169,332
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
AGENCY SECURITIES -- 35.5%
FEDERAL HOME LOAN BANK (FHLB) -- 29.2%
FHLB, Discount Note:
$ 860,000 5.463%# due 07/01/1997................................ 860,000
1,535,000 5.521%# due 07/24/1997................................ 1,529,696
760,000 5.532%# due 07/30/1997................................ 756,688
185,000 5.517%# due 08/25/1997................................ 183,477
-----------
3,329,861
-----------
FEDERAL FARM CREDIT BANK (FFCB) -- 6.3%
FFCB, Discount Notes:
260,000 5.606%# due 07/08/1997................................ 259,723
155,000 5.465%# due 07/21/1997................................ 154,538
185,000 5.499%# due 08/06/1997................................ 184,003
115,000 5.551%# due 09/23/1997................................ 113,551
-----------
711,815
-----------
Total Agency Securities
(Cost $4,041,676).................................... 4,041,676
-----------
COMMERCIAL PAPER -- 7.2%
410,000 Ford Motor Credit Corporation,
5.633%# due 07/16/1997................................ 409,057
410,000 Household Financial Corporation,
5.678%# due 07/21/1997................................ 408,733
-----------
Total Commercial Paper
(Cost $817,790)...................................... 817,790
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(COST
$11,426,104*)... 105.6% 12,028,798
OTHER ASSETS AND
LIABILITIES
(NET)........... (5.6) (638,239)
-------- ----- -----------
NET ASSETS....... 100.0% $11,390,559
======== ===== ===========
</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.
13
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 80.0%
INSURANCE -- 22.6%
110,000 ACE Ltd. ............................................... $ 8,126,250
50,000 AFLAC, Inc. ............................................ 2,362,500
16,200 American International Group, Inc. ..................... 2,419,875
76,000 Everest Re Holdings, Inc. .............................. 3,011,500
156,600 EXEL Ltd. Ord. ......................................... 8,260,650
29,000 General Re Corporation.................................. 5,278,000
20,000 Markel Corporation+..................................... 2,560,000
80,000 Mid Ocean Ltd. ......................................... 4,195,000
75,000 RenaissanceRe Holdings Ltd. ............................ 2,859,375
------------
39,073,150
------------
FINANCIAL SERVICES -- 6.3%
120,000 Countrywide Credit Industries, Inc. .................... 3,742,500
142,000 Federal Home Loan Mortgage Corporation.................. 4,881,250
36,000 Travelers Group, Inc.................................... 2,270,250
------------
10,894,000
------------
AEROSPACE AND DEFENSE -- 5.7%
20,000 AlliedSignal, Inc. ..................................... 1,680,000
51,000 Lockheed Martin Corporation............................. 5,281,688
43,000 McDonnell Douglas Corporation........................... 2,945,500
------------
9,907,188
------------
BANKING -- 5.5%
36,000 Citicorp................................................ 4,340,250
19,000 Wells Fargo & Company................................... 5,120,500
------------
9,460,750
------------
MANUFACTURING AND ENGINEERING -- 3.7%
59,000 Caterpillar, Inc. ...................................... 6,335,125
------------
TRANSPORTATION -- 3.3%
27,000 AMR Corporation+........................................ 2,497,500
114,000 Canadian Pacific, Ord. ................................. 3,241,875
------------
5,739,375
------------
ENTERTAINMENT AND LEISURE -- 3.2%
83,000 Carnival Corporation.................................... 3,423,750
80,000 Sabre Group Holdings, Inc.+............................. 2,170,000
------------
5,593,750
------------
HEALTH CARE -- 3.1%
180,000 Tenet Healthcare Corporation+........................... 5,321,250
------------
AUTO PARTS -- ORIGINAL EQUIPMENT -- 2.8%
140,600 LucasVarity Plc, ADR.................................... 4,868,275
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
TELECOMMUNICATIONS -- 2.7%
43,000 Sprint Corporation.......................... $ 2,262,875
166,000 Tele-Communications, Inc., Class A+......... 2,469,250
------------
4,732,125
------------
ENERGY -- 2.7%
59,000 Tenneco, Inc. .............................. 2,666,062
44,000 Triton Energy Corporation+.................. 2,015,750
------------
4,681,812
------------
ELECTRONICS -- 2.4%
66,000 Adaptec, Inc.+.............................. 2,293,500
33,000 Arrow Electronics, Inc.+.................... 1,753,125
------------
4,046,625
------------
DIVERSIFIED CHEMICALS -- 2.3%
30,000 duPont (E.I.) de Nemours & Company.......... 1,886,250
44,000 Hercules, Inc. ............................. 2,106,500
------------
3,992,750
------------
DRUGS AND MEDICAL PRODUCTS -- 2.3%
78,000 Becton, Dickinson & Company................. 3,948,750
------------
RETAIL -- 2.2%
81,500 May Department Stores Company............... 3,850,875
------------
RESTAURANTS -- 1.7%
61,000 McDonald's Corporation...................... 2,947,063
------------
PRINTING AND PUBLISHING -- 1.6%
77,000 Donnelley (R.R.) & Sons Company............. 2,820,125
------------
DIVERSIFIED -- 1.5%
40,000 Textron, Inc. .............................. 2,655,000
------------
TOYS, GAMES AND HOBBIES -- 1.2%
59,375 Mattel, Inc. ............................... 2,011,328
------------
COMPUTER SERVICE & SOFTWARE -- 1.1%
60,000 Gateway 2000, Inc.+......................... 1,946,250
------------
MACHINERY -- 1.1%
30,000 Dover Corporation........................... 1,845,000
------------
COSMETICS AND TOILETRIES -- 1.0%
24,200 Avon Products, Inc. ........................ 1,707,613
------------
Total Common Stock
(Cost $94,441,799)......................... 138,378,179
------------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- ------------
<C> <S> <C>
AGENCY SECURITIES -- 4.3%
FEDERAL HOME LOAN BANK (FHLB) -- 4.3%
(Cost $7,398,900)
$7,400,000 FHLB,
5.441%# due 07/02/1997.............................. $ 7,398,900
------------
COMMERCIAL PAPER -- 13.1%
7,000,000 Ford Motor Company,
5.643%# due 07/30/1997.............................. 6,968,817
7,000,000 International Business Machines Corporation,
5.635%# due 07/23/1997.............................. 6,976,429
2,389,000 John Deere Capital Corporation,
5.635%# due 07/28/1997.............................. 2,379,092
6,329,000 Merrill Lynch & Company, Inc.,
5.659%# due 07/16/1997.............................. 6,314,364
------------
Total Commercial Paper
(Cost $22,638,702).................................. 22,638,702
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $124,479,401*)....................................... 97.4% 168,415,781
OTHER ASSETS AND LIABILITIES (NET).......................... 2.6 4,571,784
----- ------------
NET ASSETS.................................................. 100.0% $172,987,565
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
15
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 92.0%
JAPAN -- 21.7%
2,420 Advantest................................................ $ 185,805
16,000 Alps Electric Company.................................... 223,356
37,000 Amada Company Ltd. ...................................... 326,048
68,000 Canon Inc. .............................................. 1,851,067
23,000 Citizen Watch Company.................................... 177,394
31,000 Dai Nippon Screen Manufacturing.......................... 292,108
44,000 Daichi Pharmaceutical Company............................ 775,466
6,000 Daifuku Company Ltd. .................................... 79,047
50,000 Daiwa House Industry Company............................. 610,740
74 DDI Corporation.......................................... 546,211
61,000 Denso Corporation........................................ 1,458,273
136 East Japan Railway Company............................... 697,710
9,000 Fanuc Company Ltd. ...................................... 345,504
69,000 Hitachi Ltd. ............................................ 770,580
48,000 Hitachi Zosen Corporation................................ 190,970
4,000 Honda Motor Company Ltd. ................................ 120,403
16,000 Inax..................................................... 119,775
15,000 Ishihara Sangyo Kaisha+.................................. 44,366
14,000 Ito-Yokado Company....................................... 812,285
30,000 Kao Corporation.......................................... 416,176
21,000 Kokuyo Company Ltd. ..................................... 567,988
46,000 Komatsu Ltd. ............................................ 373,250
14,000 Komori Corporation....................................... 332,243
31,000 Kumagai Gumi............................................. 51,660
48,000 Kuraray Company.......................................... 477,424
20,000 Kyocera Corporation...................................... 1,587,925
25,000 Makita Corporation....................................... 366,444
37,000 Marui Company Ltd. ...................................... 687,606
60,000 Matsushita Electric Industrial Company................... 1,209,266
32,000 Mitsubishi Corporation................................... 399,250
179,000 Mitsubishi Heavy Industries Ltd. ........................ 1,372,778
22,000 Mitsubishi Paper Mills Ltd. ............................. 85,992
74,000 Mitsui Fudosan Company................................... 1,020,111
15,000 Mitsui Petrochemical Industries.......................... 72,242
16,000 Murata Manufacturing Company............................. 636,566
9,000 National House Industrial Company........................ 118,571
121,000 NEC Corporation.......................................... 1,689,133
9,000 Nippon Hodo.............................................. 77,817
272,000 Nippon Steel Corporation................................. 868,577
49 Nippon Telegraph & Telephone Corporation................. 470,270
59,000 Nomura Securities Company Ltd. .......................... 813,331
26,000 Pioneer Electronics Corporation.......................... 630,633
4,000 Sangetso Company Ltd. .................................. 85,155
41,000 Sankyo Company........................................... 1,377,219
6,000 Sega Enterprises......................................... 198,927
58,000 Sekisui Chemical Company Ltd. ........................... 587,009
41,000 Sekisui House............................................ 414,954
4,620 Seven-Eleven Japan Company Ltd. ......................... 349,075
63,000 Sharp Corporation........................................ 868,473
36,000 Shinetsu Chemicals Company Ltd. ........................ 954,849
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
10,000 Shiseido Company Ltd. .................................. $ 164,900
14,900 Sony Corporation........................................ 1,298,704
78,000 Sumitomo Corporation.................................... 741,788
94,000 Sumitomo Electric Industries Ltd. ...................... 1,574,663
20,000 Sumitomo Forestry Company Ltd. ......................... 219,867
15,000 TDK Corporation......................................... 1,100,641
96,000 Teijin.................................................. 452,297
17,000 Tokio Marine & Fire Insurance Company................... 222,484
7,700 Tokyo Electron.......................................... 368,154
17,000 Tokyo Steel Manufacturing............................... 189,853
36,000 Toppan Printing Company Ltd. ........................... 565,371
22,000 UNY Company Ltd. ....................................... 429,961
7,717 Yurtec Corporation...................................... 89,549
------------
36,206,254
------------
UNITED KINGDOM -- 15.0%
56,000 Abbey National Ord. .................................... 764,706
64,733 Argos Ord. ............................................. 590,205
189,000 ASDA Group Plc.......................................... 390,280
44,000 British Gas Ord. ....................................... 161,934
43,000 British Petroleum Company Ord. ......................... 534,553
114,000 Cable & Wireless........................................ 1,048,890
73,768 Cadbury Schweppes Ord. ................................. 657,840
97,200 Caradon Plc............................................. 326,163
44,000 Centrica Plc............................................ 53,673
36,000 Coats Viyella Ord. ..................................... 76,437
42,000 Compass Group Ord. ..................................... 471,413
45,000 Electrocomponents Ord. ................................. 336,099
7,000 GKN Ord. ............................................... 120,593
75,000 Glaxo Wellcome Ord. .................................... 1,548,730
127,000 Grand Metropolitan Ord. ................................ 1,229,833
108,000 Guinness Ord. .......................................... 1,057,533
11,000 Heywood Williams Group Corporation Ord. ................ 37,919
33,000 Hillsdown Holdings Ord. ................................ 92,874
118,000 Kingfisher Ord. ........................................ 1,340,168
52,000 Ladbroke Group Ord. .................................... 203,500
28,000 Laing (John), Class A, Non-Voting Ord. ................. 174,390
178,000 National Westminster Bank Ord. ......................... 2,393,620
78,000 Rank Group Plc.......................................... 494,245
206,000 Reed International Ord. ................................ 1,996,563
43,000 Rio Tinto Corporation Ord. ............................. 749,377
29,518 Rolls Royce Ord. ....................................... 112,814
89,000 Safeway, Inc. .......................................... 515,036
279,000 Shell Transport & Trading Ord. ......................... 1,902,615
58,000 Smith (David S.) Holdings Ord. ......................... 181,584
159,600 SmithKline Beecham Equity Units......................... 2,938,221
68,000 T&N Plc Ord. ........................................... 163,066
78,000 Tesco Ord. ............................................. 479,956
213,000 Tomkins Ord. ........................................... 922,244
87,000 United Newspapers & Media Ord. ......................... 1,009,098
------------
25,076,172
------------
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
NETHERLANDS -- 9.5%
42,880 ABN Amro Holdings N.V. ................................. $ 799,535
9,074 Ahold (Kon) N.V. ....................................... 765,528
994 Akzo Nobel N.V. ........................................ 136,220
2,654 Baan Company............................................ 179,827
3,000 Baan Company N.V. ...................................... 206,625
10,567 CSM CVA................................................. 529,723
119,890 Elsevier N.V. .......................................... 2,003,358
12,825 Fortis Amev N.V. ....................................... 571,045
2,960 Hagemeyer............................................... 152,908
40,040 International Nederlanden Groep N.V .................... 1,846,054
4,254 Koninklijke PTT Nederland............................... 166,875
1,900 Nutricia (Veringde Bedrijven)........................... 300,066
2,500 Otra N.V ............................................... 40,119
18,675 Polygram N.V ........................................... 979,941
71,640 Royal Dutch Petroleum Company........................... 3,726,346
5,780 Unilever N.V. .......................................... 1,216,718
18,665 Wolters Kluwer.......................................... 2,272,625
------------
15,893,513
------------
FRANCE -- 7.8%
955 Accor................................................... 143,005
5,386 Alcatel Alsthom Cie Generale D'Electric................. 674,544
3,199 Assurances Generales de France.......................... 102,229
2,279 AXA Company............................................. 141,742
1,460 Canal Plus.............................................. 284,214
1,534 Carrefour............................................... 1,114,080
845 Changeurs International S.A.+........................... 48,687
4,040 Compagnie de Saint-Gobain............................... 589,154
2,808 Dexia France............................................ 273,313
14,990 Eaux (Cie Generale des)................................. 1,920,716
1,630 GTM--Entrepose.......................................... 81,573
1,296 Guilbert SA............................................. 183,482
1,210 Havas................................................... 87,198
2,820 Lapeyre................................................. 187,146
1,103 Legrand................................................. 194,260
462 L'Oreal................................................. 194,652
3,638 LVHM Moet Hennessey..................................... 978,107
845 Pathe+.................................................. 167,657
2,298 Pinault Printemps Redoute............................... 1,104,285
1,504 Primagaz................................................ 133,081
416 Rexel................................................... 127,702
6,399 Sanofi SA .............................................. 627,193
11,282 Schneider............................................... 600,509
2,347 Societe Generale Ord. .................................. 261,989
5,670 Societe Nationale Elf Aquitaine......................... 611,700
1,540 Sodexho................................................. 788,514
3,290 Television Francaise.................................... 293,915
10,628 Total 'B' Shares........................................ 1,074,248
------------
12,988,895
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
SWITZERLAND -- 5.5%
921 ABB AG.................................................. $ 1,393,448
2,095 Adecco SA............................................... 803,177
1,479 Ciba Specialty Chemicals................................ 136,691
2,550 Credit Suisse Group..................................... 327,326
1,216 Nestle SA .............................................. 1,603,352
1,859 Novartis AG+............................................ 2,970,429
166 Roche Holdings AG Genuscheine........................... 1,500,671
1,860 Schweizerischer Bankverein.............................. 497,248
------------
9,232,342
------------
GERMANY -- 3.9%
2,780 Allianz AG.............................................. 581,840
19,244 Bayer AG................................................ 739,547
9,711 Bayerische Hypotheken-Und Wechsel Bank.................. 290,392
3,600 Bilfinger & Berger Bau AG............................... 146,564
232 Buderus AG.............................................. 127,710
5,280 Commerzbank AG.......................................... 149,564
9,836 Deutsche Bank AG........................................ 574,723
14,927 Deutsche Telekom AG..................................... 359,491
2,042 Fielmann AG............................................. 61,238
13,820 Gehe AG................................................. 943,020
3,690 Hoechst AG.............................................. 156,533
700 Hornbach Baumarkt AG.................................... 29,502
566 Mannesmann AG........................................... 252,176
1,294 Praktiker Bau und Heimwerker+........................... 23,002
2,922 Rhoen Klinikum AG....................................... 385,367
1,940 SAP AG.................................................. 389,346
1,305 Schering AG............................................. 139,446
2,726 Siemens AG.............................................. 161,861
13,721 Veba AG................................................. 771,042
264 Volkswagen AG........................................... 202,396
------------
6,484,760
------------
HONG KONG -- 3.7%
163,000 Cathay Pacific Airways.................................. 337,685
32,000 China Light & Power Company............................. 181,328
87,000 Dao Heng Bank Group..................................... 476,140
287,540 First Pacific Company Ltd. ............................. 367,437
85,000 Guoco Group............................................. 447,640
244,285 Hong Kong Land Holdings Ord. ........................... 649,798
132,000 Hutchison Whampoa, Ltd. ................................ 1,141,559
183,120 New World Development Company........................... 1,092,012
71,000 Swire Pacific Company, Class A.......................... 639,223
182,000 Wharf Holdings.......................................... 789,333
------------
6,122,155
------------
SWEDEN -- 2.7%
25,030 Asea AB Free, Series A.................................. 351,077
86,640 Astra AB, Series B...................................... 1,528,842
13,490 Atlas Copco AS, Series B................................ 352,269
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
SWEDEN -- (CONTINUED)
9,480 Electrolux Company AB, Series B....................... $ 683,840
1,900 Esselte AB , Series B................................. 44,703
4,355 Granges AB............................................ 57,706
18,800 Hennes & Mauritz AB, Series 5......................... 661,056
6,880 Nordbanken AB......................................... 232,135
2,480 Sandvik AB, Series A.................................. 70,372
15,380 Sandvik AB, Series B.................................. 436,418
3,330 Scribona AB Free, Series B............................ 38,743
------------
4,457,161
------------
BRAZIL -- 2.5%
6,086 Cemig Energetica Minas Gerais, ADR.................... 321,036
680,000 Centrais Eletrobras................................... 380,252
3,930 Cesp Cia Energetica ADS++............................. 78,600
2,280,000 Companhia Siderugica Nacional......................... 75,185
6,030 Pao de Acucar, ADS.................................... 137,183
18,612 Telebras, ADR......................................... 2,824,371
547 Telebras, ADR++....................................... 83,007
55,559 Telec de Sao Paulo S.A. .............................. 16,386
21,660 Usinas Siderurgicas de Minas Gerais S.A. ............. 239,614
21,600 White Martins S.A. ................................... 63,202
------------
4,218,836
------------
ITALY -- 2.4%
34,000 Banca Commerciale Italiana............................ 70,404
58,860 Banca Fideuram........................................ 192,345
206,553 Credito Italiano S.p.A. .............................. 377,893
121,189 Ente Nazionale Idrocarburi............................ 686,184
3,542 Gucci Group N.V. ..................................... 228,016
24,870 IMI S.p.A. Ord. ...................................... 223,843
4,140 Industrie Natuzzi S.p.A. ............................. 106,088
34,740 Italgas S.p.A. ....................................... 112,401
18,753 Mediolanum S.p.A.+.................................... 211,480
8,000 Rinascente Ord. ...................................... 44,450
89,000 Seat S.p.A. .......................................... 28,691
45,000 Seat S.p.A. di Risp................................... 9,398
113,000 S.T.E.T. Societa' Finanziaria
Telefonica S.p.A. ................................... 658,097
47,990 Telecom Italia Mobile di Risp S.p.A. ................. 85,822
222,353 Telecom Italia Mobile S.p.A. ......................... 719,420
103,173 Telecom Italia S.p.A. ................................ 308,930
------------
4,063,462
------------
SPAIN -- 2.2%
39 Aguas de Barcelona.................................... 1,575
3,702 Argentaria............................................ 207,272
2,330 Banco Bilbao Vizcaya.................................. 189,278
22,986 Banco de Santander Ord. .............................. 708,222
1,580 Banco Popular de Espanol.............................. 387,092
5,056 Centros Comerciales Pryca............................. 109,458
5,212 Empresa Nacional de Electricidad (Endesa)............. 437,546
1,731 Gas Natural S.D.G., S.A. ............................. 378,153
29,786 Iberdrola S.A. ....................................... 375,989
6,832 Repsol S.A. .......................................... 288,859
18,676 Telefonica de Espana Ord. ............................ 539,937
------------
3,623,381
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
AUSTRALIA -- 1.9%
18,000 Australia and New Zealand Banking
Group Ltd. ............................................ $ 134,728
52,330 Australian Gas Light Company............................ 308,600
24,000 Boral Ltd. ............................................. 75,665
33,297 Broken Hill Property Company Ord. ...................... 490,469
20,500 Commonwealth Instalment Receipt
Trustee Ltd. .......................................... 180,486
78,000 Fosters Brewing Group................................... 145,071
28,000 John Fairfax Holding.................................... 66,472
6,265 Lend Lease Corporation Ord. ............................ 132,626
11,418 National Australia Bank Ltd. ........................... 163,760
44,000 National Mutual Holdings Ltd. .......................... 71,190
32,000 Publishing & Broadcasting Ltd. ......................... 184,597
22,000 St. George Bank Ltd. ................................... 146,538
71,000 Sydney Harbour Casino+.................................. 111,653
33,000 Tabcorp Holdings Ltd. .................................. 179,637
46,219 The News Corporation Ord. .............................. 221,894
22,000 Westpac Banking Corporation............................. 132,566
27,000 WMC Ltd. ............................................... 170,452
32,000 Woodside Petroleum Ltd. ................................ 275,807
------------
3,192,211
------------
MEXICO -- 1.8%
49,110 Cemex CPO............................................... 213,186
16,590 Cemex, Class B.......................................... 80,993
27,310 Cemex, S.A. de C.V...................................... 235,549
2,298 Cifra S.A. de CV, NPV, Class A.......................... 4,245
18,790 Cifra S.A. de CV, NPV, Class C.......................... 30,026
166,346 Cifra S.A. de CV, Class E, ADR.......................... 300,255
18,169 Fomento Economico Mexicana, Series B.................... 107,905
33,683 Gruma S.A. de CV, Series B.............................. 155,118
7,946 Gruma S.A. de CV, Series B, ADR++....................... 153,453
47,166 Grupo Financiero Banamex, Series B...................... 121,068
1,942 Grupo Financiero Banamex, Series L+..................... 4,564
84,790 Grupo Industrial Maseca S.A., Class B................... 92,605
18,986 Grupo Modelo S.A. de CV, Series C....................... 131,391
1,885 Grupo Televisa S.A., GDR+............................... 57,257
50,076 Kimberly-Clark de Mexico, Class A....................... 200,367
11,000 Panamerican Beverages Inc., Class A..................... 361,625
15,364 Telefonos de Mexico S.A., ADR........................... 733,631
------------
2,983,238
------------
MALAYSIA -- 1.8%
68,000 Affin Holdings Berhad................................... 161,648
73,000 Berjaya Sports Toto Berhad.............................. 344,176
84,000 Commerce Asset Holdings Berhad Ord. .................... 221,315
124,000 Multi-Purpose Holdings Berhad........................... 173,914
295,000 Renong Berhad........................................... 385,697
58,000 Resorts World Berhad.................................... 174,643
104,000 Tanjong................................................. 358,479
60,000 Technology Resources Industries Ltd+.................... 103,170
64,000 Time Engineering Berhad................................. 96,862
129,000 United Engineers (Malaysia) Berhad...................... 930,190
------------
2,950,094
------------
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
SINGAPORE -- 1.7%
22,000 City Developments Ltd. ................................. $ 215,430
59,000 D.B.S. Land Ord. ....................................... 186,529
16,000 Development Bank of Singapore (F)....................... 201,441
22,400 Fraser & Neave Ord. .................................... 159,810
4,000 Keppel Corporation Ord. ................................ 17,766
1,000 Keppel Corporation, Class A............................. 4,336
12,000 Overseas-Chinese Banking Corporation (F)................ 124,222
53,000 Overseas Union Bank (F)................................. 329,929
48,000 Singapore Land.......................................... 218,228
29,000 Singapore Press Holdings (F)............................ 584,178
91,000 United Industrial Corporation........................... 68,742
66,600 United Overseas Bank (F)................................ 684,773
45,000 Wing Tai Holdings....................................... 129,677
------------
2,925,061
------------
NORWAY -- 1.6%
2,170 Bergesen DY AS, Class A................................. 51,517
23,650 Norsk Hydro AS.......................................... 1,287,501
16,050 Orkla Booregaard AS..................................... 1,184,720
4,670 Saga Petroleum, Series B................................ 81,559
------------
2,605,297
------------
ARGENTINA -- 1.2%
5,274 Banco de Galicia--Buenos Aires.......................... 139,102
4,858 Banco Frances del Rio de la Plata S.A., ADR............. 157,885
36,209 Perez Companc (Naviera)................................. 291,168
1,080 Sociedad Comercial Del Plata, ADR++..................... 37,354
6,950 Telecom Argentina....................................... 36,285
850 Telecom Argentina Stet S.A., ADR........................ 44,625
24,000 Telefonica de Argentina S.A., ADR....................... 831,000
2,630 Transportadora de Gas, ADR.............................. 32,875
12,341 Y.P.F Sociedad Anonima.................................. 379,486
------------
1,949,780
------------
BELGIUM -- 1.1%
1,295 Credit Communal de Belgique S.A.+....................... 139,071
1,060 Generale de Banque Ord. ................................ 407,919
80 Generale de Banque S.A. ................................ 36
2,620 Kredietbank International NV............................ 1,055,571
72 U.B.C. ................................................. 228,063
------------
1,830,660
------------
KOREA -- 0.7%
13,600 Korea Electric Power Corporation........................ 254,150
3,052 Samsung Electronics Company, GDR+....................... 177,398
5,227 Samsung Electronics Company,
Non-Voting, GDR........................................ 140,789
45,408 The Korea Fund.......................................... 669,768
------------
1,242,105
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
CHILE -- 0.5%
718 AFP Provida, ADR........................................ $ 15,706
4,775 Chilectra S.A.++........................................ 138,575
2,515 Chilgener S.A., ADS..................................... 70,420
2,241 CIA Cerveceria Unidas SA, ADR........................... 49,162
4,271 CIA Telecom Chile, ADR.................................. 140,943
6,066 Empresa Nacional Electricidad Chile, ADR................ 136,864
3,701 Enersis S.A., ADR....................................... 131,617
2,652 Santa Isabel SA, ADR.................................... 85,527
2,979 The Chile Fund.......................................... 77,826
------------
846,640
------------
PORTUGAL -- 0.5%
12,060 Estabelec Jeronimo Martins & Filho...................... 842,535
------------
NEW ZEALAND -- 0.5%
49,909 Air New Zealand Ltd., Class B, Ord.+++.................. 152,553
26,700 Carter Holt Harvey Ord. ................................ 69,098
42,700 Fletcher Challenge (Building Division).................. 128,488
7,000 Fletcher Challenge (Energy Division).................... 21,159
101,123 Fletcher Challenge (Forest Division).................... 146,992
28,000 Fletcher Challenge (Paper Division)..................... 67,898
36,000 Telecom Corporation of New Zealand...................... 183,397
10,000 Tranz Rail Holdings Ord. ............................... 57,057
------------
826,642
------------
CHINA -- 0.4%
20,100 Huaneng Power International, ADS+....................... 512,550
750,000 Shanghai Petrochemical.................................. 180,063
420,000 Yizheng Chemical Fibre.................................. 74,813
------------
767,426
------------
CANADA -- 0.3%
9,090 Alcan Aluminum.......................................... 310,032
3,920 Royal Bank of Canada.................................... 177,556
------------
487,588
------------
PHILIPPINES -- 0.3%
6,800 Philippine Long Distance Telephone...................... 220,428
30,938 Philippine National Bank+............................... 209,956
------------
430,384
------------
FINLAND -- 0.3%
5,600 Nokia AB, Class A....................................... 422,743
------------
DENMARK -- 0.2%
2,080 Den Danske Bank......................................... 202,365
650 Tele Danmark AS, Series B............................... 33,773
1,950 UniDanmark AS, Series A................................. 109,542
------------
345,680
------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
THAILAND -- 0.1%
7,300 Advanced Information Services (F)................... $ 66,257
13,300 Bangkok Bank Public Company Ltd. (F)................ 95,076
4,500 Siam Cement Public Company Ltd. (F)................. 80,964
------------
242,297
------------
PERU -- 0.1%
2,880 Credicorp Ltd. ..................................... 63,360
4,365 Telefonica del Peru S.A., ADR....................... 114,308
------------
177,668
------------
VENEZUELA -- 0.1%
2,740 Compania Anonima Nacional Telefonos de Venezuela,
ADR+............................................... 118,162
------------
AUSTRIA -- 0.0%#
336 EVN Energie-Versorgung
Niederoesterreich AG............................... 43,289
630 Flughafen Wein AG................................... 26,611
------------
69,900
------------
CZECHOSLOVAKIA -- 0.0%#
580 SPT Telecom......................................... 60,825
------------
PANAMA -- 0.0%#
1,349 Banco Latinoamericano de Exportaciones, S.A., Series
E.................................................. 58,176
------------
RUSSIA -- 0.0%#
1,990 Gazprom, ADR+....................................... 33,979
------------
Total Common Stock
(Cost $120,983,764)................................ 153,776,022
------------
PREFERRED STOCK -- 2.0%
BRAZIL -- 1.7%
23,967,906 Banco Bradesco S.A.................................. 241,560
150,000 Banco Itau SA ...................................... 84,018
369,000 Brahma-Companhia Cervejaria......................... 281,065
270,000 Brasmotor S.A. ..................................... 60,192
240,000 Companhia Cimento Portland Itau..................... 82,488
3,719,511 Companhia Energetica de Minas Gerais................ 191,754
199,060 Coteminas PN........................................ 77,660
2,620,000 Lojas Americanas NPV................................ 35,532
986,328 Petroleo Brasiliero-Petrobras....................... 273,951
3,371,640 Telebras............................................ 511,438
584,156 Telec de Minas Gerais S.A .......................... 103,369
607,377 Telecom Do Rio de Janeiro S.A ...................... 93,655
1,684,346 Telecomunicacoes de Sao Paulo....................... 549,949
7,073,861 Unibanco-Uniao de Bancos Brasileir.................. 259,483
5,862 Usiminas PN......................................... 65,283
------------
2,911,397
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
GERMANY -- 0.3%
1,820 Hornbach AG.......................................... $ 154,454
279 Krones AG............................................ 113,907
883 SAP AG Vorzug........................................ 183,289
------------
451,650
------------
Total Preferred Stock
(Cost $2,103,465)................................... 3,363,047
------------
WARRANTS -- 0.2%
625 Renong Berhad, Warrants, Expire 11/21/2000+.......... 329
780 Veba AG, Warrants, Expire 04/06/1998+................ 262,542
------------
Total Warrants
(Cost $94,347)...................................... 262,871
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
CORPORATE BONDS -- 0.1%
$ 7,000 Kredietbank International NV,
Convertible Bond,
5.750% due 11/30/2003............................... 28,348
248,000 Multi Purpose Holdings, Convertible Bond, 3.000% due
01/13/2002.......................................... 82,536
37,800 Renong Berhad, Convertible Bond,
4.000% due 05/21/2001............................... 12,130
------------
Total Corporate Bonds
(Cost $131,668)..................................... 123,014
------------
<CAPTION>
SHARES
------
<C> <S> <C>
RIGHTS -- 0.0%#
829 Chilgener ADR Rights................................. 2,765
16,800 Commerce Asset Holdings Berhad
Rights to Ord. ..................................... 1,622
10,500 Commerce Asset Holdings Berhad
Rights to Warrants.................................. 599
10,600 Overseas Union Bank Rights........................... 14,161
50 Samsung Electronics Company, GDR Rights.............. 1,528
86 Samsung Electronics Company, GDR
1/2 NV Rights....................................... 0
------------
Total Rights
(Cost $23,935)...................................... 20,675
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $123,337,179*)...................................... 94.3% 157,545,629
OTHER ASSETS AND LIABILITIES (NET)......................... 5.7 9,609,045
----- ------------
NET ASSETS................................................. 100.0% $167,154,674
===== ============
</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. Illiquid securities
generally cannot be disposed of in the ordinary course of business within
seven days at approximately the value at which the Portfolio has valued the
investments.
# 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.
20
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
At June 30, 1997, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% OF VALUE
SECTOR DIVERSIFICATION NET ASSETS (NOTE 1)
- ---------------------- ---------- --------
<S> <C> <C>
COMMON STOCK:
Banking................................................ 9.0% $ 15,105,685
Health and Personal Care............................... 7.3 12,220,432
Energy................................................. 7.1 11,944,369
Retail Trade........................................... 6.1 10,216,026
Computers and Communications........................... 6.1 10,208,261
Media.................................................. 5.5 9,180,571
Electrical Equipment................................... 5.1 8,515,785
Chemicals.............................................. 4.1 6,851,639
Food and Grocery Products.............................. 3.8 6,323,882
Diversified Holding Companies.......................... 3.7 6,250,617
Business Services...................................... 3.4 5,776,611
Household Products..................................... 3.1 5,115,191
Entertainment and Leisure.............................. 2.9 4,815,120
Utilities.............................................. 2.9 4,807,675
Electronics and Instruments............................ 2.8 4,740,059
Construction and Building Materials.................... 2.8 4,647,696
Real Estate............................................ 2.6 4,372,809
Machinery and Engineering Services..................... 2.5 4,130,736
Financial Services..................................... 2.3 3,793,178
Diversified Industrial Manufacturing................... 1.9 3,196,002
Metals and Mining...................................... 1.6 2,603,090
Beverage and Tobacco................................... 1.5 2,525,266
Wholesale Trade........................................ 1.1 1,775,116
Transport and Storage.................................. 0.8 1,323,133
Insurance.............................................. 0.7 1,119,485
Investment Trusts...................................... 0.4 747,594
Forestry and Paper Products............................ 0.3 551,564
Textiles............................................... 0.3 482,817
Automotive............................................. 0.2 322,799
Aerospace and Defense.................................. 0.1 112,814
----- ------------
TOTAL COMMON STOCK..................................... 92.0 153,776,022
TOTAL PREFERRED STOCK.................................. 2.0 3,363,047
TOTAL WARRANTS......................................... 0.2 262,871
TOTAL CORPORATE BONDS.................................. 0.1 123,014
TOTAL RIGHTS........................................... 0.0# 20,675
----- ------------
TOTAL INVESTMENTS...................................... 94.3 157,545,629
OTHER ASSETS AND LIABILITIES (NET)..................... 5.7 9,609,045
----- ------------
NET ASSETS............................................. 100.0% $167,154,674
===== ============
</TABLE>
- ------------
# Amount represents less than 0.1%.
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY:
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
-------- --------
<C> <S> <C> <C>
2,283,525 Belgian Franc............................. 07/01/1997 $ 63,449
100,617,707 Italian Lira.............................. 07/02/1997 59,190
--------
Total Forward Foreign Exchange Contracts
to Buy
(Contract Amount $122,946)............... $122,639
========
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL:
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
-------- --------
<C> <S> <C> <C>
1,285 Malaysian Ringgitt.......................... 07/01/1997 $ 509
74,552 French Franc................................ 07/02/1997 12,686
2,080 German Deutsche Mark........................ 07/02/1997 1,193
80,504 Japanese Yen................................ 07/02/1997 702
9,627,166 Portuguese Escudo........................... 07/02/1997 54,703
-------
Total Forward Foreign Exchange Contracts to
Sell
(Contract Amount $69,775).................. $69,793
=======
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 75.3%
TECHNOLOGY -- 16.3%
119,200 Cisco Systems Inc.+......................... $ 8,001,300
104,700 Computer Sciences Corporation+.............. 7,551,488
106,300 Intel Corporation........................... 15,074,669
112,600 Microsoft Corporation+...................... 14,229,825
------------
44,857,282
------------
FINANCIAL SERVICES -- 11.3%
79,800 Associates First Capital Corporation........ 4,428,900
67,600 Citicorp.................................... 8,150,025
147,600 Federal National Mortgage Association....... 6,439,050
46,600 Green Tree Financial Corporation............ 1,660,125
174,000 Merrill Lynch & Company, Inc. .............. 10,374,750
------------
31,052,850
------------
HEALTH CARE -- 10.0%
116,000 Amgen, Inc.+................................ 6,742,500
77,000 Johnson & Johnson Company................... 4,956,875
40,300 Lilly, Eli & Company........................ 4,405,294
69,700 United Healthcare Corporation............... 3,624,400
62,300 Warner-Lambert Company...................... 7,740,775
------------
27,469,844
------------
TELECOMMUNICATIONS -- 5.7%
84,000 Ascend Communications, Inc.+................ 3,307,500
69,700 Lucent Technologies, Inc. .................. 5,022,756
320,606 Westinghouse Electric Corporation........... 7,414,014
------------
15,744,270
------------
TRANSPORTATION -- 5.5%
61,727 Burlington Northern Santa Fe Corporation.... 5,547,714
63,200 Delta Air Lines, Inc. ...................... 5,182,400
60,400 UAL Corporation+............................ 4,322,375
------------
15,052,489
------------
BASIC INDUSTRIES -- 5.2%
110,000 Boeing Company.............................. 5,836,875
101,200 United Technologies Corporation............. 8,399,600
------------
14,236,475
------------
CAPITAL GOODS -- 4.3%
45,400 American Standard Companies Inc.+........... 2,031,650
50,700 Caterpillar Inc. ........................... 5,443,913
55,600 Honeywell Inc. ............................. 4,218,650
------------
11,694,213
------------
CONSUMER NON-DURABLES -- 3.2%
86,400 Philip Morris Companies, Inc. .............. 3,834,000
35,900 Procter & Gamble Company.................... 5,070,875
------------
8,904,875
------------
CONSUMER DURABLES -- 2.6%
188,700 Ford Motor Company.......................... 7,123,425
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
FOOD AND BEVERAGES -- 2.5%
24,800 Kellogg Company.......................................... $ 2,123,500
122,900 PepsiCo, Inc. ........................................... 4,616,431
------------
6,739,931
------------
PAPER AND PAPER PRODUCTS -- 1.9%
105,200 Kimberly-Clark Corporation............................... 5,233,700
------------
RETAIL -- 1.7%
67,866 Home Depot Inc. ......................................... 4,678,512
------------
COMMERCIAL SERVICES -- 1.7%
116,000 Corrections Corporation of America+...................... 4,611,000
------------
ENTERTAINMENT -- 1.5%
165,000 Mirage Resorts, Inc.+.................................... 4,166,250
------------
INSURANCE -- 1.2%
45,800 Marsh & McLennan Companies, Inc. ........................ 3,268,975
------------
PETROLEUM -- INTERNATIONAL -- 0.7%
22,200 Amoco Corporation........................................ 1,930,013
------------
Total Common Stock
(Cost $125,026,446)..................................... 206,764,104
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 10.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 5.7%
FHLMC:
$2,144,188 7.500% due 06/01/2011.................................. 2,178,688
3,322,310 7.500% due 08/01/2011.................................. 3,375,766
772,091 8.000% due 12/01/2016.................................. 799,523
2,102,328 7.500% due 01/01/2017.................................. 2,120,723
1,618,205 8.000% due 01/01/2017.................................. 1,660,165
753,657 7.000% due 03/01/2017.................................. 749,934
2,637,693 7.000% due 08/01/2025.................................. 2,592,378
2,057,332 8.000% due 06/01/2026.................................. 2,107,777
----------
15,584,954
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 2.5%
GNMA:
3,792,321 7.000% due 05/15/2026.................................. 3,722,391
2,675,150 8.000% due 08/15/2026.................................. 2,736,999
488,108 8.000% due 10/15/2026.................................. 499,393
----------
6,958,783
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 2.1%
FNMA:
1,000,000 5.438%## due 07/01/1997................................ 1,000,000
1,100,000 7.400% due 07/01/2004.................................. 1,146,574
1,626,519 7.000% due 04/01/2009.................................. 1,632,098
693,172 7.121%# due 12/01/2025................................. 714,404
1,268,490 6.446%# due 01/01/2026................................. 1,290,892
----------
5,783,968
----------
Total Mortgage-Backed Securities
(Cost $28,068,686).................................... 28,327,705
----------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- ------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 8.2%
U.S. TREASURY NOTES -- 6.2%
U.S. Treasury Notes:
$1,405,000 5.625% due 11/30/1998............................... $ 1,398,635
2,720,000 5.875% due 01/31/1999............................... 2,714,478
3,330,000 6.375% due 04/30/1999............................... 3,347,682
1,000,000 6.375% due 05/15/1999............................... 1,005,000
845,000 6.000% due 08/15/1999............................... 842,888
800,000 6.625% due 04/30/2002............................... 807,376
4,550,000 7.875% due 11/15/2004............................... 4,910,451
2,175,000 5.875% due 11/15/2005............................... 2,080,866
------------
17,107,376
------------
U.S. TREASURY BONDS -- 2.0%
U.S. Treasury Bonds:
2,400,000 12.000% due 08/15/2013.............................. 3,378,384
330,000 8.000% due 11/15/2021.............................. 373,313
1,635,000 7.500% due 11/15/2024.............................. 1,764,018
------------
5,515,715
------------
Total U.S. Treasury Obligations
(Cost $22,623,091)................................. 22,623,091
------------
CORPORATE BONDS -- 2.3%
350,000 Associates Corporation of North America, Senior
Note,
6.000% due 06/15/2000.............................. 345,149
250,000 Chase Manhattan Corporation,
Subordinate Note,
6.500% due 08/01/2005.............................. 241,495
350,000 Comdisco Inc., Note,
6.375% due 11/30/2001.............................. 342,612
175,000 First Interstate Bancorp, Subordinate
Capital Note,
8.625% due 04/01/1999.............................. 181,477
350,000 Fleet Financial Group, Inc.,
Subordinate Note,
7.125% due 04/15/2006.............................. 349,013
300,000 Florida Power & Light Company, First Mortgage Bond,
7.050% due 12/01/2026.............................. 280,677
250,000 General American Transportation, Note,
6.750% due 03/01/2006.............................. 241,930
350,000 General Motors Corporation, Debenture,
8.100% due 06/15/2024.............................. 358,921
350,000 Hartford Life Insurance Company, Note,
7.650% due 06/15/2027.............................. 348,800
350,000 Lehman Brothers, Inc., Note,
7.125% due 04/15/2002.............................. 348,894
May Department Stores Company:
Debenture:
350,000 7.450% due 09/15/2011.............................. 357,133
15,000 9.750% due 02/15/2021.............................. 17,859
350,000 Mead Corporation, Debenture,
7.125% due 08/01/2025.............................. 322,837
250,000 NationsBank Corporation, Subordinate Note,
7.500% due 09/15/2006.............................. 256,692
300,000 News America Holdings, Inc., Note,
8.500% due 02/15/2005.............................. 319,475
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- ------------
<C> <S> <C>
$ 350,000 Norwest Corporation, Medium Term Note,
6.125% due 10/15/2000.............................. $ 345,425
350,000 Pacificorp, Medium Term Note,
6.310% due 07/28/2003.............................. 339,059
250,000 Praxair Inc., Debenture,
8.700% due 07/15/2022.............................. 265,090
350,000 Texas Utilities Electric Company, First Mortgage
Bond,
7.875% due 03/01/2023.............................. 345,996
250,000 Union Electric Company, First Mortgage Bond,
6.750% due 05/01/2008.............................. 244,195
350,000 Union Pacific Corporation, Note,
7.875% due 02/15/2002.............................. 363,335
------------
Total Corporate Bonds
(Cost $6,216,609).................................. 6,216,064
------------
COMMERCIAL PAPER -- 4.4%
4,000,000 J.P. Morgan & Company,
5.54%## due 07/01/1997............................. 4,000,000
8,000,000 Preferred Receivables Corporation,
6.25%## due 07/01/1997............................. 8,000,000
------------
Total Commercial Paper
(Cost $12,000,000)................................. 12,000,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $193,934,832*)...................................... 100.5% 275,930,964
OTHER ASSETS AND LIABILITIES (NET)......................... (0.5) (1,323,564)
----- ------------
NET ASSETS................................................. 100.0% $274,607,400
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Variable rate security. The interest rate shown reflects the rate in effect
at June 30, 1997.
## Rate represents annualized discount yield at date of purchase.
See Notes to Financial Statements.
23
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MONEY MARKET PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
COMMERCIAL PAPER -- 68.7%
$1,000,000 Ameritech Corporation,
5.500%# due 07/16/1997............................... $ 997,708
2,000,000 Barclays US Funding Corporation,
5.570%# due 08/04/1997............................... 1,989,479
2,000,000 Bear Stearns Company Inc.,
5.550%# due 07/08/1997............................... 1,997,842
600,000 BellSouth Telecommunications Inc.,
5.520%# due 07/08/1997............................... 599,356
1,900,000 Beneficial Corporation,
5.530%# due 07/11/1997............................... 1,897,081
2,000,000 Cargill Inc.,
5.560%# due 10/01/1997............................... 1,971,582
2,000,000 Ciesco L.P.,
5.550%# due 07/02/1997............................... 1,999,692
1,900,000 Deere (John) Capital Corporation,
5.500%# due 07/10/1997............................... 1,897,387
1,600,000 duPont (E.I.) de Nemours and Company,
5.550%# due 07/15/1997............................... 1,596,547
2,300,000 Merrill Lynch & Company, Inc.,
5.580%# due 07/09/1997............................... 2,297,148
2,000,000 Metlife Funding Inc.,
5.520%# due 07/07/1997............................... 1,998,160
1,400,000 Morgan (J.P.) & Company, Inc.,
5.540%# due 07/01/1997............................... 1,400,000
2,600,000 Morgan Stanley, Dean Witter,
Discover & Company,
5.560%# due 07/22/1997............................... 2,591,567
1,800,000 PACCAR Financial Corporation,
5.500%# due 07/10/1997............................... 1,797,525
2,000,000 Pitney-Bowes Credit Corporation,
5.660%# due 09/17/1997............................... 1,975,473
2,200,000 Preferred Receivables Funding Corporation,
5.550%# due 07/09/1997............................... 2,197,287
1,300,000 Prudential Funding Corporation,
5.530%# due 07/03/1997............................... 1,299,601
1,100,000 Schering Corporation,
5.620%# due 07/29/1997............................... 1,095,192
2,200,000 Transamerica Corporation,
5.650%# due 07/02/1997............................... 2,199,655
2,180,000 Walt Disney Company,
5.530%# due 07/18/1997............................... 2,174,307
-----------
Total Commercial Paper
(Cost $35,972,589)................................... 35,972,589
-----------
U.S. GOVERNMENT AGENCY SECURITIES -- 18.7%
Federal Farm Credit Bank (FFCB):
1,000,000 5.340% due 07/01/1997................................. 1,000,000
3,000,000 5.550% due 08/01/1997................................. 2,999,772
1,050,000 5.450% due 11/03/1997................................. 1,030,130
-----------
5,029,902
-----------
Federal Home Loan Mortgage Corporation (FHLMC):
1,380,000 5.410%# due 07/03/1997................................ 1,379,585
850,000 5.640% due 08/28/1997................................. 849,604
-----------
2,229,189
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
Federal Home Loan Bank (FHLB):
$ 500,000 5.840% due 07/24/1997................................ $ 500,029
1,000,000 7.870% due 12/15/1997................................ 1,009,658
-----------
1,509,687
-----------
1,000,000 Student Loan Marketing Association,
(SLMA) Floater,
5.260% due 07/17/1997................................ 1,000,000
-----------
Total U.S. Government Agency Securities
(Cost $9,768,778) .................................. 9,768,778
-----------
CORPORATE FIXED INCOME SECURITIES -- 15.5%
500,000 Associates Corporation of North America, Note,
5.875% due 08/15/1997................................ 499,865
500,000 CIT Group Holdings, Inc., Note,
8.750% due 07/01/1997................................ 500,000
Ford Motor Credit Corporation, Notes:
1,175,000 7.125% due 12/01/1997................................ 1,180,176
1,145,000 8.000% due 12/01/1997................................ 1,155,715
General Electric Cap Corporation, Notes:
1,000,000 8.000% due 01/15/1998................................ 1,012,012
1,000,000 7.960% due 02/02/1998................................ 1,011,410
1,000,000 NationsBank Corporation, Note,
6.625% due 01/15/1998................................ 1,003,719
500,000 Norwest Financial Inc., Note,
6.500% due 11/15/1997................................ 501,635
1,279,000 Wal-Mart Stores Inc., Note,
5.500% due 09/15/1997................................ 1,278,588
-----------
Total Corporate Fixed Income Securities
(Cost $8,143,120)................................... 8,143,120
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $53,884,487*)........................................ 102.9% 53,884,487
OTHER ASSETS AND LIABILITIES (NET).......................... (2.9) (1,499,803)
----- -----------
NET ASSETS.................................................. 100.0% $52,384,684
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
# Rate represents annualized discount yield at date of purchase.
See Notes to Financial Statements.
24
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 85.4%
PETROLEUM -- INTERNATIONAL -- 8.1%
12,400 Amerada Hess Corporation................................. $ 688,975
13,100 Amoco Corporation........................................ 1,138,881
13,200 British Petroleum Company Plc, ADR....................... 988,350
17,900 Chevron Corporation...................................... 1,323,481
29,000 Exxon Corporation........................................ 1,783,500
16,800 Mobil Corporation........................................ 1,173,900
15,100 Phillips Petroleum Company............................... 660,625
13,300 Repsol S.A., ADR......................................... 564,419
21,600 Royal Dutch Petroleum Company, ADR....................... 1,174,500
13,700 Texaco Inc............................................... 1,489,875
-----------
10,986,506
-----------
BANKING AND FINANCE -- 7.5%
24,920 Banc One Corporation..................................... 1,207,063
10,600 BankBoston Corporation................................... 763,863
13,300 Bankers Trust New York Corporation....................... 1,157,100
16,932 Chase Manhattan Corporation.............................. 1,643,462
3,900 Great Western Financial Corporation...................... 209,625
13,400 Mercantile Bankshares Corporation........................ 536,000
12,000 Morgan (J.P.) & Company Inc.............................. 1,252,500
13,700 National City Corporation................................ 719,250
14,500 PNC Bank Corporation..................................... 603,562
24,700 Signet Banking Corporation............................... 889,200
4,033 Wells Fargo & Company.................................... 1,086,893
-----------
10,068,518
-----------
TELECOMMUNICATIONS -- 7.0%
39,700 ALLTEL Corporation....................................... 1,327,469
36,200 AT&T Corporation......................................... 1,269,263
23,800 BCE Inc.................................................. 666,400
15,700 Bell Atlantic Corporation................................ 1,191,238
19,300 BellSouth Corporation.................................... 895,038
23,200 Frontier Corporation..................................... 462,550
22,800 GTE Corporation.......................................... 1,000,350
16,841 SBC Communications, Inc.................................. 1,042,037
12,300 Southern New England Telecommunications Corporation...... 478,162
11,700 Sprint Corporation....................................... 615,713
12,600 US West Inc.............................................. 474,863
-----------
9,423,083
-----------
UTILITIES -- ELECTRIC -- 6.0%
14,300 Baltimore Gas & Electric Company......................... 381,631
35,600 Centerior Energy Corporation............................. 398,275
18,100 Central and Southwest Corporation........................ 384,625
18,500 Dominion Resources Inc................................... 677,562
21,500 DQE Inc.................................................. 607,375
13,200 Edison International Company............................. 328,350
20,700 Entergy Corporation...................................... 566,663
8,100 Florida Progress Corporation............................. 253,631
7,700 GPU, Inc................................................. 276,238
21,200 Ohio Edison Company...................................... 462,425
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
27,050 PacifiCorp............................................... $ 595,100
29,100 Peco Energy Company...................................... 611,100
16,500 Public Service Enterprise Group, Inc..................... 412,500
34,600 Southern Company......................................... 756,875
33,900 Unicom Corporation....................................... 754,275
19,100 Western Resources, Inc................................... 619,556
-----------
8,086,181
-----------
FOOD AND BEVERAGE -- 5.6%
24,400 Anheuser-Busch Companies Inc............................. 1,023,275
15,000 Brown-Forman Corporation, Class B........................ 732,188
25,000 Cadbury Schweppes Ord.................................... 222,942
20,300 General Mills Inc........................................ 1,322,037
6,300 Grand Metropolitan Plc, ADR.............................. 246,881
20,100 Heinz (H.J.) Company..................................... 927,112
8,900 Kellogg Company.......................................... 762,062
31,000 McCormick & Company, Inc................................. 782,750
23,700 Quaker Oats Company...................................... 1,063,538
10,600 Sara Lee Corporation..................................... 441,225
-----------
7,524,010
-----------
FINANCIAL SERVICES -- 5.5%
12,300 American Express Company................................. 916,350
24,400 American General Corporation............................. 1,165,100
26,500 Block (H&R) Inc.......................................... 854,625
24,000 Federal National Mortgage Association.................... 1,047,000
16,800 Fleet Financial Group, Inc............................... 1,062,600
18,000 St. Paul Companies, Inc.................................. 1,372,500
16,033 Travelers Group, Inc..................................... 1,011,081
-----------
7,429,256
-----------
CONSUMER PRODUCTS -- 4.5%
16,100 Gallaher Group Plc, ADR+................................. 296,844
27,500 Pall Corporation......................................... 639,375
18,700 Philip Morris Companies Inc.............................. 829,813
25,700 Tambrands Inc............................................ 1,281,787
150 The Dixie Group, Inc.+................................... 1,538
4,900 Unilever, NV ADR......................................... 1,048,906
37,900 UST Inc.................................................. 1,051,725
16,000 Whirlpool Corporation.................................... 873,000
-----------
6,022,988
-----------
SPECIALTY CHEMICALS -- 4.2%
12,400 BetzDearborn, Inc........................................ 818,400
8,900 Eastman Chemical Company................................. 565,150
3,500 FMC Corporation+......................................... 278,031
21,500 Great Lakes Chemical Corporation......................... 1,126,062
14,100 Imperial Chemical Industries Plc, ADR.................... 801,938
15,000 Lubrizol Corporation..................................... 629,062
8,400 Minnesota Mining & Manufacturing Company................. 856,800
16,500 Nalco Chemical Company................................... 637,312
-----------
5,712,755
-----------
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
PHARMACEUTICALS -- 3.3%
15,200 Abbott Laboratories Company.............................. $ 1,014,600
16,200 American Home Products Corporation....................... 1,239,300
680 Novartis AG, ADR+........................................ 1,086,548
31,790 Pharmacia & Upjohn Inc. ................................. 1,104,703
-----------
4,445,151
-----------
PAPER AND PAPER PRODUCTS -- 3.2%
16,400 Consolidated Papers Inc. ................................ 885,600
14,900 Georgia-Pacific Company.................................. 1,272,088
18,800 International Paper Company.............................. 912,975
26,100 Union Camp Corporation................................... 1,305,000
-----------
4,375,663
-----------
ELECTRICAL EQUIPMENT -- 3.1%
23,000 AMP, Inc. ............................................... 960,250
15,907 Cooper Industries Inc. .................................. 791,373
26,300 General Electric Company................................. 1,719,363
14,900 Hubbell Inc., Class B.................................... 655,600
-----------
4,126,586
-----------
MEDIA AND COMMUNICATIONS -- 2.8%
24,700 Dun & Bradstreet Corporation............................. 648,375
5,200 Gannet Inc. ............................................. 513,500
26,200 Knight-Ridder, Inc.+..................................... 1,285,437
12,200 McGraw-Hill Companies Inc. .............................. 717,513
19,200 Readers Digest Association Inc., Class A................. 550,800
2,600 Readers Digest Association Inc., Class B................. 71,987
-----------
3,787,612
-----------
DIVERSIFIED CHEMICALS -- 2.7%
24,900 Dow Chemical Company..................................... 2,169,412
24,000 du Pont (E.I.) de Nemours & Company...................... 1,509,000
-----------
3,678,412
-----------
INSURANCE -- 2.5%
17,200 EXEL Ltd. Ord. .......................................... 907,300
8,200 Hilb, Rogal and Hamilton Company......................... 139,400
9,800 Lincoln National Corporation............................. 630,875
17,200 Safeco Corporation....................................... 803,025
22,300 USF&G Corporation........................................ 535,200
33,400 Willis Corroon Group Plc, ADR............................ 373,662
-----------
3,389,462
-----------
ENERGY SERVICES -- 2.1%
26,200 Duke Energy Corporation.................................. 1,255,962
16,300 PG &E Corporation........................................ 395,275
33,000 Witco Corporation........................................ 1,251,937
-----------
2,903,174
-----------
PETROLEUM -- DOMESTIC -- 2.0%
28,100 Atlantic Richfield Company............................... 1,981,050
24,500 USX-Marathon Group....................................... 707,438
-----------
2,688,488
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
RETAIL -- 1.8%
13,900 May Department Stores Company............................ $ 656,775
27,400 Penney (J.C.) Company, Inc. ............................. 1,429,937
14,400 The Limited Inc. ........................................ 291,600
-----------
2,378,312
-----------
MEDICAL SUPPLIES -- 1.6%
16,900 Bard (C.R.), Inc. ....................................... 613,681
18,900 Bausch & Lomb Inc. ...................................... 890,663
12,600 Baxter International Inc. ............................... 658,350
-----------
2,162,694
-----------
REAL ESTATE -- 1.5%
6,100 Rouse Company............................................ 179,950
8,600 Security Capital Pacific Trust........................... 196,725
38,832 Simon DeBartolo Group, Inc. ............................. 1,242,624
8,300 Weingarten Realty Inc. .................................. 350,675
-----------
1,969,974
-----------
AUTOMOTIVES -- 1.4%
10,700 Ford Motor Company....................................... 403,925
16,600 General Motors Corporation............................... 924,413
18,150 Genuine Parts Company.................................... 614,831
-----------
1,943,169
-----------
METALS AND MINING -- 1.4%
24,436 Newmont Mining Corporation............................... 953,004
12,700 Reynolds Metals Company.................................. 904,875
-----------
1,857,879
-----------
PRINTING AND PUBLISHING -- 1.4%
25,900 Donnelley (R.R.) & Sons Company.......................... 948,588
21,800 Dow Jones & Company, Inc. ............................... 876,087
-----------
1,824,675
-----------
COSMETICS & TOILETRIES -- 1.1%
30,300 International Flavors & Fragrances, Inc. ................ 1,530,150
-----------
TRANSPORTATION SERVICES -- 0.9%
10,400 Alexander & Baldwin Inc. ................................ 271,700
10,900 Burlington Northern Santa Fe Corporation................. 979,638
-----------
1,251,338
-----------
RAILROADS -- 0.8%
16,000 Union Pacific Corporation................................ 1,128,000
-----------
LODGING -- 0.7%
15,500 ITT Corporation+ ........................................ 946,469
-----------
BUSINESS SERVICES -- 0.5%
12,100 Deluxe Corporation....................................... 412,913
4,600 GATX Corporation......................................... 265,650
-----------
678,563
-----------
DIVERSIFIED -- 0.5%
17,700 Fortune Brands, Inc. .................................... 660,431
-----------
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
BUILDING AND CONSTRUCTION -- 0.5%
8,700 Armstrong World Industries Inc. ...................... $ 638,363
-----------
ELECTRONIC SYSTEMS -- 0.4%
6,500 Eaton Corporation..................................... 567,531
-----------
CONGLOMERATES -- 0.3%
177,500 Lonhro Ord. .......................................... 376,878
-----------
OTHER -- 0.5%
26,600 Smith & Nephew Ord. .................................. 73,976
145,500 Tomkins Plc........................................... 629,983
-----------
703,959
-----------
Total Common Stock
(Cost $98,113,701)................................... 115,266,230
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 1.6%
U.S. TREASURY NOTES -- 1.2%
U.S. Treasury Notes:
$100,000 7.250% due 02/15/1998................................. 100,922
300,000 5.875% due 11/15/1999................................. 298,077
100,000 7.125% due 02/29/2000................................. 102,187
300,000 6.500% due 05/31/2001................................. 301,641
400,000 5.750% due 08/15/2003................................. 386,248
50,000 7.500% due 02/15/2005................................. 52,906
300,000 7.000% due 07/15/2006................................. 308,625
-----------
1,550,606
-----------
U.S. TREASURY BONDS -- 0.4%
U.S. Treasury Bonds:
180,000 5.625% due 02/15/2006................................. 169,060
400,000 6.000% due 02/15/2026................................. 358,000
-----------
527,060
-----------
Total U.S. Treasury Obligations
(Cost $2,062,454).................................... 2,077,666
-----------
COMMERCIAL PAPER -- 12.4%
187,000 AON Corporation,
5.760%# due 08/01/1997............................... 186,093
610,000 Bell Atlantic Financial Corporation,
5.600%# due 07/02/1997............................... 609,907
4,892,000 Ciesco, L.P.,
5.688%# due 08/05/1997++............................. 4,865,603
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
$ 595,000 General Electric Capital Corporation,
5.658%# due 07/07/1997................................ $ 594,448
2,640,000 Motorola, Inc.,
5.625%# due 08/05/1997................................ 2,625,883
3,081,000 Pacific Mutual Life Insurance Company,
6.338%# due 07/01/1997................................ 3,081,000
4,827,000 Siemens Capital Corporation,
5.625%# due 08/20/1997................................ 4,790,127
-----------
Total Commercial Paper
(Cost $16,753,061).................................... 16,753,061
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $116,929,216*)..................... 99.4% 134,096,957
OTHER ASSETS AND LIABILITIES (NET)......................... 0.6 826,378
----- ------------
NET ASSETS................................................. 100.0% $134,923,335
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
++ Security is not registered under the Securities Act of 1933. This security
may be resold in transactions exempt from registration to qualified
institutional buyers.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY:
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
-------- --------
<C> <S> <C> <C>
8,896 Great Britain Pound Sterling................... 07/01/1997 $ 14,815
22,447 Great Britain Pound Sterling................... 07/02/1997 37,381
15,046 Great Britain Pound Sterling................... 07/02/1997 25,056
93,409 Swiss Franc.................................... 07/02/1997 63,949
15,057 Great Britain Pound Sterling................... 07/03/1997 25,074
--------
Total Forward Foreign Exchange Contracts to Buy
(Contract Amount $169,304).................... $166,275
========
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- 94.1%
FINANCIAL SERVICES -- 9.9%
9,500 AMBAC Inc. .............................................. $ 725,563
25,900 Block (H&R) Inc. ........................................ 835,275
23,000 CUC International, Inc.+................................. 587,937
1,400 Fairfax Financial Holdings, Ltd.+........................ 405,518
28,300 Federal National Mortgage Association.................... 1,234,588
81,800 Federal Home Loan Mortgage Corporation................... 2,811,875
35,480 First Data Corporation................................... 1,558,903
4,000 PartnerRe Ltd. .......................................... 152,500
7,400 St. Paul Companies, Inc. ................................ 564,250
-----------
8,876,409
-----------
COMPUTER SERVICE AND SOFTWARE -- 8.9%
11,700 Automatic Data Processing Inc. .......................... 549,900
19,600 BMC Software, Inc.+...................................... 1,085,350
12,800 Cisco Systems Inc.+...................................... 859,200
1,600 Dell Computer Corporation+............................... 187,900
1,800 Electronic Data Systems Corporation...................... 73,800
4,800 FORE Systems Inc.+....................................... 65,400
15,000 Getronics NV............................................. 484,487
5,900 Intel Corporation........................................ 836,694
9,200 Microsoft Corporation+................................... 1,162,650
21,800 Oracle Corporation+...................................... 1,098,175
16,600 Parametric Technology Company+........................... 706,538
16,100 Platinum Technology Inc.+................................ 213,325
13,500 3Com Corporation+........................................ 607,500
-----------
7,930,919
-----------
CONSUMER PRODUCTS -- 6.0%
18,300 Corning Inc. ............................................ 1,017,938
15,300 Masco Corporation........................................ 638,775
30,100 Philip Morris Companies Inc. ............................ 1,335,688
4,100 Procter & Gamble Company................................. 579,125
15,100 Service Corporation International........................ 496,412
60,600 TAG Heuer International SA, Sponsored ADR+............... 912,788
1,800 Unilever NV, ADR......................................... 385,312
-----------
5,366,038
-----------
INSURANCE -- 5.8%
24,100 ACE Ltd. ................................................ 1,780,388
3,900 Erie Indemnity Company................................... 153,075
9,800 EXEL Ltd. ............................................... 516,950
5,200 Leucadia National Corporation............................ 160,875
10,366 Travelers Group Inc. .................................... 653,706
25,500 UNUM Corporation......................................... 1,071,000
20,700 Zurich Reinsurance Centre Holdings Inc. ................. 817,650
-----------
5,153,644
-----------
BANKING AND FINANCE -- 4.7%
125,000 Banca Fideuram........................................... 408,480
7,100 Citicorp................................................. 855,994
12,500 Northern Trust Corporation............................... 604,688
19,500 Norwest Corporation...................................... 1,096,875
10,900 Toronto Dominion Bank ADR................................ 322,912
3,300 Wells Fargo & Company.................................... 889,350
-----------
4,178,299
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
TELECOMMUNICATIONS -- 4.7%
7,500 Ascend Communications, Inc.+............................. $ 295,312
3,600 Ericsson (LM) Telephone, Class B, ADR.................... 141,750
60,000 Grupo Iusacell S.A. de CV, Series D, ADR +............... 885,000
2,900 Lucent Technologies, Inc. ............................... 208,981
5,400 Telebras ADR............................................. 819,450
11,000 Telecel-Comunicacoes Pessoai+............................ 912,552
25,000 Telecom Italia Mobile SpA................................ 80,887
34,500 Telecom Italia Risp...................................... 68,294
23,500 WorldCom, Inc. .......................................... 752,000
-----------
4,164,226
-----------
PHARMACEUTICALS -- 4.3%
31,333 Astra AB, Class B........................................ 552,894
8,300 Biogen Inc.+............................................. 281,162
8,900 Merck & Company.......................................... 921,150
11,100 Pfizer Inc. ............................................. 1,326,450
6,400 Warner-Lambert Company................................... 795,200
-----------
3,876,856
-----------
CONGLOMERATES -- 3.8%
60 Berkshire Hathaway Inc.+................................. 2,832,000
8,000 Kinnevik Investment AB, Class B.......................... 222,869
40,000 Swire Pacific............................................ 360,125
-----------
3,414,994
-----------
ELECTRICAL EQUIPMENT -- 3.3%
40,700 General Electric Company................................. 2,660,763
8,800 Molex Inc., Class A...................................... 306,900
-----------
2,967,663
-----------
MACHINERY -- 3.3%
32,200 Danaher Corporation...................................... 1,636,163
5,000 Hagermeyer Company....................................... 258,291
18,800 Teleflex Inc. ........................................... 587,500
17,200 TriMas Corporation....................................... 483,750
-----------
2,965,704
-----------
MEDIA AND COMMUNICATIONS -- 3.3%
15,900 Cox Communications, Inc., Class A+....................... 381,600
16,300 Tribune Company.......................................... 783,419
27,500 Ver Ned Uitgevers........................................ 608,029
70,000 Vodafone Group Ord. ..................................... 340,970
16,900 Vodafone Group Plc, ADR.................................. 818,594
-----------
2,932,612
-----------
ELECTRONIC COMPONENTS -- 3.2%
10,100 ADT Ltd.+................................................ 333,300
15,300 Analog Devices Inc.+..................................... 406,406
11,200 Hewlett-Packard Company.................................. 627,200
11,300 Linear Technology Corporation............................ 584,775
12,500 Maxim Integrated Products Inc.+.......................... 710,938
4,000 Xilinx Inc.+............................................. 196,250
-----------
2,858,869
-----------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
MEDICAL SUPPLIES -- 3.1%
9,900 Baxter International Inc. ............................... $ 517,275
11,600 Boston Scientific Corporation +.......................... 712,675
5,800 Medtronic Inc. .......................................... 469,800
700 Novartis AG+............................................. 1,118,505
-----------
2,818,255
-----------
RETAIL -- 2.8%
11,200 Circuit City Stores Inc. ................................ 398,300
17,500 Corporate Express Inc.+.................................. 252,656
5,209 CVS Corporation.......................................... 266,961
10,000 Hennes & Mauritz Company, Series B....................... 351,626
7,400 Home Depot Inc. ......................................... 510,137
7,000 Kohl's Corporation+...................................... 370,562
11,600 Wal-Mart Stores, Inc.+................................... 392,225
-----------
2,542,467
-----------
HEALTH CARE SERVICES -- 2.8%
23,250 Columbia/HCA Healthcare Corporation...................... 914,016
26,400 HEALTHSOUTH Corporation+................................. 658,350
9,600 Johnson & Johnson Company................................ 618,000
4,300 PacifiCare Health Systems, Inc.+......................... 274,662
-----------
2,465,028
-----------
BUSINESS SERVICES -- 2.7%
20,000 Elsevier NV.............................................. 334,199
15,300 Ikon Office Solutions, Inc.+............................. 381,544
9,900 Interpublic Group of Companies Inc. ..................... 606,994
16,566 Mutual Risk Management Ltd. ............................. 759,965
4,800 Reuters Holdings Plc, Class B, ADR....................... 302,400
-----------
2,385,102
-----------
FOOD AND BEVERAGE -- 2.4%
1,000 LVMH Moet Hennessey Louis Vitton Ord. ................... 268,858
25,300 PepsiCo Inc. ............................................ 950,331
7,600 Safeway Inc.+............................................ 350,550
12,900 Sara Lee Corporation..................................... 536,962
-----------
2,106,701
-----------
ENTERTAINMENT AND LEISURE -- 2.3%
2,100 Boston Chicken Inc.+..................................... 29,400
11,400 Carnival Corporation..................................... 470,250
13,069 Disney (Walt) Company.................................... 1,048,787
7,600 McDonald's Corporation................................... 367,175
6,900 Outback Steakhouse Inc.+................................. 166,894
-----------
2,082,506
-----------
PETROLEUM -- INTERNATIONAL -- 2.3%
9,000 Mobil Corporation........................................ 628,875
26,400 Royal Dutch Petroleum Company, ADR....................... 1,435,500
-----------
2,064,375
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
METALS AND MINING -- 1.5%
16,100 Newmont Mining Corporation............................... $ 627,900
1,700 Pohang Iron & Steel, ADR................................. 54,400
20,353 Rustenburg Platinum Holdings Ltd., ADR................... 366,354
15,000 Rustenburg Platinum Holdings Ltd.+....................... 274,410
-----------
1,323,064
-----------
AEROSPACE AND DEFENSE -- 1.5%
15,600 AlliedSignal Corporation................................. 1,310,400
-----------
ENERGY SERVICES -- 1.2%
3,200 Cooper Cameron Corporation+.............................. 149,600
5,000 Halliburton Company...................................... 396,250
3,100 Hershey Foods Corporation................................ 171,469
2,900 Schlumberger Ltd. ....................................... 362,500
-----------
1,079,819
-----------
PAPER AND PAPER PRODUCTS -- 1.2%
14,728 Kimberly-Clark Corporation............................... 732,718
80,000 Kimberly-Clark de Mexico, SA............................. 320,101
-----------
1,052,819
-----------
REAL ESTATE -- 1.1%
17,000 Security Capital US Realty++............................. 253,300
17,200 Starwood Lodging Trust................................... 734,225
-----------
987,525
-----------
SPECIALTY CHEMICALS -- 0.9%
16,200 Great Lakes Chemical Corporation......................... 848,475
-----------
TRANSPORTATION -- 0.9%
49,000 Hutchinson Whampoa, Ltd. ................................ 423,761
25,100 Tranz Rail Holdings Ltd.+................................ 423,562
-----------
847,323
-----------
BIOTECHNOLOGY -- 0.9%
14,000 Genentech Inc.+.......................................... 825,125
-----------
TOYS, GAMES AND HOBBIES -- 0.9%
5,750 Hasbro Inc. ............................................. 163,156
19,200 Mattel, Inc. ............................................ 650,400
-----------
813,556
-----------
MANUFACTURING -- 0.8%
10,500 Tyco International Ltd. ................................. 730,406
-----------
WASTE DISPOSAL -- 0.4%
10,400 USA Waste Services, Inc.+................................ 401,700
-----------
ENGINEERING AND CONSTRUCTION -- 0.4%
51,000 United Engineers (Malaysia) Berhad....................... 367,750
-----------
BASIC INDUSTRIES -- 0.4%
6,600 Boeing Company........................................... 350,212
-----------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
OTHER-- 2.4%
4,600 Motorola Inc. ....................................... $ 349,600
160,000 Rentokil Initial Plc................................. 562,206
50 Sig Schweiz Ag....................................... 151,468
240,000 Tomkins Plc.......................................... 1,039,147
-----------
2,102,421
-----------
Total Common Stock
(Cost $65,423,239) ................................. 84,191,262
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
COMMERCIAL PAPER -- 5.4%
$ 879,000 Ciesco, L.P.,
6.287%# due 07/01/1997............................... 879,000
417,000 Corporate Asset Funding Company, Inc.,
5.651%# due 07/22/1997+++............................ 415,650
2,545,000 General Electric Capital Corporation,
5.632% # due 07/21/1997.............................. 2,537,195
220,000 Minnesota Mining & Manufacturing Company,
5.662% # due 08/12/1997.............................. 218,581
827,000 Motorola Inc.,
5.625% # due 08/05/1997.............................. 822,578
-----------
Total Commercial Paper
(Cost $4,873,004)................................... 4,873,004
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(COST
$70,296,313*)... 99.5% 89,064,266
OTHER ASSETS AND
LIABILITIES
(NET)........... 0.5 429,518
-------- ----- -----------
NET ASSETS....... 100.0% $89,493,784
======== ===== ===========
</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.
# Rate represents annualized yield at date of purchase.
+++ Security is not registered under the Securities Act of 1933. This security
may be resold in transactions exempt from registration to qualified
institutional buyers.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
-------- --------
<C> <S> <C> <C>
1,365,885 Swedish Krona............................... 07/01/1997 $176,574
2,852,093 Hong Kong Dollar............................ 07/03/1997 368,138
--------
Total Forward Foreign Exchange Contracts to
Buy
(Contract Amount $548,660)................. $544,712
========
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
31
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
ENDEAVOR SERIES TRUST
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
DREYFUS
DREYFUS U.S.
SMALL CAP GOVERNMENT ENHANCED OPPORTUNITY VALUE
VALUE SECURITIES INDEX VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ---------- ----------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value
(Note 1) See
accompanying schedule.. $112,139,736 $38,054,651 $5,252,640 $12,028,798 $168,415,781
Cash.................... 1,683 -- 6,244 4,542 3,358,191
Foreign currency (Cost
$971,465, $56 and
$3,681, respectively).. -- -- -- -- --
Receivable for
investment securities
sold................... 1,512,003 932,281 -- -- 973,425
Receivable for Portfolio
shares sold............ 883,938 286,450 43,230 268,167 1,787,707
Receivable from
investment manager
(Note 2)............... -- -- 6,550 2,802 --
Unamortized organization
costs (Note 5)......... 2,611 8,128 24,167 22,773 2,611
Dividends and/or
interest receivable.... 55,331 478,496 4,676 6,034 151,086
Prepaid expenses........ 3,669 1,052 -- 169 5,514
------------ ----------- ---------- ----------- ------------
Total Assets............ 114,598,971 39,761,058 5,337,507 12,333,285 174,694,315
------------ ----------- ---------- ----------- ------------
LIABILITIES:
Payable for investment
securities purchased... 581,878 3,143,050 128,415 903,558 1,556,330
Payable for Portfolio
shares redeemed........ -- 38,932 -- -- --
Due to Custodian........ -- 890,112 -- -- --
Unrealized depreciation
on forward foreign
exchange contracts..... -- -- -- -- --
Transfer agent fees
payable................ 75 75 75 75 75
Investment management
fee payable (Note 2)... 71,312 18,470 2,950 6,558 110,075
Custodian fees payable
(Note 2)............... 4,175 1,444 4,646 541 3,176
Accrued Trustees' fees
and expenses (Note 2).. 618 197 27 57 954
Organization costs
payable (Note 5)....... -- -- 25,000 26,000 --
Accrued dividends
payable................ -- -- -- -- --
Accrued expenses and
other payables......... 12,066 3,677 274 5,937 36,140
------------ ----------- ---------- ----------- ------------
Total Liabilities....... 670,124 4,095,957 161,387 942,726 1,706,750
------------ ----------- ---------- ----------- ------------
NET ASSETS.............. $113,928,847 $35,665,101 $5,176,120 $11,390,559 $172,987,565
============ =========== ========== =========== ============
Investments, at
Identified Cost........ $ 97,662,944 $37,897,953 $4,766,796 $11,426,104 $124,479,401
============ =========== ========== =========== ============
NET ASSETS CONSIST OF:
Undistributed net
investment income...... $ 4,876 $ 843,482 $ 6,001 $ 50,617 $ 1,007,223
Accumulated net realized
gain/(loss) on
investments sold,
forward foreign
exchange contracts and
foreign currency
transactions........... 9,008,858 (217,834) (22) (891) 904,797
Net unrealized
appreciation of
investments, forward
foreign exchange
contracts, foreign
currencies and net
other assets........... 14,476,792 156,698 485,844 602,694 43,936,464
Paid-in capital......... 90,438,321 34,882,755 4,684,297 10,738,139 127,139,081
------------ ----------- ---------- ----------- ------------
Total Net Assets........ $113,928,847 $35,665,101 $5,176,120 $11,390,559 $172,987,565
============ =========== ========== =========== ============
NET ASSET VALUE,
offering price and
redemption price per
share of beneficial
interest outstanding... $ 15.47 $ 11.17 $ 11.19 $ 11.02 $ 18.84
============ =========== ========== =========== ============
Number of Portfolio
shares outstanding..... 7,363,970 3,192,043 462,540 1,033,632 9,182,137
============ =========== ========== =========== ============
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
<TABLE>
<CAPTION>
TCW
T. ROWE PRICE MANAGED TCW T. ROWE PRICE T. ROWE PRICE
INTERNATIONAL ASSET MONEY EQUITY GROWTH
STOCK ALLOCATION MARKET INCOME STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ----------- ------------- -------------
<S> <C> <C> <C> <C>
$157,545,629 $275,930,964 $53,884,487 $134,096,957 $89,064,266
7,553,584 154,263 1,988 553 277
958,208 -- -- 53 323
59,157 1,479,027 -- 24,062 225,652
1,299,564 1,130,073 221,607 2,172,303 1,073,070
-- -- -- -- --
-- -- -- 6,076 6,076
650,660 740,068 280,206 297,742 75,276
12,798 16,226 8,292 3,797 2,642
------------ ------------ ----------- ------------ -----------
168,079,600 279,450,621 54,396,580 136,601,543 90,447,582
------------ ------------ ----------- ------------ -----------
732,724 4,597,412 1,044,577 1,545,814 851,609
-- -- 713,718 -- --
-- -- -- -- --
325 -- -- 3,029 3,948
75 75 75 75 75
120,602 168,024 22,237 84,245 56,574
21,860 4,885 1,768 4,711 4,906
930 1,554 309 730 490
-- -- -- -- --
-- -- 221,550 -- --
48,410 71,271 7,662 39,604 36,196
------------ ------------ ----------- ------------ -----------
924,926 4,843,221 2,011,896 1,678,208 953,798
------------ ------------ ----------- ------------ -----------
$167,154,674 $274,607,400 $52,384,684 $134,923,335 $89,493,784
============ ============ =========== ============ ===========
$123,337,179 $193,934,832 $53,884,487 $116,929,216 $70,296,313
============ ============ =========== ============ ===========
$ 604,869 $ 1,963,677 $-- $ 1,341,422 $ 238,559
604,343 3,417,726 (1,125) 3,944,367 1,943,694
34,204,161 81,996,132 -- 17,165,442 18,764,595
131,741,301 187,229,865 52,385,809 112,472,104 68,546,936
------------ ------------ ----------- ------------ -----------
$167,154,674 $274,607,400 $52,384,684 $134,923,335 $89,493,784
============ ============ =========== ============ ===========
$ 15.45 $ 20.72 $ 1.00 $ 17.26 $ 18.88
============ ============ =========== ============ ===========
10,815,760 13,253,698 52,385,809 7,815,067 4,740,284
============ ============ =========== ============ ===========
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
STATEMENTS OF OPERATIONS
ENDEAVOR SERIES TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
DREYFUS
DREYFUS U.S.
SMALLCAP GOVERNMENT ENHANCED OPPORTUNITY VALUE
VALUE SECURITIES INDEX VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO
----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends (Net of foreign
withholding taxes of $0,
$0, $150, $0, $2,699,
$280,794, $1,077, $0,
$15,981 and $18,380,
respectively).............. $ 385,265 $-- $ 12,916 $ 24,380 $ 922,629
Interest (Net of foreign
withholding taxes of $348
for the T. Rowe Price
International Stock
Portfolio)................. 66,754 960,922 2,799 60,264 736,205
----------- -------- -------- -------- -----------
Total Investment Income..... 452,019 960,922 15,715 84,644 1,658,834
----------- -------- -------- -------- -----------
EXPENSES:
Investment management fee
(Note 2)................... 381,579 93,966 5,604 20,914 578,207
Custodian fees (Note 2)..... 24,370 10,382 9,304 4,113 18,831
Transfer agent fees......... 379 379 150 435 379
Legal and audit fees........ 15,006 2,714 159 2,131 16,899
Amortization of organization
costs (Note 5)............. 1,567 2,179 833 2,600 1,567
Trustees' fees and expenses
(Note 2)................... 2,233 660 27 -- 3,388
Other....................... 20,993 4,921 187 3,274 29,627
----------- -------- -------- -------- -----------
Subtotal................... 446,127 115,201 16,264 33,467 648,898
Waiver/reimbursement from
investment manager (Note
2)......................... -- -- (6,550) -- --
----------- -------- -------- -------- -----------
Total expenses............. 446,127 115,201 9,714 33,467 648,898
----------- -------- -------- -------- -----------
NET INVESTMENT INCOME....... 5,892 845,721 6,001 51,177 1,009,936
----------- -------- -------- -------- -----------
REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities................. 9,036,396 61,484 (22) (891) 908,430
Forward foreign exchange
contracts................. -- -- -- -- --
Foreign currencies and net
other assets.............. -- -- -- -- (4)
----------- -------- -------- -------- -----------
Net realized gain/(loss) on
investments during the
period..................... 9,036,396 61,484 (22) (891) 908,426
----------- -------- -------- -------- -----------
Net change in unrealized
appreciation/(depreciation)
of:
Securities................. 7,892,692 (14,523) 485,844 602,534 17,586,672
Forward foreign exchange
contracts................. -- -- -- -- --
Foreign currencies and net
other assets.............. -- -- -- -- 103
----------- -------- -------- -------- -----------
Net unrealized
appreciation/(depreciation)
of investments during the
period..................... 7,892,692 (14,523) 485,844 602,534 17,586,775
----------- -------- -------- -------- -----------
Net realized and unrealized
gain/(loss) on investments
during the period.......... 16,929,088 46,961 485,822 601,643 18,495,201
----------- -------- -------- -------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.. $16,934,980 $892,682 $491,823 $652,820 $19,505,137
=========== ======== ======== ======== ===========
</TABLE>
- ------------
*The Enhanced Index Portfolio commenced operations on May 2, 1997.
See Notes to Financial Statements.
34
<PAGE>
<TABLE>
<CAPTION>
TCW
T. ROWE PRICE MANAGED TCW T. ROWE PRICE T. ROWE PRICE
INTERNATIONAL ASSET MONEY EQUITY GROWTH
STOCK ALLOCATION MARKET INCOME STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------- ----------- ---------- ------------- -------------
<S> <C> <C> <C> <C>
$ 1,726,411 $ 944,909 $-- $ 1,431,802 $ 395,396
15,934 2,092,731 1,318,402 392,382 109,396
----------- ----------- ---------- ----------- -----------
1,742,345 3,037,640 1,318,402 1,824,184 504,792
----------- ----------- ---------- ----------- -----------
646,994 945,395 119,444 407,181 284,135
116,214 29,017 10,303 27,459 26,319
379 379 379 379 379
17,139 28,968 5,515 12,482 15,423
-- -- -- 1,212 1,212
3,315 5,856 1,064 2,364 1,661
41,405 60,437 6,333 30,674 21,400
----------- ----------- ---------- ----------- -----------
825,446 1,070,052 143,038 481,751 350,569
-- -- -- -- --
----------- ----------- ---------- ----------- -----------
825,446 1,070,052 143,038 481,751 350,569
----------- ----------- ---------- ----------- -----------
916,899 1,967,588 1,175,364 1,342,433 154,223
----------- ----------- ---------- ----------- -----------
3,301,118 9,995,646 (147) 3,966,460 2,001,369
(36,067) -- -- (15,140) (1,207)
(31,775) (21) -- (850) (693)
----------- ----------- ---------- ----------- -----------
3,233,276 9,995,625 (147) 3,950,470 1,999,469
----------- ----------- ---------- ----------- -----------
12,783,433 15,707,996 -- 9,289,962 9,732,936
(325) -- -- (2,899) (3,948)
(6,221) -- -- 1,357 346
----------- ----------- ---------- ----------- -----------
12,776,887 15,707,996 -- 9,288,420 9,729,334
----------- ----------- ---------- ----------- -----------
16,010,163 25,703,621 (147) 13,238,890 11,728,803
----------- ----------- ---------- ----------- -----------
$16,927,062 $27,671,209 $1,175,217 $14,581,323 $11,883,026
=========== =========== ========== =========== ===========
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
DREYFUS
DREYFUS U.S.
SMALLCAP GOVERNMENT ENHANCED OPPORTUNITY VALUE
VALUE SECURITIES INDEX VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO
------------ ----------- ---------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Net investment income....... $ 5,892 $ 845,721 $ 6,001 $ 51,177 $ 1,009,936
Net realized gain/(loss) on
securities, forward foreign
exchange contracts and
foreign currency
transactions during the
period..................... 9,036,396 61,484 (22) (891) 908,426
Net unrealized
appreciation/(depreciation)
of securities, forward
foreign exchange contracts,
foreign currencies and net
other assets during the
period..................... 7,892,692 (14,523) 485,844 602,534 17,586,775
------------ ----------- ---------- ----------- ------------
Net increase in net assets
resulting from operations.. 16,934,980 892,682 491,823 652,820 19,505,137
Distributions to
shareholders from net
investment income.......... (635,811) (1,063,251) -- (852) (1,246,683)
Distributions to
shareholders from net
realized gains............. (11,059,249) -- -- -- (4,562,514)
Net increase in net assets
from Portfolio share
transactions (Note 4)...... 22,885,479 11,108,468 4,684,297 10,037,466 31,364,330
------------ ----------- ---------- ----------- ------------
Net increase in net assets.. 28,125,399 10,937,899 5,176,120 10,689,434 45,060,270
NET ASSETS:
Beginning of period......... 85,803,448 24,727,202 -- 701,125 127,927,295
------------ ----------- ---------- ----------- ------------
End of period............... $113,928,847 $35,665,101 $5,176,120 $11,390,559 $172,987,565
============ =========== ========== =========== ============
Undistributed net investment
income..................... $ 4,876 $ 843,482 $ 6,001 $ 50,617 $ 1,007,223
============ =========== ========== =========== ============
</TABLE>
- ------------
* The Enhanced Index Portfolio commenced operations on May 2, 1997.
See Notes to Financial Statements.
36
<PAGE>
<TABLE>
<CAPTION>
TCW
T. ROWE PRICE MANAGED TCW T. ROWE PRICE T. ROWE PRICE
INTERNATIONAL ASSET MONEY EQUITY GROWTH
STOCK ALLOCATION MARKET INCOME STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ----------- ------------- -------------
<S> <C> <C> <C> <C>
$ 916,899 $ 1,967,588 $ 1,175,364 $ 1,342,433 $ 154,223
3,233,276 9,995,625 (147) 3,950,470 1,999,469
12,776,887 15,707,996 -- 9,288,420 9,729,334
------------ ------------ ----------- ------------ -----------
16,927,062 27,671,209 1,175,217 14,581,323 11,883,026
(1,046,567) (3,471,255) (1,175,364) (1,330,453) (153,147)
-- -- -- (1,924,150) (486,466)
16,838,932 10,197,819 10,839,559 45,345,759 18,517,978
------------ ------------ ----------- ------------ -----------
32,719,427 34,397,773 10,839,412 56,672,479 29,761,391
134,435,247 240,209,627 41,545,272 78,250,856 59,732,393
------------ ------------ ----------- ------------ -----------
$167,154,674 $274,607,400 $52,384,684 $134,923,335 $89,493,784
============ ============ =========== ============ ===========
$ 604,869 $ 1,963,677 $-- $ 1,341,422 $ 238,559
============ ============ =========== ============ ===========
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
DREYFUS T. ROWE TCW
DREYFUS U.S. PRICE MANAGED TCW
SMALL CAP GOVERNMENT OPPORTUNITY VALUE INTERNATIONAL ASSET MONEY
VALUE SECURITIES VALUE EQUITY STOCK ALLOCATION MARKET
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- ------------ ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net investment
income/(loss).. $ 634,709 $ 1,066,216 $ (268) $ 1,244,040 $ 818,510 $ 3,464,503 $ 1,589,322
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year........... 11,050,747 (284,458) -- 4,558,830 1,815,599 2,436,181 (763)
Net unrealized
appreciation/(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year....... 4,486,377 (151,333) 160 14,300,362 13,305,619 30,117,285 --
----------- ----------- -------- ------------ ------------ ------------ -----------
Net
increase/(decrease)
in net assets
resulting from
operations..... 16,171,833 630,425 (108) 20,103,232 15,939,728 36,017,969 1,588,559
Distributions to
shareholders
from net
investment
income......... (669,363) (365,881) -- (773,280) (773,317) (3,944,143) (1,589,322)
Distributions to
shareholders
from net
realized
gains.......... (2,256,693) (202,125) -- (1,416,509) (284) -- --
Net increase in
net assets from
Portfolio share
transactions
(Note 4)....... 19,960,841 11,946,615 701,233 41,383,418 26,917,266 9,260,111 13,994,868
----------- ----------- -------- ------------ ------------ ------------ -----------
Net increase in
net assets..... 33,206,618 12,009,034 701,125 59,296,861 42,083,393 41,333,937 13,994,105
NET ASSETS:
Beginning of
year........... 52,596,830 12,718,168 -- 68,630,434 92,351,854 198,875,690 27,551,167
----------- ----------- -------- ------------ ------------ ------------ -----------
End of year..... $85,803,448 $24,727,202 $701,125 $127,927,295 $134,435,247 $240,209,627 $41,545,272
=========== =========== ======== ============ ============ ============ ===========
Undistributed
net investment
income......... $ 634,795 $ 1,061,012 $ 292 $ 1,243,970 $ 734,537 $ 3,467,344 $--
=========== =========== ======== ============ ============ ============ ===========
<CAPTION>
T. ROWE T. ROWE
PRICE PRICE
EQUITY GROWTH
INCOME STOCK
PORTFOLIO PORTFOLIO
------------ ------------
<S> <C> <C>
Net investment
income/(loss).. $ 1,335,864 $ 295,735
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year........... 1,909,289 375,035
Net unrealized
appreciation/(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year....... 5,690,833 7,204,066
------------ ------------
Net
increase/(decrease)
in net assets
resulting from
operations..... 8,935,986 7,874,836
Distributions to
shareholders
from net
investment
income......... (286,763) (34,313)
Distributions to
shareholders
from net
realized
gains.......... (123,166) (589,782)
Net increase in
net assets from
Portfolio share
transactions
(Note 4)....... 47,814,305 30,830,367
------------ ------------
Net increase in
net assets..... 56,340,362 38,081,108
NET ASSETS:
Beginning of
year........... 21,910,494 21,651,285
------------ ------------
End of year..... $78,250,856 $59,732,393
============ ============
Undistributed
net investment
income......... $ 1,329,442 $ 237,483
============ ============
</TABLE>
- ------------
* The Opportunity Value Portfolio commenced operations on November 18, 1996.
See Notes to Financial Statements.
38
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
06/30/97 ENDED ENDED ENDED ENDED
(UNAUDITED)+++ 12/31/96+++## 12/31/95 12/31/94+++ 12/91/93*+++
-------------- ------------- -------- ----------- ------------
<S> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 14.69 $ 12.22 $ 10.98 $ 11.18 $ 10.00
-------- ------- ------- ------- -------
Net investment income#.. 0.00 0.12 0.15 0.10 0.22
Net realized and
unrealized gain/(loss)
on investments......... 2.60 2.95 1.36 (0.30) 0.96
-------- ------- ------- ------- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 2.60 3.07 1.51 (0.20) 1.18
-------- ------- ------- ------- -------
Distributions:
Dividends from net
investment income...... (0.10) (0.14) (0.10) -- --
Distributions from net
realized gains......... (1.72) (0.46) (0.17) -- --
-------- ------- ------- ------- -------
Total distributions..... (1.82) (0.60) (0.27) -- --
-------- ------- ------- ------- -------
Net asset value, end of
period................. $ 15.47 $ 14.69 $ 12.22 $ 10.98 $ 11.18
======== ======= ======= ======= =======
Total return++.......... 18.36% 25.63% 14.05% (1.79)% 11.80%
======== ======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $113,929 $85,803 $52,597 $35,966 $12,699
Ratio of net investment
income to average net
assets................. 0.01%+ 0.95% 1.56% 0.89% 3.98%+
Ratio of operating
expenses to average net
assets**............... 0.94%+ 0.92% 0.87% 1.03% 1.30%+
Portfolio turnover
rate................... 86% 171% 75% 77% 41%
Average commission rate
(per share of
security)(a)........... $ 0.0515 $0.0539 -- -- --
</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.
## The Dreyfus Corporation became the Portfolio's Adviser effective September
16, 1996.
(a) Average commission rate paid per share of securities purchased and sold by
the Portfolio.
See Notes to Financial Statements.
39
<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 YEAR PERIOD
06/30/97 ENDED ENDED ENDED
(UNAUDITED)+++ 12/31/96+++ 12/31/95 12/31/94*+++
-------------- ----------- -------- ------------
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of
period....................... $ 11.23 $ 11.39 $ 9.96 $10.00
------- ------- ------- ------
Net investment income#........ 0.32 0.62 0.30 0.24
Net realized and unrealized
gain/(loss) on investments... (0.02) (0.44) 1.25 (0.28)
------- ------- ------- ------
Net increase/(decrease) in net
assets resulting from
investment operations........ 0.30 0.18 1.55 (0.04)
------- ------- ------- ------
Distributions:
Dividends from net investment
income....................... (0.36) (0.22) (0.12) --
Distributions from net
realized gains............... -- (0.12) -- --
------- ------- ------- ------
Total distributions........... (0.36) (0.34) (0.12) --
------- ------- ------- ------
Net asset value, end of
period....................... $ 11.17 $ 11.23 $ 11.39 $ 9.96
======= ======= ======= ======
Total return++................ 2.80% 1.81% 15.64% (0.40)%
======= ======= ======= ======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)....................... $35,665 $24,727 $12,718 $3,505
Ratio of net investment income
to average net assets........ 5.85%+ 5.68% 5.58% 4.14%+
Ratio of operating expenses to
average net assets**......... 0.80%+ 0.82% 0.84% 0.78%+
Portfolio turnover rate....... 102% 222% 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.
40
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
PERIOD
ENDED
06/30/97*
(UNAUDITED)
-----------
<S> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period............................... $ 10.00
-------
Net investment income#............................................. 0.01
Net realized and unrealized gain on investments.................... 1.18
-------
Net increase in net assets resulting from investment operations.... 1.19
-------
Net asset value, end of period..................................... $ 11.19
=======
Total return++..................................................... 11.90%
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................... $ 5,176
Ratio of net investment income to average net assets............... 0.80%+
Ratio of operating expenses to average net assets**................ 1.30%+
Portfolio turnover rate............................................ 0%
Average commission rate (per share of security)(a)................. $0.0299
</TABLE>
- ------------
* The Portfolio commenced operations on May 2, 1997.
** Annualized operating expense ratio before waiver/reimbursement of fees by
investment manager for the period ended June 30, 1997 was 2.18%.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
# Net investment income before waiver/reimbursement of expenses by investment
manager for the period ended June 30, 1997 was $0.00.
(a) Average commission rate paid per share of securities purchased and sold by
the Portfolio.
See Notes to Financial Statements.
41
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
OPPORTUNITY VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
06/30/97 ENDED
(UNAUDITED)+++ 12/31/96*
-------------- ---------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 10.06 $ 10.00
------- -------
Net investment income/(loss)#..................... 0.10 (0.00)##
Net realized and unrealized gain on investments... 0.86 0.06
------- -------
Net increase in net assets resulting from
investment operations............................ 0.96 0.06
------- -------
Distributions:
Dividends from net investment income.............. (0.00)### --
Distributions from net realized gains............. -- --
------- -------
Total distributions............................... (0.00) --
------- -------
Net asset value, end of period.................... $ 11.02 $ 10.06
======= =======
Total return++.................................... 9.55% 0.60%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).............. $11,391 $ 701
Ratio of net investment income/(loss) to average
net assets....................................... 1.95%+ (1.09)%+
Ratio of operating expenses to average net
assets**......................................... 1.27%+ 1.30%+
Portfolio turnover rate........................... 4% 0%
Average commission rate (per share of
security)(a)..................................... $0.0565 $0.0600
</TABLE>
- ------------
* The Portfolio commenced operations on November 18, 1996.
** Annualized operating expense ratio before waiver/reimbursement of fees by
investment manager for the period ended December 31, 1996 was 12.69%.
+ Annualized
++ Total return represents aggregate total return for the period 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/reimbursement of expenses by investment
manager for the period ended December 31, 1996 was ($0.04).
## Amount represents greater than $(0.01) per share.
### Amount represents less than $0.01 per share.
(a) Average commission rate paid per share of securities purchased and sold by
the Portfolio.
See Notes to Financial Statements.
42
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
06/30/97 ENDED ENDED ENDED ENDED
(UNAUDITED)+++ 12/31/96+++ 12/31/95 12/31/94 12/31/93*+++
-------------- ----------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 17.21 $ 14.23 $ 10.69 $ 10.28 $ 10.00
-------- -------- ------- ------- -------
Net investment income#.. 0.12 0.20 0.15 0.09 0.05
Net realized and
unrealized gain on
investments............ 2.18 3.15 3.52 0.33 0.23
-------- -------- ------- ------- -------
Net increase in net
assets resulting from
investment operations.. 2.30 3.35 3.67 0.42 0.28
-------- -------- ------- ------- -------
Distributions:
Dividends from net
investment income...... (0.14) (0.13) (0.09) (0.01) --
Distributions from net
realized gains......... (0.53) (0.24) (0.04) -- --
-------- -------- ------- ------- -------
Total distributions..... (0.67) (0.37) (0.13) (0.01) --
-------- -------- ------- ------- -------
Net asset value, end of
period................. $ 18.84 $ 17.21 $ 14.23 $ 10.69 $ 10.28
======== ======== ======= ======= =======
Total return++.......... 13.59% 23.84% 34.59% 4.09% 2.80%
======== ======== ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $172,988 $127,927 $68,630 $32,776 $11,178
Ratio of net investment
income to average net
assets................. 1.40%+ 1.29% 1.56% 1.31% 0.84%+
Ratio of operating
expenses to average net
assets**............... 0.90%+ 0.91% 0.86% 1.02% 1.30%+
Portfolio turnover
rate................... 7% 27% 28% 56% 1%
Average commission rate
(per share of
security)(a)........... $ 0.0575 $ 0.0569 -- -- --
</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.
43
<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 YEAR PERIOD
06/30/97 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED)+++ 12/31/96+++ 12/31/95## 12/31/94 12/31/93+++ 12/31/92+++ 12/31/91*
-------------- ----------- ---------- -------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 13.95 $ 12.19 $ 11.31 $ 11.99 $ 10.12 $10.52 $10.00
-------- -------- ------- ------- ------- ------ ------
Net investment
income/(loss)#......... 0.09 0.09 0.09 (0.02) (0.04) 0.00*** 0.06
Net realized and
unrealized gain/(loss)
on investments......... 1.51 1.76 1.06 (0.66) 1.91 (0.38) 0.46
-------- -------- ------- ------- ------- ------ ------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 1.60 1.85 1.15 (0.68) 1.87 (0.38) 0.52
-------- -------- ------- ------- ------- ------ ------
Distributions:
Dividends from net
investment income...... (0.10) (0.09) -- -- -- (0.02) --
Distributions from net
realized gains......... -- (0.00)*** (0.27) -- -- -- --
-------- -------- ------- ------- ------- ------ ------
Total distributions..... (0.10) (0.09) (0.27) -- -- (0.02) --
-------- -------- ------- ------- ------- ------ ------
Net asset value, end of
period................. $ 15.45 $ 13.95 $ 12.19 $ 11.31 $ 11.99 $10.12 $10.52
======== ======== ======= ======= ======= ====== ======
Total return++.......... 11.49% 15.23% 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)...... $167,155 $134,435 $92,352 $84,102 $52,777 $6,305 $3,200
Ratio of net investment
income/(loss) to
average net assets..... 1.28%+ 0.73% 0.81% (0.16)% (0.31)% 0.01% 3.18%+
Ratio of operating
expenses to average net
assets**............... 1.15%+ 1.18% 1.15% 1.16% 1.52% 1.43% 0.00%+
Portfolio turnover
rate................... 8% 11% 111% 88% 37% 34% 0%
Average commission rate
(per share of
security)(a)........... $ 0.0009 $ 0.0024 -- -- -- -- --
</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.
44
<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 YEAR PERIOD
06/30/97 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94+++ 12/31/93+++ 12/31/92+++ 12/31/91*
----------- -------- -------- ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 18.84 $ 16.28 $ 13.48 $ 14.30 $ 12.31 $ 11.37 $10.00
-------- -------- -------- -------- ------- ------- ------
Net investment income#.. 0.14 0.27 0.33 0.28 0.23 0.24 0.10
Net realized and
unrealized gain/(loss)
on investments......... 2.01 2.61 2.72 (1.03) 1.84 0.77 1.27
-------- -------- -------- -------- ------- ------- ------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 2.15 2.88 3.05 (0.75) 2.07 1.01 1.37
-------- -------- -------- -------- ------- ------- ------
Distributions:
Dividends from net
investment income...... (0.27) (0.32) (0.25) (0.07) (0.08) (0.07) --
-------- -------- -------- -------- ------- ------- ------
Net asset value, end of
period................. $ 20.72 $ 18.84 $ 16.28 $ 13.48 $ 14.30 $ 12.31 $11.37
======== ======== ======== ======== ======= ======= ======
Total return++.......... 11.43% 17.82% 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)...... $274,607 $240,210 $198,876 $172,449 $96,657 $14,055 $4,247
Ratio of net investment
income to average net
assets................. 1.56%+ 1.59% 2.12% 2.03% 1.71% 2.11% 4.54%+
Ratio of operating
expenses to average net
assets**............... 0.85%+ 0.85% 0.84% 0.90% 1.12% 1.18% 0.00%+
Portfolio turnover
rate................... 32% 58% 93% 67% 67% 50% 61%
Average commission rate
(per share of
security)(a)........... $ 0.0600 $ 0.0041 -- -- -- -- --
</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.
45
<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 YEAR PERIOD
06/30/97 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91*
----------- -------- -------- -------- -------- -------- ---------
<S> <C> <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 $ 1.00
-------- -------- -------- -------- -------- -------- --------
Net investment income#.. 0.0243 0.0479 0.0540 0.0337 0.0218 0.0287 0.0377
-------- -------- -------- -------- -------- -------- --------
Distributions:
Dividends from net
investment income...... (0.0243) (0.0479) (0.0540) (0.0336) (0.0218) (0.0287) (0.0377)
Distributions from net
realized gains......... -- -- -- (0.0001) -- -- --
-------- -------- -------- -------- -------- -------- --------
Total distributions..... (0.0243) (0.0479) (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 $ 1.00
======== ======== ======== ======== ======== ======== ========
Total return++.......... 2.44% 4.91% 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)...... $ 52,385 $ 41,545 $ 27,551 $ 20,766 $ 12,836 $ 4,527 $ 1,907
Ratio of net investment
income to average net
assets................. 4.92%+ 4.81% 5.37% 3.58% 2.19% 2.84% 5.02%+
Ratio of operating
expenses to average net
assets**............... 0.60%+ 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.
46
<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 YEAR
06/30/97 ENDED ENDED
(UNAUDITED)+++ 12/31/96+++ 12/31/95*+++
-------------- ----------- ------------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.. $ 15.49 $ 13.05 $ 10.00
-------- ------- -------
Net investment income................. 0.21 0.41 0.34
Net realized and unrealized gain on
investments.......................... 2.02 2.17 2.71
-------- ------- -------
Net increase in net assets resulting
from investment operations........... 2.23 2.58 3.05
-------- ------- -------
Distributions:
Dividends from net investment income.. (0.19) (0.10) --
Distributions from net realized
gains................................ (0.27) (0.04) --
-------- ------- -------
Total distributions................... (0.46) (0.14) --
-------- ------- -------
Net asset value, end of period........ $ 17.26 $ 15.49 $ 13.05
======== ======= =======
Total return++........................ 14.48% 19.88% 30.50%
======== ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).. $134,923 $78,251 $21,910
Ratio of net investment income to
average net assets................... 2.64%+ 2.89% 3.24%+
Ratio of operating expenses to average
net assets........................... 0.95%+ 0.96% 1.15%+
Portfolio turnover rate............... 14% 19% 16%
Average commission rate (per share of
security)(a)......................... $ 0.0311 $0.0396 --
</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.
47
<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 YEAR
06/30/97 ENDED ENDED
(UNAUDITED)+++ 12/31/96+++ 12/31/95*+++
-------------- ----------- ------------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.. $ 16.29 $ 13.72 $ 10.00
------- ------- -------
Net investment income................. 0.04 0.11 0.08
Net realized and unrealized gain on
investments.......................... 2.69 2.71 3.64
------- ------- -------
Net increase in net assets resulting
from investment operations........... 2.73 2.82 3.72
------- ------- -------
Distributions:
Dividends from net investment income.. (0.03) (0.01) --
Distributions from net realized
gains................................ (0.11) (0.24) --
------- ------- -------
Total distributions................... (0.14) (0.25) --
------- ------- -------
Net asset value, end of period........ $ 18.88 $ 16.29 $ 13.72
======= ======= =======
Total return++........................ 16.82% 20.77% 37.20%
======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).. $89,494 $59,732 $21,651
Ratio of net investment income to
average net assets................... 0.43%+ 0.75% 0.69%+
Ratio of operating expenses to average
net assets........................... 0.99%+ 1.01% 1.26%+
Portfolio turnover rate............... 24% 44% 64%
Average commission rate (per share of
security)(a)......................... $0.0390 $0.0385 --
</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.
48
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
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 ten
managed investment portfolios: Dreyfus Small Cap Value Portfolio, Dreyfus U.S.
Government Securities Portfolio, Enhanced Index Portfolio, Opportunity Value
Portfolio, Value Equity Portfolio, T. Rowe Price International Stock Portfolio,
TCW Managed Asset Allocation Portfolio, TCW Money Market 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:
DREYFUS SMALL CAP VALUE PORTFOLIO, DREYFUS U.S. GOVERNMENT SECURITIES
PORTFOLIO, ENHANCED INDEX PORTFOLIO, OPPORTUNITY VALUE PORTFOLIO, VALUE EQUITY
PORTFOLIO, T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO, TCW MANAGED ASSET
ALLOCATION 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.
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 a Portfolio's
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 a Portfolio 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.
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.
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
identifies 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.
FORWARD FOREIGN CURRENCY CONTRACTS:
The Dreyfus U.S. Government Securities Portfolio, the Enhanced Index Portfolio,
the Opportunity Value Portfolio, T. Rowe Price International Stock Portfolio,
the T. Rowe Price Equity Income Portfolio and the T. Rowe Price Growth Stock
Portfolio
49
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
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 Dreyfus Small Cap Value Portfolio,
Dreyfus U.S. Government Securities Portfolio, Enhanced Index Portfolio,
Opportunity Value Portfolio, Value Equity Portfolio, T. Rowe Price
International Stock Portfolio, TCW Managed Asset Allocation Portfolio, T. Rowe
Price Equity Income Portfolio and T. Rowe Price Growth Stock Portfolio are
declared and paid at least annually. Dividends from net investment income of
the TCW Money Market Portfolio are declared daily and paid monthly. 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: Dreyfus Small Cap Value Portfolio -- .80%; Dreyfus U.S.
Government Securities Portfolio -- .65%; Enhanced Index Portfolio -- .75%;
Opportunity Value Portfolio -- .80%; Value Equity Portfolio -- .80%; T. Rowe
Price International
50
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
Stock Portfolio -- .90%; TCW Managed Asset Allocation Portfolio -- .75%; TCW
Money Market Portfolio -- .50%; 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., ("Investor Services
Group") a wholly-owned subsidiary of First Data Corporation. Investor Services
Group assists the Investment Manager in the performance of its administrative
responsibilities to the Fund. As compensation for these services, the
Investment Manager pays Investor Services Group a fee computed and payable
monthly at an annual rate of .10% of the Portfolios' aggregate daily net assets
on the first $600 million, .06% on the next $400 million and .01% on assets
exceeding $1 billion, with Portfolios established after July 1, 1996 subject to
a $40,000 minimum annual fee until assets reach $40 million.
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 Small Cap Value Portfolio and the Dreyfus U.S. Government
Securities Portfolio. As compensation for its services as investment adviser,
the Investment Manager pays Dreyfus a monthly fee based on a percentage of the
average daily net assets of each Portfolio at the following annual rates:
Dreyfus Small Cap Value Portfolio -- .375% and Dreyfus U.S. Government
Securities Portfolio -- .15%.
J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary of
J.P. Morgan and Co. Incorporated, serves as the Adviser to the Enhanced Index
Portfolio. As compensation for its services as investment adviser, the
Investment Manager pays Morgan a monthly fee at an annual rate of .35% of the
average daily net assets of the Portfolio.
OpCap Advisors ("OpCap") (formerly known as Quest for Value Advisors), a
majority-owned subsidiary of Oppenheimer Capital, serves as the Adviser to the
Opportunity Value Portfolio and the Value Equity 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, subject to reduction with respect to the Opportunity
Value Portfolio in certain circumstances.
Rowe Price-Fleming International, Inc. ("Price-Fleming"), a joint venture
between 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.
TCW Funds Management, Inc. ("TCW"), a wholly-owned subsidiary of The TCW Group,
Inc., serves as the Adviser to the TCW Managed Asset Allocation Portfolio and
the TCW Money Market 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 Managed Asset Allocation Portfolio -- .375% and TCW
Money Market Portfolio -- .25%.
T. Rowe Price Associates, Inc. ("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: Dreyfus Small Cap Value
Portfolio -- 1.30%, Dreyfus U.S. Government Securities Portfolio -- 1.00%,
Enhanced Index Portfolio -- 1.30%, Opportunity Value Portfolio -- 1.30%, Value
Equity Portfolio -- 1.30%, T. Rowe Price International Stock Portfolio --
1.53%, TCW Managed Asset Allocation Portfolio -- 1.25%, TCW Money Market
Portfolio -- .99%, T. Rowe Price Equity Income Portfolio -- 1.30% and T. Rowe
Price Growth Stock Portfolio -- 1.30%. For the six months ended June 30, 1997,
the Investment Manager waived and/or reimbursed expenses of $6,550 on the
Enhanced Index Portfolio.
51
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of
Mellon Bank Corporation, serves as the Fund's custodian. Investor Services
Group serves as the Fund's transfer agent.
For the six months ended June 30, 1997, the Fund incurred total brokerage
commissions of $630,176 of which $17,978 was paid to Oppenheimer & Company,
Inc., $5,154 was paid to Jardine Fleming Group Ltd., $429 was paid to Ord
Minnett Securities, Ltd., Australia and $1,902 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 Investor Services Group received any compensation from the
Fund for serving as an officer or Trustee of the Fund. Effective May 13, 1997,
the Fund pays each Trustee who is not a director, officer or employee of the
Investment Manager, Endeavor Management Co., the Advisers, Investor Services
Group or any of their affiliates $7,500 per annum plus $500 per regularly
scheduled meeting attended and reimburses them for travel and out-of-pocket
expenses. Prior to May 13, 1997, each Trustee received $2,500 per annum plus
$500 per regularly scheduled meeting attended and reimbursement 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, 1997 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------------------- -----------------------
U.S. U.S.
GOVERNMENT OTHER GOVERNMENT OTHER
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio................ -- $87,336,518 -- $80,466,801
Dreyfus U.S. Government
Securities Portfolio..... $36,402,113 3,414,798 $24,948,182 3,753,139
Enhanced Index Portfolio.. 54,651 4,544,345 -- --
Opportunity Value
Portfolio................ 288,266 6,153,516 -- 116,936
Value Equity Portfolio.... -- 19,506,555 -- 7,780,084
T. Rowe Price
International Stock
Portfolio................ -- 24,541,562 -- 10,624,536
TCW Managed Asset
Allocation Portfolio..... 33,862,784 45,221,664 22,248,982 55,354,681
T. Rowe Price Equity
Income Portfolio......... 298,055 45,554,643 200,000 12,503,061
T. Rowe Price Growth Stock
Portfolio................ -- 30,636,922 -- 16,068,723
</TABLE>
At June 30, 1997, 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
------------ ------------ --------------
<S> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio....................... $16,366,746 $1,889,954 $14,476,792
Dreyfus U.S. Government
Securities Portfolio............ 228,714 72,016 156,698
Enhanced Index Portfolio......... 507,705 21,861 485,844
Opportunity Value Portfolio...... 622,655 19,961 602,694
Value Equity Portfolio........... 44,164,111 227,731 43,936,380
T. Rowe Price International Stock
Portfolio....................... 38,196,807 3,988,357 34,208,450
TCW Managed Asset Allocation
Portfolio....................... 83,567,260 1,571,128 81,996,132
T. Rowe Price Equity Income
Portfolio....................... 18,003,857 836,116 17,167,741
T. Rowe Price Growth Stock
Portfolio....................... 19,608,652 840,699 18,767,953
</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 eleven series of shares, each series representing one of the
Fund's eleven Portfolios. One series, Montgomery Select 50 Portfolio, is not
yet operational. 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
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
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
06/30/97 12/31/96
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
DREYFUS SMALL CAP VALUE
PORTFOLIO:
Sold.................... 913,839 $14,011,748 1,685,691 $21,819,816
Issued as reinvestment
of dividends........... 796,124 11,695,060 222,513 2,926,056
Redeemed................ (184,968) (2,821,329) (373,076) (4,785,031)
--------- ----------- --------- -----------
Net increase............ 1,524,995 $22,885,479 1,535,128 $19,960,841
========= =========== ========= ===========
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
DREYFUS U.S. GOVERNMENT
SECURITIES PORTFOLIO:
Sold.................... 1,114,584 $12,530,894 1,451,562 $16,007,728
Issued as reinvestment
of dividends........... 96,135 1,063,251 53,384 568,005
Redeemed................ (220,222) (2,485,677) (419,777) (4,629,118)
--------- ----------- --------- -----------
Net increase............ 990,497 $11,108,468 1,085,169 $11,946,615
========= =========== ========= ===========
<CAPTION>
PERIOD ENDED
06/30/97#
----------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C>
ENHANCED INDEX
PORTFOLIO:
Sold.................... 462,983 $ 4,689,036
Redeemed................ (443) (4,739)
--------- -----------
Net increase............ 462,540 $ 4,684,297
========= ===========
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96#
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
OPPORTUNITY VALUE
PORTFOLIO:
Sold.................... 1,015,483 $10,579,796 73,459 $ 738,698
Issued as reinvestment
of dividends........... 80 852 -- --
Redeemed................ (51,644) (543,182) (3,746) (37,465)
--------- ----------- --------- -----------
Net increase............ 963,919 $10,037,466 69,713 $ 701,233
========= =========== ========= ===========
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
VALUE EQUITY PORTFOLIO:
Sold.................... 1,609,825 $28,910,036 2,765,358 $43,709,370
Issued as reinvestment
of dividends........... 325,993 5,809,197 140,281 2,189,789
Redeemed................ (187,486) (3,354,903) (294,404) (4,515,741)
--------- ----------- --------- -----------
Net increase............ 1,748,332 $31,364,330 2,611,235 $41,383,418
========= =========== ========= ===========
</TABLE>
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96
---------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- ------------
<S> <C> <C> <C> <C>
T. ROWE PRICE
INTERNATIONAL STOCK
PORTFOLIO:
Sold.................... 1,502,366 $21,429,495 2,422,576 $ 31,650,627
Issued as reinvestment
of dividends........... 70,239 1,046,567 59,099 773,603
Redeemed................ (396,105) (5,637,130) (421,555) (5,506,964)
--------- ----------- --------- ------------
Net increase............ 1,176,500 $16,838,932 2,060,120 $ 26,917,266
========= =========== ========= ============
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96
---------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- ------------
<S> <C> <C> <C> <C>
TCW MANAGED ASSET
ALLOCATION PORTFOLIO:
Sold.................... 807,742 $15,988,774 1,280,847 $ 22,326,834
Issued as reinvestment
of dividends........... 170,745 3,471,255 223,337 3,944,143
Redeemed................ (472,043) (9,262,210) (975,851) (17,010,866)
--------- ----------- --------- ------------
Net increase............ 506,444 $10,197,819 528,333 $ 9,260,111
========= =========== ========= ============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96
---------------- ------------
SHARES SHARES
AND AND
AMOUNT AMOUNT
---------------- ------------
<S> <C> <C>
TCW MONEY MARKET PORTFOLIO:
Sold....................................... $ 30,707,490 $ 44,833,447
Issued as reinvestment of dividends........ 1,175,455 1,589,374
Redeemed................................... (21,043,386) (32,427,953)
------------ ------------
Net increase............................... $ 10,839,559 $ 13,994,868
============ ============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
T. ROWE PRICE EQUITY
INCOME PORTFOLIO:
Sold.................... 2,864,053 $47,005,407 3,441,208 $48,786,661
Issued as reinvestment
of dividends........... 195,942 3,254,603 29,619 409,929
Redeemed................ (298,032) (4,914,251) (96,445) (1,382,285)
--------- ----------- --------- -----------
Net increase............ 2,761,963 $45,345,759 3,374,382 $47,814,305
========= =========== ========= ===========
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/97 12/31/96
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
T. ROWE PRICE GROWTH
STOCK PORTFOLIO:
Sold.................... 1,294,210 $22,313,231 2,208,428 $32,571,074
Issued as reinvestment
of dividends........... 35,593 639,613 42,717 624,095
Redeemed................ (256,691) (4,434,866) (161,680) (2,364,802)
--------- ----------- --------- -----------
Net increase............ 1,073,112 $18,517,978 2,089,465 $30,830,367
========= =========== ========= ===========
</TABLE>
-------------
# The Enhanced Index Portfolio and the Opportunity Value Portfolio
commenced operations on May 2, 1997 and November 18, 1996,
respectively.
54
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
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 (Dreyfus Small Cap Value Portfolio -- 10 shares,
Dreyfus U.S. Government Securities Portfolio -- 10 shares, Enhanced Index
Portfolio -- 10 shares, Opportunity Value Portfolio -- 10 shares, Value Equity
Portfolio -- 10 shares, T. Rowe Price International Stock Portfolio -- 10,000
shares, TCW Managed Asset Allocation Portfolio -- 10,000 shares, TCW Money
Market Portfolio -- 100,000 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 the shares
of the various Portfolios for distribution under Federal and state securities
regulations. As of June 30, 1997, all such costs for the T. Rowe Price
International Stock Portfolio, TCW Managed Asset Allocation Portfolio and TCW
Money Market 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.
Each Portfolio may invest up to 10% (15% with respect to Dreyfus Small Cap
Value Portfolio, Enhanced Index Portfolio, Opportunity Value Portfolio, Value
Equity Portfolio, T. Rowe Price International Stock Portfolio, T. Rowe Price
Equity Income Portfolio and T. Rowe Price Growth Stock Portfolio) of its net
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 cannot 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, 1996, the Portfolios had available for federal tax purposes
unused capital loss carryforwards as follows:
<TABLE>
<CAPTION>
EXPIRING IN 2002 EXPIRING IN 2003 EXPIRING IN 2004
---------------- ---------------- ----------------
<S> <C> <C> <C>
Dreyfus U.S. Government
Securities Portfolio... -- -- $161,820
T. Rowe Price
International Stock
Portfolio.............. -- $2,565,464 --
TCW Managed Asset
Allocation Portfolio... $1,784,798 4,769,364 --
TCW Money Market
Portfolio.............. 215 -- 763
</TABLE>
8. SUBSEQUENT EVENT
An amendment to the Administration Agreement between the Investment Manager and
Investor Services Group became effective on July 1, 1997. Under the amendment,
the Investment Manager shall pay Investor Services Group the following fees for
servicing the Portfolios: a flat fee of $650,000 per annum, provided that the
aggregate net assets of the ten existing Portfolios do not exceed $1 billion;
if the aggregate net assets of the ten existing Portfolios exceed $1 billion,
Investor Services Group shall also be entitled to receive a fee of 0.01% of any
net assets in excess of $1 billion in addition to the flat fee of $650,000.
Fees for additional Portfolios will be negotiated separately.
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1997
9. MEETING OF SHAREHOLDERS
A special meeting of shareholders of the Value Equity Portfolio and the
Opportunity Value Portfolio (collectively, "the Portfolios") was held on June
18, 1997 at which time shareholders approved (i) new investment advisory
agreements between the Investment Manager and OpCap Advisors relating to the
respective Portfolios effective upon the acquisition of Oppenheimer Group, Inc.
and its subsidiaries by PIMCO Advisors L.P. and Thomson Advisory Group Inc.;
and (ii) an amendment to the Value Equity Portfolio's investment restriction
regarding illiquid investments and a change of this restriction to non-
fundamental. By a vote of 7,152,882 shares and 531,024 shares in favor for
Value Equity Portfolio and Opportunity Value Portfolio, respectively,
representing 88% and 92%, respectively, of shares voting at the meeting,
shareholders approved the new investment advisory agreements between the
Investment Manager and OpCap Advisors. By a vote of 6,820,455 shares in favor,
representing 84% of shares voting at the meeting, shareholders approved an
amendment to the Value Equity Portfolio's investment restriction regarding
illiquid securities and to change said restriction to non-fundamental.
56
<PAGE>
This report and the Financial Statements contained herein are submitted for the
general information of the policyholders of The Endeavor Variable Annuity. This
report is not authorized for distribution to prospective investors unless
preceded or accompanied by an effective prospectus.
