SHAREHOLDER LETTER
Dear Shareholders:
As President of Endeavor Series Trust, I am pleased to bring you performance,
market and portfolio activity information on the portfolios of Endeavor Series
Trust ("Portfolios") for the fiscal year ended December 31, 1996. As you know,
the Endeavor Variable Annuity represents a variety of Managers and a diverse
choice of investment disciplines with distinctly different management styles.
Under the direction of the Endeavor Management Team, the Portfolios of
Endeavor Series Trust have delivered strong, competitive returns, while
providing shareholders with a quality portfolio of investments. We are
confident that our management team will continue to provide the very best
asset management available.
The following pages include a section authored by members of the Endeavor
Management Team. Their discussions review general stock market trends and
developments, discuss portfolio management strategies and performance for the
period ended December 31, 1996 and include a few comments on how they see the
future.
I would like to express my sincere appreciation for your continued support of
the Endeavor Variable Annuity and Endeavor Series Trust. If you should have
any comments, please do not hesitate to contact us.
Sincerely,
/s/ James R. McInnis
James R. McInnis
President
February 15, 1997
1
<PAGE>
OPPORTUNITY VALUE PORTFOLIO
The Opportunity Value Portfolio (the "Portfolio") seeks growth of capital over
time. Although the Portfolio has the flexibility to invest in the most
appropriate allocation of common stocks, bonds and cash equivalents, most of
the time the Portfolio will be weighted heavily in equities.
The Portfolio commenced operations on November 18, 1996. As assets have
started to come in, we have invested them in an eclectic group of companies
which meet our investment criteria, including: Caterpillar, Inc., which
manufactures earth-moving equipment and diesel engines; McDonald's
Corporation, a premier fast-food company with growing global markets; Tenneco,
Inc. an industrial company focused on growth sectors of the automotive parts
and packaging business, and McDonnell Douglas Corporation, the nation's
largest manufacturer of military aircraft and an important competitor in
commercial aircraft.
Another of the Portfolio's holding is Wells Fargo & Company, ("Wells Fargo") a
major West Coast bank which recognizes that companies in the highly
competitive banking industry are successful by reducing costs and providing
services at locations convenient to customers. Wells Fargo is moving from a
distribution system that relies on traditional branches to one that
accommodates customers in a variety of ways, including outlets in
supermarkets. The bank has exclusive arrangements with six of the top seven
supermarket chains in California. Wells Fargo's rapid transition to
supermarket outlets is working well. The bank has lost few customers, and
revenues per employee have risen while expense per customer has fallen about
20%. Following its purchase of First Interstate Bancorp last April, Wells
Fargo is adopting a similar approach at First Interstate's location in Nevada,
Arizona and Washington. We believe these changes, as well as the elimination
of duplicate costs following the First Interstate acquisition, should help to
dramatically increase Wells Fargo's earnings over the next few years.
One of the Portfolio's other positions is duPont (E.I.) de Nemours & Company,
("duPont"). We favor duPont because its new management team is moving
aggressively to sell, or improve the performance of those of the company's
businesses which have not shown the ability to earn long-term returns above
the cost of capital. Given that a meaningful portion of duPont's assets are
invested in these mediocre businesses, and given that the remainder of the
company's assets are invested in high-return niche businesses such as Lycra,
we believe the company will simplify its business portfolio and end up with a
mix of excellent businesses generating high returns and with durable barriers
to entry by competitors. We also believe these superior businesses are less
capital intensive than duPont's current business mix, and therefore the
company should increasingly generate substantial excess cash flow which can be
used to make high-return acquisitions or shrink the equity base by
repurchasing stock.
Although at year-end only about 35% of the Portfolio's net assets was invested
in common stocks, with the remainder in cash and cash equivalents, this was
indicative of the recent inception of the Portfolio rather than a deliberate
decision to allocate a majority of the assets to cash.
Respectfully submitted,
Richard J. Glasebrook II
Portfolio Manager
Since the Portfolio did not commence operations until November 18, 1996, no
hypothetical illustration is required.
CUMULATIVE TOTAL RETURN*
<TABLE>
<CAPTION>
OPPORTUNITY VALUE PORTFOLIO ACTUAL WITHOUT WAIVERS
--------------------------- ------ ---------------
<S> <C> <C>
Inception (11/18/96) through 12/31/96 0.60% 0.20%
</TABLE>
* Assumes the reinvestment of all dividends and distributions.
2
<PAGE>
VALUE EQUITY PORTFOLIO
The Value Equity Portfolio continued to perform well in 1996, delivering a
total return for the year of 23.8%. This gain exceeded the total return of
23.0% with dividends included for the Standard & Poor's Composite Index of 500
Stocks (the "S&P 500 Stock Index"), and the 17.2% average total return of the
funds in Lipper's Variable Insurance Products Capital Appreciation category.
We achieved these results by remaining disciplined in our value approach even
as the market advanced to new highs. The stocks in the portfolio are, on
average, valued at a significant discount to the average stock in the S&P 500
Stock Index as measured by price/earnings ratio; 14.0 times versus 17.5 times.
Yet, despite this discount, the companies in the portfolio generate very high
and sustainable levels of earnings and cash flow.
As we begin the new year, we think it likely that the economic backdrop for
financial asset valuation will remain benign. A moderate rate of growth,
similar to the fourth quarter's estimated 3%, and low inflation will likely
prevail. Housing, non-aircraft capital goods and consumer durables spending
are growing more slowly than during the previous half year. That might lead us
to worry about recession, except that monetary growth has accelerated.
Moreover, we are less worried than many about the inflationary implications of
a tightening labor market. We contend that inflation is necessarily a monetary
phenomenon, and there has been little money printed in the past few years,
here or overseas.
Corporate profitability, as measured by return on equity, has risen sharply
from 10.2% in 1991 to 18.5% in 1995. Half of the gain is attributable to an
accounting change with regard to health care liabilities. The rest of the
improvement resulted from the steadily increasing productivity of the
manufacturing sector of the U.S. economy. Exits from low-return businesses
through downsizings, the decline in the number of supervisory workers, but
particularly, the rapidly spreading use of personal computers as part of the
information revolution have spurred these productivity gains. Further, the
information revolution has exerted downward pressure on employment costs by
shifting labor overseas electronically--for instance, by locating insurance
claims processing facilities and software development offices offshore. Thus,
much of the improvement in profitability would seem to be structural and
sustainable.
In our view, cash flow is a truer measure of financial health than reported
earnings. By our estimates, free cash flow from operations, that is, cash flow
after capital spending, has grown by a factor of 2.6, from $37 billion to $95
billion from 1989 to 1995, respectively. We believe that the increasing focus
by corporate management on shareholders' expectations is behind this
remarkable surge in free cash flow. Widespread adoption of compensation
programs such as "Economic Value Added" has induced managers to spend money
only on those projects that have returns well above the cost of capital. The
result is enhanced corporate profitability and ultimately the generation of
cash that can be returned to the shareholder through dividends or share
repurchase arrangements.
If these trends remain in place--growth of operating cash flow at about 5%
annually, return on equity of 18.5%, and modest rates of inflation such that
we have a discount rate of about 10%--then a price earnings ratio for the
market of about 16 would be justified by the calculation of discounted cash
flow return to shareholders. Currently, the S&P 500 Stock Index sells at a
price/earnings ratio of 17 1/2; reasonably close to our calculation.
Can this wonderful combination of ingredients continue uninterrupted? We are
optimists, but note that the unusual length of the current economic expansion
suggests to us some risk to corporate earnings, perhaps in the range of 10% to
15%. We also note recent investor surveys that seem to indicate some excessive
expectations and speculation. Given these factors, we think that a subdued
market is a likely outcome in 1997.
As we enter the new year, we believe that the quality of the businesses in the
Value Equity Portfolio, the ability of corporate management to take steps to
maximize shareholder returns, and the low valuations are the three key
elements that should lessen downside exposure and provide significant
opportunity for upside reward.
Among the portfolio's holdings at year end are a number of diverse insurance,
banking, and other financial services companies. Each of these represents a
unique business franchise with special competitive advantages--low cost
distribution, highly automated processing capability, dominant scale, high
customer retention, pre-eminent brand franchise in emerging markets--relative
to their competitors. In all of these cases, company management is very
focused on using the cash flow of the business to grow shareholder value. As
financial companies, they have low valuations, but the high profitability of
these operating businesses should be quite sustainable in a broad variety of
economic and interest rate environments.
Respectfully submitted,
Eileen Rominger
Portfolio Manager
3
<PAGE>
VALUE EQUITY PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1996
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN VALUE EQUITY PORTFOLIO
VS.
S & P 500 STOCK INDEX+
MAY 27, 1993 THROUGH DECEMBER 31, 1996
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S&P 500 Value Equity
Inception Stock Index* Portfolio*
- --------- ------------ ------------
<S> <C> <C>
5/27/93 10000 10000
10029.29 10070
9988.94 10010
10367.96 10260
10288.44 10150
10501.27 10190
10401.17 10170
12/93 10526.93 10280
10884.82 10570
10589.38 10470
10127.72 10110
10257.6 10460
10425.94 10620
10170.38 10280
10504.35 10500
10935.02 10960
10667.62 10640
10907.28 10870
10510.06 10530
12/94 10665.96 10700
10942.56 11001
11369.01 11441
11704.48 11721
12049.14 11982
12530.71 12559
12821.77 12994
13246.98 13531
13280.29 13531
13840.75 13855
13791.28 13561
14398.13 14189
12/95 14674 14401
15173.21 15120
15314.37 15433
15461.53 15717
15689.73 15757
16094.59 16176
16155.51 16114
15441.76 15503
15767.49 16145
16655.45 16788
17114.32 17098
18407.94 17990
12/96 18043.19 17834
</TABLE>
+The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market. Index information is available at month-end only;
therefore, the closest month-end to inception date of the Portfolio has been
used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity.
- --------------------------------------------------------------------------------
Average Annual Total Return*
<TABLE>
<CAPTION>
Value Equity Portfolio Actual Without Waivers
---------------------- ------ ---------------
<S> <C> <C>
Year ended 12/31/96 23.84% N/A
Inception (05/27/93) through 12/31/96 17.46% 17.29%
</TABLE>
- --------------------------------------------------------------------------------
*Assumes the reinvestment of all dividends and distributions.
4
<PAGE>
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
BOND MARKET PERFORMANCE FOR 1996
The U.S. Government bond market posted modest returns during 1996 as current
income offset price declines resulting from rising interest rates. For the
year, intermediate and longer-term bond yields rose approximately three
quarters of a percentage point, while short-term rates rose only marginally.
The annual return for the Lehman Government Bond Index during 1996 was 2.8%.
Stronger than anticipated economic growth was the driving force behind the
rise in interest rates. Investors started the year generally believing that
the sluggishness of the economy which characterized much of 1995 would
continue and that the Federal Reserve would aggressively reduce interest
rates. However, the economy rebounded strongly during the first half of 1996,
as housing, consumer spending and manufacturing activities accelerated. The
only supportive fundamental news for the market during this period was the
continuation of low inflation which allowed the Federal Reserve to keep short-
term rates stable. After peaking in September 1996, rates declined during
October and November as the economy began to slow and the Federal Reserve
affirmed its desire to maintain the status quo. The bond market concluded 1996
on a sour note, however, as strong economic reports during December 1996
reawakened investor fears of rising interest rates.
The performance of U.S. Treasury securities generally lagged the returns
generated from other sectors of the fixed income markets. During 1996, many
fixed income investors actively sought out the higher yields available in the
mortgage and corporate sectors. Mortgage securities performed strongly as
rising interest rates reduced the prepayment risk embedded within these
issues. Corporate debt issues also fared extremely well as investors increased
their willingness to accept incremental credit risk. With corporate yield
premiums over Treasury securities at historically narrow levels, the
government bond market currently enjoys excellent relative value.
FUND PERFORMANCE FOR 1996
For 1996, Dreyfus U.S. Government Securities Portfolio (the "Portfolio")
returned 1.81%. The Portfolio benefited from significant exposure to both the
mortgage and corporate sectors of the fixed income market. The mortgage
securities provided the Portfolio with price cushion in the rising interest
rate environment while the tightening of yield premiums in the corporate
market boosted this sector. Detracting from performance was the Portfolio's
overall maturity structure which was slightly longer than that of the Lehman
Government Bond Index.
FUND OUTLOOK FOR 1997
Interest rates are likely to remain in the range which characterized the
market for most of last year. The strength of the economy continues to be
balanced by a lack of acceleration in the overall rate of inflation.
Accordingly, the Portfolio currently maintains a maturity structure which is
equivalent to that of the overall government bond market. The mortgage sector
is likely to continue to perform well in the current economic environment and
the Portfolio will continue to maintain significant exposure to this sector.
As the corporate market now appears to be relatively expensive, issues which
have achieved their price targets will be trimmed from the Portfolio.
Respectfully submitted,
Andrew Windmueller
Vice President,
Senior Portfolio Manager
5
<PAGE>
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1996
Hypothetical Illustration of $10,000 Invested in
Dreyfus U.S. Government Securities Portfolio
vs.
Lehman Aggregate Bond Index+
May 13, 1994 through December 31, 1996
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Aggregate Dreyfus U.S. Government
Inception Bond Index* Securities Portfolio*
<S> <C> <C>
5/94 10,000 10,000
9,998.6 10,000
6/94 9,976.5 9,950
10,174.67 10,050
10,187.3 10,050
10,037.36 9,970
10,028.42 9,960
10,006.15 9,930
12/94 10,075.25 9,960
10,274.64 10,110
10,518.93 10,290
10,583.47 10,340
10,731.31 10,456
11,146.58 10,850
6/95 11,228.3 10,911
11,203.22 10,871
11,338.43 10,982
11,448.74 11,073
11,597.63 11,204
11,771.42 11,366
12/95 11,936.62 11,518
12,015.89 11,578
11,807.03 11,326
11,724.96 11,214
11,659.02 11,134
11,635.35 11,111
6/96 11,791.6 11,226
11,623.87 11,246
11,804.05 11,226
12,009.76 11,413
12,275.79 11,654
12,486.06 11,852
12/96 12,369.97 11,727
</TABLE>
+The Lehman Aggregate Bond Index is an index composed of treasury issues, agency
issues, corporate bond issues and mortgage-backed securities. Index information
is available at month-end only; therefore, the closest month-end to inception
date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return*
Dreyfus U.S. Government Securities Portfolio Actual Without Waivers
-------------------------------------------- ------ ---------------
<S> <C> <C>
Year ended 12/31/96 1.81% N/A
Inception (05/13/94) through 12/31/96 6.23% 6.08%
</TABLE>
- --------------------------------------------------------------------------------
* Assumes the reinvestment of all dividends and distributions.
6
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
1996 brought to a close the second consecutive year of remarkable returns for
the major U.S. equity indices. As in 1995, the market was led by large cap
stocks. While the Standard & Poor's Composite Index of 500 stocks rose 23.0%
for the year, the Russell 2000 Small Stock Index (the "Russell 2000 Index")
gained 16.5%. The equity markets continue to be characterized by high
valuations and considerable volatility, fueled by very short-term changes in
business trends. On most measures (Price/Earnings, Price/Book, Price/Sales,
Yield) the market is quite expensive in comparison to prior periods. There is
some justification for higher values, however, namely low inflation and
interest rates and steadily growing corporate profits. Nevertheless, the
market tends to react quite violently to stocks that disappoint investor
expectations. In contrast, stocks that beat expectations tend to materially
outperform the market.
At a special meeting of shareholders of the Dreyfus Small Cap Value Portfolio
(the "Portfolio") held on October 29, 1996, shareholders approved our
appointment as the Portfolio's investment adviser effective September 1996 and
also approved that the Portfolio's investment objective be changed so that the
Portfolio will seek capital appreciation through investment in a diversified
portfolio of equity securities of companies with a median market
capitalization of approximately $750 million. In seeking this objective, our
strategy is to find stocks that are cheap in spite of the strong gains by the
market. We compare company specific valuations to their historical ranges and
their peer groups. While cheap stocks tend to offer less downside than the
market as a whole, our primary focus is on those stocks where business is
getting better and there is good potential for positive earnings surprises. We
spend a lot of time talking to management of out-of-favor companies and
industries in order to identify a positive turn in business trends before the
improvements become widely known by Wall Street. As holdings appreciate to
fair value, we sell them even if business conditions remain very favorable.
Our dedication to the "value" style of investing is of paramount importance.
Additionally, our analysis is done on a stock-by-stock basis. Our sector
weightings result from detailed bottoms-up analysis of individual securities.
To help control risk, we limit investments in individual securities to 3% of
the Portfolio. Sector weightings may not exceed 30% or 3 times the weight in
the Russell 2000 Index. We are big proponents of running highly diversified
portfolios. This focus on diversification is not only due to the market being
fairly expensive, but also because smaller capitalization stocks tend to have
greater than average business risk, and in some cases, financial risk. Our
portfolios carry 100 to 150 names. We believe that this strategy is
particularly well suited to today's expensive market environment.
Despite the overall market valuation being expensive, we continue to find
numerous ideas that meet our criteria. As a result, we are fully invested in
equities. While cash levels may fluctuate from time-to-time, cash should not
exceed 10% of the Portfolio. We offer no particular skills in "market timing"
and have no intention to do so. While the markets may be expensive, there are
plenty of cheap stocks, which is where we focus all of our efforts.
The Portfolio is highly diversified with 134 holdings at year-end. The median
market capitalization is $652 million. Holdings with market capitalization
above $1.5 billion represent 20% of the Portfolio. The Portfolio exhibits
attractive valuation characteristics as evidenced by its price/book ratio of
1.8 times, which compares favorably to the 2.3 times level for the Russell
2000 Index. The Portfolio price/earnings ratio of 13.4 times 1997 estimates
also demonstrates attractive value when contrasted to 15.6 times 1997 earnings
per share for the Russell 2000 Index. The Portfolio yield of 0.9% is below the
market's, at 1.5%, as our focus is on capital appreciation more so than yield.
The Portfolio's largest sector weightings are consumer services, technology
and finance. Within consumer services, we have large holdings of retailers
that have experienced short-term operating challenges that caused the stock
market to hit them too hard. We have purchased companies with strong
franchises and credible plans to improve their operations. For example,
Claire's Stores, Inc., ("Claire's") trades at approximately 10 times 1997
earnings after the shares were cut in half from their peak. Yet, Claire's has
$2 per share in net cash and generates strong free cash flow. It has among the
highest return-on-assets in the retailing industry. Separately, we have added
to our holdings of radio broadcasters after the shares became very cheap due
to investor dissatisfaction with the Federal Communications Commission ruling
that caps local market shares at 40%. It is our opinion that such market share
limitations are extremely favorable to the broadcasters as there is plenty of
room to make acquisitions and cut costs within consolidating local markets. In
addition, our analysis suggests that Wall Street is not fully aware of how
favorable fourth quarter cash flow growth will be.
Within technology, we have focused our investments on PC component suppliers,
who are benefiting from low inventories in the channel and strong end-market
demand. For example, Read-Rite Corporation, a manufacturer of heads for disk
drives, was priced like it was going out of business several months ago. But
through our discussions with the company, its suppliers and its customers we
believed that expectations were too pessimistic. Over the last several months,
Read-Rite Corporation has been upgraded by several firms and the shares have
appreciated materially. We continue to hold the stock since the upside
potential is considerable.
7
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
In the last quarter, we have established a meaningful commitment to the less-
than-truckload trucking sector. Truckers have worked through several years of
disappointing performance. Valuations of the stocks became very depressed. The
catalyst that got us to invest in the sector is a much healthier business
environment. Pricing, which had been non-existent the past one-two years, is
running ahead as much as 5%. And demand is starting to catch up with the
substantial capacity additions of a few years ago, leading to improved
capacity utilization. Given the huge operating leverage of the sector, we
believe these factors should combine to create positive earnings surprises in
1997.
Within finance, we believe the consolidation trend among banks and thrifts
will continue. We have a large concentration in California thrifts which may
benefit from the consolidation trend, and also have the added appeal of the
recent turn in the California economy.
Respectfully submitted,
David L. Diamond, Portfolio Manager
Peter I. Higgins, Portfolio Manager
8
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1996
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN DREYFUS SMALL CAP VALUE
PORTFOLIO
VS.
RUSSELL 2000 INDEX+
MAY 4, 1993 THROUGH DECEMBER 31, 1996
LOGO
9
<PAGE>
T. ROWE PRICE GROWTH STOCK PORTFOLIO
It was another terrific year for common stock investors and the T. Rowe Price
Growth Stock Portfolio (the "Portfolio"), which returned more than 20% for the
second year in a row.
PERFORMANCE COMPARISON
<TABLE>
<CAPTION>
6 MONTHS 12 MONTHS
(JUNE 1996- (JAN. 1996-
PERIODS ENDED 12/31/96 DEC. 1996) DEC. 1996)
---------------------- ----------- -----------
<S> <C> <C>
Endeavor Growth Stock Portfolio 11.50% 20.77%
S&P 500 Stock Index 11.68 22.96
Lipper Growth and Income Fund Average 10.57 20.75
</TABLE>
Total return includes change in share price, reinvestment of dividends, and
capital gains. Share price and returns will vary. Shares may be worth more or
less at redemption than at original purchase. Past performance cannot
guarantee future results. Total returns do not include charges imposed by the
insurance company separate account. If these were included, performance would
be lower.
The Portfolio's returns for the 6- and 12-month periods ended December 31,
1996, surpassed the Lipper Growth and Income Fund Average but trailed the
unmanaged Standard and Poor's Composite Index of 500 Stocks (the "S&P 500
Stock Index") over the longer period. Foreign securities, which represented
roughly one quarter of portfolio assets, provided better returns overall than
the domestic portfolio holdings after several years of relative
underperformance.
MARKET ENVIRONMENT
For the U.S. stock market, 1996 was a delightful encore to 1995's heroic rise.
The U.S. economy remained in a sweet spot for equity investors characterized
by low interest rates, low inflation, positive economic growth, and rising
corporate profits.
Chairman of the Federal Reserve Board (the "Fed"), Alan Greenspan watched the
economy settle into and then stay in this sweet spot without much need for any
fine-tuning by the Fed. In a much publicized speech in early December 1996,
Chairman Greenspan cited the possibility of "irrational exuberance" in the
U.S. equity market. His comment raised the specter that high stock prices, a
possible source of inflationary pressure, might be a signal for the Fed to
raise short-term rates. The logic behind this remark seemed somewhat perverse,
since the Fed's efforts to control inflation was a major reason for the rise
in stock prices in the first place. Traditionally, bull markets and economic
expansions do not die of natural causes; they are often killed off by the Fed.
Corporate profit growth, while still healthy, is decelerating. Productivity
remains the key driver of the market; indeed, gains in this area were at
historically high levels at year-end. Companies have become more productive
through restructuring, better operating management, and the application of
technology to reduce costs.
Areas of strength in the domestic market included financial stocks, which
benefited from low interest rates, strong sales growth, and declining credit
costs; technology market leaders, whose earnings growth continued to surprise
on the upside; and oil service companies, which benefited from higher
commodity prices and the application of new technologies that lower the costs
of finding and exploiting oil reserves.
Weak areas included health care services companies such as health maintenance
organizations (HMOs), whose costs rose faster than their ability to raise
prices, and cyclical commodity companies, whose earnings growth potential
mirrored the slow-growth economy. Small-capitalization stocks also
underperformed.
Foreign markets, with the notable exception of Japan, did well overall in
1996, although not nearly well enough to keep up with U.S. equities. European
stocks were strong in both local currency and U.S. dollar terms, as investors
anticipated a revival of economic growth. Many Latin American emerging markets
performed well, bouncing back from two tough years.
INVESTMENT REVIEW AND PORTFOLIO MANAGEMENT
Technology stocks lagged the market after five consecutive years of
outperformance. Market leaders, however, such as Intel Corporation, Microsoft
Corporation, Oracle Corporation, Cisco Systems Inc., and 3Com Corporation,
continued to deliver outstanding returns to the portfolio. We eliminated
positions in technology stocks that no longer have dominant market positions,
such as Sybase Inc., Bay Networks Inc., and Adobe Systems Inc.
We continue to endorse the case for above-average earnings growth for
technology companies and believe 1997 is shaping up to be an excellent year
for the sector. Major new products from Microsoft Corporation and Intel
Corporation should drive personal computer sales. Communications and
networking companies could also enjoy new product offerings in wireless-,
internet-, and intranet-related products. Also, consumer software is
benefiting from increased market penetration by the new generation of video
game platforms.
10
<PAGE>
T. ROWE PRICE GROWTH STOCK PORTFOLIO
Financial stocks remained a featured part of the Portfolio, with large
positions in outstanding companies such as Federal Home Loan Mortgage
Corporation (Freddie Mac), Federal National Mortgage Association (Fannie Mae),
ACE Limited, and UNUM Corporation contributing positively to performance. We
still like this sector because of its low relative valuation and dependable
earnings growth. Other favorable trends in this sector included consolidation,
deregulation, increasing returns on invested capital, and shareholder-oriented
financial engineering. During the past six months, we added to holdings in ACE
Limited and initiated a position in EXEL Limited, both Bermuda-based excess
liability insurers.
The weak relative showing of data services companies in the second half of
1996 followed an extended period of terrific performance. Companies such as
Electronic Data Systems Corporation and First Data Corporation have
demonstrated stable 15%-20% earnings growth for the last several years.
Recently, both companies signaled a slowdown in growth, and the market reacted
negatively to the news. We believe the slowdown is temporary and added to our
positions.
In a notable second-half transaction, we substantially increased our position
in Berkshire Hathaway Inc. In 1996 the company's value increased considerably
more than its stock price. Positive events included: the purchase of the
remainder of GEICO in a cash tender, which added to an outstanding insurance
operation; the acquisition of Flightsafety International; and strong
appreciation in large portfolio positions such as Coca-Cola Company and
Gillette Company.
OUTLOOK
U.S. stocks benefited enormously in the last two years from low inflation,
moderate economic growth, and higher-than-expected growth in corporate
earnings. The first two conditions are likely to remain intact in 1997, but
above-expectation profit growth will be more difficult to achieve.
Nonetheless, corporate cash flow is on the upswing, the price of capital is
low, and balance sheets are in great shape. There is no better recipe for
higher stock prices than an economy that rolls along in a state of slow,
blissful growth.
On a cautionary note, the market has experienced two consecutive years of 20%
or more appreciation six times since 1900, and the following year suffered an
average loss of almost 8%, with the best year eking out a meager 2% gain.
However, this could turn out to be a year where corporate earnings justify the
lofty stock valuations, and we do not expect to see a correction of major
proportions.
Our forecast of continued slow growth has positive implications for the
companies in the Portfolio. The steady pattern of earnings demonstrated by the
established growth companies held by the Portfolio should continue to command
the attention of investors. On average, portfolio stocks sold at a modest
premium to the market. Because of this, along with our conviction that
established growth stocks will remain in favor with investors, we believe the
Portfolio's prospects are good for strong relative performance in 1997.
In addition, there is reason to be optimistic about foreign markets. Interest
rates are low worldwide, currencies are relatively stable, and economic growth
appears to be accelerating. While we are clearly at a late stage in the U.S.
economic cycle, Europe, Asia (with the notable exception of Japan), and Latin
America are on the upswing. In Europe, the major productivity gains that
fueled U.S. earnings growth have yet to be achieved. Both Latin America and
the Far East have strong long-term growth potential as well as improving near-
term prospects.
Respectfully submitted,
John Gillespie
Portfolio Manager
11
<PAGE>
T. ROWE PRICE GROWTH STOCK PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1996
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN T. ROWE PRICE GROWTH STOCK
PORTFOLIO
VS.
S & P 500 STOCK INDEX AND LIPPER GROWTH AND INCOME FUND AVERAGE+
JANUARY 3, 1995 THROUGH DECEMBER 31, 1996
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S&P 500 Stock Lipper Growth and T. Rowe Price Growth
Inception Index* Income Fund Average* Stock Portfolio*
<S> <C> <C> <C>
1/3/95 10,000 10,000 10,000
10,010 10,065.41 10,259.33
10,610 10,443.52 10,659.15
3/95 11,380 10,733.63 10,973.67
11,510 10,957.81 11,295.81
11,760 11,280.44 11,748.31
6/95 12,210 11,776.58 12,021.19
12,630 12,354.97 12,419.85
12,680 12,451.4 12,451.08
9/95 13,080 12,809.89 12,976.54
13,050 12,613.14 12,930.15
13,460 13,051.83 13,499.11
12/95 13,720 13,092.57 13,757.75
14,080 13,371.98 14,225.79
14,260 13,682.4 14,358.14
14,310 13,798.73 14,496.11
14,700 14,256.79 14,710.06
14,860 14,640.94 15,089.64
14,809 14,423.19 15,146.76
14,148 13,558.62 14,477.57
14,708 14,037.96 14,782.96
15,501 14,838.59 15,615.47
15,643 14,929.38 16,045.69
16,661 15,818.27 17,258.53
12/96 16,917 15,582.02 16,569
</TABLE>
+The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper Growth and Income Fund Average is composed of the Portfolio's peer
group of mutual funds investing in growth and income oriented securities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
-----------------------------------------------------
Average Annual Total Return*
T. Rowe Price Growth Stock Portfolio Actual
------------------------------------ ------
<S> <C>
Year ended 12/31/96 20.77%
Inception (01/03/95) through 12/31/96 28.85%
-----------------------------------------------------
</TABLE>
* Assumes the reinvestment of all dividends and distributions.
12
<PAGE>
T. ROWE PRICE EQUITY INCOME PORTFOLIO
The equity market and the T. Rowe Price Equity Income Portfolio (the
"Portfolio") were strong in the second half of 1996, reflecting continued good
corporate earnings, a generally favorable economic and interest rate
environment, and heavy investor demand. The post-election rally was
particularly notable in light of how little the political environment actually
changed. For the year as a whole, equity returns were impressive, coming as
they did on the heels of considerable strength in 1995. Stocks have now
provided six consecutive years of positive returns with virtually no interim
corrections to speak of.
PERFORMANCE COMPARISON
<TABLE>
<CAPTION>
6 MONTHS 12 MONTHS
(JUNE 1996- (JAN. 1996-
PERIODS ENDED 12/31/96 DEC. 1996) DEC. 1996)
---------------------- ----------- -----------
<S> <C> <C>
Endeavor Equity Income Portfolio 11.92% 19.88%
S&P 500 Stock Index 11.68 22.96
Lipper Equity Income Index 10.17 17.89
</TABLE>
Total return includes change in share price, reinvestment of dividends, and
capital gains. Share price and returns will vary. Shares may be worth more or
less at redemption than at original purchase. Past performance cannot
guarantee future results. Total returns do not include charges imposed by the
insurance company separate account. If these were included, performance would
be lower.
The Portfolio performed well over the last six months, with a return somewhat
ahead of the unmanaged Standard & Poor's Composite Index of 500 Stocks (the
"S&P 500 Stock Index") and ahead of the Lipper Equity Income Index. For the
year as a whole, the Portfolio exceeded the Lipper Average but trailed the
broad market, a not uncommon pattern in strong years like 1996.
PORTFOLIO STRATEGY
While the last 12 months were a strong period for the broad equity market, it
was challenging for income-oriented investors. Bond and money market returns
were generally in the mid-single-digit range in 1996, with shorter-maturity
securities returning more than those with longer maturities. Two traditional
high-yield sectors of the equity market, electric utilities and telephone
companies, were about flat on average for the year. These sectors suffered due
to their interest rate sensitivity and to concern about the impact of a newly
deregulated environment.
Despite poor returns from many traditional yield vehicles, the Portfolio
performed reasonably well due to the continued strength of companies in the
financial (Chase Manhattan Corporation, American Express Company), health care
(Warner-Lambert Company, Eli Lilly), and energy (Exxon Corporation, Texaco
Inc.) sectors. Many of these holdings were purchased when they were, for
various reasons, out of favor and inexpensive on a relative valuation basis.
We often make investment decisions based on the tendency of a company's
fundamentals and stock price to regress with historical ranges, and for
investor perceptions about the relative values of these stocks to improve over
the intermediate term. This was clearly the case in 1996 with respect to some
of the companies mentioned above.
During the second half of the year, despite a market that had advanced
sharply, we were able to find opportunities in companies with higher-than-
average dividend yields, limited risk, and attractive return potential. In
many cases, investments that interest us often involve stocks that have
suffered relative to the broad market for various reasons. Controversy and
underperformance often create opportunities that we hope to exploit profitably
on your behalf. We recently initiated new positions in AT&T Corporation,
ALLTEL Corporation, International Flavors & Fragrances, Inc., ITT Corporation,
and Whirlpool Corporation, all fine companies that have struggled recently due
to negative fundamental trends affecting their businesses, negative investor
views of their prospects, or some combination of these factors.
SUMMARY AND OUTLOOK
The last two years have been an exceptionally profitable time for equity
investors, who have enjoyed attractive returns in a nearly perfect environment
for stocks. It is difficult to see how things can get much better; at the same
time, it is also difficult to see anything on the horizon that would cause
this environment to change for the worse. Nonetheless, we are sensitive to the
lessons of history, particularly the tendency of the equity market to pause
for breath after the past two consecutive strong years.
Over the last few years, stock prices have appreciated at a much faster rate
than earnings and dividends of the underlying companies. Because of this
"delinkage," we expect more subdued equity performance in 1997. We are not at
the point of yelling fire in a crowded theatre, but simply want to raise the
possibility that the year ahead may not live up to many investors' high
expectations for a continuation of recent trends. Notwithstanding this
cautionary tone, we continue to believe we will find interesting investment
opportunities during the year.
As always, we appreciate your continued confidence and support.
Respectfully submitted,
Brian C. Rogers
Portfolio Manager
13
<PAGE>
T. ROWE PRICE EQUITY INCOME PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1996
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN T. ROWE PRICE EQUITY INCOME
PORTFOLIO
VS.
S & P 500 STOCK INDEX AND LIPPER EQUITY INCOME INDEX+
JANUARY 3, 1995 THROUGH DECEMBER 31, 1996
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S&P 500 Stock Lipper Equity T. Rowe Price Equity
Inception Index Income Index Income Portfolio
- ---------- ------------- ------------- ---------------------
<S> <C> <C> <C>
1/3/95 10,000 10,000 10,000
10,259.33 10,010 10,191.45
10,659.15 10,370 10,524.76
3/95 10,973.67 10,560 10,772.44
11,296.81 10,800 1,1015.3
11,748.31 11,150 11,349.01
6/95 12,021.19 11,230 11,483.69
12,419.85 11,450 11,790.45
12,451.08 11,620 11,911.92
9/95 12,976.54 12,060 12,309.34
12,930.15 12,160 12,180.62
13,499.11 12,640 12,713.99
12/95 13,757.75 13,050 13,029.49
14,225.79 13,430 13,339.02
14,358.14 13,470 13,449.06
14,496.11 13,660 13,631.05
14,710.06 13,750 13,780.11
15,089.64 13,978 1,4003.1
15,146.76 14,069 14,027.57
14,477.57 13,675 13,519.57
14,782.96 13,978 13,863.15
15,615.47 14,554 14,393.82
16,045.69 14,887 14,725.56
17,258.53 15,735 15,565.49
12/96 16,916.56 15,,644 15,462.62
</TABLE>
+The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper Equity Income Index is a net asset value weighted index of the 30
largest equity income mutual funds.
Index information is available at month-end only; therefore, the closet
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may
be more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity.
- --------------------------------------------------------------------------------
Average Annual Total Return*
<TABLE>
<CAPTION>
T. Rowe Price Equity Income Portfolio Actual
------------------------------------- ------
<S> <C>
Year ended 12/31/96 19.88%
Inception (01/03/95) through 12/31/96 25.19%
- --------------------------------------------------------------------------------
</TABLE>
*Assumes the reinvestment of all dividends and distributions.
14
<PAGE>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
International markets generally ended 1996 on a strong note with the clear
exception of Japan. Over the fourth quarter, European markets were the
strongest performers with Spain, Norway and the United Kingdom having
particularly good performance. In the Pacific, Hong Kong and Malaysia were
strongest whereas Korea and Thailand fell sharply. Argentina and Brazil led
Latin American markets with Mexico flat. Japan ended the year on a weak note
with pessimism spreading about the economic outlook for 1997. Over the
quarter, the dollar continued the trend seen earlier in the year, rising
further against other major world currencies with the yen particularly weak.
Market trends for calendar 1996 broadly mirrored those of the fourth quarter.
European markets performed most strongly with Spain, the Netherlands and
Sweden best. Hong Kong and Malaysia led Asian markets while Brazil was
strongest in Latin America. The Japanese market fell in local terms -- a
disappointment which was compounded for U.S.-based investors given the yen's
weakness against the dollar.
Over the quarter, the T. Rowe Price International Stock Portfolio (the
"Portfolio") was ahead of the Morgan Stanley Capital International EAFE Index
with both country allocation and stock selection providing positive value
added. Over the calendar year, index outperformance came equally from useful
country bets relative to the benchmark and from good stock selection relative
to the local indices. As a result, the Portfolio outperformed the median of
other active managers for both the fourth quarter and the calendar year as a
whole.
PERFORMANCE ATTRIBUTION
As noted above, country allocation was positive over both the quarter and the
full calendar year. At the country level, the largest source of value added
was the Portfolio's substantial underweighting in Japan. The European
contribution was positive over both periods with successful overweightings in
the Netherlands, France and Norway more than offsetting the negative impact of
an underweight position in the United Kingdom Value was also added in Latin
America primarily through the Portfolio's exposure to Brazil--although it was
subtracted in the Pacific with the negative impact of positions in Korea and
Thailand more than outweighing the positive impact of an overweight position
in Hong Kong.
Our stock selection relative to the index was also positive over both periods.
Most value was added in the Pacific with Malaysia, Hong Kong and Singapore
exhibiting particularly strong results for the final quarter and the year.
Stock selection in Latin America and Europe was a small negative over the
quarter although both were positive over the full year. In particular, the
recent months have seen a consolidation from European growth stocks of the
strong gains that they had tallied earlier in the year. Although the inclusion
of medium- and smaller-sized companies in the Portfolio held back performance
over both the quarter and the year, these stocks did provide better returns
than we have seen from them in recent years and, in that light, we are hopeful
that this trend will accelerate as economic cycles mature.
INVESTMENT ACTIVITY
Over the quarter, we used market strength to reduce exposure to specific
companies in the Netherlands, Hong Kong and Malaysia. Additions to the
Portfolio were concentrated in France, Singapore and Mexico. In addition, a
modest exposure was initiated to a number of new markets such as the
Philippines and Venezuela. Activity in Japan remained limited, although a
small number of additions were made into the market weakness.
Over the year, the emphasis of the Portfolio has remained biased towards the
fast growing economies of the Pacific and Latin America at the expense of
Japan. European exposure was slightly underweight at the year end with
overweightings in the Netherlands, France and Norway more than matched by
underweightings in the stock markets of the United Kingdom, Germany and
Switzerland.
INVESTMENT OUTLOOK
1996 was generally a reasonable year for international markets despite the
disappointing performance of Japan. Looking into 1997, we are optimistic that
international markets as a group can make further progress over the next
twelve months and should finally be able to outpace the aging U.S. juggernaut.
The economic outlook world-wide remains supportive with steady if unexciting
growth being seen in both Europe and Japan. On the back of this, corporate
earnings growth remains reasonable and has the potential to surprise
positively in a number of equity markets. Recent bond market strength has
helped to provide support for equity market valuations which, while not cheap,
remain generally acceptable. Japan, which as a market still looks expensive,
continues to be the principal exception here. Selectively, investment
opportunities look attractive in both Europe and Japan as we enter the New
Year while the smaller markets of Asia and Latin America have the potential to
rise further in 1997.
Respectfully submitted,
Martin Wade, Portfolio Manager
David Warren, Portfolio Manager
15
<PAGE>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1996
Hypothetical Illustration of $10,000 Invested in
T. Rowe Price International Stock Portfolio
vs.
Morgan Stanley Capital International Eafe Index+
January 1, 1995 through December 31, 1996
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
T. Rowe Price
Morgan Stanley Capital International
International EAFE Index* Stock Portfolio*
<S> <C> <C>
12/31/94 10,000 10,000
1/95 9,615.85 10,000
2/95 9,588.25 10,121
3/95 10,186.28 10,511
4/95 10,569.37 10,801
5/95 10,443.38 10,849
6/95 10,260.24 10,801
7/95 10,899 11,391
8/95 10,483.24 11,125
9/95 10,687.98 11,277
10/95 10,400.68 11,106
11/95 10,690.07 11,201
12/95 11,120.78 11,601
1/96 11,166.43 11,915
2/96 11,204.18 11,991
3/96 11,442.11 12,210
4/96 11,774.77 12,581
5/96 11,558.09 12,544
6/96 11,623.14 12,697
7/96 11,283.42 12,275
8/96 11,308.14 12,467
9/96 11,608.55 12,745
10/96 11,489.76 12,687
11/96 11,946.92 13,262
12/96 11,793.24 13,368
</TABLE>
+ The Morgan Stanley Capital International EAFE Index is a composite portfolio
consisting of equity total returns for the countries of Europe, Australia, New
Zealand and countries in the Far East, weighted based on each country's gross
domestic product. The Morgan Stanley Capital International EAFE Index, like
the T. Rowe Price International Stock Portfolio, is concentrated only in
international investing.
NOTE: Previous periods during which the Portfolio was advised by another
investment adviser are not shown. The performance shown represents past
performance and is not a grantee of future results. The Portfolio's share price
and investment return will vary with market conditions, and the principal value
of shares, when redeemed, may be more or less than original cost. The graph
above does not reflect separate account expenses for the Endeavor Variable
Annuity.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Average Annual Total Return*
T. Rowe Price International Stock Portfolio Actual
------------------------------------------- ------
<S> <C>
Year ended 12/31/96 15.23%
Period from 01/01/95 through 12/31/96 12.77%
- --------------------------------------------------------------------------------
</TABLE>
* Assumes the reinvestment of all dividends and distributions.
16
<PAGE>
TCW MANAGED ASSET ALLOCATION PORTFOLIO
The TCW Managed Asset Allocation Portfolio (the "Portfolio") achieved a total
return of 17.8% for the year ended December 31, 1996. The Standard & Poor's
Composite Index of 500 Stocks ("S&P 500 Stock Index"), an all equity index,
gained 23.0% for the year, including reinvested dividends, while the Lehman
Government/Corporate Bond Index was up a modest 2.9%. For the fourth quarter,
the Portfolio achieved a total return of 5.2%. Fourth quarter returns for the
S&P 500 Stock Index and the Lehman Government/Corporate Bond Index were 8.3%
and 3.1%, respectively.
For the second consecutive year the performance of the S&P 500 Stock Index
substantially exceeded the rise in its operating profits. In part, of course,
this reflects the capitalization-weighted nature of the S&P 500 Stock Index
and the outstanding profit performance of many of its most highly-valued
sectors. But principally, and particularly in the second half of the year, the
strong performance reflected growing investor conviction in the prospects for
continuing moderate economic growth, benign inflation, suppressed credit
demands and stable interest rates, all of this amidst a post-election optimism
that further fiscal reform could occur next year which would help reduce the
level of real interest rates. In an environment such as this, it is logical to
expect investors to discount earnings growth further into the future and at a
higher price/earnings ratio. However, as Federal Reserve Board (the "Fed")
Chairman Greenspan stated candidly, who knows when logic gives way to
"irrational exuberance". From their July lows the broad averages increased at
an ever increasing pace until even Greenspan became alarmed in early December
that the parabolic rise had the potential to inhibit the Fed's execution of
monetary policy, paradoxically, if either a tightening or an easing were
required in order to maintain a smooth economic trajectory. Accordingly, the
last month of the year reflected heightened investor anxiety, but it probably
helped set the stage for an extension of the bull market, based mainly on
further gains in corporate profits and a favorable balance between investment
and buyback demand compared to the issuance of new shares. The net decrease in
the value of corporate equities for the first nine months of 1996 was more
than $170 billion, compared with only $69 billion for all of 1995. Clearly,
this reflects the increased competitiveness and financial strength of American
industry.
For many years we have closely tracked the Earnings Yield of the S&P 500 Stock
Index, based on trailing twelve months operating profits, comparing this to
the Bond Equivalent Yield of a one year treasury bill. Others have compared it
to the Thirty Year Bond Yield. This exercise has proved to be a most reliable
gauge of the relative value of equities. At the margin tax-exempt investors
have a choice which can be made daily, and the financial futures markets
enable an ongoing arbitrage between investor choices. Thus, these two
variables have tended to move in tandem, particularly over the last twenty
years. Over and undervaluations are typically corrected within a relatively
short time span. The last two years have witnessed a closing of the
undervaluation gap for equities, so that stocks and bonds are now both fairly
valued relative to one another. Going forward, the implications of this for
equity managers are very significant.
Looking into 1997, investors should expect a year of moderate (2%-3%) economic
growth, which should translate into a 5%-10% rise in S&P 500 Stock Index
profits, perhaps somewhat faster if growth abroad accelerates. If interest
rates remain relatively stable, the gain in stock prices should track with
earnings progress. If the economic and political stars line up favorably,
enabling lower real interest rates to emerge, then the valuation of equities
would increase proportionately. The reverse could also occur, however, if
economic growth accelerates beyond current expectations and prompts a
tightening of monetary policy. In either case, however, there is no more
valuation gap in favor of equities left to be closed.
Therefore, we doubt that passive investment management strategies relying on a
broadly based expansion of values will succeed in outperforming active
management in 1997. Moreover, since the number of companies able to achieve
exceptional earnings progress late in an economic cycle will be far fewer than
in earlier phases, next year will see the most successful stock pickers return
to the forefront of investment performance.
Stock picking success at this stage of the business expansion will depend
principally on company-specific profit dynamics not on a rising economic tide.
New product cycles, whether in pharmaceuticals or telecommunications
equipment; new sources of productivity enhancement, as in outsourcing or
industry consolidation; companies exploiting the growing demand for modern
business infrastructure all over the globe and expanding their market shares
due to low cost production as well as superior quality and service; and
finally, industries such as airlines and aerospace, where years of
underinvestment are finally enabling a tighter supply/demand balance, all
represent sectors in which far better than average profit growth should result
in 1997, enabling the shares of the leading competitors to substantially
outperform the popular stock market averages. These groups are heavily
represented in our Portfolio.
17
<PAGE>
TCW MANAGED ASSET ALLOCATION PORTFOLIO
For many other companies whose demand growth is stable and moderate and whose
shares have already enjoyed the valuation expansion resulting from lower
interest rates, much of their potential has already been realized, and their
large aggregate weighting will hold back performance of the averages
themselves, making them easier bogies for active managers to beat. Other
companies are experiencing the initial competitive aftershocks of deregulation
and are likely to lag even further behind. All in all, therefore, we expect to
achieve another year of worthwhile returns for our clients in 1977 based on
our ability to construct and maintain portfolios comprised of companies with
extremely strong and open ended profit dynamics.
As always, we thank you for your confidence and trust, and we look forward to
a healthy and prosperous New Year.
Respectfully submitted,
Norman Ridley
Portfolio Manager
18
<PAGE>
TCW MANAGED ASSET ALLOCATION PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1996
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN TCW MANAGED ASSET ALLOCATION
PORTFOLIO
VS.
S & P 500 STOCK INDEX AND LEHMAN GOVERNMENT/CORPORATE BOND INDEX+
APRIL 8, 1991 THROUGH DECEMBER 31, 1996
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S&P 500 Lehman Government/ TWC Managed Asset
Inception Stock Index* Corporate Bond Index* Allocation Portfolio*
- --------- ------------ --------------------- ---------------------
<S> <C> <C> <C>
4/8/91 10000 10000 10000
10023.67 10115.13 10030
10456.1 10162.1 10080
9977.07 10151.11 10090
10442.09 10278.43 10140
10689.48 10515.29 10240
10510.6 10734.96 10330
10651.91 10830.9 10630
10222.72 10938.84 10400
12/91 11391.84 11307.82 11370
11179.55 11140.12 11610
11324.34 11199.28 11740
11104.1 11138.12 11410
11430.13 11204.48 11440
11486.16 11421.95 11520
11315.26 11589.25 11250
11777.53 11885.67 11570
11536.5 11991.81 11409
11672.06 12155.51 11590
11712.39 11970.02 11781
12111.2 11960.43 12224
12/92 12259.84 12165.11 12395
12362.33 12429.75 12797
12530.83 12687.8 12858
12795.21 12730.77 13290
12485.94 12828.71 13150
12819.94 12821.91 13403
12857.49 12112.94 13544
12805.77 13196.69 13565
13291.67 13499.71 14040
13189.73 13546.68 14192
13462.58 13602.05 14293
13334.26 13448.34 14223
12/93 13495.48 13507.1 14476
13954.29 13710.38 15053
13575.54 13412.18 14698
12983.69 13084.16 14040
13150.19 12975.82 13833
13366 12951.83 14138
13038.37 12921.45 13507
13466.52 13179.7 13843
14018.63 13185.1 14270
13675.83 12985.42 13874
13983.07 12971.03 14077
13473.83 12947.64 13762
12/94 13673.69 13033.19 13711
14028.29 13283.44 13670
14574.99 13591.46 14077
15005.06 13682.61 14301
15446.91 13873.5 14782
16064.28 14454.95 15165
16437.41 14570.48 15776
16982.52 14514.31 16314
17025.22 14700 16428
17743.72 14849.31 16769
17680.29 15067.38 16573
18458.27 15315.43 16925
12/95 18811.93 15541.09 16852
19451.91 15637.83 17090
19632.88 15306.03 17328
19821.54 15177.51 17597
20114.09 15073.37 18063
20633.12 15047.99 18611
20711.22 15248.87 18316
19796.19 15284.45 17652
20213.77 15246.87 18053
21352.12 15517.91 18927
21940.39 15880.09 19043
23598.79 16172.51 20224
12/96 23131.19 15592.22 19855
</TABLE>
+The S&P 500 Stock Index is a weighted index composed of 500 widely held common
stocks listed on the New York Stock Exchange, American Stock Exchange and over-
the-counter market.
The Lehman Government/Corporate Bond Index is an index composed of U.S.
government, treasury and agency securities, corporate and Yankee bonds.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity.
- --------------------------------------------------------------------------------
Average Annual Total Return*
<TABLE>
<CAPTION>
TCW Managed Asset Allocation Portfolio Actual Without Waivers
-------------------------------------- ------ ---------------
<S> <C> <C>
Year ended 12/31/96 17.82% N/A
Inception (04/08/91) through 12/31/96 12.72% 12.41%
</TABLE>
- --------------------------------------------------------------------------------
*Assumes the reinvestment of all dividends and distributions.
19
<PAGE>
TCW MONEY MARKET PORTFOLIO
The TCW Money Market Portfolio (the "Portfolio") emphasizes principal
protection and diversification by investing in high quality money market
instruments. The Portfolio was specifically designed to meet the needs of
shareholders seeking a competitive return with a high degree of safety.
PORTFOLIO PERFORMANCE DURING 1996
This year was a relatively stable period for the Federal Reserve Board (the
"Federal Reserve") policy. The Federal Funds rate stood at 5.50% at the start
of 1996. In late January the rate was lowered by 25 basis points to 5.25%, a
rate that was maintained for the remainder of the year. This pattern indicated
that the Federal Reserve believed that inflation was under control and that
economic growth was not excessive. Despite the stability in policy actions,
short-term interest rates were volatile. The one-year Treasury bill interest
rate fell 40 basis points by February and then rose 120 basis points to a peak
in July as the market extrapolated signs of a strong economy during the spring
into belief that the Federal Reserve would tighten. As the economy slowed in
the fall, however, it proceeded to decline by 45 basis points.
The Portfolio dollar-weighted average maturity ranged from a high of 70 days
during the first quarter, to a low of 45 days during the rising interest rate
environment, and finished the year at the current target of 55 days. The IBC
Financial Data's All Taxable Money Market Fund Index average maturity ended
the year at 53 days. Throughout the year we managed the Portfolio with
moderately different target maturities than the average money market fund to
outperform during forecasted interest rate changes. This strategy resulted in
a total return of 4.91%, net of fees and expenses, for 1996.
OUTLOOK FOR 1997
The U.S. economy achieved a state of equilibrium towards year-end 1996 that
few market participants thought possible. Our present forecast shows a
continuation of this trend with real 1997 GDP growth estimated to average
between 2.0%-2.5% and inflation, as measured by the Consumer Price Index,
expected at 3.0%. There is, however, a vocal group of prognosticators
foreseeing a more typical end to this cycle. They foresee a burst of above-
trend growth leading to an acceleration in inflation which would persuade the
Federal Reserve to tighten interest rates in a move ultimately leading to
recession. We disagree with the latter view and believe that the model
encompassing moderate growth and moderate inflation is the most likely
outcome.
The Federal Reserve should, in our opinion, leave the Federal funds rate
unchanged and, at some point, going forward, a modest reduction in interest
rates may be warranted. If growth stagnates while inflation remains unchanged,
short-term interest rates should fall. However, with a large number of Federal
Reserve regional bank presidents believing that the economy is at full
employment, it could take months for the data to be persuasive enough to
presage an easing move. We expect one-year Treasury bill interest rates, that
ended the year at 5.5%, to trade between 5.0% and 6.0% in 1997 with the lower
range occurring later in the year.
The TCW Money Market Portfolio's conservative investment philosophy offers an
excellent vehicle with which to address our shareholders' short-term
investment requirements. Although we seek competitive yields, our stringent
credit standards are never comprised in the process. TCW Funds Management,
Inc. does not hold derivative products in the Portfolio and has consistently
maintained a cautious strategy towards new investment instruments. We are
pleased with the Portfolio's results and look forward to an equally successful
1997.
Respectfully submitted,
James M. Goldberg
Portfolio Manager
20
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
OPPORTUNITY VALUE PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 34.6%
BANKING -- 5.2%
200 Bank of Boston Corporation................................... $ 12,850
100 Citicorp..................................................... 10,300
50 Wells Fargo & Company........................................ 13,488
--------
36,638
--------
DIVERSIFIED CHEMICALS -- 4.3%
100 duPont (E.I.) de Nemours & Company........................... 9,437
300 Hercules, Inc................................................ 12,975
200 Monsanto Company............................................. 7,775
--------
30,187
--------
INSURANCE -- 4.0%
200 ACE, Ltd..................................................... 12,025
100 AFLAC, Inc................................................... 4,275
300 EXEL Ltd. Ord. .............................................. 11,363
--------
27,663
--------
FINANCIAL SERVICES -- 3.2%
100 Federal Home Loan Mortgage Corporation....................... 11,013
300 Federal National Mortgage Association........................ 11,175
--------
22,188
--------
MANUFACTURING AND ENGINEERING -- 2.1%
200 Caterpillar, Inc............................................. 15,050
--------
RESTAURANTS -- 1.9%
300 McDonald's Corporation....................................... 13,575
--------
ENERGY -- 1.9%
300 Tenneco, Inc................................................. 13,537
--------
PAPER AND PAPER PRODUCTS -- 1.9%
300 Champion International Corporation........................... 12,975
--------
METALS AND MINING -- 1.7%
400 Freeport McMoRan Copper & Gold, Inc.,
Class B..................................................... 11,950
--------
TELECOMMUNICATIONS -- 1.7%
900 Tele-Communications, Inc., Class A+.......................... 11,756
--------
FOOD AND BEVERAGES -- 1.7%
400 PepsiCo, Inc................................................. 11,700
--------
TOYS, GAMES AND HOBBIES -- 1.6%
400 Mattel, Inc.................................................. 11,100
--------
PRINTING AND PUBLISHING -- 1.3%
300 Donnelley (R.R.) & Sons Company.............................. 9,413
--------
DRUGS AND MEDICAL PRODUCTS -- 1.2%
200 Becton, Dickinson & Company.................................. 8,674
--------
AEROSPACE AND DEFENSE -- 0.9%
100 McDonnell Douglas Corporation................................ 6,400
--------
Total Common Stock
(Cost $242,646)............................................. 242,806
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 14.3% (Cost $99,908)
$100,000 Ford Motor Credit Corporation,
5.500%# due 01/07/1997................................... $ 99,908
--------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $342,554*)............................. 48.9% 342,714
OTHER ASSETS AND LIABILITIES (NET)............................. 51.1 358,411
----- --------
NET ASSETS..................................................... 100.0% $701,125
===== ========
</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.
21
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 84.6%
INSURANCE -- 21.7%
105,000 ACE Ltd................................................. $ 6,313,125
50,000 AFLAC, Inc.............................................. 2,137,500
16,200 American International Group, Inc....................... 1,753,650
76,000 Everest Re Holdings, Inc................................ 2,185,000
143,600 EXEL Ltd. Ord........................................... 5,438,850
18,000 General Re Corporation.................................. 2,839,500
20,000 Markel Corporation+..................................... 1,800,000
62,000 Mid Ocean Ltd........................................... 3,255,000
60,000 RenaissanceRe Holdings Ltd.............................. 1,980,000
------------
27,702,625
------------
FINANCIAL SERVICES -- 7.0%
120,000 Countrywide Credit Industries, Inc...................... 3,435,000
35,500 Federal Home Loan Mortgage Corporation.................. 3,909,438
36,000 Travelers Group, Inc.................................... 1,633,500
------------
8,977,938
------------
BANKING -- 6.5%
36,000 Citicorp................................................ 3,708,000
17,000 Wells Fargo & Company................................... 4,585,750
------------
8,293,750
------------
AEROSPACE AND DEFENSE -- 5.5%
20,000 AlliedSignal, Inc....................................... 1,340,000
32,000 Lockheed Martin Corporation............................. 2,928,000
43,000 McDonnell Douglas Corporation........................... 2,752,000
------------
7,020,000
------------
TRANSPORTATION -- 5.2%
31,000 AMR Corporation+........................................ 2,731,875
82,000 Canadian Pacific, Ord................................... 2,173,000
40,000 CSX Corporation......................................... 1,690,000
------------
6,594,875
------------
HEALTH CARE -- 4.5%
64,500 Columbia/HCA Healthcare Corporation..................... 2,628,375
20,000 OrNda Healthcorp+....................................... 585,000
114,000 Tenet Healthcare Corporation+........................... 2,493,750
------------
5,707,125
------------
ENERGY -- 3.5%
4,464 El Paso Natural Gas Company............................. 225,432
48,000 Tenneco, Inc............................................ 2,166,000
44,000 Triton Energy Corporation+.............................. 2,134,000
------------
4,525,432
------------
MANUFACTURING AND ENGINEERING -- 3.5%
59,000 Caterpillar, Inc........................................ 4,439,750
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
AUTO PARTS-ORIGINAL EQUIPMENT -- 3.1%
105,600 LucasVarity Plc, ADR+................................... $ 4,012,800
------------
ELECTRONICS -- 3.0%
46,000 Adaptec, Inc.+.......................................... 1,840,000
38,000 Arrow Electronics, Inc.+................................ 2,033,000
------------
3,873,000
------------
RETAIL -- 3.0%
81,500 May Department Stores Company........................... 3,810,125
------------
DRUGS AND MEDICAL PRODUCTS -- 2.6%
78,000 Becton, Dickinson & Company............................. 3,383,250
------------
TELECOMMUNICATIONS -- 2.6%
43,000 Sprint Corporation...................................... 1,714,625
11,600 TCI Satellite Entertainment, Inc., Class A+............. 114,550
116,000 Tele-Communications, Inc., Class A+..................... 1,515,250
------------
3,344,425
------------
DIVERSIFIED CHEMICALS -- 2.6%
15,000 duPont (E.I.) de Nemours & Company...................... 1,415,625
44,000 Hercules, Inc........................................... 1,903,000
------------
3,318,625
------------
ENTERTAINMENT AND LEISURE -- 2.1%
83,000 Carnival Corporation.................................... 2,739,000
------------
RESTAURANTS -- 2.1%
58,000 McDonald's Corporation.................................. 2,624,500
------------
PRINTING AND PUBLISHING -- 1.9%
77,000 Donnelley (R.R.) & Sons Company......................... 2,415,875
------------
TOYS, GAMES AND HOBBIES -- 1.8%
22,000 Electronic Arts, Inc.+.................................. 658,625
59,375 Mattel, Inc............................................. 1,647,656
------------
2,306,281
------------
COSMETICS AND TOILETRIES -- 1.1%
24,200 Avon Products, Inc...................................... 1,382,425
------------
TEXTILES AND APPAREL -- 0.6%
60,000 Shaw Industries, Inc.................................... 705,000
------------
METALS AND MINING -- 0.4%
18,315 Freeport McMoRan Copper & Gold Inc.,
Class B................................................ 547,161
------------
PAPER AND PAPER PRODUCTS -- 0.3%
10,000 Champion International Corporation...................... 432,500
------------
Total Common Stock
(Cost $81,806,754)..................................... 108,156,462
------------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 16.9%
$2,512,000 Deere (John) Capital Corporation,
5.380%# due 01/22/1997.............................. $ 2,504,116
4,434,000 Household Finance Corporation,
5.400%# due 01/08/1997.............................. 4,429,344
5,509,000 Merrill Lynch & Company, Inc.,
5.400%# due 01/08/1997.............................. 5,503,216
5,000,000 Prudential Funding Corporation,
5.370%# due 01/08/1997.............................. 4,994,779
4,205,000 Robins (A.H.) Company, Inc.,
6.550%# due 01/02/1997.............................. 4,204,235
------------
Total Commercial Paper
(Cost $21,635,690).................................. 21,635,690
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $103,442,444*)...................................... 101.5% 129,792,152
OTHER ASSETS AND LIABILITIES (NET)......................... (1.5) (1,864,857)
----- ------------
NET ASSETS................................................. 100.0% $127,927,295
===== ============
</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.
23
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 39.3%
U.S. TREASURY NOTES -- 21.0%
U.S. Treasury Notes:
$2,168,000 7.250% due 02/15/1998................................ $ 2,203,577
290,000 5.125% due 02/28/1998................................ 288,141
204,000 6.375% due 05/15/1999................................ 205,752
44,000 7.875% due 08/15/2001................................ 46,901
730,000 6.375% due 08/15/2002................................ 734,789
1,769,000 5.750% due 08/15/2003................................ 1,715,930
-----------
5,195,090
-----------
U.S. TREASURY BONDS -- 15.7%
U.S. Treasury Bonds:
162,000 11.750% due 02/15/2010............................... 215,131
1,575,000 7.250% due 05/15/2016................................ 1,663,106
1,920,000 7.125% due 02/15/2023................................ 2,004,595
-----------
3,882,832
-----------
U.S. TREASURY BILL -- 2.6%
650,000 U.S. Treasury Bill,
5.080%## due 03/06/1997............................. 644,193
-----------
Total U.S. Treasury Obligations
(Cost $9,638,394)................................... 9,722,115
-----------
CORPORATE FIXED INCOME SECURITIES -- 26.2%
FINANCIAL SERVICES -- 12.4%
65,000 Aetna Travelers, Note,
6.750% due 04/15/2001............................... 65,257
40,000 Ahmanson (H.F.) & Company,
Medium Term Note,
7.650% due 04/15/2000............................... 41,341
175,000 ANZ Banking Group Ltd., Subordinate Note,
7.550% due 09/15/2006............................... 180,152
Associates Corporation of North America, Senior
Notes:
60,000 6.625% due 05/15/2001................................ 59,975
50,000 6.750% due 07/15/2001................................ 50,359
45,000 6.750% due 08/01/2001................................ 45,165
250,000 First National Bank of Boston,
Subordinate Note,
7.375% due 09/15/2006............................... 254,863
160,000 First Security Corporation, Senior Note,
6.875% due 11/15/2006............................... 156,667
95,000 Fleet Financial Group, Inc., Subordinate Note,
7.125% due 04/15/2006............................... 94,877
General Motors Acceptance Corporation:
365,000 Medium Term Note,
6.625% due 09/19/2002................................ 361,536
170,000 Note,
6.875% due 07/15/2001................................ 171,316
150,000 Lehman Brothers, Inc.,
Senior Subordinate Note,
6.125% due 02/01/2001............................... 146,154
85,000 Lehman Brothers Holdings, Inc., Note,
7.250% due 10/15/2003............................... 85,180
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
Merrill Lynch & Company, Inc:
$ 110,000 Medium Term Note,
7.375% due 05/15/2006................................ $ 112,615
125,000 Note,
6.000% due 01/15/2001................................ 122,595
79,000 Midland Bank, Subordinate Note,
7.625% due 06/15/2006............................... 81,801
184,000 NationsBank Corporation, Subordinate Note,
7.500% due 09/15/2006............................... 189,043
Paine Webber Group Inc.:
69,000 Medium Term Note,
7.310% due 08/09/2000............................... 70,521
105,000 Senior Note,
7.625% due 10/15/2008............................... 105,651
Sears Roebuck Acceptance Corporation, Medium Term
Notes:
95,000 5.600% due 11/16/1998................................ 94,075
45,000 5.710% due 02/06/2001................................ 43,616
155,000 6.690% due 04/30/2001................................ 155,428
165,000 Shearson Lehman Brothers Holdings, Inc., Note,
6.125% due 06/30/1998............................... 164,663
Smith Barney Holdings Inc., Medium Term Notes:
25,000 7.875% due 10/01/1999................................ 25,895
80,000 7.125% due 10/01/2006................................ 79,948
100,000 Wharf Cap Inc., Note,
8.875% due 11/01/2004............................... 105,338
-----------
3,064,031
-----------
OIL AND GAS -- 1.9%
50,000 Gulf Canada Resources Ltd., Subordinate Debentures,
9.625% due 07/01/2005............................... 54,125
175,000 NorAm Energy, Note,
7.500% due 08/01/2000............................... 179,099
30,000 Norcen Energy Resources, Debenture,
7.375% due 05/15/2006............................... 30,223
Oryx Energy Company, Debentures:
90,000 9.500% due 11/01/1999................................ 95,476
90,000 10.000% due 04/01/2001............................... 98,792
-----------
457,715
-----------
MEDIA AND COMMUNICATIONS -- 1.8%
85,000 News America Holdings, Inc., Senior Note,
8.625% due 02/01/2003............................... 91,295
80,000 Rogers Cablesystems, Note,
9.625% due 08/01/2002............................... 83,400
150,000 Tele-Communications Inc., Medium Term Note,
7.130% due 02/02/1998............................... 151,311
115,000 360 Communications Company, Senior Note,
7.125% due 03/01/2003............................... 113,610
-----------
439,616
-----------
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
RETAIL -- 1.7%
Federated Department Stores Inc., Senior Notes:
$ 80,000 10.000% due 02/15/2001............................... $ 86,760
50,000 8.125% due 10/15/2002................................ 51,250
80,000 Kroger Company, Senior Note,
8.150% due 07/15/2006............................... 82,820
140,000 Safeway Inc., Senior Subordinate Debenture,
9.650% due 01/15/2004............................... 158,200
50,000 Vons Companies Inc., Senior Subordinate Note,
9.625% due 04/01/2002............................... 52,188
-----------
431,218
-----------
BUILDING AND CONSTRUCTION -- 1.4%
175,000 Pohang Iron & Steel Company, Note,
7.375% due 05/15/2005............................... 177,399
160,000 USG Corporation, Senior Note,
9.250% due 09/15/2001............................... 170,400
-----------
347,799
-----------
TRANSPORTATION -- 1.1%
100,000 Burlington Northern Railroad, Certificates,
6.960% due 03/22/2009............................... 100,560
170,000 Union Pacific Corporation, Note,
6.700% due 12/01/2006............................... 165,299
-----------
265,859
-----------
AEROSPACE AND DEFENSE -- 1.1%
250,000 Lockheed Martin Corporation, Guaranteed Debenture,
7.750% due 05/01/2026............................... 259,670
-----------
MANUFACTURING -- 1.0%
150,000 Conagra Inc., Senior Note,
7.125% due 10/01/2026............................... 153,279
95,000 Stone Consolidated, Senior Note,
10.250% due 12/15/2000.............................. 101,175
-----------
254,454
-----------
TEXTILES -- 0.7%
170,000 Westpoint Stevens Inc., Senior Note,
8.750% due 12/15/2001............................... 174,675
-----------
UTILITIES -- 0.6%
140,000 El Paso Electric Company, First Mortgage,
7.250% due 02/01/1999............................... 139,656
20,000 Ohio Edison, First Mortgage,
8.750% due 02/15/1998............................... 20,509
-----------
160,165
-----------
HEALTH CARE -- 0.6%
Tenet Healthcare Corporation, Senior Notes:
70,000 9.625% due 09/01/2002................................ 76,650
70,000 8.625% due 12/01/2003................................ 73,850
-----------
150,500
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
LEASING -- 0.2%
$ 50,000 Hertz Corporation, Junior Subordinate Note, 7.000%
due 07/15/2003...................................... $ 49,980
-----------
OTHER -- 1.7%
100,000 ADT Operations, Inc., Guaranteed Senior Note,
8.250% due 08/01/2000............................... 105,750
200,000 CPC International, Inc., Debenture,
6.875% due 10/15/2003............................... 200,388
30,000 Lincoln National Corporation, Note,
7.250% due 05/15/2005............................... 30,141
45,000 Loewen Group, Inc.,
7.500% due 04/15/2001............................... 45,168
50,000 Rite Aid Corporation, Note,
6.700% due 12/15/2001............................... 49,904
-----------
431,351
-----------
Total Corporate Fixed Income Securities
(Cost $6,386,641)................................... 6,487,033
-----------
MORTGAGE-BACKED SECURITIES -- 19.6%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 12.7%
FNMA:
206,904 7.000% due 08/01/2003................................ 207,744
103,367 7.500% due 08/01/2003................................ 104,885
129,450 7.430% due 08/01/2006................................ 133,576
500,568 7.000% due 09/01/2011................................ 499,942
40,000 7.000% due 01/01/2012................................ 39,950
237,377 7.536% due 06/01/2016................................ 242,199
59,927 7.000% due 07/01/2022................................ 59,025
178,643 7.000% due 07/01/2023................................ 175,685
275,876 6.500% due 02/01/2026................................ 263,462
362,382 8.000% due 05/01/2026................................ 369,176
221,369 7.000% due 09/01/2026................................ 216,457
354,101 8.000% due 09/01/2026................................ 360,740
331,156 6.084%# due 08/01/2027............................... 329,603
125,000 Series 1996-M7, Class B,
6.856%# due 06/17/2011............................... 125,313
-----------
3,127,757
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 6.9%
GNMA:
281,000 8.000% due 01/01/2017................................ 286,620
253,952 8.500% due 12/15/2021................................ 266,510
269,043 7.000% due 11/15/2023................................ 264,335
480,390 7.500% due 12/15/2023................................ 482,942
165,880 7.000% due 06/20/2026................................ 161,576
254,000 7.500% due 01/15/2027................................ 254,079
-----------
1,716,062
-----------
Total Mortgage-Backed Securities
(Cost $4,827,986)................................... 4,843,819
-----------
AGENCY SECURITIES -- 10.6%
FEDERAL FARM CREDIT BANK (FFCB) -- 4.1%
1,000,000 FFCB, Medium Term Note,
6.250% due 06/26/1998............................... 1,003,080
-----------
TENNESSEE VALLEY AUTHORITY (TVA) -- 2.7%
625,000 TVA,
8.375% due 10/01/1999............................... 659,181
-----------
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
AGENCY SECURITIES -- (CONTINUED)
FEDERAL HOME LOAN BANK (FHLB) -- 2.2%
$ 550,000 FHLB,
5.590% due 01/05/2001............................... $ 536,338
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.6%
FHLMC:
321,142 7.000% due 01/01/2000................................ 322,947
84,000 6.420% due 12/01/2005................................ 81,165
-----------
404,112
-----------
Total Agency Securities
(Cost $2,637,193)................................... 2,602,711
-----------
ASSET-BACKED SECURITIES -- 2.7%
260,000 Capita Equipment Receivables Trust, Series 1996-1-A,
6.110% due 07/15/1999............................... 260,488
140,000 Ford Motor Credit Auto Owner Trust, Series 1996-A-A3,
6.500% due 11/15/1999............................... 140,962
The Money Store:
65,000 Series 1994-B-A4,
7.600% due 07/15/2021................................ 66,016
34,000 Series 1994-CI-A4,
7.800% due 10/15/2021................................ 34,823
144,000 Series 1996-C-A6,
7.690% due 06/15/2024................................ 147,938
5,000 UAC, 1996-D-A2,
6.170% due 10/09/2002............................... 4,974
-----------
Total Asset-Backed Securities
(Cost $649,444)..................................... 655,201
-----------
REPURCHASE AGREEMENT -- 2.9% (Cost $728,000)
728,000 Agreement with Lehman Brothers Inc., 5.750% dated
12/31/96 to be repurchased at $728,233 on 01/02/97
collateralized by $728,000 U.S. Treasury Bond,
8.875% due 2/15/19.................................. 728,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $24,867,658*)....................................... 101.3 % 25,038,879
OTHER ASSETS & LIABILITIES (NET)........................... (1.3) (311,677)
----- -----------
NET ASSETS................................................. 100.0 % $24,727,202
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $24,985,156.
# Variable rate security. The interest rate shown reflects the rate in effect
at December 31, 1996.
## Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
26
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 98.9%
FINANCIAL SERVICES -- 12.2%
14,000 ALBANK Financial Corporation.............................. $ 439,250
13,000 Astoria Financial Corporation............................. 479,375
16,700 Bancorp Hawaii, Inc....................................... 701,400
19,400 Bay View Capital Corporation.............................. 822,075
26,000 Block (H&R) Inc........................................... 754,000
21,000 City National Corporation................................. 454,125
24,800 First Hawaiian, Inc....................................... 868,000
26,000 FirstFed Financial Corporation+........................... 572,000
20,000 Flushing Financial Corporation............................ 362,500
42,000 Glendale Federal Bank FSB+................................ 976,500
34,000 Greater New York Savings Bank............................. 463,250
15,000 Illinova Corporation...................................... 412,500
15,000 Long Island Bancorp, Inc.................................. 525,000
45,500 PFF Bancorp, Inc.......................................... 676,813
13,600 Pinnacle West Capital Corporation......................... 431,800
16,800 RCSB Financial, Inc....................................... 487,200
7,100 Standard Federal Bancorporation........................... 403,813
15,500 Washington Mutual, Inc.................................... 671,344
-----------
10,500,945
-----------
RETAIL -- 10.5%
58,300 AnnTaylor Stores Corporation+............................. 1,020,250
21,000 Brown Group, Inc.......................................... 385,875
71,300 Claire's Stores, Inc...................................... 926,900
10,400 Dominick's Supermarkets, Inc.+............................ 226,200
20,300 Duty Free International, Inc.............................. 294,350
72,000 Filene's Basement Corporation+............................ 297,000
49,000 Footstar, Inc.+........................................... 1,218,875
39,500 Great Atlantic & Pacific Tea Company, Inc................. 1,259,062
33,000 Huffy Corporation......................................... 474,375
20,000 MicroAge, Inc.+........................................... 400,000
15,300 Talbots, Inc.............................................. 437,963
16,000 Timberland Company, Class A+.............................. 608,000
66,000 Woolworth Corporation+.................................... 1,443,750
-----------
8,992,600
-----------
ELECTRONICS -- 7.7%
19,000 Cubic Corporation......................................... 439,375
45,000 ESCO Electronics Corporation.............................. 450,000
32,500 Exar Corporation+......................................... 503,750
33,600 International Rectifier Corporation+...................... 512,400
19,700 KLA Instruments Corporation+.............................. 699,350
15,300 Lam Research Corporation+................................. 430,312
35,800 National Semiconductor Corporation+....................... 872,625
41,400 Silicon Valley Group, Inc.+............................... 833,175
17,000 Tencor Instruments Company+............................... 448,375
18,600 Vishay Intertechnology, Inc............................... 434,775
29,000 VLSI Technology, Inc.+.................................... 692,375
10,700 Zilog, Inc.+.............................................. 279,537
-----------
6,596,049
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
TRANSPORTATION -- 6.2%
71,800 American Freightways Corporation+........................ $ 798,775
36,000 Arnold Industries, Inc................................... 571,500
34,600 Caliber System, Inc...................................... 666,050
21,000 Harper Group, Inc........................................ 498,750
19,900 Hvide Marine, Inc., Class A+............................. 432,825
30,000 USFreightways Corporation................................ 823,125
24,400 Werner Enterprises, Inc.................................. 442,250
73,800 Yellow Corporation+...................................... 1,060,875
-----------
5,294,150
-----------
TEXTILES AND APPAREL -- 5.1%
110,000 Dyersburg Corporation.................................... 770,000
40,000 Fieldcrest Cannon, Inc.+................................. 640,000
12,000 Fruit of the Loom, Inc.+................................. 454,500
47,200 Phillips-Van Heusen Company.............................. 678,500
30,000 Pillowtex Corporation.................................... 540,000
21,000 Russell Corporation...................................... 624,750
18,000 Stride Rite Corporation.................................. 180,000
17,400 WestPoint Stevens Inc.+.................................. 519,825
-----------
4,407,575
-----------
INSURANCE -- 5.1%
20,000 Allmerica Financial Corporation.......................... 670,000
33,800 Citizens Corporation..................................... 760,500
38,200 Everest Reinsurance Holdings, Inc........................ 1,098,250
21,800 Fremont General Corporation.............................. 675,800
16,200 Horace Mann Educators Corporation........................ 654,075
11,100 Provident Companies, Inc................................. 536,963
-----------
4,395,588
-----------
MEDICAL SUPPLIES -- 4.3%
12,000 Allergan, Inc............................................ 427,500
20,500 Beckman Instruments, Inc................................. 786,687
27,000 Bindley Western Industries, Inc.......................... 523,125
21,000 Biomet, Inc.............................................. 317,625
37,000 CONMED Corporation+...................................... 758,500
41,700 DePuy, Inc.+............................................. 844,425
-----------
3,657,862
-----------
TELECOMMUNICATIONS -- 4.2%
34,000 Aerial Communications, Inc.+............................. 276,250
52,100 Allen Group, Inc.+....................................... 1,159,225
28,000 General Instrument Corporation+.......................... 605,500
18,100 Nokia Corporation, Class A, ADR.......................... 1,040,750
35,000 Scientific-Atlanta, Inc.................................. 525,000
-----------
3,606,725
-----------
CHEMICALS -- 3.8%
4,300 Geon Company............................................. 84,388
11,000 Great Lakes Chemical Corporation......................... 514,250
30,000 Quaker Chemical Corporation.............................. 491,250
46,500 Schulman (A.), Inc....................................... 1,139,250
65,500 Sybron Chemicals, Inc.+.................................. 1,048,000
-----------
3,277,138
-----------
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
COMPUTERS -- 3.5%
29,600 Quantum Corporation+..................................... $ 847,300
39,300 Read-Rite Corporation+................................... 992,325
34,100 Sequent Computer Systems, Inc.+.......................... 605,275
23,000 Silicon Graphics, Inc.+.................................. 586,500
-----------
3,031,400
-----------
MACHINERY AND ENGINEERING -- 3.1%
13,700 Amcast Industrial Corporation............................ 339,075
23,500 EMCOR Group, Inc.+....................................... 305,500
18,500 Global Industrial Technologies, Inc.+.................... 409,312
20,000 Handy & Harman Company................................... 350,000
57,000 J. Ray McDermott, S.A.+.................................. 1,254,000
-----------
2,657,887
-----------
OIL AND GAS -- 2.7%
40,100 Aquila Gas Pipeline Corporation.......................... 636,587
10,400 Cabot Oil and Gas Corporation............................ 178,100
62,600 Houston Exploration Company+............................. 1,095,500
31,000 Santa-Fe Energy Resources, Inc.+......................... 430,125
-----------
2,340,312
-----------
COMPUTER SERVICE AND SOFTWARE -- 2.6%
40,900 Exabyte Corporation+..................................... 547,038
115,100 Symantec Corporation+.................................... 1,668,950
-----------
2,215,988
-----------
PAPER AND PAPER PRODUCTS -- 2.3%
18,000 James River Corporation of Virginia...................... 596,250
21,000 Paragon Trade Brands, Inc.+.............................. 630,000
42,500 Wausau Paper Mills Company............................... 786,250
-----------
2,012,500
-----------
UTILITIES -- 2.3%
12,500 Boston Edison Company.................................... 335,937
71,400 McDermott International, Inc............................. 1,187,025
12,500 New England Electric System.............................. 435,937
-----------
1,958,899
-----------
MANUFACTURING -- 2.0%
41,800 Cooper Tire and Rubber Company........................... 825,550
33,000 Foamex International, Inc.+.............................. 544,500
12,800 Imation Corporation+..................................... 360,000
-----------
1,730,050
-----------
HEALTH CARE -- 1.6%
33,000 Health Systems International, Inc., Class A+............. 816,750
19,000 Living Centers of America, Inc.+......................... 527,250
-----------
1,344,000
-----------
REAL ESTATE -- 1.6%
36,000 Catellus Development Corporation+........................ 409,500
72,500 Kaufman & Broad Home Corporation......................... 933,438
-----------
1,342,938
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MEDIA AND COMMUNICATIONS -- 1.5%
14,200 American Radio Systems Corporation+...................... $ 386,950
2,600 Metro Networks, Inc.+.................................... 65,650
29,100 Young Broadcasting Corporation, Class A+................. 851,175
-----------
1,303,775
-----------
AUTO PARTS -- 1.4%
22,000 APS Holding Corporation+................................. 341,000
18,000 Arvin Industries, Inc.................................... 445,500
27,000 Excel Industries, Inc.................................... 448,875
-----------
1,235,375
-----------
FOOD AND BEVERAGES -- 1.4%
29,500 Hudson Foods, Inc........................................ 560,500
33,000 Morningstar Group, Inc.+................................. 647,625
-----------
1,208,125
-----------
PRINTING AND PUBLISHING -- 1.3%
34,000 Harland (John H.) Company................................ 1,122,000
-----------
CONSUMER SERVICES -- 1.3%
74,000 ACNielson Corporation+................................... 1,119,250
-----------
BUILDING AND CONSTRUCTION -- 1.3%
19,500 CalMat Company........................................... 365,625
19,700 Foster Wheeler Corporation............................... 731,363
-----------
1,096,988
-----------
DIVERSIFIED OPERATIONS -- 1.1%
49,000 Griffon Corporation+..................................... 600,250
7,500 Kansas City Southern Industries, Inc..................... 337,500
-----------
937,750
-----------
ADVERTISING -- 1.0%
41,000 True North Communications, Inc........................... 896,875
-----------
ENVIRONMENTAL -- 0.9%
44,700 Safety-Kleen Corporation................................. 731,962
-----------
TOYS, GAMES AND HOBBIES -- 0.7%
14,700 Hasbro, Inc.............................................. 571,463
-----------
AGRICULTURE -- 0.6%
27,000 Scotts Company (The), Class A+........................... 536,625
-----------
LEISURE -- 0.6%
34,600 Coleman Company, Inc.+................................... 475,750
-----------
CONTAINERS -- 0.3%
38,700 Gaylord Container Corporation, Class A+.................. 237,037
-----------
OTHER -- 4.7%
9,400 Alberto-Culver Company, Class A.......................... 387,750
59,400 Newport News Shipbuilding Inc.+.......................... 891,000
32,100 Pittston Brink's Group................................... 866,700
19,400 Polaroid Corporation..................................... 843,900
41,000 Waban, Inc.+............................................. 1,066,000
-----------
4,055,350
-----------
Total Common Stock
(Cost $78,306,831)...................................... 84,890,931
-----------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 2.3% (Cost $1,912,000)
$1,912,000 General Electric Capital Corporation,
7.100% due 01/02/1997............................... $ 1,912,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $80,218,831*)........................................ 101.2% 86,802,931
OTHER ASSETS AND LIABILITIES (NET).......................... (1.2) (999,483)
----- -----------
NET ASSETS.................................................. 100.0% $85,803,448
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $80,241,342.
+ Non-income producing security.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
29
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 96.7%
FINANCIAL SERVICES -- 11.6%
6,500 AMBAC Inc................................................. $ 432,250
19,300 Block (H&R) Inc........................................... 559,700
12,500 CUC International, Inc.+.................................. 296,875
1,400 Fairfax Financial Holdings, Ltd.+......................... 296,167
23,100 Federal Home Loan Mortgage Corporation.................... 2,543,888
20,600 Federal National Mortgage Association..................... 767,350
18,880 First Data Corporation.................................... 689,120
5,200 Fund American Enterprises Holdings........................ 497,900
8,000 Mercury Finance Company................................... 98,000
6,300 PartnerRe Ltd............................................. 214,200
5,100 Quick & Reilly Group Inc.................................. 152,363
6,200 St. Paul Companies, Inc................................... 363,475
-----------
6,911,288
-----------
COMPUTER SERVICE AND SOFTWARE -- 10.0%
7,500 Automatic Data Processing Inc............................. 321,562
17,000 BMC Software, Inc.+....................................... 703,375
2,800 Broderbund Software Corporation+.......................... 83,300
7,700 Cisco Systems Inc.+....................................... 489,912
9,300 Electronic Data Systems Corporation....................... 402,225
3,400 FORE Systems Inc.+........................................ 111,775
15,000 Getronics NV.............................................. 407,212
8,400 Informix Corporation+..................................... 171,150
6,500 Intel Corporation......................................... 851,094
8,600 Microsoft Corporation+.................................... 710,575
15,400 Oracle Corporation+....................................... 642,950
15,600 Platinum Technology Inc.+................................. 212,550
8,200 Sabre Group Holdings Inc.+................................ 228,575
8,600 3Com Corporation+......................................... 631,025
-----------
5,967,280
-----------
CONSUMER PRODUCTS -- 6.7%
15,400 Corning Inc............................................... 712,250
3,000 Gucci Group N.V........................................... 191,625
10,000 Masco Corporation......................................... 360,000
4,200 Philip Morris Companies Inc............................... 476,700
3,300 Procter & Gamble Company.................................. 354,750
60,600 TAG Heuer International SA, Sponsored ADR+................ 977,175
11,400 Tupperware Corporation.................................... 611,325
1,800 Unilever NV, ADR.......................................... 315,450
-----------
3,999,275
-----------
INSURANCE -- 6.2%
19,900 ACE Ltd................................................... 1,196,488
2,500 Erie Indemnity Company.................................... 77,500
5,600 EXEL Ltd.................................................. 212,100
2,600 Foremost Corporation of America........................... 156,000
2,000 Harleysville Group, Inc................................... 61,000
5,200 Leucadia National Corporation............................. 139,100
6,666 Travelers Group Inc....................................... 302,470
14,300 UNUM Corporation.......................................... 1,033,175
17,200 Zurich Reinsurance Centre Holdings Inc.................... 537,500
-----------
3,715,333
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MEDIA AND COMMUNICATIONS -- 4.2%
18,500 Cox Communications, Inc., Class A+....................... $ 427,812
10,800 Gaylord Entertainment Company, Class A................... 247,050
7,600 Readers Digest Association Inc., Class A................. 305,900
1,400 Readers Digest Association Inc., Class B................. 50,750
2,700 United International Holdings Inc., Class A+............. 33,075
27,500 Ver Ned Uitgevers........................................ 574,641
70,000 Vodafone Group Ord....................................... 295,492
14,100 Vodafone Group Plc, ADR.................................. 583,388
-----------
2,518,108
-----------
TELECOMMUNICATIONS -- 3.9%
5,900 AT&T Corporation......................................... 256,650
2,200 COLT Telecom Group Plc, ADR+............................. 42,350
1,500 Ericsson (LM) Telephone, Class B, ADR.................... 45,281
60,000 Grupo Iusacell S.A. de CV, Series D, ADR+................ 345,000
3,900 Omnipoint Corporation+................................... 75,075
5,400 Telebras ADR............................................. 413,100
11,000 Telecel-Comunicacoes Pessoai+............................ 702,354
25,000 Telecom Italia Mobile SpA................................ 63,200
34,500 Telecom Italia Risp...................................... 67,317
11,800 Telefonos de Venezuela, ADR+............................. 331,875
-----------
2,342,202
-----------
ELECTRICAL EQUIPMENT -- 3.9%
13,500 Exide Corporation........................................ 310,500
18,400 General Electric Company................................. 1,819,300
5,600 Molex Inc., Class A...................................... 199,500
-----------
2,329,300
-----------
CONGLOMERATES -- 3.5%
55 Berkshire Hathaway Inc.+................................. 1,875,500
8,000 Kinnevik Investment AB, Class B.......................... 220,555
-----------
2,096,055
-----------
BANKING AND FINANCE -- 3.5%
125,000 Banca Fideuram........................................... 274,802
12,000 Northern Trust Corporation............................... 435,000
15,000 Norwest Corporation...................................... 652,500
2,700 Wells Fargo & Company.................................... 728,325
-----------
2,090,627
-----------
MACHINERY -- 3.5%
24,500 Danaher Corporation...................................... 1,142,312
2,500 Hagermeyer Company....................................... 199,844
9,000 Teleflex Inc............................................. 469,125
10,800 TriMas Corporation....................................... 257,850
-----------
2,069,131
-----------
PHARMACEUTICALS -- 3.4%
4,600 Amgen, Inc.+............................................. 250,125
8,000 Astra AB, Class B........................................ 385,972
9,400 Biogen Inc.+............................................. 364,250
2,300 Merck & Company.......................................... 182,275
6,700 Pfizer Inc............................................... 555,263
3,400 Warner-Lambert Company................................... 255,000
-----------
1,992,885
-----------
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
RETAIL -- 3.2%
16,900 Circuit City Stores Inc. ................................. $ 509,113
10,200 Corporate Express Inc.+................................... 300,263
2,000 Hennes & Mauritz Company, Series B........................ 276,867
5,100 Home Depot Inc............................................ 255,638
4,000 Kohl's Corporation+....................................... 157,000
11,600 Revco D.S. Inc.+ ......................................... 429,200
-----------
1,928,081
-----------
ENTERTAINMENT AND LEISURE -- 3.1%
13,900 Boston Chicken Inc.+...................................... 498,663
11,969 Disney (Walt) Company..................................... 833,342
6,800 McDonald's Corporation.................................... 307,700
6,600 Outback Steakhouse Inc.+.................................. 176,550
-----------
1,816,255
-----------
BUSINESS SERVICES -- 3.0%
3,300 Alco Standard Corporation................................. 170,363
20,000 Elsevier NV............................................... 338,041
6,200 Interpublic Group of Companies Inc........................ 294,500
13,466 Mutual Risk Management Ltd................................ 498,242
6,700 Reuters Holdings Plc, Class B, ADR........................ 512,550
-----------
1,813,696
-----------
ELECTRONIC COMPONENTS -- 2.8%
5,700 ADT Ltd+.................................................. 130,387
6,000 Analog Devices Inc.+...................................... 203,250
6,400 Hewlett-Packard Company................................... 321,600
8,300 Linear Technology Corporation............................. 364,162
11,800 Maxim Integrated Products Inc.+........................... 510,350
4,400 Xilinx Inc.+.............................................. 161,975
-----------
1,691,724
-----------
MEDICAL SUPPLIES -- 2.8%
10,800 Boston Scientific Corporation+............................ 648,000
3,100 Medtronic Inc. ........................................... 210,800
700 Novartis AG+.............................................. 801,718
-----------
1,660,518
-----------
ENERGY SERVICES -- 2.5%
5,700 BJ Services Company+...................................... 290,700
7,000 Cooper Cameron Corporation+............................... 535,500
1,400 Ente Nazionale Idrocarburi SpA, ADR....................... 72,275
3,500 Halliburton Company....................................... 210,875
3,700 Schlumberger Ltd.......................................... 369,537
-----------
1,478,887
-----------
FOOD AND BEVERAGE -- 2.0%
11,200 Heinz (H.J.) Company...................................... 403,200
1,000 LVMH Moet Hennessey Louis Vitton Ord...................... 279,271
17,100 PepsiCo Inc............................................... 500,175
-----------
1,182,646
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
PETROLEUM -- INTERNATIONAL -- 1.9%
6,600 Royal Dutch Petroleum Company, ADR....................... $ 1,126,950
-----------
PAPER AND PAPER PRODUCTS -- 1.6%
6,864 Kimberly-Clark Corporation............................... 653,796
16,000 Kimberly-Clark de Mexico, SA............................. 315,854
-----------
969,650
-----------
HEALTH CARE SERVICES -- 1.5%
14,200 Apria Healthcare Group+.................................. 266,250
15,550 Columbia/HCA Healthcare Corporation...................... 633,662
-----------
899,912
-----------
TRANSPORTATION -- 1.4%
49,000 Hutchinson Whampoa, Ltd.................................. 384,866
25,100 Tranz Rail Holdings Ltd+................................. 443,956
-----------
828,822
-----------
METALS AND MINING -- 1.3%
800 Newmont Mining Corporation............................... 35,800
5,050 Nucor Corporation........................................ 257,550
1,700 Pohang Iron & Steel, ADR................................. 34,425
20,204 Rustenburg Platinum Holdings Ltd., ADR................... 272,754
15,000 Rustenburg Platinum Holdings Ltd.+....................... 205,194
-----------
805,723
-----------
AEROSPACE AND DEFENSE -- 1.3%
12,000 AlliedSignal Corporation................................. 804,000
-----------
REAL ESTATE -- 1.1%
17,000 Security Capital US Realty++............................. 217,600
7,800 Starwood Lodging Trust................................... 429,975
-----------
647,575
-----------
SPECIALTY CHEMICALS -- 1.0%
13,200 Great Lakes Chemical Corporation......................... 617,100
-----------
BIOTECHNOLOGY -- 0.9%
10,500 Genentech Inc.+.......................................... 563,062
-----------
ENGINEERING AND CONSTRUCTION -- 0.8%
51,000 United Engineers (Malaysia) Berhad....................... 460,424
-----------
MANUFACTURING -- 0.5%
6,200 Tyco International Ltd................................... 327,825
-----------
TOYS, GAMES AND HOBBIES -- 0.5%
7,100 Hasbro Inc............................................... 276,013
-----------
OTHER -- 3.1%
80,000 Rentokil Initial Plc..................................... 601,430
50 Sig Schweiz Ag........................................... 126,634
240,000 Tomkins Plc.............................................. 1,103,534
-----------
1,831,598
-----------
Total Common Stock
(Cost $48,717,928)...................................... 57,761,945
-----------
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
CORPORATE BOND -- 0.2% (Cost $135,600)
$120,000 Reliance Industries Ltd.,
3.500% due 11/03/1999................................. $ 126,600
-----------
U.S. GOVERNMENT TREASURY -- 0.1% (Cost $59,697)
60,000 U.S. Treasury Bill,
5.050%# due 02/06/1997................................ 59,697
-----------
COMMERCIAL PAPER -- 5.3%
543,000 Ciesco, L.P.,
5.650%# due 01/10/1997................................ 542,233
203,000 Corporate Asset Funding Company, Inc.,
5.380%# due 01/17/1997................................ 202,515
720,000 Dillard Investment Company, Inc.,
6.750%# due 01/02/1997................................ 719,865
245,000 Heinz (H.J.) Company,
5.450%# due 02/06/1997................................ 243,665
1,445,000 Mobile Australia Finance Company, Inc.,
5.400%# due 01/02/1997................................ 1,444,783
-----------
Total Commercial Paper
(Cost $3,153,061)..................................... 3,153,061
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $52,066,286*)....................................... 102.3 % 61,101,303
OTHER ASSETS AND LIABILITIES (NET)......................... (2.3) (1,368,910)
----- -----------
NET ASSETS................................................. 100.0% $59,732,393
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $52,087,364.
+ 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.
Abbreviations:
ADR -- American Depositary Receipt
Ord.-- Ordinary
See Notes to Financial Statements.
32
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 87.5%
BANKING AND FINANCE -- 8.6%
8,820 Banc One Corporation...................................... $ 379,260
9,300 Bank of Boston Corporation................................ 597,525
5,800 Bankers Trust New York Corporation........................ 500,250
13,832 Chase Manhattan Corporation............................... 1,234,506
10,800 Mercantile Bankshares Corporation......................... 345,600
9,000 Morgan (J.P.) & Company Inc............................... 878,625
11,900 National City Corporation................................. 534,013
12,100 PNC Bank Corporation...................................... 455,262
11,900 Signet Banking Corporation................................ 365,925
11,200 U.S. Bancorp.............................................. 503,300
3,333 Wells Fargo & Company..................................... 899,077
-----------
6,693,343
-----------
PETROLEUM -- INTERNATIONAL -- 7.7%
8,600 Amoco Corporation......................................... 694,450
4,550 British Petroleum Company Plc, ADR........................ 643,256
12,300 Chevron Corporation....................................... 799,500
11,800 Exxon Corporation......................................... 1,156,400
5,100 Mobil Corporation......................................... 623,475
10,900 Repsol S.A., ADR.......................................... 415,562
4,200 Royal Dutch Petroleum Company, ADR........................ 717,150
9,700 Texaco Inc................................................ 951,812
-----------
6,001,605
-----------
TELECOMMUNICATIONS -- 7.0%
19,400 ALLTEL Corporation........................................ 608,675
22,800 AT&T Corporation.......................................... 991,800
9,000 BCE Inc................................................... 429,750
8,700 Bell Atlantic Corporation................................. 563,325
14,200 BellSouth Corporation..................................... 573,325
14,000 Frontier Corporation...................................... 316,750
14,400 GTE Corporation........................................... 655,200
9,900 Pacific Telesis Group Inc................................. 363,825
6,000 SBC Communications, Inc................................... 310,500
7,200 Southern New England Telecommunications Corporation....... 279,900
11,000 US West Inc............................................... 354,750
-----------
5,447,800
-----------
FINANCIAL SERVICES -- 6.6%
12,200 American Express Company.................................. 689,300
19,200 American General Corporation.............................. 784,800
20,700 Block (H&R) Inc........................................... 600,300
220 Echelon International Corporation, Inc+................... 3,410
16,000 Federal National Mortgage Association..................... 596,000
13,500 Fleet Financial Group, Inc................................ 673,313
9,800 St. Paul Companies, Inc................................... 574,525
6,600 Student Loan Marketing Association........................ 614,625
13,733 Travelers Group, Inc...................................... 623,135
-----------
5,159,408
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
UTILITIES -- ELECTRIC -- 6.5%
8,200 Baltimore Gas & Electric Company.......................... $ 219,350
29,100 Centerior Energy Corporation.............................. 312,825
11,100 Dominion Resources Inc.................................... 427,350
6,100 DQE Inc................................................... 176,900
10,400 Edison International Company.............................. 206,700
14,700 Entergy Corporation....................................... 407,925
5,100 Florida Progress Corporation.............................. 164,475
3,700 General Public Utilities Corporation...................... 124,413
12,500 Ohio Edison Company....................................... 284,375
12,900 Pacific Gas & Electric Company............................ 270,900
19,850 PacifiCorp................................................ 406,925
22,700 Peco Energy Company....................................... 573,175
12,800 Public Service Enterprise Group, Inc...................... 348,800
13,400 Southern Company.......................................... 303,175
20,100 Unicom Corporation........................................ 545,213
10,900 Western Resources, Inc.................................... 336,537
-----------
5,109,038
-----------
FOOD AND BEVERAGE -- 6.4%
15,800 Anheuser-Busch Companies Inc.............................. 632,000
12,900 Brown-Forman Corporation, Class B......................... 590,175
14,100 General Mills Inc......................................... 893,588
10,200 Grand Metropolitan Plc, ADR............................... 322,575
18,400 Heinz (H.J.) Company...................................... 662,400
4,100 Kellogg Company........................................... 269,062
23,700 McCormick & Company, Inc.................................. 558,431
19,700 Quaker Oats Company....................................... 751,062
8,600 Sara Lee Corporation...................................... 320,350
-----------
4,999,643
-----------
CONSUMER PRODUCTS -- 5.8%
14,500 American Brands Inc....................................... 719,562
14,600 Corning Inc............................................... 675,250
150 Dixie Yarns Inc+.......................................... 1,163
3,200 Eastman Kodak Company..................................... 256,800
4,300 Philip Morris Companies Inc............................... 488,050
4,400 RJR Nabisco Holdings Corporation.......................... 149,600
14,200 Tambrands Inc............................................. 580,425
4,000 Unilever, NV ADR.......................................... 701,000
15,400 UST Inc................................................... 498,575
10,200 Whirlpool Corporation..................................... 475,575
-----------
4,546,000
-----------
PHARMACEUTICALS -- 5.7%
11,300 Abbott Laboratories Company............................... 573,475
12,700 American Home Products Corporation........................ 744,537
2,900 Cognizant Corporation..................................... 95,700
540 Novartis AG, ADR+......................................... 618,468
19,290 Pharmacia & Upjohn Inc.................................... 764,366
10,400 SmithKline Beecham Plc, ADR............................... 707,200
12,800 Warner-Lambert Company.................................... 960,000
-----------
4,463,746
-----------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
PAPER AND PAPER PRODUCTS -- 3.8%
7,400 Consolidated Papers Inc................................... $ 363,525
9,700 Georgia-Pacific Company................................... 698,400
13,300 International Paper Company............................... 536,987
6,000 James River Corporation of Virginia....................... 198,750
4,000 Kimberly-Clark Corporation................................ 381,000
16,800 Union Camp Corporation.................................... 802,200
-----------
2,980,862
-----------
ELECTRICAL EQUIPMENT -- 3.7%
10,100 AMP, Inc.................................................. 387,587
11,107 Cooper Industries Inc..................................... 467,882
14,000 General Electric Company.................................. 1,384,250
14,900 Hubbell Inc., Class B..................................... 644,425
-----------
2,884,144
-----------
SPECIALTY CHEMICALS -- 3.5%
8,600 Betz Laboratories, Inc.................................... 503,100
2,800 FMC Corporation+.......................................... 196,350
12,200 Great Lakes Chemical Corporation.......................... 570,350
12,500 Lubrizol Corporation...................................... 387,500
6,600 Minnesota Mining & Manufacturing Company.................. 546,975
13,800 Nalco Chemical Company.................................... 498,525
-----------
2,702,800
-----------
PETROLEUM -- DOMESTIC -- 2.5%
9,150 Atlantic Richfield Company................................ 1,213,519
9,900 McDermott International Inc............................... 164,587
3,487 Sun Company Inc........................................... 84,996
21,300 USX-Marathon Group........................................ 508,537
-----------
1,971,639
-----------
MEDIA AND COMMUNICATIONS -- 2.2%
13,700 Dun & Bradstreet Corporation.............................. 325,375
6,500 Gannet Company Ltd........................................ 486,688
7,300 McGraw-Hill Companies Inc................................. 336,712
11,000 Readers Digest Association Inc., Class A.................. 442,750
2,600 Readers Digest Association Inc., Class B.................. 94,250
-----------
1,685,775
-----------
DIVERSIFIED CHEMICALS -- 2.1%
9,200 Dow Chemical Company...................................... 721,050
10,100 du Pont (E.I.) de Nemours & Company....................... 953,188
-----------
1,674,238
-----------
INSURANCE -- 2.1%
13,600 Alexander & Alexander Services, Inc....................... 236,300
5,500 Hilb, Rogal and Hamilton Company.......................... 72,875
7,600 Lincoln National Corporation.............................. 399,000
3,800 Provident Companies, Inc. ................................ 183,825
6,400 Safeco Corporation........................................ 252,400
13,600 USF&G Corporation......................................... 283,900
17,800 Willis Corroon Group Plc, ADR............................. 204,700
-----------
1,633,000
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
REAL ESTATE -- 1.9%
7,800 Rouse Company............................................. $ 247,650
2,200 Security Capital Pacific Trust............................ 50,325
31,332 Simon DeBartolo Group, Inc................................ 971,292
6,100 Weingarten Realty Inc..................................... 247,813
-----------
1,517,080
-----------
RETAIL -- 1.4%
2,350 Fleming Companies Inc..................................... 40,538
200 Hancock Fabrics Inc....................................... 2,075
7,200 May Department Stores Company............................. 336,600
15,100 Penney (J.C.) Company, Inc................................ 736,125
-----------
1,115,338
-----------
METALS AND MINING -- 1.3%
9,936 Newmont Mining Corporation................................ 444,636
10,100 Reynolds Metals Company................................... 569,387
-----------
1,014,023
-----------
MEDICAL SUPPLIES -- 1.2%
6,400 Bard (C.R.), Inc. ........................................ 179,200
11,600 Bausch & Lomb Inc......................................... 411,800
9,000 Baxter International Inc.................................. 369,000
-----------
960,000
-----------
PRINTING AND PUBLISHING -- 1.1%
13,700 Donnelley (R.R.) & Sons Company........................... 429,838
12,100 Dow Jones & Company, Inc.................................. 409,888
-----------
839,726
-----------
COSMETICS & TOILETRIES -- 0.9%
16,300 International Flavors & Fragrances, Inc................... 733,500
-----------
ENERGY SERVICES -- 0.9%
5,000 Duke Power Company........................................ 232,500
16,400 Witco Corporation......................................... 500,200
-----------
732,700
-----------
RAILROADS -- 0.9%
2,909 Conrail Inc............................................... 289,809
7,000 Union Pacific Corporation................................. 420,875
-----------
710,684
-----------
ELECTRONIC SYSTEMS -- 0.8%
5,100 Eaton Corporation......................................... 355,725
4,300 Honeywell, Inc............................................ 282,725
-----------
638,450
-----------
AUTOMOTIVES -- 0.8%
3,600 Ford Motor Company........................................ 114,750
5,000 General Motors Corporation................................ 278,750
5,100 Genuine Parts Company..................................... 227,588
-----------
621,088
-----------
LODGING -- 0.7%
12,200 ITT Corporation+.......................................... 529,175
-----------
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
BUSINESS SERVICES -- 0.6%
5,900 Deluxe Corporation.................................... $ 193,225
2,900 GATX Corporation...................................... 140,650
2,400 Pitney Bowes Inc...................................... 130,800
-----------
464,675
-----------
BUILDING AND CONSTRUCTION -- 0.3%
3,500 Armstrong World Industries Inc........................ 243,250
-----------
CONGLOMERATES -- 0.2%
81,000 Lonhro Ord............................................ 172,697
-----------
TRANSPORTATION SERVICES -- 0.2%
5,300 Alexander & Baldwin Inc............................... 132,500
-----------
GAS TRANSMISSION -- 0.1%
5,000 TransCanada Pipeline Ltd. ............................ 87,500
-----------
Total Common Stock
(Cost $60,635,213)................................... 68,465,427
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 2.6%
U.S. TREASURY NOTES -- 1.9%
U.S. Treasury Notes:
$200,000 6.625% due 03/31/1997................................. 200,594
100,000 7.250% due 02/15/1998................................. 101,641
100,000 7.125% due 02/29/2000................................. 102,953
300,000 6.500% due 05/31/2001................................. 303,282
400,000 5.750% due 08/15/2003................................. 388,000
50,000 7.500% due 02/15/2005................................. 53,477
300,000 7.000% due 07/15/2006................................. 311,673
-----------
1,461,620
-----------
U.S. TREASURY BONDS -- 0.7%
U.S. Treasury Bonds:
180,000 5.625% due 02/15/2006................................. 170,325
400,000 6.000% due 02/15/2026................................. 364,064
-----------
534,389
-----------
Total U.S. Treasury Obligations
(Cost $1,964,454).................................... 1,996,009
-----------
CORPORATE BONDS -- 0.6%
150,000 B.F. Saul Real Estate Investment Trust, Senior Note,
11.625% due 04/01/2002............................... 162,000
300,000 El Paso Electric Company, First Mortgage, 8.900% due
02/01/2006........................................... 312,792
-----------
Total Corporate Bonds
(Cost $458,623)...................................... 474,792
-----------
MORTGAGE-BACKED SECURITIES -- 0.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.4%
(Cost $302,421)
303,000 FHLMC,
5.270%## due 01/14/1997.............................. 302,421
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 12.2%
$1,273,000 Abbott Laboratories,
6.150%## due 01/03/1997............................. $ 1,272,565
2,110,000 Corporate Asset Funding Company, Inc.,
5.450%## due 02/10/1997............................. 2,097,223
750,000 Delaware Funding Corporation,
5.700%## due 01/10/1997............................. 748,931
2,040,000 Dillard Investment Company, Inc.,
6.750%## due 01/02/1997............................. 2,039,618
1,013,000 Island Finance Puerto Rico, Inc.,
5.300%## due 01/09/1997............................. 1,011,807
1,640,000 Preferred Receivables Funding Corporation,
5.600%## due 01/16/1997............................. 1,636,173
777,000 Sysco Corporation,
5.800%## due 01/14/1997............................. 775,373
-----------
Total Commercial Paper
(Cost $9,581,690)................................... 9,581,690
-----------
<CAPTION>
SHARES
------
<C> <S> <C>
WARRANTS -- 0.0%# (Cost $1,662)
185 Homestead Village, Inc., Warrants,
Expire 10/29/1997+.................................. 1,503
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $72,944,063*)....................... 103.3% 80,821,842
OTHER ASSETS AND LIABILITIES (NET).......................... (3.3) (2,570,986)
----- -----------
NET ASSETS.................................................. 100.0% $78,250,856
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Amount represents less than 0.1%.
## Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
<TABLE>
<C> <S> <C> <C>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY:
(CONTRACT AMOUNT $67,608)
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
---------- --------
<C> <S> <C> <C>
90,291 Swiss Francs...................................... 01/07/1997 $67,478
=======
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 92.7%
JAPAN -- 20.2%
2,200 Advantest................................................ $ 103,152
16,000 Alps Electric Company.................................... 174,078
37,000 Amada Company Ltd........................................ 287,540
56,000 Canon Inc................................................ 1,237,890
23,000 Citizen Watch Company.................................... 164,839
31,000 Dai Nippon Screen Manufacturing.......................... 228,866
33,000 Daichi Pharmaceutical Company............................ 530,006
6,000 Daifuku Company Ltd...................................... 75,641
50,000 Daiwa House Industry Company............................. 643,295
48 DDI Corporation.......................................... 317,486
50,000 Denso Corporation........................................ 1,204,559
107 East Japan Railway Company............................... 481,366
9,000 Fanuc Company Ltd. ...................................... 288,317
56,000 Hitachi Ltd. ............................................ 522,235
48,000 Hitachi Zosen Corporation................................ 186,512
4,000 Honda Motor Company Ltd.................................. 114,325
16,000 Inax..................................................... 118,539
15,000 Ishihara Sangyo Kaisha+.................................. 36,266
14,000 Ito-Yokado Company....................................... 609,274
17,000 Kao Corporation.......................................... 198,169
17,000 Kokuyo Company Ltd....................................... 419,826
46,000 Komatsu Ltd.............................................. 377,342
14,000 Komori Corporation....................................... 297,384
31,000 Kumagai Gumi............................................. 76,824
35,000 Kuraray Company.......................................... 323,374
18,000 Kyocera Corporation...................................... 1,122,182
25,000 Makita Corporation....................................... 349,711
33,000 Marui Company Ltd........................................ 595,544
48,000 Matsushita Electric Industrial Company................... 783,352
23,000 Mitsubishi Corporation................................... 238,321
156,000 Mitsubishi Heavy Industries Ltd.......................... 1,239,271
22,000 Mitsubishi Paper Mills Ltd............................... 86,055
74,000 Mitsui Fudosan Company................................... 741,214
15,000 Mitsui Petrochemical Industries.......................... 77,714
16,000 Murata Manufacturing Company............................. 531,906
9,000 National House Industrial Company........................ 119,679
92,000 NEC Corporation.......................................... 1,112,166
9,000 Nippon Hodo.............................................. 104,136
232,000 Nippon Steel Corporation................................. 685,122
49 Nippon Telegraph & Telephone Corporation................. 371,488
47,000 Nomura Securities Company Ltd............................ 706,157
20,000 Pioneer Electronics Corporation.......................... 381,660
4,000 Sangetso Company Ltd..................................... 83,585
35,000 Sankyo Company........................................... 991,279
6,000 Sega Enterprises......................................... 202,055
54,000 Sekisui Chemical Company Ltd............................. 545,549
31,000 Sekisui House............................................ 315,862
4,620 Seven-Eleven Japan Company Ltd........................... 270,474
40,000 Sharp Corporation........................................ 569,899
31,000 Shinetsu Chemicals Company Ltd........................... 564,804
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
10,000 Shiseido Company Ltd.................................... $ 115,707
13,000 Sony Corporation........................................ 851,999
61,000 Sumitomo Corporation.................................... 480,900
71,000 Sumitomo Electric Industries Ltd........................ 993,179
20,000 Sumitomo Forestry Company Ltd........................... 243,502
13,000 TDK Corporation......................................... 847,509
96,000 Teijin.................................................. 419,446
17,000 Tokio Marine & Fire Insurance Company................... 160,003
7,000 Tokyo Electron.......................................... 214,576
17,000 Tokyo Steel Manufacturing............................... 242,207
29,000 Toppan Printing Company Ltd. ........................... 363,095
6,000 Total Access Communications............................. 41,400
17,000 UNY Company Ltd......................................... 311,199
7,717 Yurtec Corporation...................................... 104,617
------------
27,195,629
------------
UNITED KINGDOM -- 16.1%
97,000 Abbey National Ord...................................... 1,270,760
55,733 Argos Ord. ............................................. 733,477
206,000 ASDA Group Plc.......................................... 433,913
44,000 British Gas Ord......................................... 169,161
43,000 British Petroleum Company Ord........................... 515,830
94,000 Cable & Wireless........................................ 781,533
58,768 Cadbury Schweppes Ord................................... 495,653
36,000 Coats Viyella Ord....................................... 81,994
33,000 Compass Group Ord. ..................................... 348,964
18,000 East Midlands Electricity Ord.+++....................... 205,140
36,000 Electrocomponents Ord. ................................. 284,823
7,000 GKN Ord................................................. 119,995
61,000 Glaxo Wellcome Ord...................................... 990,304
110,000 Grand Metropolitan Ord.................................. 864,641
80,000 Guinness Ord............................................ 626,775
11,000 Heywood Williams Group Corporation Ord. ................ 44,739
33,000 Hillsdown Holdings Ord.................................. 113,025
91,000 Kingfisher Ord.......................................... 984,113
52,000 Ladbroke Group Ord...................................... 205,705
28,000 Laing (John), Class A, Non-Voting Ord................... 134,020
31,286 London Electricity Ord.+++.............................. 364,593
108,000 MB Caradon Plc.......................................... 442,030
178,000 National Westminster Bank Ord........................... 2,089,574
64,000 Rank Group Plc.......................................... 477,308
74,000 Reed International Ord.................................. 1,395,875
29,518 Rolls Royce Ord......................................... 130,165
43,000 RTZ Corporation Ord..................................... 689,615
89,000 Safeway, Inc. .......................................... 615,746
26,000 Sears Holdings Ord. .................................... 42,299
65,000 Shell Transport & Trading Ord. ......................... 1,125,925
58,000 Smith (David S.) Holdings Ord........................... 311,880
155,000 SmithKline Beecham Equity Units......................... 2,148,715
68,000 T&N Plc Ord. ........................................... 202,040
78,000 Tesco Ord. ............................................. 473,523
163,000 Tomkins Ord............................................. 749,484
77,000 United Newspapers & Media Ord........................... 917,103
------------
21,580,440
------------
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
NETHERLANDS -- 10.1%
10,720 ABN Amro Holdings N.V. ................................. $ 697,458
9,074 Ahold (Kon) N.V......................................... 567,256
994 Akzo Nobel N.V.......................................... 135,786
10,567 CSM CVA................................................. 587,191
153,756 Elsevier N.V. .......................................... 2,598,793
12,825 Fortis Amev N.V. ....................................... 449,128
2,990 Hagemeyer............................................... 239,013
34,310 International Nederlanden Groep N.V..................... 1,235,287
4,254 Koninklijke PTT Nederland............................... 162,271
1,900 Nutricia (Veringde Bedrijven)........................... 288,695
2,500 Otra N.V. .............................................. 42,979
14,945 Polygram N.V............................................ 761,264
12,550 Royal Dutch Petroleum Company........................... 2,200,391
4,740 Unilever N.V............................................ 838,472
21,090 Wolters Kluwer.......................................... 2,801,664
------------
13,605,648
------------
FRANCE -- 8.5%
1,445 Accor................................................... 182,975
2,690 Alcatel Alsthom Cie Generale D'Electric................. 216,092
3,199 Assurances Generales de France.......................... 103,273
2,279 AXA Company+++.......................................... 144,949
1,460 Canal Plus.............................................. 322,475
1,945 Carrefour............................................... 1,265,553
981 Castorama Dubois........................................ 168,841
845 Changeurs International S.A.+........................... 41,855
4,040 Compagnie de Saint-Gobain............................... 571,525
1,813 Credit Local de France.................................. 157,941
13,780 Eaux (Cie Generale des)................................. 1,707,727
1,630 GTM--Entrepose.......................................... 75,398
1,296 Guilbert SA+++.......................................... 253,530
1,210 Havas................................................... 84,888
2,820 Lapeyre................................................. 161,966
1,103 Legrand................................................. 187,926
462 L'Oreal................................................. 173,990
3,700 LVHM Moet Hennessey..................................... 1,033,304
845 Pathe+.................................................. 203,575
2,496 Pinault Printemps Redoute............................... 990,029
1,504 Primagaz................................................ 177,112
685 Rexel................................................... 207,936
4,105 Sanofi SA............................................... 408,245
4,720 Schneider............................................... 218,238
750 Societe Generale Ord. .................................. 81,093
4,450 Societe Nationale Elf Aquitaine......................... 405,076
1,220 Sodexho................................................. 679,541
3,290 Television Francaise.................................... 314,511
10,628 Total 'B' Shares........................................ 864,414
------------
11,403,978
------------
HONG KONG -- 4.9%
163,000 Cathay Pacific Airways.................................. 257,108
68,000 Dao Heng Bank Group..................................... 326,175
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
287,540 First Pacific Company Ltd. ............................. $ 373,622
274,000 Guangdong Investment Ltd. .............................. 263,921
538,000 Guangzhou Investments Company Ltd. ..................... 257,366
85,000 Guoco Group............................................. 475,855
316,285 Hong Kong Land Holdings Ord. ........................... 879,272
607,000 Hopewell Holdings Ltd. ................................. 392,398
104,000 Hutchison Whampoa, Ltd. ................................ 816,860
147,908 New World Development Company........................... 999,185
68,000 Swire Pacific Company, Class A.......................... 648,393
150,000 Wharf Holdings.......................................... 748,594
420,000 Yizheng Chemical Fibre.................................. 102,088
------------
6,540,837
------------
SWITZERLAND -- 4.2%
2,095 Adecco SA............................................... 525,902
801 Brown Boveri & Cie AG, Class A.......................... 996,388
1,950 CS Holdings............................................. 200,317
846 Nestle SA............................................... 908,257
1,248 Novartis AG+............................................ 1,429,273
160 Roche Holdings AG Genuscheine........................... 1,244,976
1,860 Schweizerischer Bankverein.............................. 353,657
------------
5,658,770
------------
GERMANY -- 3.4%
248 Allianz AG.............................................. 451,246
92 Altana.................................................. 71,622
23,865 Bayer AG................................................ 973,923
3,600 Bilfinger & Berger Bau AG............................... 132,177
232 Buderus AG.............................................. 114,579
2,674 Deutsche Bank AG........................................ 124,938
2,042 Fielmann AG............................................. 63,694
14,300 Gehe AG................................................. 915,327
3,690 Hoechst AG.............................................. 174,327
700 Hornbach Baumarkt AG.................................... 22,198
566 Mannesmann AG........................................... 245,327
1,294 Praktiker Bau und Heimwerker+........................... 25,899
2,342 Rhoen Klinikum AG....................................... 245,029
850 SAP AG.................................................. 115,720
1,305 Schering AG............................................. 110,160
11,940 Veba AG................................................. 690,555
264 Volkswagen AG........................................... 109,796
------------
4,586,517
------------
MALAYSIA -- 3.2%
206,000 Affin Holdings Berhad................................... 566,898
80,000 Berjaya Sports Toto Berhad.............................. 399,129
42,000 Commerce Asset Holdings Berhad Ord...................... 315,977
154,000 MBF Capital Berhad...................................... 250,010
248,000 Multi-Purpose Holdings Berhad+++........................ 481,172
266,000 Renong Berhad........................................... 471,859
47,000 Resorts World Berhad.................................... 214,017
104,000 Tanjong................................................. 415,918
84,000 Technology Resources Industries Ltd+.................... 165,638
64,000 Time Engineering Berhad................................. 118,598
93,000 United Engineers (Malaysia) Berhad...................... 839,596
------------
4,238,812
------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
SPAIN -- 2.6%
3,702 Argentaria............................................... $ 165,674
6,772 Banco de Santander Ord. ................................. 433,471
1,910 Banco Popular de Espanol................................. 375,159
2,480 Centros Comerciales Continente, S.A. .................... 50,813
5,056 Centros Comerciales Pryca................................ 107,098
9,169 Empresa Nacional de Electricidad (Endesa)................ 652,583
614 Fomento de Construcciones Y Contratas S.A................ 57,226
2,091 Gas Natural S.D.G., S.A. ................................ 486,410
29,786 Iberdrola S.A. .......................................... 422,155
15,003 Repsol S.A. ............................................. 575,505
510 Repsol S.A., ADR......................................... 19,444
1,635 Sociedad General de Aguas de Barcelona S.A. ............. 68,007
23 Sociedad General de Aguas de Barcelona S.A., New......... 951
6,370 Telefonica de Espana Ord................................. 147,934
------------
3,562,430
------------
SWEDEN -- 2.6%
2,170 Asea AB Free, Series A................................... 245,031
27,090 Astra AB, Series B....................................... 1,306,997
11,090 Atlas Copco AS, Series B................................. 269,966
8,710 Electrolux Company AB, Series B.......................... 505,805
1,900 Esselte AB, Series B..................................... 42,073
3,760 Hennes & Mauritz AB, Series 5............................ 520,511
2,480 Sandvik AB, Series A..................................... 66,917
13,340 Sandvik AB, Series B..................................... 361,907
3,330 Scribona AB Free, Series B............................... 37,357
8,000 Stora Kopparbergs AB, Series B........................... 109,105
------------
3,465,669
------------
SINGAPORE -- 2.2%
11,000 City Developments Ltd. .................................. 99,050
59,000 D.B.S. Land Ord.......................................... 217,144
16,000 Development Bank of Singapore (F)........................ 216,108
18,000 Far East-Levingston Shipbuilding......................... 93,904
22,400 Fraser & Neave Ord. ..................................... 230,515
11,000 Keppel Corporation Ord. ................................. 85,686
63,000 Overseas Union Bank (F).................................. 486,243
5,000 Singapore International Airlines (F)..................... 45,380
60,000 Singapore Land........................................... 332,309
25,000 Singapore Press Holdings (F)............................. 493,104
91,000 United Industrial Corporation............................ 76,738
55,600 United Overseas Bank (F)................................. 619,853
------------
2,996,034
------------
ITALY -- 1.9%
58,860 Banca Fideuram........................................... 129,399
62,213 Ente Nazionale Idrocarburi............................... 319,267
11,114 Finanziaria Autogrill S.p.A.+............................ 10,770
925 Gucci Group N.V. ........................................ 59,084
24,870 IMI S.p.A. Ord. ......................................... 213,125
4,140 Industrie Natuzzi S.p.A. ................................ 95,220
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
28,000 Istituto Nazionale delle Assicurazion................ $ 36,472
34,740 Italgas S.p.A........................................ 145,074
10,960 Mediolanum S.p.A.+................................... 103,748
8,000 Rinascente Ord. ..................................... 46,407
16,077 Sasib di Risp Ord. .................................. 30,151
89,000 S.T.E.T. Societa' Finanziaria Telefonica S.p.A....... 404,812
45,000 S.T.E.T. di Risp..................................... 152,027
47,990 Telecom Italia Mobile di Risp S.p.A. ................ 68,489
185,353 Telecom Italia Mobile S.p.A.......................... 468,575
83,173 Telecom Italia S.p.A................................. 216,020
4,560 Unichem (Union-Cem-March Emil) S.p.A................. 29,759
------------
2,528,399
------------
BRAZIL -- 1.7%
3,410 Brazil Fund, Inc. ................................... 75,872
6,086 Cemig Companhia, ADR................................. 205,402
6,030 CIA Brasil Dist Pao Acuar, GDR....................... 103,264
3,719,511 Companhia Energetica de Minas Gerais................. 126,716
2,280,000 Companhia Siderugica Nacional........................ 64,729
16,612 Telebras, ADR........................................ 1,270,818
547 Telebras, ADR++...................................... 41,846
2,000,000 Telec Brasileiras-Telebras........................... 143,393
55,559 Telec de Sao Paulo S.A. ............................. 12,010
21,660 Usinas Siderurgicas de Minas Gerais S.A. ............ 221,582
41,460,000 White Martins S.A.................................... 59,850
------------
2,325,482
------------
AUSTRALIA -- 1.7%
21,000 Australia and New Zealand Banking Group Ltd.......... 132,366
41,330 Australian Gas Light Company......................... 235,214
17,597 Broken Hill Property Company Ord. ................... 250,647
1,455 Coca Cola Amatil Ltd................................. 15,555
20,500 Commonwealth Instalment Receipt Trustee Ltd.......... 127,585
6,265 Lend Lease Corporation Ord. ......................... 121,505
11,418 National Australia Bank Ltd. ........................ 134,319
44,000 National Mutual Holdings Ltd. ....................... 65,750
23,000 Publishing & Broadcasting Ltd........................ 111,883
10,430 Smith (Howard) Ltd................................... 85,804
71,000 Sydney Harbour Casino+............................... 109,483
33,000 Tabcorp Holdings Ltd. ............................... 157,380
46,219 The News Corporation Ord............................. 243,935
17,000 Western Mining Corporation Holdings Ltd.............. 107,154
29,000 Westpac Banking Corporation.......................... 165,043
25,000 Woodside Petroleum Ltd............................... 182,617
------------
2,246,240
------------
NORWAY -- 1.6%
2,170 Bergesen DY AS, Class A.............................. 53,142
19,830 Norsk Hydro AS....................................... 1,077,091
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
NORWAY -- (CONTINUED)
12,750 Orkla Booregaard AS..................................... $ 894,688
4,670 Saga Petroleum, Series B................................ 73,311
------------
2,098,232
------------
MEXICO -- 1.5%
16,590 Cementos Mexicanos S.A., Series B....................... 64,699
49,110 Cemex S.A............................................... 175,928
27,310 Cemex S.A. de C.V....................................... 194,720
3,930 Cesp, ADR++............................................. 44,684
166,346 Cifra S.A. de CV, Class E, ADR.......................... 201,279
18,790 Cifra S.A. de CV, NPV, Class C.......................... 22,915
18,169 Fomento Economico Mexicana, Series B.................... 62,317
33,023 Gruma S.A. de CV, Series B.............................. 201,360
2,960 Gruma S.A. de CV, Series B, ADR++....................... 71,602
47,166 Grupo Financiero Banamex, Series B...................... 99,581
1,942 Grupo Financiero Banamex, Series L+..................... 3,690
84,790 Grupo Industrial Maseca S.A., Class B................... 107,280
18,986 Grupo Modelo S.A. de CV, Series C....................... 110,221
1,885 Grupo Telivisa S.A., GDR+............................... 48,303
6,403 Kimberly-Clark de Mexico, Class A....................... 126,401
14,364 Telefonos de Mexico S.A., ADR........................... 474,012
------------
2,008,992
------------
ARGENTINA -- 1.1%
5,274 Banco de Galicia -- Buenos Aires........................ 127,894
4,858 Banco Frances, ADR...................................... 133,595
11,480 Comercial del Plata S.A.+............................... 29,394
1,080 Comercial del Plata S.A., ADR........................... 27,659
1,140 Enron Global Power & Pipelines.......................... 30,780
32,468 Perez Companc (Naviera)................................. 228,290
6,950 Telecom Argentina....................................... 28,639
850 Telecom Argentina Stet S.A., ADR........................ 34,319
24,000 Telefonica de Argentina S.A., ADR....................... 621,000
2,630 Transportadora de Gas, ADR.............................. 32,218
5,371 Y.P.F Sociedad Anonima.................................. 135,618
------------
1,429,406
------------
BELGIUM -- 1.0%
698 Credit Communal de Belgique S.A.+....................... 63,690
880 Generale de Banque Ord.................................. 315,499
80 Generale de Banque S.A.................................. 45
2,200 Kredietbank International NV............................ 721,141
72 U.B.C................................................... 187,673
------------
1,288,048
------------
KOREA -- 0.7%
13,600 Korea Electric Power Corporation........................ 278,800
28,652 Korea Fund.............................................. 429,780
1,900 Pohang Iron & Steel, ADR................................ 38,475
1,073 Samsung Electronics Company, GDR........................ 44,401
1,300 Samsung Electronics Company, GDR+....................... 53,794
679 Samsung Electronics Company, GDR New++.................. 28,097
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
1,236 Samsung Electronics Company, GDR 1/2 NV++............... $ 22,804
3,991 Samsung Electronics Company, Non-Voting, GDR++.......... 73,634
------------
969,785
------------
NEW ZEALAND -- 0.6%
36,909 Air New Zealand Ltd., Class B, Ord.+++.................. 100,197
26,700 Carter Holt Harvey Ord.................................. 60,591
15,000 Fernz Corporation Ord................................... 51,431
27,000 Fletcher Challenge (Building Division).................. 83,031
7,000 Fletcher Challenge (Energy Division).................... 20,289
98,015 Fletcher Challenge (Forest Division).................... 164,221
10,000 Fletcher Challenge Ord. ................................ 20,572
67,000 Telecom Corporation of New Zealand...................... 341,980
------------
842,312
------------
CHINA -- 0.5%
20,100 Huaneng Power International, ADS+....................... 452,250
548,000 Shanghai Petrochemical, Class H......................... 166,501
------------
618,751
------------
CHILE -- 0.5%
718 AFP Provida, ADR........................................ 13,462
1,910 Chilectra S.A........................................... 98,572
2,515 Chilgener S.A., ADS..................................... 52,501
2,241 Compania Cervecerias, ADR............................... 36,136
1,005 Compania de Telefonos de Chile.......................... 101,631
6,066 Empresa Nacional Electricidad Chile, ADR................ 94,023
3,701 Enersis S.A., ADR....................................... 102,703
5,460 The Chile Fund.......................................... 113,977
------------
613,005
------------
PORTUGAL -- 0.4%
6,030 Estabelec Jeronimo Martins & Filho...................... 311,009
4,020 Estabelec Jeronimo Martins & Filho Interim Receipts..... 193,079
1,005 Estabelec Jeronimo Martins & Filho Equity Units......... 56,923
------------
561,011
------------
THAILAND -- 0.3%
7,300 Advanced Information Services (F)....................... 62,052
17,300 Bangkok Bank Public Company Ltd. (F).................... 167,293
1,500 Siam Cement Public Company Ltd. (F)..................... 47,025
13,600 Siam Commercial Bank Public Company Ord. (F)............ 98,635
13,600 Thai Farmers Bank Public Company (F).................... 84,848
------------
459,853
------------
CANADA -- 0.3%
9,090 Alcan Aluminum.......................................... 306,971
3,040 Royal Bank of Canada.................................... 106,768
------------
413,739
------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- (CONTINUED)
PANAMA -- 0.2%
1,349 Banco Latinoamericano de Exportaciones, S.A.,
Series E.......................................... $ 68,462
5,500 Panamerican Beverages Inc., Class A................ 257,813
------------
326,275
------------
DENMARK -- 0.2%
2,080 Den Danske Bank.................................... 167,721
650 Tele Danmark AS, Series B.......................... 35,861
1,950 UniDanmark AS, Series A............................ 100,963
------------
304,545
------------
FINLAND -- 0.2%
4,960 Nokia AB, Class A.................................. 287,896
------------
PHILIPPINES -- 0.1%
15,500 Philippine National Bank+.......................... 184,173
------------
AUSTRIA -- 0.1%
336 EVN Energie-Versorgung Niederoesterreich AG........ 50,578
630 Flughafen Wein AG.................................. 32,115
------------
82,693
------------
VENEZUELA -- 0.1%
2,740 Compania Anonima Nacional Telefonos de Venezuela,
ADR+.............................................. 77,063
------------
INDONESIA -- 0.0%#
29,000 PT Telekomunikasi Indonesia (F).................... 50,032
------------
PERU -- 0.0%#
2,097 Telefonica del Peru S.A., ADR...................... 39,581
------------
RUSSIA -- 0.0%#
1,990 Gazprom, ADR+...................................... 35,124
------------
Total Common Stock
(Cost $103,779,546)............................... 124,625,401
------------
PREFERRED STOCK -- 1.9%
BRAZIL -- 1.6%
34,920,147 Banco Bradesco S.A................................. 253,054
369,000 Brahma-Companhia Cervejaria........................ 201,705
270,000 Brasmotor S.A...................................... 74,964
240,000 Companhia Cimento Portland Itau.................... 84,297
199,060 Coteminas PN....................................... 63,526
500,000 Electrobras B...................................... 179,001
150,000 Itaubanco PN....................................... 64,960
2,620,000 Lojas Americanas NPV............................... 34,543
986,328 Petroleo Brasiliero-Petrobras...................... 157,095
3,371,640 Telebras........................................... 259,582
577,000 Telec de Minas Gerais S.A. ........................ 71,355
543,000 Telecom Do Rio de Janeiro S.A...................... 68,712
1,296,430 Telecomunicacoes de Sao Paulo...................... 280,721
5,612,000 Unibanco-Uniao de Bancos Brasileir................. 183,088
141,370,000 Usiminas PN........................................ 144,213
------------
2,120,816
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
GERMANY -- 0.3%
1,820 Hornbach AG........................................... $ 130,097
279 Krones AG............................................. 101,168
883 SAP AG Vorzug......................................... 123,368
------------
354,633
------------
Total Preferred Stock
(Cost $2,154,633).................................... 2,475,449
------------
WARRANTS -- 0.2%
79 Primagaz, Warrants, Expire 06/30/1998+................ 1,964
23,625 Renong Berhad, Warrants, Expire 11/21/2000+........... 11,600
400 Rinascente S.p.A., Warrants, Expire 12/31/1999+....... 176
10,800 United Overseas Bank, Warrants, Expire 06/17/1997+.... 38,128
780 Veba AG, Warrants, Expire 04/06/1998+................. 250,902
------------
Total Warrants
(Cost $151,495)...................................... 302,770
------------
RIGHTS -- 0.1%
6,030 Estabelec Jeronimo Martins Bonus Rights............... 101,621
248,000 Multi-Purpose Holdings Berhad Rights.................. 0
------------
Total Rights
(Cost $0)............................................ 101,621
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
CORPORATE BONDS -- 0.0%#
$ 7,000 Kredietbank International NV, Convertible Bond,
5.750% due 11/30/2003................................ 22,945
37,800 Renong Berhad, Convertible Bond,
4.000% due 05/21/2001................................ 15,866
------------
Total Corporate Bonds
(Cost $33,361)....................................... 38,811
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $106,119,035*)...................................... 94.9% 127,544,052
OTHER ASSETS AND LIABILITIES (NET)......................... 5.1 6,891,195
----- ------------
NET ASSETS................................................. 100.0% $134,435,247
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $106,492,342.
+ 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 sold or 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.
40
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1996
At December 31, 1996, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% OF VALUE
SECTOR DIVERSIFICATION NET ASSETS (NOTE 1)
- ---------------------- ---------- --------
<S> <C> <C>
COMMON STOCK:
Banking................................................ 9.4% $ 12,613,117
Utilities.............................................. 8.8 11,846,606
Media.................................................. 7.4 9,978,634
Retail Trade........................................... 7.0 9,369,561
Health and Personal Care............................... 6.9 9,332,292
Energy................................................. 6.2 8,307,466
Electronics and Instruments............................ 4.7 6,274,568
Chemicals.............................................. 3.5 4,764,661
Construction and Building Materials.................... 3.4 4,570,223
Real Estate............................................ 3.3 4,380,102
Household Products..................................... 3.2 4,258,174
Food and Grocery Products.............................. 3.0 4,097,753
Diversified Industrial Manufacturing................... 2.8 3,714,592
Metals and Mining...................................... 2.7 3,599,681
Entertainment and Leisure.............................. 2.6 3,484,968
Machinery and Engineering Services..................... 2.5 3,419,760
Beverage and Tobacco................................... 2.4 3,237,277
Financial Institutions................................. 2.2 2,928,833
Diversified Holding Companies.......................... 2.0 2,631,758
Electrical Equipment................................... 1.7 2,254,723
Business Services...................................... 1.5 2,113,395
Heavy Engineering...................................... 1.1 1,519,687
Transport and Storage.................................. 0.8 1,054,994
Wholesale Trade........................................ 0.7 958,234
Computers and Communications........................... 0.7 908,146
Insurance.............................................. 0.6 816,744
Investment Trusts...................................... 0.5 619,629
Automotive............................................. 0.4 546,156
Textiles............................................... 0.3 452,958
Forestry and Paper Products............................ 0.3 440,544
Aerospace and Defense.................................. 0.1 130,165
----- ------------
TOTAL COMMON STOCK..................................... 92.7 124,625,401
TOTAL PREFERRED STOCK.................................. 1.9 2,475,449
TOTAL WARRANTS......................................... 0.2 302,770
TOTAL RIGHTS........................................... 0.1 101,621
TOTAL CORPORATE BONDS.................................. 0.0# 38,811
----- ------------
TOTAL INVESTMENTS...................................... 94.9 127,544,052
OTHER ASSETS AND LIABILITIES (NET)..................... 5.1 6,891,195
----- ------------
NET ASSETS............................................. 100.0% $134,435,247
===== ============
</TABLE>
- ------------
# Amount represents less than 0.1%.
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL:
(CONTRACT AMOUNT $115)
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
-------- --------
<C> <S> <C> <C>
163 New Zealand Dollar................................. 01/03/1997 $115
====
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCK -- 75.3%
TECHNOLOGY -- 21.9%
119,200 Cisco Systems Inc+...................................... $ 7,584,100
104,700 Computer Sciences Corporation+.......................... 8,598,487
101,500 Electronic Data Systems Corporation..................... 4,389,875
37,400 Hewlett-Packard Company................................. 1,879,350
106,300 Intel Corporation....................................... 13,918,656
112,600 Microsoft Corporation+.................................. 9,303,575
132,600 Xerox Corporation....................................... 6,978,075
------------
52,652,118
------------
FINANCIAL SERVICES -- 10.8%
79,800 Associates First Capital Corporation.................... 3,521,175
67,600 Citicorp................................................ 6,962,800
83,800 First Data Corporation.................................. 3,058,700
139,200 Green Tree Financial Corporation........................ 5,376,600
87,000 Merrill Lynch & Company, Inc............................ 7,090,500
------------
26,009,775
------------
CONSUMER DURABLES -- 8.0%
89,800 American Standard Companies Inc+........................ 3,434,850
222,000 Chrysler Corporation.................................... 7,326,000
84,426 Ford Motor Company...................................... 2,691,079
113,600 Lear Seating Corporation+............................... 3,876,600
32,900 Magna International Inc., Class A....................... 1,834,175
------------
19,162,704
------------
TRANSPORTATION -- 7.6%
52,800 AMR Corporation+........................................ 4,653,000
61,727 Burlington Northern Santa Fe Corporation................ 5,331,670
63,200 Delta Air Lines, Inc. .................................. 4,479,300
60,400 UAL Corporation+........................................ 3,775,000
------------
18,238,970
------------
HEALTH CARE -- 6.9%
116,000 Amgen, Inc.+............................................ 6,307,500
121,800 Columbia/HCA Healthcare Corporation..................... 4,963,350
47,600 Johnson & Johnson Company............................... 2,368,100
38,100 Warner-Lambert Company.................................. 2,857,500
------------
16,496,450
------------
BASIC INDUSTRIES -- 5.2%
55,000 Boeing Company.......................................... 5,850,625
101,200 United Technologies Corporation......................... 6,679,200
------------
12,529,825
------------
CAPITAL GOODS -- 3.1%
50,700 Caterpillar Inc......................................... 3,815,175
55,600 Honeywell Inc. ......................................... 3,655,700
------------
7,470,875
------------
TELECOMMUNICATIONS -- 3.0%
37,600 Ascend Communications, Inc+............................. 2,335,900
40,000 Cascade Communications Corporation+..................... 2,205,000
134,406 Westinghouse Electric Corporation....................... 2,671,319
------------
7,212,219
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
CONSUMER NON-DURABLES -- 2.2%
12,600 Philip Morris Companies, Inc. ....................... $ 1,430,100
35,900 Procter & Gamble Company............................. 3,859,250
------------
5,289,350
------------
PAPER AND PAPER PRODUCTS -- 2.1%
52,600 Kimberly-Clark Corporation........................... 5,010,150
------------
COMMERCIAL SERVICES -- 1.5%
116,000 Corrections Corporation of America+.................. 3,552,500
------------
RETAIL -- 1.4%
67,866 Home Depot Inc....................................... 3,401,783
------------
INSURANCE -- 1.0%
22,900 Marsh & McLennan Companies, Inc...................... 2,381,600
------------
ENTERTAINMENT -- 0.6%
65,200 Mirage Resorts, Inc.+................................ 1,409,950
------------
Total Common Stock
(Cost $114,957,151)................................. 180,818,269
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 11.5%
U.S. TREASURY NOTES -- 10.0%
U.S. Treasury Notes:
$ 425,000 7.500% due 01/31/1997................................ 425,663
2,655,000 5.000% due 01/31/1998................................ 2,636,335
1,380,000 5.125% due 03/31/1998................................ 1,370,726
2,385,000 5.625% due 11/30/1998................................ 2,374,196
1,000,000 6.375% due 05/15/1999................................ 1,008,590
845,000 6.000% due 08/15/1999................................ 844,865
185,000 5.875% due 11/15/1999................................ 184,277
4,225,000 6.625% due 06/30/2001................................ 4,292,980
4,745,000 6.375% due 08/15/2002................................ 4,776,127
1,320,000 7.875% due 11/15/2004................................ 1,440,450
4,875,000 5.875% due 11/15/2005................................ 4,700,573
------------
24,054,782
------------
U.S. TREASURY BOND -- 1.5%
U.S. Treasury Bond,
3,385,000 7.500% due 11/15/2024................................ 3,702,344
------------
Total U.S. Treasury Obligations
(Cost $27,527,106).................................. 27,757,126
------------
MORTGAGE-BACKED SECURITIES -- 7.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 4.5%
FHLMC:
2,242,503 7.500% due 06/01/2011................................ 2,274,727
3,509,362 7.500% due 08/01/2011................................ 3,559,792
2,723,998 7.000% due 08/01/2025................................ 2,681,449
2,162,439 8.000% due 06/01/2026................................ 2,204,326
------------
10,720,294
------------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 2.9%
GNMA:
$3,905,039 7.000% due 05/15/2026............................... $ 3,819,596
2,703,407 8.000% due 08/15/2026............................... 2,757,475
490,477 8.000% due 10/15/2026............................... 500,286
------------
7,077,357
------------
Total Mortgage-Backed Securities
(Cost $17,596,719)................................. 17,797,651
------------
CORPORATE BONDS -- 3.7%
500,000 Associates Corporation of North America, Senior
Note,
6.000% due 06/15/2000.............................. 492,960
500,000 Chase Manhattan Corporation, Subordinate Note,
6.500% due 08/01/2005.............................. 480,885
500,000 Comdisco Inc., Note,
6.375% due 11/30/2001.............................. 491,950
500,000 Disney (Walt) Company, Global Bond,
6.750% due 03/30/2006.............................. 495,135
300,000 First Chicago NBD, Subordinate Note,
6.125% due 02/15/2006.............................. 281,322
175,000 First Interstate Bancorp, Subordinate Capital Note,
8.625% due 04/01/1999.............................. 183,446
500,000 Fleet Financial Group, Inc., Subordinate Note,
7.125% due 04/15/2006.............................. 499,350
250,000 Florida Power & Light Company,
First Mortgage Bond,
7.050% due 12/01/2026.............................. 236,155
500,000 Ford Motor Company, Note,
7.250% due 10/01/2008.............................. 504,160
500,000 General American Transportation, Note,
6.750% due 03/01/2006.............................. 485,950
500,000 General Motors Corporation, Debenture, 8.100% due
06/15/2024......................................... 510,365
500,000 Lockheed Martin Corporation, Guaranteed Debenture,
7.250% due 05/15/2006.............................. 508,685
May Department Stores Company:
15,000 Debenture,
9.750% due 02/15/2021............................... 18,168
500,000 Guaranteed Debenture,
7.450% due 09/15/2011............................... 510,135
500,000 Mead Corporation, Debenture,
7.125% due 08/01/2025.............................. 462,990
500,000 NationsBank Corporation, Subordinate Note,
7.500% due 09/15/2006.............................. 513,705
500,000 Norwest Corporation, Medium Term Note,
6.125% due 10/15/2000.............................. 494,920
500,000 Praxair Inc., Debenture,
8.700% due 07/15/2022.............................. 525,810
500,000 Texas Utilities Electric Company,
First Mortgage Bond,
7.875% due 03/01/2023.............................. 501,680
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
$ 250,000 Union Electric Company, First Mortgage Bond,
6.750% due 05/01/2008.............................. $ 245,670
500,000 Wells Fargo & Company, Subordinate Note, 6.875% due
04/01/2006......................................... 491,665
------------
Total Corporate Bonds
(Cost $8,936,195).................................. 8,935,106
------------
ASSET-BACKED SECURITIES -- 0.4%
201,003 EQCC Home Equity Loan Trust, Class A-1, Tranche 93-
3,
5.150% due 09/15/2008.............................. 193,214
573,189 General Electric Capital Corporation, Series 1995-
HE1,
7.500% due 09/25/2011.............................. 580,354
92,386 UCFC Home Equity Loan, Class A-1, Tranche 93-B1,
6.075% due 08/25/2014.............................. 89,817
------------
Total Asset-Backed Securities
(Cost $866,230).................................... 863,385
------------
COMMERCIAL PAPER -- 1.5%
2,000,000 BP America, Inc.,
6.500%# due 01/02/1997............................. 1,999,639
1,500,000 Chevron Oil Finance Company,
6.100%# due 01/03/1997............................. 1,499,492
------------
Total Commercial Paper
(Cost $3,499,131).................................. 3,499,131
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $173,382,532*)..................... 99.8% 239,670,668
OTHER ASSETS AND LIABILITIES (NET)......................... 0.2 538,959
----- ------------
NET ASSETS................................................. 100.0% $240,209,627
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $173,406,269.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
43
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MONEY MARKET PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 75.0%
$1,500,000 Abbott Laboratories Company,
5.250%# due 01/16/1997 ............................... $1,496,719
1,500,000 American Express Credit Corporation,
5.310%# due 01/09/1997 ............................... 1,498,230
1,500,000 American General Finance Corporation,
5.500%# due 01/22/1997................................ 1,495,188
1,000,000 BellSouth Telecommunications Inc.,
5.350%# due 01/14/1997 ............................... 998,068
1,500,000 Beneficial Corporation,
5.750%# due 01/13/1997 ............................... 1,497,125
2,000,000 BP America Inc.,
6.500%# due 01/02/1997 ............................... 1,999,639
1,500,000 Chevron Oil Finance Company,
6.100%# due 01/03/1997 ............................... 1,499,492
1,500,000 Ciesco L.P.,
5.375%# due 01/08/1997 ............................... 1,498,432
1,000,000 CIT Group Holdings, Inc.,
5.460%# due 01/10/1997 ............................... 998,635
1,000,000 Dean Witter Discover and Company,
5.310%# due 01/29/1997 ............................... 995,870
1,000,000 Deere and Company,
5.310%# due 01/24/1997 ............................... 996,608
1,000,000 duPont (E.I.) de Nemours and Company,
5.260%# due 01/21/1997................................ 997,078
1,600,000 Merrill Lynch & Company, Inc.,
5.600%# due 01/10/1997 ............................... 1,597,760
1,135,000 Pitney-Bowes Credit Corporation,
5.320%# due 04/08/1997 ............................... 1,118,731
1,400,000 Prudential Funding Corporation,
5.380%# due 01/07/1997 ............................... 1,398,745
1,067,000 SAFECO Credit Company Inc.,
5.320%# due 02/04/1997 ............................... 1,061,639
1,630,000 Schering Corporation,
5.280%# due 04/08/1997 ............................... 1,606,811
1,300,000 SmithKline Beecham Corporation,
5.280%# due 01/06/1997 ............................... 1,299,047
1,240,000 Southern California Gas Company,
5.500%# due 01/10/1997 ............................... 1,238,295
1,000,000 Toyota Motor Credit Corporation,
5.310%# due 02/07/1997 ............................... 994,543
1,400,000 Transamerica Finance Corporation,
5.300%# due 01/02/1997 ............................... 1,399,794
1,500,000 United Parcel Service of America, Inc.,
5.850%# due 01/09/1997 ............................... 1,498,050
2,000,000 USAA Capital Corporation,
5.500%# due 01/27/1997 ............................... 1,992,056
----------
Total Commercial Paper
(Cost $31,176,555).................................... 31,176,555
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- 20.4%
Associates Corporation of North America, Notes:
$1,000,000 6.875% due 01/15/1997 ............................... $ 1,000,428
500,000 5.875% due 08/15/1997 ............................... 499,320
500,000 CIT Group Holdings, Inc., Note,
8.750% due 07/01/1997 .............................. 507,078
1,145,000 Ford Motor Credit Corporation, Note,
8.000% due 12/01/1997 .............................. 1,168,391
1,000,000 General Electric Cap Corporation, Medium Term Note,
5.200% due 01/17/1997 .............................. 1,000,046
500,000 International Lease Finance Corporation, Medium Term
Note,
5.550% due 05/05/1997 .............................. 499,976
Norwest Financial Inc., Notes:
1,000,000 6.250% due 02/15/1997 ............................... 1,000,513
500,000 6.500% due 11/15/1997 ............................... 503,794
1,000,000 Shell Oil Company, Note,
6.000% due 01/15/1997 .............................. 1,000,086
1,279,000 Wal-Mart Stores Inc., Note,
5.500% due 09/15/1997 .............................. 1,277,604
-----------
Total Corporate Fixed Income Securities
(Cost $8,457,236)................................... 8,457,236
-----------
U.S. GOVERNMENT AGENCY SECURITIES -- 3.2%
850,000 Federal Home Loan Mortgage Corporation (FHLMC),
5.640% due 08/28/1997............................... 848,370
500,000 Federal Home Loan Bank (FHLB),
5.840% due 07/24/1997 .............................. 500,260
-----------
Total U.S. Government Agency Bonds
(Cost $1,348,630)................................... 1,348,630
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $40,982,421*)....................... 98.6% 40,982,421
OTHER ASSETS AND LIABILITIES (NET).......................... 1.4 562,851
----- -----------
NET ASSETS.................................................. 100.0% $41,545,272
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
# Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
44
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
<TABLE>
<CAPTION>
DREYFUS T. ROWE T. ROWE T. ROWE TCW
U.S. DREYFUS PRICE PRICE PRICE MANAGED
OPPORTUNITY VALUE GOVERNMENT SMALL CAP GROWTH EQUITY INTERNATIONAL ASSET
VALUE EQUITY SECURITIES VALUE STOCK INCOME STOCK ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- ----------- ----------- ----------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at
value (Note 1)
See
accompanying
schedule....... $342,714 $129,792,152 $25,038,879 $86,802,931 $61,101,303 $80,821,842 $127,544,052 $239,670,668
Cash............ 208,285 2,171 724 366 653 327 6,226,940 137,066
Foreign currency
(Cost $2,946,
$27 and
$518,710
respectively).. -- -- -- -- 2,968 27 517,554 --
Receivable for
investment
securities
sold........... -- -- 1,015,743 1,576,796 -- -- 252,970 --
Receivable for
Portfolio
shares sold.... 158,203 -- 5,266 509 1,756 249,327 -- --
Receivable from
investment
manager (Note
2)............. 2,802 -- -- -- -- -- -- --
Unamortized
organization
costs (Note
5)............. 25,373 4,178 10,307 4,178 7,288 7,288 -- --
Dividends and/or
interest
receivable..... 36 93,270 378,070 46,095 68,913 229,023 163,736 799,384
Prepaid
expenses....... -- 584 107 418 200 418 8,153 8,181
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
Total Assets.... 737,413 129,892,355 26,449,096 88,431,293 61,183,081 81,308,252 134,713,405 240,615,299
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
LIABILITIES:
Payable for
investment
securities
purchased...... 7,681 1,748,674 1,693,105 2,496,583 1,361,102 2,962,646 45,723 --
Payable for
Portfolio
shares
redeemed....... 138 93,499 6,777 56,621 23,327 16,266 56,235 174,911
Unrealized
depreciation on
forward foreign
exchange
contracts...... -- -- -- -- -- 130 -- --
Transfer agent
fees payable... 131 188 188 188 188 188 188 188
Investment
management fee
payable (Note
2)............. 171 84,175 13,337 56,755 38,850 49,818 98,655 153,144
Custodian fees
payable (Note
2)............. 438 4,878 2,774 10,870 6,404 4,392 32,704 9,418
Accrued
Trustees' fees
and expenses
(Note 2)....... 110 584 118 401 254 306 655 1,232
Organization
costs payable
(Note 5)....... 26,000 -- -- -- -- -- -- --
Accrued
dividends
payable........ -- -- -- -- -- -- -- --
Accrued expenses
and other
payables....... 1,619 33,062 5,595 6,427 20,563 23,650 43,998 66,779
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
Total
Liabilities.... 36,288 1,965,060 1,721,894 2,627,845 1,450,688 3,057,396 278,158 405,672
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
NET ASSETS...... $701,125 $127,927,295 $24,727,202 $85,803,448 $59,732,393 $78,250,856 $134,435,247 $240,209,627
======== ============ =========== =========== =========== =========== ============ ============
Investments, at
Identified
Cost........... $342,554 $103,442,444 $24,867,658 $80,218,831 $52,066,286 $72,944,063 $106,119,035 $173,382,532
======== ============ =========== =========== =========== =========== ============ ============
NET ASSETS
CONSIST OF:
Undistributed
net investment
income......... $ 292 $ 1,243,970 $ 1,061,012 $ 634,795 $ 237,483 $ 1,329,442 $ 734,537 $ 3,467,344
Accumulated net
realized
gain/(loss) on
investments
sold, forward
foreign
exchange
contracts and
foreign
currency
transactions... -- 4,558,885 (279,318) 11,031,711 430,691 1,918,047 (2,628,933) (6,577,899)
Net unrealized
appreciation of
investments,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets......... 160 26,349,689 171,221 6,584,100 9,035,261 7,877,022 21,427,274 66,288,136
Paid-in
capital........ 700,673 95,774,751 23,774,287 67,552,842 50,028,958 67,126,345 114,902,369 177,032,046
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
Total Net
Assets......... $701,125 $127,927,295 $24,727,202 $85,803,448 $59,732,393 $78,250,856 $134,435,247 $240,209,627
======== ============ =========== =========== =========== =========== ============ ============
NET ASSET VALUE,
offering price
and redemption
price per share
of beneficial
interest
outstanding.... $ 10.06 $ 17.21 $ 11.23 $ 14.69 $ 16.29 $ 15.49 $ 13.95 $ 18.84
======== ============ =========== =========== =========== =========== ============ ============
Number of
Portfolio
shares
outstanding.... 69,713 7,433,805 2,201,546 5,838,975 3,667,172 5,053,104 9,639,260 12,747,254
======== ============ =========== =========== =========== =========== ============ ============
<CAPTION>
TCW
MONEY
MARKET
PORTFOLIO
------------
<S> <C>
ASSETS:
Investments, at
value (Note 1)
See
accompanying
schedule....... $40,982,421
Cash............ 11,434
Foreign currency
(Cost $2,946,
$27 and
$518,710
respectively).. --
Receivable for
investment
securities
sold........... --
Receivable for
Portfolio
shares sold.... 376,907
Receivable from
investment
manager (Note
2)............. --
Unamortized
organization
costs (Note
5)............. --
Dividends and/or
interest
receivable..... 199,401
Prepaid
expenses....... 6,820
------------
Total Assets.... 41,576,983
------------
LIABILITIES:
Payable for
investment
securities
purchased...... --
Payable for
Portfolio
shares
redeemed....... 932
Unrealized
depreciation on
forward foreign
exchange
contracts...... --
Transfer agent
fees payable... 188
Investment
management fee
payable (Note
2)............. 17,234
Custodian fees
payable (Note
2)............. 2,748
Accrued
Trustees' fees
and expenses
(Note 2)....... 200
Organization
costs payable
(Note 5)....... --
Accrued
dividends
payable........ 34
Accrued expenses
and other
payables....... 10,375
------------
Total
Liabilities.... 31,711
------------
NET ASSETS...... $41,545,272
============
Investments, at
Identified
Cost........... $40,982,421
============
NET ASSETS
CONSIST OF:
Undistributed
net investment
income......... $ --
Accumulated net
realized
gain/(loss) on
investments
sold, forward
foreign
exchange
contracts and
foreign
currency
transactions... (978)
Net unrealized
appreciation of
investments,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets......... --
Paid-in
capital........ 41,546,250
------------
Total Net
Assets......... $41,545,272
============
NET ASSET VALUE,
offering price
and redemption
price per share
of beneficial
interest
outstanding.... $ 1.00
============
Number of
Portfolio
shares
outstanding.... 41,546,250
============
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
STATEMENTS OF OPERATIONS
ENDEAVOR SERIES TRUST
FOR YEAR ENDED DECEMBER 31, 1996*
<TABLE>
<CAPTION>
DREYFUS T. ROWE T. ROWE T. ROWE TCW
U.S. DREYFUS PRICE PRICE PRICE MANAGED
OPPORTUNITY VALUE GOVERNMENT SMALL CAP GROWTH EQUITY INTERNATIONAL ASSET
VALUE EQUITY SECURITIES VALUE STOCK INCOME STOCK ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ---------- ----------- ---------- ---------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends (Net
of foreign
witholding
taxes of $0,
$1,081, $0,
$483, $24,408,
$15,954,
$309,640,
$5,713, and $0
respectively).. $ 36 $ 1,200,032 $-- $ 625,496 $ 556,890 $1,343,937 $ 2,103,294 $ 1,790,500
Interest (Net of
foreign
witholding
taxes of $53
for the T. Rowe
Price
International
Stock
Portfolio)..... 15 918,413 1,220,625 626,900 133,658 437,183 47,407 3,536,545
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
Total Investment
Income......... 51 2,118,445 1,220,625 1,252,396 690,548 1,781,120 2,150,701 5,327,045
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
EXPENSES:
Investment
management fee
(Note 2)....... 197 768,579 122,058 535,895 313,398 369,356 1,015,179 1,639,338
Custodian fees
(Note 2)....... 437 27,747 10,179 38,832 37,348 27,874 194,437 52,016
Transfer agent
fees........... 131 1,125 1,125 1,125 1,125 1,125 1,125 1,125
Legal and audit
fees........... 1,000 34,041 6,580 20,634 14,240 17,252 38,755 75,200
Amortization of
organization
costs (Note
5)............. 627 3,133 4,357 3,133 2,422 2,422 3,438 3,438
Trustees' fees
and expenses
(Note 2)....... 110 5,143 1,011 3,642 2,027 2,330 6,219 12,154
Other........... 619 34,637 9,099 14,426 24,253 24,897 73,038 79,271
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
Subtotal....... 3,121 874,405 154,409 617,687 394,813 445,256 1,332,191 1,862,542
Waiver/reimbursement
from investment
manager (Note
2)............. (2,802) -- -- -- -- -- -- --
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
Total
expenses...... 319 874,405 154,409 617,687 394,813 445,256 1,332,191 1,862,542
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
NET INVESTMENT
INCOME/(LOSS).. (268) 1,244,040 1,066,216 634,709 295,735 1,335,864 818,510 3,464,503
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
REALIZED AND
UNREALIZED
GAIN/ (LOSS) ON
INVESTMENTS
(NOTES 1 AND
3):
Net realized
gain/(loss) on:
Securities..... -- 4,558,885 (284,458) 11,050,747 435,624 1,918,050 1,811,265 2,436,120
Forward foreign
exchange
contracts..... -- 15 -- -- (64,099) (13,773) (59,401) --
Foreign
currencies and
net other
assets........ -- (70) -- -- 3,510 5,012 63,735 61
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
Net realized
gain/(loss) on
investments
during the
year........... -- 4,558,830 (284,458) 11,050,747 375,035 1,909,289 1,815,599 2,436,181
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
Net change in
unrealized
appreciation/(depreciation)
of:
Securities..... 160 14,300,371 (151,333) 4,486,377 7,202,799 5,691,461 13,308,804 30,117,285
Forward foreign
exchange
contracts..... -- -- -- -- -- (130) (422) --
Foreign
currencies and
net other
assets........ -- (9) -- -- 1,267 (498) (2,763) --
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
Net unrealized
appreciation/(depreciation)
of investments
during the
year........... 160 14,300,362 (151,333) 4,486,377 7,204,066 5,690,833 13,305,619 30,117,285
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
Net realized and
unrealized
gain/(loss) on
investments
during the
year........... 160 18,859,192 (435,791) 15,537,124 7,579,101 7,600,122 15,121,218 32,553,466
------- ----------- --------- ----------- ---------- ---------- ----------- -----------
NET
INCREASE/(DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS..... $ (108) $20,103,232 $ 630,425 $16,171,833 $7,874,836 $8,935,986 $15,939,728 $36,017,969
======= =========== ========= =========== ========== ========== =========== ===========
<CAPTION>
TCW
MONEY
MARKET
PORTFOLIO
-----------
<S> <C>
INVESTMENT
INCOME:
Dividends (Net
of foreign
witholding
taxes of $0,
$1,081, $0,
$483, $24,408,
$15,954,
$309,640,
$5,713, and $0
respectively).. $--
Interest (Net of
foreign
witholding
taxes of $53
for the T. Rowe
Price
International
Stock
Portfolio)..... 1,787,472
-----------
Total Investment
Income......... 1,787,472
-----------
EXPENSES:
Investment
management fee
(Note 2)....... 165,212
Custodian fees
(Note 2)....... 15,291
Transfer agent
fees........... 1,125
Legal and audit
fees........... 9,669
Amortization of
organization
costs (Note
5)............. 3,438
Trustees' fees
and expenses
(Note 2)....... 1,830
Other........... 1,585
-----------
Subtotal....... 198,150
Waiver/reimbursement
from investment
manager (Note
2)............. --
-----------
Total
expenses...... 198,150
-----------
NET INVESTMENT
INCOME/(LOSS).. 1,589,322
-----------
REALIZED AND
UNREALIZED
GAIN/ (LOSS) ON
INVESTMENTS
(NOTES 1 AND
3):
Net realized
gain/(loss) on:
Securities..... (763)
Forward foreign
exchange
contracts..... --
Foreign
currencies and
net other
assets........ --
-----------
Net realized
gain/(loss) on
investments
during the
year........... (763)
-----------
Net change in
unrealized
appreciation/(depreciation)
of:
Securities..... --
Forward foreign
exchange
contracts..... --
Foreign
currencies and
net other
assets........ --
-----------
Net unrealized
appreciation/(depreciation)
of investments
during the
year........... --
-----------
Net realized and
unrealized
gain/(loss) on
investments
during the
year........... (763)
-----------
NET
INCREASE/(DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS..... $1,588,559
===========
</TABLE>
- ------------
* The Opportunity Value Portfolio commenced operations on November 18, 1996.
See Notes to Financial Statements.
46
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
YEAR ENDED DECEMBER 31, 1996*
<TABLE>
<CAPTION>
DREYFUS T. ROWE T. ROWE T. ROWE TCW
U.S. DREYFUS PRICE PRICE PRICE MANAGED
OPPORTUNITY VALUE GOVERNMENT SMALL CAP GROWTH EQUITY INTERNATIONAL ASSET
VALUE EQUITY SECURITIES VALUE STOCK INCOME STOCK ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- ----------- ----------- ----------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment
income/(loss).. $ (268) $ 1,244,040 $ 1,066,216 $ 634,709 $ 295,735 $ 1,335,864 $ 818,510 $ 3,464,503
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year........... -- 4,558,830 (284,458) 11,050,747 375,035 1,909,289 1,815,599 2,436,181
Net unrealized
appreciation/
(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year....... 160 14,300,362 (151,333) 4,486,377 7,204,066 5,690,833 13,305,619 30,117,285
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
Net
increase/(decrease)
in net assets
resulting from
operations..... (108) 20,103,232 630,425 16,171,833 7,874,836 8,935,986 15,939,728 36,017,969
Distributions to
shareholders
from net
investment
income......... -- (773,280) (365,881) (669,363) (34,313) (286,763) (773,317) (3,944,143)
Distributions
from net
realized
gains.......... -- (1,416,509) (202,125) (2,256,693) (589,782) (123,166) (284) --
Net increase in
net assets from
Portfolio share
transactions
(Note 4)....... 701,233 41,383,418 11,946,615 19,960,841 30,830,367 47,814,305 26,917,266 9,260,111
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
Net increase in
net assets..... 701,125 59,296,861 12,009,034 33,206,618 38,081,108 56,340,362 42,083,393 41,333,937
NET ASSETS:
Beginning of
year........... -- 68,630,434 12,718,168 52,596,830 21,651,285 21,910,494 92,351,854 198,875,690
-------- ------------ ----------- ----------- ----------- ----------- ------------ ------------
End of year..... $701,125 $127,927,295 $24,727,202 $85,803,448 $59,732,393 $78,250,856 $134,435,247 $240,209,627
======== ============ =========== =========== =========== =========== ============ ============
Undistributed
net investment
income......... $ 292 $ 1,243,970 $ 1,061,012 $ 634,795 $ 237,483 $ 1,329,442 $ 734,537 $ 3,467,344
======== ============ =========== =========== =========== =========== ============ ============
<CAPTION>
TCW
MONEY
MARKET
PORTFOLIO
------------
<S> <C>
Net investment
income/(loss).. $ 1,589,322
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year........... (763)
Net unrealized
appreciation/
(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year....... --
------------
Net
increase/(decrease)
in net assets
resulting from
operations..... 1,588,559
Distributions to
shareholders
from net
investment
income......... (1,589,322)
Distributions
from net
realized
gains.......... --
Net increase in
net assets from
Portfolio share
transactions
(Note 4)....... 13,994,868
------------
Net increase in
net assets..... 13,994,105
NET ASSETS:
Beginning of
year........... 27,551,167
------------
End of year..... $41,545,272
============
Undistributed
net investment
income......... $--
============
</TABLE>
- ------------
* The Opportunity Value Portfolio commenced operations on November 18, 1996.
See Notes to Financial Statements.
47
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
YEAR ENDED DECEMBER 31, 1995*
<TABLE>
<CAPTION>
DREYFUS TCW
U.S. DREYFUS T. ROWE PRICE T. ROWE PRICE T. ROWE PRICE MANAGED TCW
VALUE GOVERNMENT SMALL CAP GROWTH EQUITY INTERNATIONAL ASSET MONEY
EQUITY SECURITIES VALUE STOCK INCOME STOCK ALLOCATION MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO# PORTFOLIO PORTFOLIO
----------- ----------- ----------- ------------- ------------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment
income.......... $ 772,167 $ 365,364 $ 662,266 $ 65,407 $ 286,172 $ 687,861 $ 3,921,872 $ 1,261,809
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign currency
transactions
during the
year............ 1,415,693 210,680 2,255,743 551,432 121,433 (4,184,971) (4,595,305) 18
Net unrealized
appreciation of
securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other assets
during the
year............ 11,560,772 374,777 2,796,456 1,831,195 2,186,189 11,930,185 38,153,355 --
----------- ----------- ----------- ----------- ----------- ----------- ------------ -----------
Net increase in
net assets
resulting from
operations...... 13,748,632 950,821 5,714,465 2,448,034 2,593,794 8,433,075 37,479,922 1,261,827
Distributions to
shareholders
from net
investment
income.......... (311,416) (51,383) (330,888) -- -- -- (3,105,304) (1,263,251)
Distributions
from net
realized gains.. (141,867) -- (596,287) -- -- (1,955,766) -- --
Net
increase/(decrease)
in net assets
from Portfolio
share
transactions
(Note 4)........ 22,558,607 8,313,442 11,843,218 19,203,251 19,316,700 1,772,335 (7,948,127) 6,787,031
----------- ----------- ----------- ----------- ----------- ----------- ------------ -----------
Net increase in
net assets...... 35,853,956 9,212,880 16,630,508 21,651,285 21,910,494 8,249,644 26,426,491 6,785,607
NET ASSETS:
Beginning of
year............ 32,776,478 3,505,288 35,966,322 -- -- 84,102,210 172,449,199 20,765,560
----------- ----------- ----------- ----------- ----------- ----------- ------------ -----------
End of year...... $68,630,434 $12,718,168 $52,596,830 $21,651,285 $21,910,494 $92,351,854 $198,875,690 $27,551,167
=========== =========== =========== =========== =========== =========== ============ ===========
Undistributed net
investment
income.......... $ 773,265 $ 365,879 $ 669,355 $ 34,311 $ 286,763 $ 685,010 $ 3,944,143 $--
=========== =========== =========== =========== =========== =========== ============ ===========
</TABLE>
- ------------
* The T. Rowe Price Equity Income Portfolio and the T. Rowe Price Growth Stock
Portfolio commenced operations on January 3, 1995.
# In 1995, the Portfolio's investment objective changed to one of an
international basis from one of a global basis. Effective March 24, 1995, the
Portfolio's name changed from Global Growth Portfolio to T. Rowe Price
International Stock Portfolio.
See Notes to Financial Statements.
48
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
OPPORTUNITY VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
PERIOD
ENDED
12/31/96*
---------
<S> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period............................... $ 10.00
-------
Net investment loss#............................................... (0.00)##
Net realized and unrealized gain on investments.................... 0.06
-------
Net increase in net assets resulting from investment operations.... 0.06
-------
Net asset value, end of period..................................... $ 10.06
=======
Total return++..................................................... 0.60%
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................... $ 701
Ratio of net investment loss to average net assets................. (1.09)%+
Ratio of operating expenses to average net assets**................ 1.30%+
Portfolio turnover rate............................................ 0%
Average commission rate (per share of security)(a)................. $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.
# 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.
(a) Average commission rate paid per share of securities purchased and sold by
the Portfolio.
See Notes to Financial Statements.
49
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/96+++ 12/31/95 12/31/94 12/31/93*+++
----------- -------- -------- ------------
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of
year............................ $ 14.23 $ 10.69 $ 10.28 $ 10.00
-------- ------- ------- -------
Net investment income#........... 0.20 0.15 0.09 0.05
Net realized and unrealized gain
on investments.................. 3.15 3.52 0.33 0.23
-------- ------- ------- -------
Net increase in net assets
resulting from investment
operations...................... 3.35 3.67 0.42 0.28
-------- ------- ------- -------
Distributions:
Dividends from net investment
income.......................... (0.13) (0.09) (0.01) --
Distributions from net realized
gains........................... (0.24) (0.04) -- --
-------- ------- ------- -------
Total distributions.............. (0.37) (0.13) (0.01) --
-------- ------- ------- -------
Net asset value, end of year..... $ 17.21 $ 14.23 $ 10.69 $ 10.28
======== ======= ======= =======
Total return++................... 23.84% 34.59% 4.09% 2.80%
======== ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in
000's).......................... $127,927 $68,630 $32,776 $11,178
Ratio of net investment income to
average net assets.............. 1.29% 1.56% 1.31% 0.84%+
Ratio of operating expenses to
average net assets**............ 0.91% 0.86% 1.02% 1.30%+
Portfolio turnover rate.......... 27% 28% 56% 1%
Average commission rate (per
share of security)(a)........... $ 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.
50
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR PERIOD
ENDED ENDED ENDED
12/31/96+++ 12/31/95 12/31/94*+++
----------- -------- ------------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of year......... $ 11.39 $ 9.96 $10.00
------- ------- ------
Net investment income#..................... 0.62 0.30 0.24
Net realized and unrealized gain/(loss) on
investments............................... (0.44) 1.25 (0.28)
------- ------- ------
Net increase/(decrease) in net assets
resulting from investment operations...... 0.18 1.55 (0.04)
------- ------- ------
Distributions:
Dividends from net investment income....... (0.22) (0.12) --
Distributions from net realized gains...... (0.12) -- --
------- ------- ------
Total distributions........................ (0.34) (0.12) --
------- ------- ------
Net asset value, end of year............... $ 11.23 $ 11.39 $ 9.96
======= ======= ======
Total return++............................. 1.81% 15.64% (0.40)%
======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of year (in 000's)......... $24,727 $12,718 $3,505
Ratio of net investment income to average
net assets................................ 5.68% 5.58% 4.14%+
Ratio of operating expenses to average net
assets**.................................. 0.82% 0.84% 0.78%+
Portfolio turnover rate.................... 222% 161% 100%
</TABLE>
- ------------
* The Portfolio commenced operations on May 13, 1994.
** Annualized operating expense ratio before waiver of fees and reimbursement
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.
51
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/96+++## 12/31/95 12/31/94+++ 12/31/93*+++
------------- -------- ----------- ------------
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of
year.......................... $ 12.22 $ 10.98 $ 11.18 $ 10.00
------- ------- ------- -------
Net investment income#......... 0.12 0.15 0.10 0.22
Net realized and unrealized
gain/(loss) on investments.... 2.95 1.36 (0.30) 0.96
------- ------- ------- -------
Net increase/(decrease) in net
assets resulting from
investment operations......... 3.07 1.51 (0.20) 1.18
------- ------- ------- -------
Distributions:
Dividends from net investment
income........................ (0.14) (0.10) -- --
Distributions from net realized
gains......................... (0.46) (0.17) -- --
------- ------- ------- -------
Total distributions............ (0.60) (0.27) -- --
------- ------- ------- -------
Net asset value, end of year... $ 14.69 $ 12.22 $ 10.98 $ 11.18
======= ======= ======= =======
Total return++................. 25.63% 14.05% (1.79)% 11.80%
======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in
000's)........................ $85,803 $52,597 $35,966 $12,699
Ratio of net investment income
to average net assets......... 0.95% 1.56% 0.89% 3.98%+
Ratio of operating expenses to
average net assets**.......... 0.92% 0.87% 1.03% 1.30%+
Portfolio turnover rate........ 171% 75% 77% 41%
Average commission rate (per
share of security)(a)......... $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.
52
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
12/31/96+++ 12/31/95*+++
----------- ------------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of year................... $ 13.72 $ 10.00
------- -------
Net investment income................................ 0.11 0.08
Net realized and unrealized gain on investments...... 2.71 3.64
------- -------
Net increase in net assets resulting from investment
operations.......................................... 2.82 3.72
------- -------
Distributions:
Dividends from net investment income................. (0.01) --
Distributions from net realized gains................ (0.24) --
------- -------
Total distributions.................................. (0.25) --
------- -------
Net asset value, end of year......................... $ 16.29 $ 13.72
======= =======
Total return++....................................... 20.77% 37.20%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)................... $59,732 $21,651
Ratio of net investment income to average net
assets.............................................. 0.75% 0.69%+
Ratio of operating expenses to average net assets.... 1.01% 1.26%+
Portfolio turnover rate.............................. 44% 64%
Average commission rate (per share of security)(a)... $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.
53
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
12/31/96+++ 12/31/95*+++
----------- ------------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of year................... $ 13.05 $ 10.00
------- -------
Net investment income................................ 0.41 0.34
Net realized and unrealized gain on investments...... 2.17 2.71
------- -------
Net increase in net assets resulting from investment
operations.......................................... 2.58 3.05
------- -------
Distributions:
Dividends from net investment income................. (0.10) --
Distributions from net realized gains................ (0.04) --
------- -------
Total distributions.................................. (0.14) --
------- -------
Net asset value, end of year......................... $ 15.49 $ 13.05
======= =======
Total return++....................................... 19.88% 30.50%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)................... $78,251 $21,910
Ratio of net investment income to average net
assets.............................................. 2.89% 3.24%+
Ratio of operating expenses to average net assets.... 0.96% 1.15%+
Portfolio turnover rate.............................. 19% 16%
Average commission rate (per share of security)(a)... $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.
54
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
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>
OPERATING PERFORMANCE:
Net asset value,
beginning of year...... $ 12.19 $ 11.31 $ 11.99 $ 10.12 $10.52 $10.00
-------- ------- ------- ------- ------ ------
Net investment
income/(loss)#......... 0.09 0.09 (0.02) (0.04) 0.00*** 0.06
Net realized and
unrealized gain/(loss)
on investments......... 1.76 1.06 (0.66) 1.91 (0.38) 0.46
-------- ------- ------- ------- ------ ------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 1.85 1.15 (0.68) 1.87 (0.38) 0.52
-------- ------- ------- ------- ------ ------
Distributions:
Dividends from net
investment income...... (0.09) -- -- -- (0.02) --
Distributions from net
realized gains......... (0.00)*** (0.27) -- -- -- --
-------- ------- ------- ------- ------ ------
Total distributions..... (0.09) (0.27) -- -- (0.02) --
-------- ------- ------- ------- ------ ------
Net asset value, end of
year................... $ 13.95 $ 12.19 $ 11.31 $ 11.99 $10.12 $10.52
======== ======= ======= ======= ====== ======
Total return++.......... 15.23% 10.37% (5.67)% 18.48% (3.61)% 5.20%
======== ======= ======= ======= ====== ======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of year
(in 000's)............. $134,435 $92,352 $84,102 $52,777 $6,305 $3,200
Ratio of net investment
income/(loss) to
average net assets..... 0.73% 0.81% (0.16)% (0.31)% 0.01% 3.18%+
Ratio of operating
expenses to average net
assets**............... 1.18% 1.15% 1.16% 1.52% 1.43% 0.00%+
Portfolio turnover
rate................... 11% 111% 88% 37% 34% 0%
Average commission rate
(per share of
security)(a)........... $ 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.
55
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
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>
OPERATING PERFORMANCE:
Net asset value,
beginning of year...... $ 16.28 $ 13.48 $ 14.30 $ 12.31 $ 11.37 $10.00
-------- -------- -------- ------- ------- ------
Net investment income#.. 0.27 0.33 0.28 0.23 0.24 0.10
Net realized and
unrealized gain/ (loss)
on investments......... 2.61 2.72 (1.03) 1.84 0.77 1.27
-------- -------- -------- ------- ------- ------
Net increase/ (decrease)
in net assets resulting
from investment
operations............. 2.88 3.05 (0.75) 2.07 1.01 1.37
-------- -------- -------- ------- ------- ------
Distributions:
Dividends from net
investment income...... (0.32) (0.25) (0.07) (0.08) (0.07) --
-------- -------- -------- ------- ------- ------
Net asset value, end of
year................... $ 18.84 $ 16.28 $ 13.48 $ 14.30 $ 12.31 $11.37
======== ======== ======== ======= ======= ======
Total return++.......... 17.82% 22.91% (5.28)% 16.79% 9.01% 13.70%
======== ======== ======== ======= ======= ======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of year
(in 000's)............. $240,210 $198,876 $172,449 $96,657 $14,055 $4,247
Ratio of net investment
income to average net
assets................. 1.59% 2.12% 2.03% 1.71% 2.11% 4.54%+
Ratio of operating
expenses to average net
assets**............... 0.85% 0.84% 0.90% 1.12% 1.18% 0.00%+
Portfolio turnover
rate................... 58% 93% 67% 67% 50% 61%
Average commission rate
(per share of
security)(a)........... $ 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.
56
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
TCW MONEY MARKET PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
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>
OPERATING PERFORMANCE:
Net asset value,
beginning of year...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Net investment income#.. 0.0479 0.0540 0.0337 0.0218 0.0287 0.0377
-------- -------- -------- -------- -------- --------
Distributions:
Dividends from net
investment income...... (0.0479) (0.0540) (0.0336) (0.0218) (0.0287) (0.0377)
Distributions from net
realized gains......... -- -- (0.0001) -- -- --
-------- -------- -------- -------- -------- --------
Total distributions..... (0.0479) (0.0540) (0.0337) (0.0218) (0.0287) (0.0377)
-------- -------- -------- -------- -------- --------
Net asset value, end of
year................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total return++.......... 4.91% 5.54% 3.41% 2.19% 2.90% 3.84%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of year
(in 000's)............. $ 41,545 $ 27,551 $ 20,766 $ 12,836 $ 4,527 $ 1,907
Ratio of net investment
income to average net
assets................. 4.81% 5.37% 3.58% 2.19% 2.84% 5.02%+
Ratio of operating
expenses to average net
assets**............... 0.60% 0.60% 0.85% 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.
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
1. SIGNIFICANT ACCOUNTING POLICIES
Endeavor Series Trust (the "Fund") was organized as a "Massachusetts business
trust" on November 19, 1988 under the laws of the Commonwealth of
Massachusetts. The Fund is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund offers nine
managed investment portfolios: Opportunity Value Portfolio, Value Equity
Portfolio (formerly Quest for Value Equity Portfolio), Dreyfus U.S. Government
Securities Portfolio (formerly U.S. Government Securities Portfolio), Dreyfus
Small Cap Value Portfolio (formerly Value Small Cap Portfolio), T. Rowe Price
Growth Stock Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price
International Stock Portfolio, TCW Managed Asset Allocation Portfolio (formerly
Managed Asset Allocation Portfolio) and TCW Money Market Portfolio (formerly
Money Market 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:
OPPORTUNITY VALUE PORTFOLIO, VALUE EQUITY PORTFOLIO, DREYFUS U.S. GOVERNMENT
SECURITIES PORTFOLIO, DREYFUS SMALL CAP VALUE PORTFOLIO, T. ROWE PRICE GROWTH
STOCK PORTFOLIO, T. ROWE PRICE EQUITY INCOME PORTFOLIO, T. ROWE PRICE
INTERNATIONAL STOCK PORTFOLIO AND TCW MANAGED ASSET ALLOCATION 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.
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
FORWARD FOREIGN CURRENCY CONTRACTS:
The Opportunity Value Portfolio, the Dreyfus U.S. Government Securities
Portfolio, the T. Rowe Price Growth Stock Portfolio, the T. Rowe Price Equity
Income Portfolio and the T. Rowe Price International Stock Portfolio may engage
in forward foreign currency exchange contracts. Each Portfolio engages in
forward foreign currency exchange transactions to protect against changes in
future exchange rates. Forward foreign currency exchange contracts are valued
at the forward rate and are marked-to-market daily. The change in market value
is recorded by each Portfolio as an unrealized gain or loss. When the contract
is closed, each Portfolio records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of a Portfolio's securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, each Portfolio
could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts.
FOREIGN CURRENCY:
The books and records of the Portfolios are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities, and items of income and expense
are translated on the respective dates of such transactions. Unrealized gains
and losses which result from changes in foreign currency exchange rates have
been included in the unrealized appreciation/(depreciation) of investments and
net other assets. Net realized foreign currency gains and losses include the
effect of changes in exchange rates between trade date and settlement date on
investment security transactions, foreign currency transactions and interest
and dividends received. The portion of foreign currency gains and losses
related to fluctuation in exchange rates between the initial purchase trade
date and subsequent sale trade date is included in realized gains and losses on
investment securities sold.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income of the Opportunity Value Portfolio, Value
Equity Portfolio, Dreyfus U.S. Government Securities Portfolio, Dreyfus Small
Cap Value Portfolio, T. Rowe Price Growth Stock Portfolio, T. Rowe Price Equity
Income Portfolio, T. Rowe Price International Stock Portfolio and TCW Managed
Asset Allocation 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.
Permanent differences incurred during the year ended December 31, 1996
resulting from differences in book and tax accounting have been reclassified at
year end to undistributed net investment income, accumulated realized
gain/(loss) and paid-in capital as follows:
<TABLE>
<CAPTION>
INCREASE/(DECREASE) INCREASE/(DECREASE)
DECREASE UNDISTRIBUTED NET ACCUMULATED
PAID-IN CAPITAL INVESTMENT INCOME REALIZED GAIN/LOSS
--------------- ------------------- -------------------
<S> <C> <C> <C>
Opportunity Value
Portfolio.............. $ (560) $ 560 --
Value Equity Portfolio.. -- (65) $ 65
Dreyfus U.S. Government
Securities Portfolio... -- (5,203) 5,203
Dreyfus Small Cap Value
Portfolio.............. (94) 87 7
T. Rowe Price Growth
Stock Portfolio........ (2,339) (58,250) 60,589
T. Rowe Price Equity
Income Portfolio....... (2,339) (6,422) 8,761
T. Rowe Price
International Stock
Portfolio.............. -- 4,329 (4,329)
TCW Managed Asset
Allocation Portfolio... -- 2,841 (2,841)
</TABLE>
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
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: Opportunity Value Portfolio--.80%; Value Equity Portfolio--.80%;
Dreyfus U.S. Government Securities Portfolio--.65%; Dreyfus Small Cap Value
Portfolio--.80%; T. Rowe Price Growth Stock Portfolio--.80%; T. Rowe Price
Equity Income Portfolio--.80%; T. Rowe Price International Stock Portfolio--
.90%; TCW Managed Asset Allocation Portfolio--.75% and TCW Money Market
Portfolio--.50%.
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 the Fund's Administrator, First Data Investor Services Group, Inc.
("FDISG"), a wholly-owned subsidiary of First Data Corporation. FDISG assists
the Investment Manager in the performance of its administrative
responsibilities to the Fund. As compensation for these services, the
Investment Manager pays FDISG a fee computed and payable monthly at an annual
rate of .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.
OpCap Advisors ("OpCap") (formerly known as Quest for Value Advisors), a
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.
The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank,
N.A., which is a wholly-owned subsidiary of Mellon Bank Corporation, as
successor to The Boston Company Asset Management, Inc., serves as the Adviser
to the Dreyfus U.S. Government Securities Portfolio and, as of September 16,
1996, serves as the adviser to the Dreyfus Small Cap Value 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 U.S. Government
Securities Portfolio--.15% and Dreyfus Small Cap Value Portfolio--.375%.
Prior to September 16, 1996, OpCap was the adviser to the Dreyfus Small Cap
Value Portfolio. As compensation for its services as investment adviser, the
Investment Manager paid OpCap a monthly fee at the annual rate of .40% of the
average daily net assets of the Portfolio.
T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to the
T. Rowe Price Growth Stock Portfolio and to the T. Rowe Price Equity Income
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.
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.
60
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
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%.
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: Opportunity Value Portfolio --
1.30%, Value Equity Portfolio -- 1.30%, Dreyfus U.S. Government Securities
Portfolio -- 1.00%, Dreyfus Small Cap Value Portfolio -- 1.30%, T. Rowe Price
Growth Stock Portfolio -- 1.30%, T. Rowe Price Equity Income Portfolio --1.30%,
T. Rowe Price International Stock Portfolio -- 1.53%, TCW Managed Asset
Allocation Portfolio -- 1.25% and TCW Money Market Portfolio -- .99%. For year
ended December 31, 1996, the Investment Manager waived and/or reimbursed
expenses of $2,802 on the Opportunity Value Portfolio.
Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of
Mellon Bank Corporation, serves as the Fund's custodian. FDISG serves as the
Fund's transfer agent.
For year ended December 31, 1996, the Fund incurred total brokerage commissions
of $846,373 of which $71,220 was paid to Oppenheimer & Company, Inc., $4,816
was paid to Jardine Fleming Group Ltd., $706 was paid to Ord Minnett
Securities, Ltd., Australia and $5,591 was paid to Robert Fleming Holdings
Ltd., brokers affiliated with certain of the Fund's Advisers.
No director, officer or employee of the Investment Manager, Endeavor Management
Co., the Advisers or FDISG received any compensation from the Fund for serving
as an officer or Trustee of the Fund. The Fund pays each Trustee who is not a
director, officer or employee of the Investment Manager, Endeavor Management
Co., the Advisers, FDISG or any of their affiliates $2,500 per annum plus $500
per regularly scheduled meeting attended and reimburses them for travel and
out-of-pocket expenses.
3. PURCHASES AND SALES OF SECURITIES
Purchases and proceeds from sales of securities, excluding short-term
investments, for the year ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------------------------- ---------------------------
U. S. GOVERNMENT OTHER U.S. GOVERNMENT OTHER
---------------- ------------ --------------- -----------
<S> <C> <C> <C> <C>
Opportunity Value
Portfolio.............. $ 22,649 $ 219,997 -- --
Value Equity Portfolio.. 163,602 55,593,668 $ 377,259 $21,091,657
Dreyfus U.S. Government
Securities Portfolio... 44,059,010 8,914,497 35,993,126 4,449,819
Dreyfus Small Cap Value
Portfolio.............. -- 129,123,757 -- 96,177,114
T. Rowe Price Growth
Stock Portfolio........ 1,604,025 44,836,625 121,650 16,349,736
T. Rowe Price Equity
Income Portfolio....... 1,847,722 51,384,820 -- 8,030,477
T. Rowe Price
International Stock
Portfolio.............. -- 39,709,347 -- 11,803,007
TCW Managed Asset
Allocation Portfolio... 87,662,383 44,459,948 79,613,290 44,080,479
</TABLE>
At December 31, 1996, aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there was an excess
of tax cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS TAX BASIS
UNREALIZED UNREALIZED NET UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
------------ ------------ --------------
<S> <C> <C> <C>
Opportunity Value Portfolio...... $ 2,414 $ 2,254 $ 160
Value Equity Portfolio........... 27,707,471 1,357,763 26,349,708
Dreyfus U.S. Government
Securities Portfolio............ 219,782 166,059 53,723
Dreyfus Small Cap Value
Portfolio....................... 8,347,239 1,785,650 6,561,589
T. Rowe Price Growth Stock
Portfolio....................... 10,288,624 1,274,685 9,013,939
T. Rowe Price Equity Income
Portfolio....................... 8,385,044 507,265 7,877,779
T. Rowe Price International Stock
Portfolio....................... 26,328,661 5,276,951 21,051,710
TCW Managed Asset Allocation
Portfolio....................... 67,310,348 1,045,949 66,264,399
</TABLE>
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
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 nine series of shares, each series representing one of the Fund's
nine Portfolios. Since the TCW Money Market Portfolio has sold shares, issued
shares as reinvestment of dividends and redeemed shares only at a constant net
asset value of $1.00 per share, the number of shares represented by such sales,
reinvestments and redemptions is the same as the amounts shown below for such
transactions. Changes in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED
12/31/96#
----------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C> <C> <C>
OPPORTUNITY VALUE PORT-
FOLIO:
Sold.................... 73,459 $ 738,698
Redeemed................ (3,746) (37,465)
--------- -----------
Net increase............ 69,713 $ 701,233
========= ===========
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
VALUE EQUITY PORTFOLIO:
Sold.................... 2,765,358 $43,709,370 2,222,471 $28,332,580
Issued as reinvestment
of dividends........... 140,281 2,189,789 38,284 453,284
Redeemed................ (294,404) (4,515,741) (504,238) (6,227,257)
--------- ----------- --------- -----------
Net increase............ 2,611,235 $41,383,418 1,756,517 $22,558,607
========= =========== ========= ===========
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
DREYFUS U.S. GOVERNMENT
SECURITIES PORTFOLIO:
Sold.................... 1,451,562 $16,007,728 1,060,461 $11,485,921
Issued as reinvestment
of dividends........... 53,384 568,005 4,969 51,383
Redeemed................ (419,777) (4,629,118) (301,075) (3,223,862)
--------- ----------- --------- -----------
Net increase............ 1,085,169 $11,946,615 764,355 $ 8,313,442
========= =========== ========= ===========
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
DREYFUS SMALL CAP VALUE
PORTFOLIO:
Sold.................... 1,685,691 $21,819,816 1,595,481 $18,222,669
Issued as reinvestment
of dividends........... 222,513 2,926,056 85,375 927,175
Redeemed................ (373,076) (4,785,031) (653,036) (7,306,626)
--------- ----------- --------- -----------
Net increase............ 1,535,128 $19,960,841 1,027,820 $11,843,218
========= =========== ========= ===========
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95*
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
T. ROWE PRICE GROWTH
STOCK PORTFOLIO:
Sold.................... 2,208,428 $32,571,074 1,804,168 $21,881,004
Issued as reinvestment
of dividends........... 42,717 624,095 -- --
Redeemed................ (161,680) (2,364,802) (226,461) (2,677,753)
--------- ----------- --------- -----------
Net increase............ 2,089,465 $30,830,367 1,577,707 $19,203,251
========= =========== ========= ===========
</TABLE>
62
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95*
----------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
T. ROWE PRICE EQUITY
INCOME PORTFOLIO:
Sold.................... 3,441,208 $ 48,786,661 1,809,529 $ 20,726,649
Issued as reinvestment
of dividends........... 29,619 409,929 -- --
Redeemed................ (96,445) (1,382,285) (130,807) (1,409,949)
--------- ------------ ---------- ------------
Net increase............ 3,374,382 $ 47,814,305 1,678,722 $ 19,316,700
========= ============ ========== ============
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95
----------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
T. ROWE PRICE
INTERNATIONAL STOCK
PORTFOLIO:
Sold.................... 2,422,576 $ 31,650,627 1,370,945 $ 15,673,385
Issued as reinvestment
of dividends........... 59,099 773,603 172,314 1,955,766
Redeemed................ (421,555) (5,506,964) (1,403,454) (15,856,816)
--------- ------------ ---------- ------------
Net increase............ 2,060,120 $ 26,917,266 139,805 $ 1,772,335
========= ============ ========== ============
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95
----------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
TCW MANAGED ASSET
ALLOCATION PORTFOLIO:
Sold.................... 1,280,847 $ 22,326,834 1,296,208 $ 19,290,512
Issued as reinvestment
of dividends........... 223,337 3,944,143 217,458 3,105,304
Redeemed................ (975,851) (17,010,866) (2,086,757) (30,343,943)
--------- ------------ ---------- ------------
Net
increase/(decrease).... 528,333 $ 9,260,111 (573,091) $ (7,948,127)
========= ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/96 12/31/95
------------ ------------
SHARES SHARES
AND AND
AMOUNT AMOUNT
------------ ------------
<S> <C> <C>
TCW MONEY MARKET PORTFOLIO:
Sold.......................................... $ 44,833,447 $ 30,419,863
Issued as reinvestment of dividends........... 1,589,374 1,263,109
Redeemed...................................... (32,427,953) (24,895,941)
------------ ------------
Net increase.................................. $ 13,994,868 $ 6,787,031
============ ============
</TABLE>
------------
# The Opportunity Value Portfolio commenced operations on November 18,
1996.
* The T. Rowe Price Growth Stock Portfolio and the T. Rowe Price Equity
Income Portfolio commenced operations on January 3, 1995.
5. ORGANIZATION COSTS
Organization costs are amortized on a straight-line basis over a period of five
years from the commencement of operations of each Portfolio. In the event that
any of the initial shares (Opportunity Value Portfolio -- 10 shares, Value
Equity Portfolio -- 10 shares, Dreyfus U.S. Government Securities Portfolio --
10 shares, Dreyfus Small Cap Value Portfolio -- 10 shares, T. Rowe Price
Growth Stock Portfolio -- 10 shares, T. Rowe Price Equity Income Portfolio --
10 shares, T. Rowe Price International Stock Portfolio -- 10,000 shares, TCW
Managed Asset Allocation Portfolio -- 10,000 shares and TCW Money Market
Portfolio -- 100,000 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
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
bears the expense of registering and qualifying the shares of the various
Portfolios for distribution under Federal and state securities regulations. As
of December 31, 1996, 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 Opportunity Value
Portfolio, Dreyfus Small Cap Value Portfolio, T. Rowe Price Growth Stock
Portfolio, T. Rowe Price Equity Income Portfolio and T. Rowe Price
International 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>
64
<PAGE>
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
To the Board of Trustees and Shareholders Endeavor Series Trust
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Endeavor Series Trust (the "Fund",
comprising, respectively Opportunity Value, Value Equity (formerly Quest for
Value Equity), Dreyfus U.S. Government Securities (formerly U.S. Government
Securities), Dreyfus Small Cap Value (formerly Quest for Value Small Cap), T.
Rowe Price Growth Stock, T. Rowe Price Equity Income, T. Rowe Price
International Stock, TCW Managed Asset Allocation (formerly Managed Asset
Allocation) and TCW Money Market (formerly Money Market) Portfolios) as of
December 31, 1996, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the periods
indicated therein. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1996, by correspondence with the custodian
and brokers or by other appropriate auditing procedures where replies from
brokers were not received. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Portfolios constituting Endeavor Series Trust at December 31,
1996, the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended and the
financial highlights for each of the periods indicated therein, in conformity
with generally accepted accounting principles.
/s/ Ernst & Young LLP
Boston, Massachusetts
February 10, 1997
65
<PAGE>
TAX INFORMATION (UNAUDITED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1996
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1996, were as follows:
<TABLE>
<S> <C>
Value Equity Portfolio................................................ $864,452
Dreyfus Small Cap Value Portfolio..................................... 769,905
T. Rowe Price International Stock Portfolio........................... 99
</TABLE>
MEETING OF SHAREHOLDERS (UNAUDITED)
A special meeting of shareholders of the Value Small Cap Portfolio (currently
known as Dreyfus Small Cap Value Portfolio) was held on October 29, 1996 at
which time shareholders approved (i) a new investment advisory agreement
between the Investment Manager and Dreyfus; (ii) a change to the Portfolio's
objective; and (iii) an amendment to the Portfolio's investment restriction
regarding illiquid investments and a change of this restriction to non-
fundamental. By a vote of 5,037,917 shares in favor, representing 92% of shares
voting at the meeting, shareholders approved the new investment advisory
agreement between the Investment Manager and Dreyfus. By a vote of 4,873,893
shares in favor, representing 89% of shares voting at the meeting, shareholders
approved the Portfolio's investment objective and by a vote of 4,709,870 shares
in favor, representing 86% of shares voting at the meeting, shareholders
approved an amendment to the Portfolio's investment restriction regarding
illiquid securities and to change said restriction to non-fundamental.
66
