<PAGE>
SHAREHOLDER LETTER
Dear Shareholders:
I am pleased to present you with performance and market activity information
on the portfolios of the Endeavor Series Trust for the period ended December
31, 1997. The domestic markets finished strong. In fact, in 1997 five of the
six domestic portfolios (with inceptions prior to 1996) outperformed their
1996 performances. The one that fell short was the Dreyfus Small Cap Value
Portfolio, finishing 1997 up 25.56%, less than .1% shy of its 1996 25.63%
performance, completing its second straight year over 25% -- thank you Dreyfus
(see page 2 for more details).
We have also been pleased with the introduction of both the Opportunity Value
Portfolio (page 9) and the Enhanced Index Portfolio (page 7).
People in Southeast Asia will long remember 1997 as a clear-cut turning point
for both the economic and cultural environment in their region. The
deteoriation of the currencies in Indonesia and Thailand gathered momentum as
the year closed. For more information on the international scene and the
dollar's effect on overseas investments see page 20.
As the dollar strengthened domestic bond yields began to fall. Leading the way
was the 30-year Treasury, which closed the year yielding less than 6%. See
page 5 for more details on the 1997 bond market.
I would like to thank all of you for your continued support of the Endeavor
Investment Series and invite any comments. We are looking forward to 1998 and
anticipate adding some new investment opportunities for all of you.
Sincerely,
/s/ Vincent J. (VJ) McGuinness, Jr.
Vincent J. (VJ) McGuinness, Jr.
President
Endeavor Series Trust
February 27, 1998
1
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
1997 brought to a close the third consecutive year of remarkable returns for
the major U.S. equity indices. As in 1995 and 1996, the market was led by
large cap stocks. While the Standard & Poor's Composite Index of 500 Stocks
rose 33.4% for the year, the Russell 2000 Small Stock Index (the "Russell 2000
Index") gained 22.4%. 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.
In this environment, the Dreyfus Small Cap Value Portfolio (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. Our strategy is to find stocks that are cheap in
spite of the market's strong gains. 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 managements of
out-of-favor companies and industries in order to identify positive turns 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 bottom-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 typically carry over 100 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 166 holdings at year-end. The median
market capitalization is $611 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
2.0 times, which compares favorably to the 2.6 times level for the Russell
2000 Index. The Portfolio's price/earnings ratio of 13.8 times 1998 estimates
also demonstrates attractive value when contrasted to 16.9 times 1998 earnings
per share for the Russell 2000 Index. The Portfolio yield of 0.7% is below the
market's, at 1.3%, as our focus is on capital appreciation more so than yield.
The Portfolio's largest sector weightings are technology, consumer services
and finance. We have substantially raised our weighting in technology
following the severe decline experienced by the sector due to concerns about
Asia. While it is true that many technology companies have a higher
concentration of sales in Asia than most other companies, the declines in the
prices of many high quality, high growth enterprises have been too severe in
our opinion. Many technology issues are trading at levels close to their all-
time lows on many valuation measures. While there are some short-term business
risks for many of these companies, particularly if Asia continues to
deteriorate, the upside potential of the stocks is quite considerable once all
the bad news out of Asia has been fully discounted in the stock prices. It is
our contention that we are getting closer to that point.
We also continue to find many attractively valued stocks within the consumer
services and consumer non-durables sectors. There are numerous examples of
stocks that used to trade at very rich earnings multiples that have been
severely penalized by the market because of short-term challenges or a modest
deceleration of growth. Yet, many of these companies are high quality,
consistent long-term growers. We have taken advantage of market overreactions
to add stocks such as Gymboree and Tommy Hilfiger to the Portfolio.
Financial stocks have benefited from a very favorable interest rate
environment and a consolidation trend in the banking sector. We continue to
find great earnings prospects in those financial companies with economic
exposure to an upturn in the California economy. The Portfolio contains
savings and loan institutions which are seeing an improvement in asset quality
and loan demand. Even so, valuation levels for many financial companies are
extremely high when compared to historical valuation metrics. For that reason,
we have modestly reduced our exposure to this group as valuation multiples
expand.
Utilities were among the best performing stocks at the end of 1997. This was
driven by falling interest rates and, more importantly, investors seeking safe
havens from the risks of earnings disappointments due to the Asian crisis.
While such defensive tendencies can
2
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
continue to drive utilities higher, we don't own stocks in the group because
growth prospects are anemic and business momentum is neutral.
With a long held belief in a turnaround in the trucking/transport sector, we
are steadfast in our ownership of various truckload and less-than-truckload
carriers. This sector, as it turns out, continues to have some of the best
earnings dynamics of any at this current time.
Energy stock valuations have become very compelling after significantly
trailing the market in 1997. Most exploration and production (E&P) companies
trade at the low end of historical valuation ranges. For the most part, this
is due to falling energy prices. We do not try to forecast energy prices.
While energy prices fluctuate, we are comforted by the very low valuations and
strong production growth characteristics of the E&P companies recently added
to the Portfolio.
Respectfully submitted,
Peter I. Higgins
Portfolio Manager
3
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN DREYFUS SMALL CAP VALUE
PORTFOLIO
VS.
RUSSELL 2000 INDEX+
MAY 4, 1993 THROUGH DECEMBER 31, 1997
LOGO
4
<PAGE>
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
BOND MARKET PERFORMANCE FOR 1997
The U.S. bond market posted a strong year in 1997. The market actually traded
off in the first quarter on the fear that the Federal Reserve Bank would raise
interest rates. However, throughout the next nine months interest rates fell
propelling the bond market to an excellent year. The 30 year Treasury yield
fell 71 basis points during the year to end 1997 at 5.92%. In fact, interest
rates across the yield curve ended in the 5.5% area which is highly unusual
given that the Fed Funds rate ended the year at 5.5%. The Lehman Brothers
Aggregate Bond Index total return for the year was 9.65%. The year can really
be broken into two halves: the first was marked by modest appreciation in
prices while prices surged higher in the second half as short term interest
rates fell 17-50 basis points while longer-term yields fell 85 basis points.
The yield curve flattened significantly during this period, with the
difference between 2- and 30-year rates narrowing from 72 basis points to 28
basis points.
The decline in interest rates was driven by a combination of stable economic
growth, moderate inflation numbers and the unfolding Asian financial crisis.
Although low rates of unemployment have caused fears of future wage pressures,
all indications during the second half of 1997 pointed to a benign price
environment. Longer term interest rates were driven lower by investors seeking
safety from the Asian capital markets.
Mortgage-backed securities had an excellent first nine months but also
underperformed Treasury bonds in the fourth quarter of 1997. This sector was
undermined by increased prepayment fears resulting from the decline in
interest rates. In addition, heavy issuance of new securities resulted in
further price pressure. Despite the difficulties during the last quarter,
residential mortgages still provided the highest risk-adjusted returns of all
the major fixed income sectors during 1997.
FUND PERFORMANCE FOR 1997
For 1997, Dreyfus U.S. Government Securities Portfolio returned.
<TABLE>
<CAPTION>
4TH QUARTER ONE YEAR
----------- --------
<S> <C> <C>
Total Portfolio (Net of Fees).......................... 2.95% 9.15%
Lehman Brothers Aggregate Bond Index................... 2.94% 9.65%
</TABLE>
FUND OUTLOOK FOR 1998
Looking forward to 1998, we must evaluate the effect of the Asian crisis on
the domestic economy. Any slowing of activity resulting from the situation is
likely to start showing itself during the early stages of the new year. This
is certain to be a major focus of both investors and the Federal Reserve
alike.
Respectfully submitted,
Andrew Windmueller
Vice President, Senior
Portfolio Manager
5
<PAGE>
DREYFUS U.S GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN DREYFUS U.S. GOVERNMENT
SECURITIES PORTFOLIO
VS.
LEHMAN AGGREGATE BOND INDEX+
MAY 13, 1994 THROUGH DECEMBER 31, 1997
LOGO
6
<PAGE>
ENHANCED INDEX PORTFOLIO
The Enhanced Index Portfolio seeks to earn a total return modestly in excess
of the Standard & Poor's Composite Index of 500 Stocks (S&P 500) while
maintaining a return volatility similar to the S&P 500. The Enhanced Index
Portfolio is designed to provide investors with the benefits of both index and
actively managed funds with the potential for consistently higher-than-index
returns, and index-like risk. It is a core U.S. equity portfolio which only
holds 250-350 stocks, avoiding the most overvalued stocks, while maintaining
characteristics that closely parallel those of the S&P 500.
The S&P 500 rose a 2.87% in the fourth quarter, masking the sudden and violent
increase in volatility that was the hallmark of the quarter. The Asian
financial crisis stunned the U.S. equity market in October, with aftershocks
reverberating throughout the remainder of the period. The trend towards a
broadening market we saw in the third quarter was abandoned as investors
sought safety in the largest cap, most liquid stocks in the midst of emerging
market turmoil.
The Portfolio underperformed its benchmark in the fourth quarter as the market
returned to the large cap domination. Because of our sector- and style-neutral
portfolio construction, the weakness can be attributed entirely to stock
selection, particularly in the telephone and retail sectors. For the period
the strategy outperformed the S&P 500, led by strong stock selection in the
drug sector. The Portfolio returned 22.90% since its inception versus the S&P
500 return of 22.56% for the same time period.
While the strategy constrains each stock's relative weight in the portfolio
limiting the impact of each decision, a couple of stocks are worth noting. In
the telephone sector, an overweight position in Worldcom and an underweight
position in AT&T hurt performance. Worldcom's penchant for acquisitions
continued with its biggest deal yet, a $30 billion stock bid for MCI. Worldcom
shares suffered from the second round of bidding for MCI, although
strategically this company is the best positioned and has the best managerial
track record for achieving merger synergies. We believe they will be the best
performing telephone stock in 1998 as they capture proportionately more
revenue in internet, local, and long distance. AT&T, a laggard in the first
half of 1997, has rallied on the cost-cutting reputation of its new CEO
Michael Armstrong and the prospects of a merger as industry consolidation
continues. Indeed, in the first week of January a deal was reached with
Teleport representing a bid to penetrate the local phone markets.
In the retail sector, overweight positions in Sears and Toys R' Us contributed
to the performance shortfall. Sears fell sharply in October when they warned
that fourth quarter results may disappoint as more customers fall behind on
credit card payments. Sears scaled back their efforts to collect from
delinquent card holders. Weakness in Toys R' Us stemmed from overblown rumors
of a poor Christmas shopping season. However, strong sales in the final week
of the year helped them meet expectations.
For the period, stock selection in the drug sector was outstanding. The single
most successful decision was to underweight Merck & Co. (+35%), which lagged
the sector return of 54%. That allowed us to overweight Schering Plough (+95%)
and Warner Lambert (+68%). Schering had been a neglected stock with solid
management and an enormously successful allergy drug, Claritin. Warner had two
of the most successful drug launches ever this year with Lipitor (a
cholesterol drug) and Rezulin (a diabetes drug), far exceeding analysts' sales
estimates. The stock gave back some of its gains in December due to side
effects related to Rezulin, but remains attractive.
Respectfully submitted,
James Weiss
Timothy J. Devlin
Portfolio Managers
7
<PAGE>
ENHANCED INDEX PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN ENHANCED INDEX PORTFOLIO
VS.
S & P 500 STOCK INDEX+
MAY 2, 1997 THROUGH DECEMBER 31, 1997
LOGO
8
<PAGE>
OPPORTUNITY VALUE PORTFOLIO
The past year was a disappointing one for the Opportunity Value Portfolio. The
Portfolio's performance was sixty-third among the 84 flexible portfolio funds
monitored by Lipper. For the year, the Portfolio trailed the return of 33.4%
with dividends reinvested for the Standard & Poor's Composite Index of 500
Stocks (S&P 500). The S&P 500 is an unmanaged index of 500 of the largest
corporations weighted by market capitalization, and its strong 1997 gain was
driven primarily by a limited number of large-capitalization stocks.
The Portfolio invests in stocks, bonds and cash equivalents, with a bias
toward stocks, which have outperformed other classes of investments for nearly
every five-year period since the Depression. We are long-term investors in
superior businesses that can increase the value of shareholders' capital
through all market conditions. The objectives of our strategy are: a) preserve
capital, don't lose it; and b) generate excellent returns for the Portfolio's
shareholders.
At the end of 1997, the Portfolio's net assets were allocated 70% to common
stocks and 30% to cash and cash equivalents. The conservative asset allocation
implemented at a time when stocks were trading at historically high valuations
hurt the Portfolio's performance as valuations remained high for most of the
year. This cash position however provides a resource to purchase quality
stocks opportunistically when they become available at prices we like. We
believe the Portfolio's large cash position should also serve shareholders
well in the weeks ahead if the Asian financial crisis continues to buffet the
stock market.
Some of the stocks owned by the Portfolio delivered very high returns in 1997.
Many were in the financial services and insurance sectors, which in general
performed well. They included, among others, Federal Home Loan Mortgage Corp.
(Freddie Mac), a home mortgage insurance company, and ACE, Ltd., a Bermuda-
based provider of excess directors and officers liability insurance. Freddie
Mac's stock was up 52% in the year, while ACE stock rose more than 60%.
A few other holdings were disappointing. The market price of McDonald's Corp.,
the fast-food chain, increased only about 5% in 1997, and the market price of
Boeing Co., the aircraft manufacturer, declined. Boeing's stock suffered when
it became apparent the company was experiencing production problems. We expect
these problems to last through mid-1998, after which cash flow should
accelerate.
The recent volatility of the U.S. dollar and other currencies, coupled with
the Asian financial crisis, have caused some investors to be concerned about
the outlook for large U.S. multinational companies. As a result, some of these
companies' stocks fared worse in 1997 than more purely domestic companies.
Such companies owned by the Portfolio include McDonald's Corp. and Citicorp.
While one cannot take lightly the impact of the current economic difficulties
in Asia, we believe each of the multinational businesses owned by the
Portfolio will benefit substantially longer term, even if experiencing some
short-term earnings weakness.
During the year, we established new positions in, among others, the common
stocks of Diageo Plc, Lockheed Martin Corp., Monsanto Co. and Time Warner,
Inc.
We also established a new position in Dow Chemical Co., a leading producer of
chemicals and plastics. Dow is in the process of divesting its underperforming
businesses to concentrate on those businesses with the highest returns and
strongest prospects. This contrasts with a strategy throughout most of the
1980s of seeking to increase revenues and grow the company's so-called
specialty businesses without regard to return on capital. In addition to its
new strategy of focusing on its strengths, Dow is increasing shareholder value
by repurchasing shares.
We sold the Portfolio's holdings of AFLAC, Inc., Donnelley (R.R.) & Sons Co.,
Freeport McMoRan Copper & Gold, Hercules, Inc. and Tele-Communications, Inc.
The Portfolio's ten largest equity positions at December 31, 1997 were Time
Warner, Inc., a diversified entertainment company, representing 4.2% of net
assets; Wells Fargo & Co., a leading bank in the Western United States, 4.1%
of net assets; E.I. du Pont de Nemours & Company, a major industrial company
operating in chemicals, fibers, polymers, petroleum and diversified
businesses, 3.8% of net assets; McDonald's Corp., a premier fast-food company
with growing global markets, 3.7% of net assets; Lockheed Martin Corp., a
major aerospace and defense contractor, 3.7% of net assets; Citicorp, a
leading bank and financial services company, 3.3% of net assets; Monsanto Co.,
a large agricultural-chemical and drug producer, 3.3% of net assets;
Caterpillar, Inc., which manufactures earth-moving equipment and diesel
engines, 3.3% of net assets; Diageo Plc., a premier global consumer products
company, 3.3% of net assets; and Federal Home Loan Mortgage Corp. (Freddie
Mac), the second largest insurer of home mortgages in the United States, 3.1%
of net assets.
Major industry positions were in the diversified chemical sector, 11.9% of the
Portfolio's net assets; banking, 11.5% of net assets; aerospace and defense,
6.2% of net assets; electronics, 5.4% of net assets; financial services, 4.6%
of net assets; entertainment, 4.2% of net assets; restaurants, 3.7% of net
assets; telecommunications, 3.7% of net assets; manufacturing and engineering,
3.3% of net assets; and food and beverages, 3.3% of net assets.
Respectfully submitted,
Richard Glasebrook
Portfolio Manager
9
<PAGE>
OPPORTUNITY VALUE PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN OPPORTUNITY VALUE PORTFOLIO
VS.
S & P 500 STOCK INDEX+
NOVEMBER 18, 1996 THROUGH DECEMBER 31, 1997
LOGO
10
<PAGE>
VALUE EQUITY PORTFOLIO
In 1997 the Value Equity Portfolio delivered strong performance relative to
its peers in Lipper's Variable Insurance Products Performance Service Report
capital appreciation category. The Portfolio's total return of 24.8% compared
with an average total return of 21.5% for the funds in this Lipper universe.
The Portfolio's performance was 19th among the 44 funds in the Lipper capital
appreciation category.
Like most diversified funds, the Portfolio trailed the 33.4% return of the
Standard & Poor's Composite Index to 500 Stocks with dividends reinvested (S&P
500). The S&P 500 is an unmanaged index of 500 of the largest corporations
weighted by market capitalization, and its strong 1997 gain was driven
primarily by a limited number of large-capitalization stocks.
While we were disappointed to lag the S&P 500, we believe our performance
relative to the index was satisfactory given our above-average cash position
and the risk-averse nature of our investment philosophy. We do not necessarily
expect to keep pace with the S&P 500 in periods of rapidly increasing stock
prices. Our philosophy is more attuned to the idea of achieving consistent
results in rising markets and avoiding large losses in declining markets. In
this way, we seek to deliver superior returns over time, with less risk than
the S&P 500.
The Portfolio has also delivered a favorable performance over longer periods.
For the three years ended December 31, 1997, its average annual total return
of 27.6% compared with an average annual total return of 23.9% for the funds
in the Lipper capital appreciation category and an average annual total return
of 31.2% for the S&P 500. The Portfolio's three-year performance was eighth
among the 34 funds in this Lipper category. Since its inception on May 27,
1993, the Portfolio has generated an average annual total return of 19.0%,
compared with 21.1% for the S&P 500.
We have achieved these results by being disciplined in our philosophy of
investing in superior companies which have strong competitive positions,
generate high cash flow and effectively deploy that cash to benefit
shareholders. Unlike more aggressive investors, we will not overpay for a
stock, no matter how much we like the company. Paying too much simply makes it
harder to achieve an investment profit.
As the stock market rose in 1997, we maintained an above-average cash position
because it became somewhat difficult to find superior companies that were
underpriced. As of December 31, 1997, the Portfolio's net assets were
allocated 82% to common stocks and 18% to cash and cash equivalents. This cash
position provides a resource to purchase quality stocks opportunistically when
they become available at prices we like. We believe the Portfolio's large cash
position should serve shareholders well in the weeks ahead if the Asian
financial crisis continues to buffet the stock market.
During the year, we established new positions in the common stocks of AVNET,
Inc., BankBoston Corp., Dover Corp., Omnicom Group, Polaroid Corp., Sabre
Group Holdings, Inc. and Textron, Inc.
Diageo, a premier global consumer products company, was formed through the
recent merger of two consumer products giants--Grand Metropolitan and
Guinness. We already owned Grand Metropolitan stock and received Diageo shares
in the merger. We then bought additional Diageo shares. The company's well-
known brands include Burger King, Pillsbury, Guinness and Dom Perignon, among
many others.
During the year, we sold a number of the Portfolio's holdings including
Columbia/HCA Healthcare, Gateway 2000, Inc., Freeport McMoRan Copper & Gold
and Tele-Communications, Inc.
The Portfolio's ten largest equity positions at December 31, 1997 were ACE,
Ltd., a Bermuda-based provider of excess directors and officers liability
insurance, representing 4.9% of the Portfolio's net assets; EXEL Ltd., a
strongly capitalized specialty insurance company headquartered in Bermuda,
4.6% of net assets; Lockheed Martin Corp., a major aerospace and defense
contractor, 4.0% of net assets; Caterpillar, Inc., which manufactures earth-
moving equipment and diesel engines, 3.7% of net assets; Wells Fargo & Co., a
leading bank in the Western United States, 3.5% of net assets; General Re
Corp., a leading insurance company, 3.0% of net assets; Federal Home Loan
Mortgage Corp. (Freddie Mac), the second largest insurer of home mortgages in
the United States, 2.9% of net assets; Tenet Healthcare Corp., a nationwide
provider of healthcare services through a network of acute-care hospitals and
related businesses, 2.8% of net assets; May Department Stores Co., a leading
retailing company, 2.5% of net assets; and Countrywide Credit Industries,
Inc., a leading mortgage originator and servicer, 2.4% of net assets.
Major industry positions at the end of December were in the insurance sector,
21.2% of the Portfolio's net assets; banking, 7.1% of net assets; financial
services, 6.6% of net assets; aerospace and defense, 4.7% of net asset;
manufacturing and engineering, 3.7% of net assets; electronics, 3.4% of net
assets; entertainment and leisure, 3.5% of net assets; restaurants, 3.3% of
net assets; transportation, 3.0% of net assets, and diversified chemicals,
2.8% of net assets.
Respectfully submitted,
Eileen Rominger
Portfolio Manager
11
<PAGE>
VALUE EQUITY PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN VALUE EQUITY PORTFOLIO
VS.
S & P 500 STOCK INDEX+
MAY 27, 1993 THROUGH DECEMBER 31, 1997
LOGO
12
<PAGE>
TCW MANAGED ASSET ALLOCATION PORTFOLIO
The TCW Managed Asset Allocation Portfolio (the "Portfolio") achieved a total
return of 20.14% for the year ended December 31, 1997. The Standard & Poor's
Composite Index of 500 Stocks ("S&P 500 Index"), an all equity index, gained
33.4% for the year, including reinvested dividends, while the Lehman
Government/Corporate Bond Index was up 9.8%. For the fourth quarter, the
Portfolio achieved a total return of 1.3%. Fourth quarter returns for the S&P
500 Stock Index and the Lehman Government/Corporate Bond Index were 2.9% and
3.2%, respectively.
Relative to the S&P, our shifts toward defensive, domestic-oriented earning
power made during the fourth quarter have worked out quite well, but looking
forward into 1998 our portfolio still has a projected weighted profit increase
of about 20%, which compares rather favorably to the S&P 500, for which Wall
Street consensus forecasts range from -5% to 8%. Conversely, the Portfolio is
valued at about 20 times projected earnings, compared with a valuation of more
than 20 times for the bogey. Therefore, even if we suffer a few unfavorable
surprises, this portfolio, which is off to a good start so far in 1998, should
outperform for the full year.
We believe 1998 will mark the end of the three year run, during which the S&P
500 Index has outperformed most managers, although a flood of cash flow into
index funds in the early part of the year probably will sustain the
performance of passive managers for a few more months.
After a shaky start 1997 ended up as a strong year for US fixed income market
returns. Concerns over the inflationary consequences of high capacity
utilization and tight labor markets waned by summer as reported data simply
did not show an emergence of upward price pressures from these conditions.
Negative bond considerations were all but forgotten and began to seem almost
laughably misguided during the fourth quarter once the multi-year booms of
various Asian emerging markets ended in over capacity collapse. The focus of
investors shifted substantially and quickly toward the prospects for imported
deflation rather than domestic economy inflation. Yields turned decisively
lower, therefore, in the second half of the year, and the 1997 calendar in
total generated a yield decline of 72 basis points for the bellwether long
bond.
The simple, yet painful, lesson of the final quarter of 1997 is that world
capital markets are indeed interdependent. While in retrospect this might seem
obvious, it is clear from the magnitude of recent declines in numerous markets
around the globe that the strength of this linkage was underestimated.
Reverberations from the Asian meltdown will be felt for some time with the
precise near and intermediate term impact on the U.S. economy the subject of
much speculation. It is clear, however, that the recent global turmoil is
likely to result in slower GDP growth in 1998. This subdued growth, together
with inflation which remains at its lowest levels in a generation, suggests
that interest rates are likely to remain in their current range and quite
possibly drift lower in the coming months.
Once again, we thank you for your confidence and trust, and we extend our very
best wishes for a healthy and prosperous New Year.
Respectfully submitted,
James A. Tilton
Portfolio Manager
13
<PAGE>
TCW MANAGED ASSET ALLOCATION PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
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, 1997
LOGO
14
<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 1997
The Federal Reserve Board Open Market Committee ("FOMC") raised the Federal
Funds rate to 5.50% from 5.25% at their March meeting. This policy change
acknowledged their concern that the economy may be growing faster than the
current level of available resources can sustain causing pricing pressures and
consequently the interest rate on the one-year Treasury bill, rose from 5.50%
on December 31, 1996 to 6.02% at the end of the first quarter. To counteract
the impact on the Portfolio given the rise in interest rates the average
maturity target was reduced to 40 days. Market sentiment began to change,
however, during the second quarter. Although the Federal Reserve did not
change short-term interest rates, investors perceived signs of economic
weakness were outweighing indicators of economic strength and the inflation
outlook remained favorable. Investors started to believe that the Fed's
tightening bias was unnecessary and we extended the average maturity target
back to 45 days in early April. During the third quarter, we extended the
average maturity target further to 55 days in response to the Humphrey Hawkins
testimony given by Fed Chairman Alan Greenspan to Congress suggesting that no
further tightening was necessary and that the inflation threat was minimal.
Finally, as the unchanged Fed policy continued, we extended the average
maturity target to 60 days prior to the September FOMC meeting given our
expectation that short-term interest rates would not increase owing to the
developing Asian financial crisis. In December, the FOMC dropped its
tightening bias and the interest rate on the one-year Treasury bill finished
the year at 5.49%. Our strategy resulted in an annual return of 5.07%, net of
fees and expenses, versus the Lipper Money Market Fund Index return of 4.71%.
OUTLOOK FOR 1998
It appears that Chairman Greenspan and the entire FOMC initially
underestimated the significance of the Asian financial crisis and its impact
on emerging markets worldwide. What began as a devaluation in Thailand, a
country accounting for less than 0.5% of world output, spread throughout Asia
with ripple effects into Brazil and Russia. By the end of the fourth quarter
there was a rush by the International Monetary Fund, the United States
Treasury and leading central and private banks to provide emergency loans to
South Korea, the world's eleventh largest economy, to prevent a sovereign
default. Along the way the Japanese economy, comprising 20% of world output,
faltered producing a financial crisis contributing to the failures of a large
bank and a major brokerage firm. Our 1998 forecast calls for domestic real GDP
growth to slow from 3.8% in 1997 to 2.9% in 1998 owing to a combination of the
aging business cycle and the continuing effects of the Asian financial crisis.
Inflation, as measured by the Consumer Price Index, should decline to 2.3%.
There should continue to be an emphasis on quality that maintains downward
pressure on interest rates for intermediate and long-term Treasury notes and
bonds. Finally, at some point in 1998 the Fed could reduce short-term rates.
The 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
compromised in the process. The Portfolio continues to invest in a combination
of commercial paper, short-term corporate debt and U.S. Government agency
securities. The investment philosophy remains with an emphasis on preservation
of capital, diversification and liquidity while earning a competitive yield.
We are pleased with the Portfolio's results and look forward to an equally
successful 1998.
Respectfully submitted,
James M. Goldberg
Portfolio Manager
15
<PAGE>
T. ROWE PRICE EQUITY INCOME PORTFOLIO
The equity market performed well in 1997 as good corporate earnings results,
continued low inflation, and a supportive interest rate environment provided
ample ammunition to fuel the advance. The performance of stocks in the second
half was particularly impressive in light of the market's October jitters and
concern over the volatility of the Asian markets.
Equity returns were notably impressive, coming on the heels of considerable
market strength in 1995 and 1996. The 1995-1997 period, in fact, is the first
time in modern history that stock market returns have exceeded 20% in three
consecutive years as referenced by the return of the S&P 500.
The past year was characterized by tremendous stock market volatility.
Equities struggled in the first quarter, particularly in the small-
capitalization sector. Then prices rebounded sharply in the second and third
quarters. The fourth quarter returned to a pattern of mixed results as
weakness in October, culminating with the decline of 554 points for the Dow
Jones Industrial Average on October 27, was more than offset by steady gains
in November and December.
PORTFOLIO STRATEGY
In this volatile environment, we tried to tune out as much short-term noise as
possible by doing what we have always done: identify reasonably valued
investment opportunities with attractive yields and price-to-earnings ratios,
good upside potential, and limited downside risk.
Electric utility and telephone company sectors have performed well recently
after a long period of underperformance, as investors have sought the relative
safety of equities with higher dividend yields. Strong price appreciation in
stocks such as Bell Atlantic, BellSouth, BGE, and Unicom helped the
Portfolio's return in recent months.
SUMMARY AND OUTLOOK
The equity market has provided investors with three unprecedented years of
prosperity, and the investment environment has been exceptionally conducive to
good returns. As prices have advanced, the market's valuation appeal and
likely near-term upside potential have diminished.
We are mindful of how virtually impossible it is to make market predictions,
and we never try to manage your fund based on someone else's market forecasts.
However, we do question how long the "delinkage" between the underlying rate
of corporate earnings and dividend growth and the more rapid advance of
security prices can continue.
The volatility we experienced over the closing weeks of 1997, due in part to
the turmoil in Asia, is a reminder that investing entails risks that sometimes
get in the way of positive returns. While our emphasis is solely on uncovering
interesting investment values, we believe it is prudent to have more modest
expectations for equity market performance in the year ahead.
The views expressed are those of the portfolio managers for the period ended
December 31, 1997, and are subject to change based on market and other
conditions. Information about a fund's portfolio, asset allocation, or country
diversification is historical, and is no indication of future portfolio
composition, which will vary. Past performance is no guarantee of future
results.
Respectfully submitted,
Brian C. Rogers
Portfolio Manager
16
<PAGE>
T. ROWE PRICE EQUITY INCOME PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
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, 1997
LOGO
17
<PAGE>
T. ROWE PRICE GROWTH STOCK PORTFOLIO
MARKET ENVIRONMENT
For most of 1997, the story has been a continuation of the last several years:
strong domestic economic growth, mixed international growth resulting in good
earnings' growth, and mild inflation. Companies continued to focus on
improving margins and on driving down costs, both of which are very positive
for profit growth and stock performance. The Federal Reserve continued to play
the right cards as the economy continued not "too hot" and not "too cold."
Over the fourth quarter, this perfect backdrop began to show some holes as
trade, currency, and economic problems in the Far East unfolded. The expected
shortfall of worldwide economic growth and the subsequent slower earnings'
growth of many U.S. companies was largely offset by a decline in interest
rates and a "flight to the safety" of the domestic market.
While the U.S. market remained relatively stable, its components experienced
substantial differences in returns. Technology and cyclical issues performed
poorly, while stable, less cyclical companies did well in the final months of
1997.
INVESTMENT REVIEW
Our relatively large investments in Freddie Mac and Fannie Mae contributed
significantly to returns. Although we trimmed some shares of Freddie Mac as
prices rose, we still maintain large holdings in both companies. Other large
holdings such as GE, Berkshire Hathaway, Danaher, Norwest, Pfizer, and Tyco
International also performed exceedingly well. Our investments in Bermuda-
based reinsurers--ACE Limited and PartnerRe Holdings--were very rewarding, as
were some other international holdings, including Vodafone and Novartis.
Stocks of companies affected by the problems in Asia detracted from
performance. While we cut back this exposure early in 1997, what remained
performed poorly. Both Hutchison Whampoa and Swire Pacific were down
significantly from early-year levels. In addition, several technology
holdings, such as 3Com, Oracle, Corning, and Motorola, were affected by
declines in Far East demand.
The biggest disappointment was First Data. While problems there will take time
to be resolved, we remain holders of the stock due to the company's strong
position in good growth markets.
PORTFOLIO MANAGEMENT
We continue to look for the same criteria in our investments as we have in the
past. We search for companies with leadership in growth markets, strong
managements, strong cash flow, and solid returns on cash flow. We attempt to
find all or most of these characteristics at reasonable valuations, but this
proved difficult as the strong market continued in 1997.
Nevertheless, opportunities did present themselves, and we initiated several
new positions in the last six months. These included leading companies in
growth markets, including Cendant (which resulted from the merger between CUC
International and HFS), Bristol-Myers Squibb, Network Associates, and EMC, all
of which are gaining market share in growth markets and generating solid free
cash flow.
We bought shares of good generators and users of cash flow, including Tenet
Healthcare, a consolidator in the hospital industry; Safeway, in our view the
best-managed supermarket company; and AT&T, which should begin to generate
solid cash flow as effective new management takes control.
OUTLOOK
While investors have benefited from an ideal environment for stocks,
particularly those of large growth companies, it is important to realize that
stock prices tend to rise with earnings and cash flow growth. The portfolio's
investments are in companies offering both strong earnings and cash flow
growth, but we believe that stocks have outpaced these growth rates. In
addition, international issues are likely to slow growth in 1998. For these
reasons, we anticipate more modest returns in 1998.
Although Asia's economic drag could affect domestic markets, we still
anticipate moderate U.S. economic growth in 1998. We believe the current
environment should favor the portfolio's holdings, as our focus on strong
management and strong cash flow should help growth stocks prosper in a tough
environment.
The views expressed are those of the portfolio managers for the period ended
December 31, 1997, and are subject to change based on market and other
conditions. Information about a fund's portfolio, asset allocation, or country
diversification is historical, and is no indication of future portfolio
composition, which will vary. Past performance is no guarantee of future
results.
Respectfully submitted,
Robert W. Smith
Portfolio Manager
18
<PAGE>
T. ROWE PRICE GROWTH STOCK PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
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, 1997
LOGO
19
<PAGE>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
For the year ended December 31, 1997, the Portfolio slightly outperformed its
benchmark, the MSCI EAFE Index, which rose 2.06%. The dollar had a strong
year--gaining some ground against the yen and even more against European
currencies, and this hampered portfolio performance.
European markets were generally good performers. Asian markets performed
poorly, with even the Japan's Nikkei falling back to its bear-market lows. In
Latin America, markets rose sharply despite their Asia-induced stumble towards
year end.
PERFORMANCE ATTRIBUTION
COUNTRY ALLOCATION relative to the benchmark index was positive over the year.
Underweighting Japan and overweighting Latin America added value although this
was eroded by an underweighted position in the U.K. and an overweighted
position in the first half of the year in some smaller Asian markets.
STOCK SELECTION was a small negative over the year. Over the year,
underperformance in Europe, particularly in the Netherlands and Germany, was
the main culprit, with our favourite growth stocks starting the year poorly.
INVESTMENT OUTLOOK
The outlook remains reasonable for European markets with corporate profits
growth likely to be strongly supported by good economic growth and further
restructuring.
We believe that Latin American markets remain attractive, given continued
commitment to political and economic reform in the region. The relative
resilience of these markets in recent months, despite the problems in the
Pacific, has been encouraging.
The outlook for Asia is more uncertain and we remain cautious about the
prospects for the region's smaller markets as we believe that their problems
are more deep-seated than is generally realized. While there may be some
bounces in markets which have fallen a long way already, we believe it is a
time to be particularly selective when looking at stocks traded in Asia.
Six months into the crisis, there is still no sight of the bottom, nor can we
hazard a guess that the worst is behind us yet. Even if recalcitrant
governments were to adopt the sort of harsh medicine that investors and the
International Monetary Fund have been calling for, circumstances have
deteriorated to such an extent now that the pain and loss of equity control
would be so great that the option of default is arguably no less unpalatable.
Debt moratoriums, therefore, cannot be ruled out.
Whilst a great deal of bad news has already been reflected in markets, we need
to see some stability return to currency markets before we further evaluate
investment opportunities in the region. Accepting the likelihood that we will
miss the initial snapback in currencies (which will inevitably be sharp), our
strategy is to remain in an underweight and defensive posture until we have
some conviction that the crisis of confidence is past.
At that point, even though the regional economic recession may have only just
begun, we would look to build positions in companies which we think will be
long-term winners in this new environment.
Similarly, we remain cautious on the Japanese market despite recent weakness:
the economic outlook there is poor and the problems of the banking sector
remain severe.
Thus, we expect that 1998 performance is likely to be driven by the European
and Latin American equity markets, with Asia remaining fragile.
The views expressed are those of the portfolio managers as of December 31,
1997, and are subject to change based on market and other conditions.
Information about a fund's portfolio, asset allocation, or country
diversification is historical, and is no indication of future portfolio
composition, which will vary.
Respectfully submitted,
Martin G. Wade
Portfolio Manager
20
<PAGE>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1997
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN T. ROWE PRICE INTERNATIONAL
STOCK PORTFOLIO
VS.
MORGAN STANLEY CAPITAL INTERNATIONAL EAFE INDEX+
MARCH 31, 1995 THROUGH DECEMBER 31, 1997
LOGO
Note: 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., non-US Companies). The Portfolio commenced
operations on April 8, 1991.
21
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- 94.8%
RETAIL -- 13.1%
31,300 American Pad & Paper Co.+............................... $ 301,263
44,900 AnnTaylor Stores Corp.+................................. 600,538
107,200 Apple South, Inc. ...................................... 1,407,000
22,200 BJ'S Wholesale Club Inc.+............................... 695,138
59,200 Buffets Inc.+........................................... 555,000
3,800 Claire's Stores, Inc. .................................. 73,864
39,800 Department 56, Inc.+.................................... 1,144,250
78,700 Finish Line Inc. (The)+................................. 1,032,938
51,900 Footstar, Inc.+......................................... 1,394,812
29,900 Fossil, Inc.+........................................... 747,500
58,900 Gymboree Corporation+................................... 1,612,387
22,400 Harcourt General, Inc. ................................. 1,227,800
36,600 Huffy Corporation....................................... 494,100
41,800 Lone Star Steakhouse & Saloon+.......................... 731,500
71,800 Micro Warehouse, Inc.+.................................. 1,000,712
34,800 Nine West Group Inc.+................................... 902,625
54,800 Oakley, Inc.+........................................... 496,625
59,100 Office Max Inc.+........................................ 842,175
58,000 Saks Holdings, Inc.+.................................... 1,199,875
164,800 Sunglass Hut International, Inc.+....................... 1,040,300
22,800 Talbots................................................. 413,250
35,500 Tommy Hilfiger Corp.+................................... 1,246,937
------------
19,160,589
------------
FINANCIAL SERVICES -- 9.7%
14,800 ALBANK Financial Corporation............................ 761,275
36,828 Astoria Financial Corporation........................... 2,053,161
27,200 Banctec Inc.+........................................... 729,300
30,800 Bay View Capital Corporation............................ 1,116,500
16,852 Charter One Financial Inc............................... 1,063,783
37,200 City National Corporation............................... 1,374,075
6,500 Coast Savings Financial, Inc.+.......................... 445,656
32,700 Downey Financial Corporation............................ 929,906
26,600 FirstFed Financial Corporation+......................... 1,030,750
13,300 First Savings Bank of Washington........................ 365,750
3,200 Flushing Financial Corporation.......................... 76,400
11,600 Golden State Bancorp Inc.+.............................. 433,550
15,700 Long Island Bancorp, Inc................................ 779,112
17,300 ML Bancorp.............................................. 519,000
48,000 PPF Bancorp Inc.+....................................... 954,000
14,300 Pinnacle West Capital Corporation....................... 605,962
23,800 Pulte Corporation....................................... 995,137
------------
14,233,317
------------
ELECTRONICS -- 7.2%
26,800 AVX Corporation......................................... 494,125
11,300 Cubic Corporation....................................... 370,075
31,300 ESCO Electronics Corporation............................ 528,188
29,000 Exar Corporation+....................................... 478,500
38,200 FSI International, Inc.+................................ 448,850
97,900 General Semiconductor Inc.+............................. 1,131,969
48,300 International Rectifier Corp.+.......................... 570,544
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
16,400 KLA-Tencor Corp.+....................................... $ 633,450
31,600 Lam Research Corp.+..................................... 924,300
48,600 Oak Industries, Inc.+................................... 1,442,812
27,600 Silicon Valley Group Inc.+.............................. 624,450
20,500 Teradyne Inc.+.......................................... 656,000
95,960 Vishay Intertechnology, Inc. ........................... 2,267,055
------------
10,570,318
------------
MEDICAL SUPPLIES -- 5.3%
21,900 Bard (C.R.), Inc. ...................................... 685,744
39,600 Beckman Instruments Inc.+............................... 1,584,000
52,400 CONMED Corporation+..................................... 1,375,500
15,200 Mallinckrodt Inc.+...................................... 577,600
87,300 Quest Diagnostics Inc.+................................. 1,473,187
38,500 Spacelabs Medical, Inc.+................................ 731,500
32,400 Wellpoint Health Networks+.............................. 1,368,900
------------
7,796,431
------------
TRANSPORTATION -- 5.3%
102,800 Arkansas Best Corporation+.............................. 1,002,300
49,000 Arnold Industries, Inc. ................................ 845,250
37,600 Avondale Industries, Inc.+.............................. 1,116,250
18,900 Knightsbridge Tankers Ltd.+............................. 535,106
33,700 Skywest, Inc............................................ 998,362
29,100 USFreightways Corporation............................... 945,750
89,900 Yellow Corporation+..................................... 2,258,737
------------
7,701,755
------------
INSURANCE -- 5.1%
40,900 Allmerica Financial Corporation......................... 2,042,444
20,000 Berkeley, W.R. Corporation.............................. 877,500
31,200 Citizens Corporation.................................... 897,000
28,500 ESG RE Ltd.+ ........................................... 669,750
47,300 Everest Reinsurance Holdings, Inc. ..................... 1,951,125
19,200 Guaranty Life........................................... 547,200
16,200 SCPIE Holdings Inc. .................................... 468,787
------------
7,453,806
------------
OIL AND GAS -- 5.1%
26,000 Aquila Gas Pipeline Corporation......................... 334,750
21,200 Bayard Drilling Technologies+........................... 344,500
32,600 Bouygues Offshore SA-ADR................................ 709,050
11,000 Cabot Oil and Gas Corporation........................... 213,813
52,400 Dravo Corporation+...................................... 576,400
26,100 Gulf Indonesia Resources Ltd.+.......................... 574,200
67,200 Houston Exploration Company+............................ 1,234,800
38,700 Oryx Energy Company+.................................... 986,850
88,400 Santa-Fe Energy Resources, Inc.......................... 994,500
42,700 Titan Exploration, Inc.+................................ 405,650
33,900 Valero Energy Corp.+.................................... 1,065,731
------------
7,440,244
------------
OTHER -- 4.4%
4,800 Alberto-Culver Company, Class A......................... 129,600
27,200 Borg-Warner Security Corporation+....................... 479,400
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
OTHER -- (CONTINUED)
66,000 Dollar Thrifty Automotive Group, Inc.+.................. $ 1,353,000
49,300 Elsag Bailey+........................................... 813,450
15,100 Essex International, Inc.+.............................. 449,225
76,700 Newport News Shipbuilding Inc........................... 1,951,056
29,200 Pechiney SA-ADR......................................... 562,100
20,600 RMI Titanium Company+................................... 412,000
12,100 Special Devices, Inc.+.................................. 353,925
------------
6,503,756
------------
COMPUTER SERVICE AND SOFTWARE -- 3.4%
25,400 Global Industries Tech Inc.+............................ 430,212
135,600 Learning Company Inc.+.................................. 2,178,075
108,600 Symantec Corporation+................................... 2,382,412
------------
4,990,699
------------
REAL ESTATE -- 2.9%
32,100 Cadillac Fairview Corp.+................................ 754,350
57,800 Catellus Development Corporation+....................... 1,156,000
105,200 Kaufman & Broad Home Corporation........................ 2,360,425
------------
4,270,775
------------
MANUFACTURING -- 2.8%
20,200 Burlington Industries, Inc. +........................... 279,013
40,000 Galoob Toys Inc.+....................................... 407,500
25,400 Griffon Corporation+.................................... 371,475
28,400 Imation Corporation+.................................... 454,400
47,800 Kemet Corp.+............................................ 926,125
7,100 Trimble Navigation Ltd. +............................... 154,869
400 US Industries, Inc.+.................................... 12,050
113,500 Vitro, Sociedad Anonima, ADS............................ 1,482,594
------------
4,088,026
------------
MEDIA AND COMMUNICATIONS -- 2.8%
21,400 Cox Radio, Inc., Class A+............................... 861,350
19,700 Emmis Broadcasting Corporation+......................... 898,813
27,800 Ortel Corporation+...................................... 437,850
48,400 Young Broadcasting Corporation, Class A+................ 1,875,500
------------
4,073,513
------------
CONSUMER SERVICES -- 2.6%
73,300 ACNielson Corporation+.................................. 1,786,688
43,500 Cambridge Shopping Centers++............................ 436,811
77,500 Furniture Brands International Inc.+.................... 1,588,750
------------
3,812,249
------------
FOOD AND BEVERAGES -- 2.3%
47,700 Bob Evans Farms, Inc. .................................. 1,055,363
42,800 Hudson Foods, Inc, Class A.............................. 880,075
19,900 Ingles Markets Inc., Class A............................ 283,575
51,400 J.M. Smucker Company, Class B........................... 1,182,200
------------
3,401,213
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
MACHINERY AND ENGINEERING -- 2.3%
39,800 AGCO Corporation........................................ $ 1,164,150
29,300 Albany International Corp.+............................. 673,900
35,800 Amcast Industrial Corporation........................... 821,163
28,600 Pacific Scientific Company.............................. 686,400
------------
3,345,613
------------
TEXTILES AND APPAREL -- 2.0%
65,600 Guilford Mills Inc.+.................................... 1,795,800
75,900 Phillips-Van Heusen Company............................. 1,081,575
------------
2,877,375
------------
TELECOMMUNICATIONS -- 1.7%
30,900 ANTEC Corporation+...................................... 482,813
30,366 Commscope Inc.+......................................... 408,043
26,900 Network Equipment Technologies, Inc.+................... 393,412
71,900 Scientific-Atlanta, Inc................................. 1,204,325
------------
2,488,593
------------
CHEMICALS -- 1.6%
37,000 Geon Company............................................ 864,875
31,700 Quaker Chemical Corporation............................. 600,319
43,900 Wellman Inc............................................. 856,050
------------
2,321,244
------------
METALS & MINING -- 1.6%
28,500 Commonwealth Industries Inc. ........................... 413,250
2,700 Intermet Corp........................................... 47,250
50,700 Special Metals Corporation+............................. 912,600
29,100 Wolverine Tube Inc.+.................................... 902,100
------------
2,275,200
------------
PRINTING AND PUBLISHING -- 1.5%
21,800 Harland (John H.) Company............................... 456,437
57,100 Hollingher International, Inc. ......................... 799,400
26,300 Lexmark International Group Inc.+....................... 999,400
------------
2,255,237
------------
CONTAINERS -- 1.5%
51,900 Ball Corp............................................... 1,832,719
57,700 Gaylord Container Corporation, Class A+................. 331,775
------------
2,164,494
------------
LEISURE -- 1.4%
100,800 Boyd Gaming Corp.+...................................... 667,800
16,100 Carmike Cinemas, Inc., Class A+......................... 461,869
24,400 MGM Grand+.............................................. 879,925
------------
2,009,594
------------
AEROSPACE & DEFENSE -- 1.3%
20,700 Alliant Techsystems Inc.+............................... 1,154,025
9,410 BF Goodrich Co.......................................... 389,927
3,200 Fairchild Corporation, (The)+........................... 79,600
11,100 Watkins-Johnson Company................................. 287,906
------------
1,911,458
------------
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
PAPER AND PAPER PRODUCTS -- 1.2%
61,200 Unisource Worldwide Inc.+................................ $ 872,100
41,200 Wausau Paper Mills Company............................... 824,000
------------
1,696,100
------------
ADVERTISING -- 1.0%
61,600 True North Communications, Inc........................... 1,524,600
------------
BUILDING AND CONSTRUCTION -- 1.0%
35,900 CalMat Company........................................... 1,000,713
28,800 Chicago Bridge & Iron Co.+............................... 468,000
------------
1,468,713
------------
COMPUTERS -- 1.0%
21,300 Cypress Semiconductor+................................... 181,050
51,000 LTX Corporation+......................................... 226,312
35,500 Read-Rite Corporation+................................... 559,125
25,900 Western Digital Corp.+................................... 416,019
------------
1,382,506
------------
AUTO PARTS -- 0.7%
22,100 Excel Industries, Inc.................................... 399,181
13,300 Lear Corporation+........................................ 631,750
------------
1,030,931
------------
STEEL -- 0.7%
67,400 ARMCO Inc.+.............................................. 332,788
41,600 Birmingham Steel Corporation............................. 655,200
------------
987,988
------------
HOTELS/RESORTS -- 0.6%
79,400 Station Casinos Inc.+.................................... 808,887
------------
DIVERSIFIED OPERATIONS -- 0.5%
23,100 Calgon Carbon Corporation................................ 252,656
24,800 MascoTech, Inc........................................... 455,700
------------
708,356
------------
AGRICULTURE -- 0.4%
21,300 Scotts Company (The), Class A+........................... 644,325
------------
HEALTH CARE -- 0.4%
4,390 Coram Healthcare Corporation+............................ 14,816
46,300 Mid Atlantic Medical Services, Inc.+..................... 590,325
------------
605,141
------------
UTILITIES -- 0.4%
13,200 New England Electric System.............................. 564,300
------------
Total Common Stock
(Cost $128,609,177)..................................... 138,567,346
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
COMMERCIAL PAPER -- 6.8%
$2,889,000 Ford Motor Company,
6.250% due 01/02/1998............................... $ 2,889,000
7,000,000 General Electric Capital Corporation,
6.650% due 01/02/1998............................... 7,000,000
------------
Total Commercial Paper
(Cost $9,889,000)................................... 9,889,000
------------
TOTAL INVESTMENTS
(COST $138,498,177*)...................................... 101.6% 148,456,346
OTHER ASSETS AND LIABILITIES (NET)......................... (1.6) (2,261,225)
----- ------------
NET ASSETS................................................. 100.0% $146,195,121
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $138,645,013.
+ 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.
Abbreviations:
ADS -- American Depositary Shares
ADR -- American Depository Receipts
See Notes to Financial Statements.
24
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
U.S. TREASURY OBLIGATIONS -- 56.4%
U.S. TREASURY NOTES -- 40.3%
U.S. Treasury Notes:
$ 3,400,000 5.500% due 11/15/1998................................ $ 3,396,294
3,157,000 5.875% due 11/15/1999................................ 3,168,334
2,171,000 6.750% due 05/31/1999................................ 2,202,892
3,628,000 6.375% due 08/15/2002................................ 3,721,530
5,967,000 6.500% due 10/15/2006................................ 6,247,628
-----------
18,736,678
-----------
U.S. TREASURY BONDS -- 16.1%
6,493,000 U.S. Treasury Bond,
7.250% due 08/15/2022................................ 7,500,454
-----------
Total U.S. Treasury Obligations
(Cost $25,357,046).................................. 26,237,132
-----------
MORTGAGE-BACKED SECURITIES -- 24.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 9.2%
FNMA:
186,280 7.000% due 08/01/2003................................ 188,741
165,050 6.500% due 11/01/2003................................ 164,319
524,284 6.000% due 03/01/2004................................ 518,386
224,674 7.500% due 06/01/2009................................ 231,484
235,401 7.536% due 06/01/2016................................ 248,715
162,226 7.000% due 07/01/2022................................ 164,202
57,976 7.000% due 07/01/2023................................ 58,759
246,105 6.500% due 02/01/2026................................ 243,489
211,000 7.000% due 09/01/2026................................ 212,978
865,000 5.980% due 11/12/2027................................ 829,855
1,299,000 15 Year, TBA,
6.500% due 01/01/2008............................... 1,300,624
125,000 Series 1996-M7, Class B,
6.856%# due 06/17/2011.............................. 127,344
-----------
4,288,896
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 8.9%
GNMA:
387,507 8.000% due 07/15/2017................................ 401,675
215,656 8.500% due 12/15/2021................................ 229,348
340,498 9.000% due 12/15/2021................................ 369,328
242,275 7.000% due 11/15/2023................................ 245,076
428,384 7.500% due 12/15/2023................................ 440,027
234,556 8.500% due 05/15/2027................................ 246,356
408,412 8.000% due 06/15/2027................................ 423,344
1,477,090 8.000% due 08/15/2027................................ 1,531,092
253,932 8.000% due 07/15/2017................................ 267,078
-----------
4,153,324
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 6.0%
FHLMC:
269,109 7.000% due 01/01/2000................................ 270,949
114,098 9.000% due 10/01/2005................................ 119,765
76,893 5.500% due 05/01/2011................................ 74,850
205,555 9.500% due 07/25/2022................................ 221,393
510,000 5.500% due 09/15/2022................................ 450,871
246,244 9.500% due 12/01/2022................................ 266,709
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
$ 534,434 8.500% due 07/01/2027................................. $ 563,769
795,005 Gold, 30 Year TBA,
7.00% due 12/01/2027................................. 801,961
-----------
2,770,267
-----------
Total Mortgage-Backed Securities
(Cost $11,048,242)................................... 11,212,487
-----------
CORPORATE FIXED INCOME SECURITIES -- 12.1%
FINANCIAL SERVICES -- 4.3%
40,000 Ahmanson (H.F.) & Company,
Medium Term Note,
7.650% due 04/15/2000................................ 41,327
Associates Corporation of North America,
Senior Notes:
60,000 6.625% due 05/15/2001................................. 60,733
86,000 6.750% due 07/15/2001................................. 87,445
70,000 6.750% due 08/01/2001................................. 70,446
250,000 BankBoston,
Subordinate Note,
7.375% due 09/15/2006................................ 263,918
90,000 First Security Corporation,
Senior Note,
6.875% due 11/15/2006................................ 91,971
95,000 Fleet Financial Group, Inc.,
Subordinate Note,
7.125% due 04/15/2006................................ 98,780
305,000 Great Western Financial Corporation, Notes,
8.206% due 02/01/2027................................ 323,489
150,000 Lehman Brothers, Inc.,
Senior Subordinate Note,
6.125% due 02/01/2001................................ 148,895
30,000 Lincoln National Corporation, Note,
7.250% due 05/15/2005................................ 31,148
117,000 Morgan Stanley & Company, Notes,
7.630% due 12/15/2006................................ 125,409
190,000 Paine Webber Group Inc.:
Medium Term Note,
8.060% due 01/17/2017............................... 214,430
30,000 Senior Note,
7.625% due 10/15/2008................................ 32,116
280,000 Medium Term Note,
6.785% due 07/01/2003................................ 282,450
Smith Barney Holdings Inc.,
Medium Term Notes:
25,000 7.875% due 10/01/1999................................. 25,662
80,000 7.125% due 10/01/2006................................. 82,638
-----------
1,980,857
-----------
OIL AND GAS -- 1.4%
50,000 Gulf Canada Resources Ltd.,
Subordinate Debentures,
9.625% due 07/01/2005................................ 54,375
334,000 Niagara Mohawk Power, Note,
8.000% due 06/01/2004................................ 353,900
30,000 Norcen Energy Resources, Debenture,
7.375% due 05/15/2006................................ 31,484
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
OIL AND GAS -- (CONTINUED)
Oryx Energy Company, Debentures:
$ 90,000 9.500% due 11/01/1999................................. $ 94,344
90,000 10.000% due 04/01/2001................................ 98,871
-----------
632,974
-----------
MANUFACTURING -- 1.1%
530,000 Raytheon Co.
6.450% due 08/15/2002................................ 532,602
-----------
MEDIA AND COMMUNICATIONS -- 1.1%
190,000 Paramount Communications, Notes,
5.875% due 07/15/2000................................ 185,850
80,000 Rogers Cablesystems, Note,
9.625% due 08/01/2002................................ 85,000
245,000 360 Communications Company, Senior Note,
7.125% due 03/01/2003................................ 250,209
-----------
521,059
-----------
RETAIL -- 0.9%
Federated Department Stores Inc.,
Senior Notes:
80,000 10.000% due 02/15/2001................................ 88,032
50,000 8.125% due 10/15/2002................................. 53,404
Kroger Company, Senior Notes:
160,000 10.000% due 05/01/1999................................ 167,600
80,000 8.150% due 07/15/2006................................. 88,294
-----------
397,330
-----------
ENTERTAINMENT AND LEISURE -- 0.6%
52,000 Hilton Hotels Corporation, Notes,
7.375% due 06/01/2002................................ 53,389
237,000 Royal Caribbean Cruises, Note,
7.125% due 09/18/2002................................ 242,200
-----------
295,589
-----------
HEALTH CARE -- 0.6%
Tenet Healthcare Corporation,
Senior Notes:
70,000 8.625% due 12/01/2003................................. 72,975
180,000 8.000% due 01/15/2005................................. 183,150
-----------
256,125
-----------
OTHER -- 0.5%
235,000 Loewen Group, Inc., Notes,
7.500% due 04/15/2001................................ 242,400
-----------
AEROSPACE AND DEFENSE -- 0.5%
190,000 Lockheed Martin Corporation,
Guaranteed Debenture,
7.750% due 05/01/2026................................ 210,560
-----------
TEXTILES -- 0.4%
170,000 Westpoint Stevens Inc., Senior Note,
8.750% due 12/15/2001................................ 177,225
-----------
UTILITIES -- 0.3%
140,000 El Paso Electric Company, First Mortgage,
7.250% due 02/01/1999................................ 140,657
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
SOVEREIGN -- 0.2%
$ 105,000 Republic of Columbia, Note,
7.625% due 02/15/2007............................... $ 98,306
-----------
TRANSPORTATION -- 0.1%
64,000 Union Pacific Corporation, Note,
6.700% due 12/01/2006............................... 64,319
-----------
AUTOMOTIVE -- 0.1%
55,000 Ford Motor Company, Notes,
7.400% due 11/01/2046............................... 58,946
-----------
Total Corporate Fixed Income Securities
(Cost $5,416,515)................................... 5,608,949
-----------
AGENCY SECURITIES -- 4.7%
FEDERAL FARM CREDIT BANK (FFCB) -- 2.1%
1,000,000 FFCB, Medium Term Note,
6.250% due 06/26/1998............................... 1,002,340
-----------
TENNESSEE VALLEY AUTHORITY (TVA) -- 1.4%
625,000 TVA,
8.375% due 10/01/1999............................... 650,975
-----------
FEDERAL HOME LOAN BANK (FHLB) -- 1.2%
550,000 FHLB,
5.590% due 01/05/2001............................... 546,216
-----------
Total Agency Securities
(Cost $2,210,568)................................... 2,199,531
-----------
ASSET-BACKED SECURITIES -- 0.9%
90,377 Fleetwood Credit Corporation, 1997-A, Note, 6.640%
due 09/15/2012...................................... 91,366
92,000 MCFI, 97-MCI, A3,
7.288% due 03/20/2007............................... 96,543
The Money Store:
65,000 Series 1994-B-A4,
7.600% due 07/15/2021................................ 66,899
34,000 Series 1994-CI-A4,
7.800% due 10/15/2021................................ 34,207
144,000 Series 1996-C-A6,
7.690% due 06/15/2024................................ 148,591
-----------
Total Asset-Backed Securities
(Cost $426,818)..................................... 437,606
-----------
REPURCHASE AGREEMENT -- 4.2% (Cost $1,972,000)
1,972,000 Agreement with UBS, 6.480% dated
12/31/97 to be repurchased at $1,972,710 on 01/02/98
collateralized by $1,475,000 U.S. Treasury Note,
8.875% due 02/15/19................................. 1,972,000
-----------
TOTAL INVESTMENTS
(COST $46,431,189*)....................................... 102.4 % 47,667,705
OTHER ASSETS & LIABILITIES (NET)........................... (2.4) (1,125,724)
----- -----------
NET ASSETS................................................. 100.0 % $46,541,981
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $46,434,616.
# Variable rate security. The interest rate shown reflects the rate in effect
at December 31, 1997.
Abbreviations:
Gold -- Payments are on an accelerated 45-day payment cycle instead of 75-day
payment cycle.
TBA -- To Be Announced
See Notes to Financial Statements.
26
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- 99.5%
FINANCIAL SERVICES -- 13.0%
263 A.G. Edwards Inc........................................... $ 10,454
277 Ahmanson (H.F.) & Company.................................. 18,542
300 Ambac Financial Group, Inc................................. 13,800
1,500 American Express Company................................... 133,875
136 Associated Bancorporation.................................. 7,497
171 Associates First Capital Corporation....................... 12,162
1,342 Banc One Corporation....................................... 72,887
2,100 Bankamerica Corporation.................................... 153,300
415 BankBoston Corporation..................................... 38,984
166 Bankers Trust N.Y. Corporation............................. 18,665
1,500 Barnett Banks of Florida, Inc.............................. 107,813
107 BB&T Corporation........................................... 6,855
335 Bear Stearns Companies, Inc................................ 15,913
161 Beneficial Corporation..................................... 13,383
300 Capital One Financial Corporation.......................... 16,256
45 CCB Financial Corporation.................................. 4,837
200 Charter One Financial, Inc................................. 12,625
1,300 Chase Manhattan Corporation................................ 142,350
1,406 Citicorp................................................... 177,771
105 Comerica, Inc.............................................. 9,476
63 Commerce Bancshares, Inc................................... 4,268
168 Compass Bancshares, Inc.................................... 7,350
110 ContiFinancial Corporation+................................ 2,771
308 Crestar Financial Corporation.............................. 17,556
95 Deposit Guaranty Corporation............................... 5,403
356 Dime Bancorp Inc........................................... 10,769
2,200 Federal Home Loan Mortgage Corporation..................... 92,263
3,300 Federal National Mortgage Association...................... 188,306
100 Financial Security Assurance Holdings...................... 4,825
160 Finova Group, Inc.......................................... 7,950
148 First America Bankcorp..................................... 11,414
58 First American Corporation................................. 2,885
922 First Chicago NBD Corporation.............................. 76,987
500 First Commerce Corporation................................. 33,625
62 First Commercial Corporation............................... 3,632
19 First Empire State Corporation............................. 8,835
178 First Tennessee National Corporation....................... 11,881
3,000 First Union Corporation.................................... 153,750
48 First Virginia Banks Inc................................... 2,481
402 Firstar Corporation........................................ 17,060
900 Fleet Financial Group, Inc................................. 67,444
158 Golden West Financial Corporation.......................... 15,454
123 Greenpoint Financial Corporation........................... 8,925
412 Greentree Financial Corporation............................ 10,789
260 Hibernia Corporation, Class A.............................. 4,891
305 Household International, Inc............................... 38,907
181 Keycorp.................................................... 12,817
99 Lehman Brothers Holdings, Inc.............................. 5,049
125 Marshall & Ilsley Corporation.............................. 7,766
372 Mercantile Bankshares Corporation.......................... 22,878
166 Money Store Inc (The)...................................... 3,486
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
1,874 Morgan Stanley/Dean Witter Discover & Company............. $ 110,800
139 National Commerce Bancorporation.......................... 4,900
1,176 NationsBank Corporation................................... 71,516
288 Northern Trust Corporation................................ 20,088
200 North Fork Bancorporation, Inc............................ 6,713
170 Ocwen Financial Corporation............................... 4,324
94 Old Kent Financial Corporation............................ 3,725
300 Pacific Century Financial................................. 7,425
276 Paine Webber Group, Inc................................... 9,539
196 PNC Bank Corporation...................................... 11,184
106 Provident Financial Group, Inc............................ 5,141
300 Providian Financial Corporation........................... 13,556
128 Regions Financial Corporation............................. 5,400
149 Republic NY Corporation................................... 17,014
300 Southtrust Corporation.................................... 19,031
232 Sovereign Bancorp, Inc.................................... 4,814
238 Star Banc Corporation..................................... 13,655
300 TCF Financial Corporation................................. 10,181
634 TCI Ventures, Inc., Class A+.............................. 17,950
3,600 Travelers, Inc............................................ 193,950
109 Union Planters Corporation................................ 7,405
264 US Bancorp................................................ 29,551
104 Valley National Bancorp................................... 4,088
129 Washington Federal, Inc................................... 4,055
800 Washington Mutual, Inc.................................... 51,050
224 Wells Fargo & Company..................................... 76,034
68 Wilmington Trust Corporation.............................. 4,242
-----------
2,577,193
-----------
TECHNOLOGY -- 12.5%
426 Advanced Micro Devices, Inc+.............................. 7,641
1,500 Applied Materials, Inc.................................... 45,188
127 Autodesk, Inc............................................. 4,699
800 Bay Networks, Inc.+....................................... 20,450
619 Cabletron Systems, Inc.+.................................. 9,285
4,100 Cisco Systems, Inc. ...................................... 228,575
3,000 Compaq Computer Corporation............................... 169,313
1,651 Computer Associates International, Inc.................... 87,297
1,200 Dell Computer Corporation+................................ 100,800
1,481 Electronic Data Systems Corporation....................... 65,071
2,000 EMC Corporation........................................... 54,875
1,600 First Data Corporation.................................... 46,800
300 Gateway 2000, Inc. ....................................... 9,788
6,500 Intel Corporation......................................... 456,625
3,900 International Business Machines Corporation............... 407,792
1,304 Lucent Technologies....................................... 104,157
1,600 Microsoft Corporation+.................................... 206,800
2,400 Motorola, Inc............................................. 136,950
600 National Semiconductor Inc.+.............................. 15,563
3,900 Oracle Corporation........................................ 87,019
577 Quantum Corporation....................................... 11,576
70 Read-Rite Corporation+.................................... 1,102
1,174 Rockwell International Corporation........................ 61,341
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
TECHNOLOGY -- (CONTINUED)
479 Silicon Graphics, Inc.+................................... $ 5,958
1,500 Sun Microsystems Inc.+.................................... 59,813
1,600 Texas Instruments, Inc.................................... 72,000
221 Xilinx, Inc............................................... 7,749
-----------
2,484,227
-----------
CONSUMER STAPLES -- 11.0%
1,900 Anheuser-Busch Companies Inc.............................. 83,600
386 Avon Products Inc......................................... 23,691
4,516 Coca-Cola Company......................................... 300,877
175 CPC International, Inc.................................... 18,856
463 General Mills Inc......................................... 33,162
2,130 Gillette Company.......................................... 213,932
976 H.J. Heinz Company........................................ 49,593
192 Hershey Foods Corporation................................. 11,892
319 International Flavors & Fragrances, Inc................... 16,428
1,206 Kellogg Company........................................... 59,848
2,000 Kimberly-Clark Corporation................................ 98,625
151 Nabisco Holdings Corporation, Class A..................... 7,314
5,000 PepsiCo, Inc.............................................. 182,188
9,300 Philip Morris Companies Inc............................... 421,406
4,800 Proctor & Gamble Company.................................. 383,100
400 Ralston-Ralston Purina Group.............................. 37,175
1,405 Sara Lee Corporation...................................... 79,119
2,500 Unilever, NV ADR.......................................... 156,094
-----------
2,176,900
-----------
MULTI-INDUSTRY -- 8.6%
4,232 Allied Signal, Inc........................................ 164,784
5,800 Boeing Company............................................ 283,838
156 Coltec Industries, Inc.+.................................. 3,617
713 Eastman Kodak Company..................................... 43,359
475 Fruit of the Loom, Inc., Class A+......................... 12,172
5,800 General Electric Company.................................. 425,575
1,520 General Motors Corporation, Class H....................... 56,145
578 Harris Corporation........................................ 26,516
406 Honeywell Inc............................................. 27,811
887 ITT Industries, Inc....................................... 27,830
629 Johnson Controls, Inc..................................... 30,035
1,055 Raytheon Company--Class A................................. 52,017
434 Raytheon Company--Class B................................. 21,917
111 Sensormatic Electronics Corporation....................... 1,825
300 Symbol Technologies, Inc.................................. 11,325
1,300 Tenneco Inc. ............................................. 51,350
4,202 Tyco International, Ltd. ................................. 189,353
121 Unifi Inc................................................. 4,923
3,414 Waste Management Inc. .................................... 93,885
185 Wheelabrator Technologies, Inc............................ 2,972
2,400 Xerox Corporation......................................... 177,150
-----------
1,708,399
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
ENERGY -- 8.6%
150 Anadarko Petroleum Corporation............................ $ 9,103
288 Ashland Inc............................................... 15,462
1,342 Atlantic Richfield Company................................ 107,528
697 Baker Hughes, Inc......................................... 30,407
1,631 Chevron Corporation....................................... 125,587
400 Consolidated Natural Gas Company.......................... 24,200
220 Cooper Cameron Corporation................................ 13,420
289 Diamond Offshore Drilling, Inc............................ 13,908
8,700 Exxon Corporation......................................... 532,331
92 Input/Output, Inc+........................................ 2,731
3,012 Mobil Corporation......................................... 217,429
542 Noble Drilling Corporation+............................... 16,599
846 Occidental Petroleum Corporation.......................... 24,798
306 Phillips Petroleum Company................................ 14,879
52 Pogo Producing Company.................................... 1,534
5,547 Royal Dutch Petroleum Company, ADR........................ 300,578
1,200 Schlumberger Ltd.......................................... 96,600
159 Smith International, Inc+................................. 9,759
1,900 Texaco, Inc............................................... 103,313
645 Tosco Corporation......................................... 24,389
232 Valero Energy Corporation................................. 7,294
218 Western Resources, Inc.................................... 9,374
-----------
1,701,223
-----------
DRUGS -- 8.6%
259 ALZA Corporation.......................................... 8,239
1,600 American Home Products Corporation........................ 122,400
4,700 Bristol-Myers Squibb Company.............................. 444,738
1,300 Chiron Corporation+....................................... 22,100
12 Crescendo Pharmaceuticals+................................ 139
500 Forest Laboratories, Inc.+................................ 24,656
2,346 Johnson & Johnson, Inc.................................... 154,543
2,551 Merck & Company, Inc...................................... 271,044
2,566 Pfizer Inc................................................ 191,327
2,847 Schering-Plough Corporation............................... 176,870
2,100 Warner-Lambert Company.................................... 260,400
600 Watson Pharmaceuticals.................................... 19,463
-----------
1,695,919
-----------
TELEPHONE -- 6.9%
600 360 Communications Company+............................... 12,113
2,100 Airtouch Communications, Inc.+............................ 87,281
1,750 AT&T Corporation.......................................... 107,188
1,440 Bell Atlantic Corporation................................. 131,040
2,004 BellSouth Corporation..................................... 112,850
4,500 GTE Corporation........................................... 235,125
4,000 MCI Communications Corporation............................ 171,250
4,100 SBC Communications, Inc................................... 300,325
2,000 Sprint Corporation........................................ 117,250
3,094 WorldCom Inc+............................................. 93,593
-----------
1,368,015
-----------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
SERVICES -- 5.4%
600 Circus Circus Enterprises Inc.+........................... $ 12,300
120 Comcast Corporation, Class A.............................. 3,787
161 Cox Communications, Class A+.............................. 6,450
1,000 Donnelley (R.R.) & Sons Company........................... 37,250
267 Equifax, Inc.............................................. 9,462
254 Extended Stay America, Inc.+.............................. 3,159
325 Harrah's Entertainment, Inc.+............................. 6,134
880 Hilton Hotels Corporation................................. 26,180
796 International Game Technology Inc......................... 20,099
422 ITT Corporation, New+..................................... 34,973
2,292 McDonald's Corporation.................................... 109,443
190 MGM Grand, Inc.+.......................................... 6,852
1,096 Mirage Resorts, Inc.+..................................... 24,934
1,147 Seagram Company Ltd....................................... 37,062
981 Service Corporation International......................... 36,236
3,100 Tele Communications Inc., New, Class A+................... 86,606
3,200 Time Warner Inc. ......................................... 198,400
4,000 US West Inc.+............................................. 115,500
1,935 Viacom Inc., Class B+..................................... 80,182
2,114 Walt Disney Productions................................... 209,418
-----------
1,064,427
-----------
RETAIL -- 4.9%
713 Albertson's, Inc. ........................................ 33,778
300 American Stores Company................................... 6,169
1,044 Autozone, Inc.+........................................... 30,276
300 Best Buy Company Inc.+.................................... 11,062
500 Circuit City Stores, Inc. ................................ 17,781
900 Corporate Express, Inc. .................................. 11,588
700 Dayton Hudson Corporation................................. 47,250
700 Dillards, Inc-Class A Shares.............................. 24,675
1,030 Federated Department Stores, Inc.+........................ 44,354
179 Gap Stores, Inc. ......................................... 6,326
200 General Nutrition Companies, Inc.+........................ 6,800
1,356 Home Depot, Inc. ......................................... 79,411
303 J.C. Penney Company, Inc. ................................ 18,275
1,800 Kroger Company............................................ 66,488
308 Limited Inc. (The)........................................ 7,854
432 Lowe's Companies, Inc. ................................... 20,601
294 May Department Stores Company............................. 15,490
98 Nine West Group, Inc.+.................................... 2,542
1,200 Safeway, Inc.+............................................ 75,900
2,626 Sears Roebuck & Company................................... 118,826
351 TJX Companies Inc. ....................................... 12,066
1,903 Toys R Us Inc.+........................................... 59,826
6,268 Wal-Mart Stores Inc. ..................................... 247,194
-----------
964,532
-----------
BASIC INDUSTRY -- 4.5%
256 Air Products and Chemicals Inc. .......................... 21,056
158 Albemarble Corporation.................................... 3,772
1,013 Alcan Aluminum Ltd........................................ 27,984
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
588 Allegheny Teledyne Inc. .................................. $ 15,215
827 Aluminum Company of America............................... 58,200
443 Boise Cascade Corporation................................. 13,401
300 Bowater, Inc. ............................................ 13,331
529 Champion International Corporation........................ 23,970
210 Crompton & Knowles Corporation............................ 5,565
128 Cytec Industries Inc.+.................................... 6,008
800 Dow Chemical Company...................................... 81,200
3,800 du Pont (E.I.) de Nemours & Company....................... 228,238
217 El Paso Natural Gas Company............................... 14,430
315 Falcon Drilling Company Inc.+............................. 11,045
252 Fort James Corporation.................................... 9,639
874 Freeport McMoRan Copper & Gold Inc.,
Class A.................................................. 13,383
18 Georgia Pacific Corporation--[Pac Group].................. 1,094
18 Georgia Pacific Corporation--[Timber Group]............... 408
772 Inco, Ltd. ............................................... 13,124
412 Louisiana-Pacific Corporation............................. 7,828
234 Lyondell Petrochemical Company............................ 6,201
800 Mead Corporation.......................................... 22,400
2,000 Monsanto Company.......................................... 84,000
300 Oregon Metallurgical Corporation+......................... 10,012
300 Phelps Dodge Corporation.................................. 18,675
286 PPG Industries, Inc. ..................................... 16,338
542 Praxair, Inc. ............................................ 24,390
300 Reynolds Metals Company................................... 18,000
200 Rohm & Haas Company....................................... 19,150
400 Solutia, Inc. ............................................ 10,675
400 Temple-Inland, Inc. ...................................... 20,925
23 Union Camp Corporation.................................... 1,235
500 Union Carbide Corporation................................. 21,469
208 USG Corporation+.......................................... 10,192
723 Weyerhauser Company....................................... 35,472
-----------
888,025
-----------
INSURANCE -- 3.8%
842 Allstate Corporation...................................... 76,517
461 American General Corporation.............................. 24,923
2,900 American International Group.............................. 315,375
300 CIGNA Corporation......................................... 51,919
119 Fremont General Corporation............................... 6,515
93 General Re Corporation.................................... 19,716
500 Hartford Financial Services............................... 46,781
176 Lincoln National Corporation.............................. 13,750
700 Marsh & McLennan Companies, Inc........................... 52,194
400 MBIA, Inc. ............................................... 26,725
92 Mercury General Corporation............................... 5,083
124 Ohio Casualty Corporation................................. 5,534
128 The PMI Group Inc. ....................................... 9,256
571 Safeco Corporation........................................ 27,836
400 St. Paul Companies, Inc. ................................. 32,825
131 Transamerica Corporation.................................. 13,951
600 UNUM Corporation.......................................... 32,625
-----------
761,525
-----------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
CYCLICAL -- 3.3%
439 Black & Decker Corporation................................ $ 17,148
3,600 Chrysler Corporation...................................... 126,675
470 Cooper Tire & Rubber Company.............................. 11,456
476 Echlin, Inc. ............................................. 17,225
2,220 Ford Motor Company........................................ 108,086
827 Genuine Parts Company..................................... 28,066
1,300 Goodyear Tire & Rubber Company............................ 82,713
1,100 Hasbro, Inc. ............................................ 34,650
207 Lear Corporation+......................................... 9,832
444 Leggett & Platt, Inc. .................................... 18,593
1,785 Mattel, Inc. ............................................. 66,491
1,000 Nike, Inc--Class B Shares................................. 39,250
400 Owens Corning Inc......................................... 13,650
500 Reebok International, Ltd.+ .............................. 14,406
1,093 Rubbermaid, Inc. ......................................... 27,325
446 Stone Container Corporation+.............................. 4,655
600 Whirlpool Corporation..................................... 33,000
-----------
653,221
-----------
UTILITIES -- 3.0%
91 American Electric Power Company, Inc. .................... 4,698
230 American Water Works, Inc. ............................... 6,282
462 Baltimore Gas & Electric Company.......................... 15,737
699 Central and Southwest Corporation......................... 18,917
600 CINergy Corporation....................................... 23,025
400 CMS Energy Corporation.................................... 17,625
700 Dominion Resources Inc. .................................. 29,794
190 DTE Energy Company........................................ 6,591
1,400 Duke Energy Corporation................................... 77,525
1,193 Enron Corporation......................................... 49,584
1,000 Entergy Corporation New................................... 29,938
173 GPU, Inc. ................................................ 7,288
971 Houston Industries, Inc. ................................. 25,914
300 Illinova Corporation...................................... 8,081
190 Kansas City Power & Light Company......................... 5,617
214 New England Electric Systems.............................. 9,148
200 NIPSCO Industries, Inc. .................................. 9,888
500 Northeast Utilities....................................... 5,906
300 Northern States Power Company............................. 17,475
248 Peco Energy Company....................................... 6,014
346 PG&E Corporation.......................................... 10,531
118 Pinnacle West Capital Corporation......................... 5,000
470 Potomac Electric Power Company............................ 12,132
159 P P & L Resources, Inc. .................................. 3,806
485 Public Service Enterprise Group, Inc. .................... 15,368
2,700 Southern Company.......................................... 69,863
409 Teco Energy, Inc. ........................................ 11,503
900 Texas Utilities Company................................... 37,406
813 Unicom Corporation........................................ 25,000
400 Union Electric Company.................................... 17,300
400 Wisconsin Energy Corporation.............................. 11,500
-----------
594,456
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
HEALTH SERVICES -- 2.5%
1,100 Aetna Inc. ............................................... $ 77,619
400 Bard, Inc. (C.R.)......................................... 12,525
400 Bausch & Lomb Inc. ....................................... 15,850
1,446 Boston Scientific Corporation+............................ 66,335
4,200 Columbia/HCA Healthcare Corporation....................... 124,425
300 Health Care & Retirement Corporation+..................... 12,075
1,200 Humana, Inc.+............................................. 24,900
304 Perkin-Elmer Corporation.................................. 21,603
2,300 Tenet Healthcare Corporation+............................. 76,188
1,400 United Healthcare Corporation............................. 69,563
-----------
501,083
-----------
CAPITAL GOODS -- 1.7%
81 Aeroquip-Vickers Inc. .................................... 3,974
1,600 Caterpillar Inc. ......................................... 77,700
600 Cooper Industries Inc. ................................... 29,400
200 Cummins Engine Inc. ...................................... 11,812
221 Eaton Corporation......................................... 19,724
2,100 Emerson Electric Company.................................. 118,519
400 Fluor Corporation......................................... 14,950
166 Foster Wheeler Corporation................................ 4,492
200 General Signal Corporation................................ 8,438
228 Harnischfeger Industries Inc. ............................ 8,051
165 Ingersoll-Rand Company.................................... 6,682
230 W.W. Grainger Inc. ....................................... 22,353
-----------
326,095
-----------
TRANSPORTATION -- 1.2%
210 AMR Corporation+.......................................... 26,985
543 Burlington Northern Santa Fe.............................. 50,465
38 CNF Transportation, Inc. ................................. 1,458
758 CSX Corporation........................................... 40,932
140 Illinois Central Corporation.............................. 4,769
1,400 Norfolk Southern Corporation.............................. 43,138
189 Ryder System, Inc. ....................................... 6,190
534 Southwest Airlines Company................................ 13,150
900 Union Pacific Corporation................................. 56,194
155 Wisconsin Central Transportation Corporation.............. 3,623
-----------
246,904
-----------
Total Common Stock (Cost $18,471,581)..................... 19,712,144
-----------
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<S> <C> <C>
U.S. GOVERNMENT TREASURY -- 5.2%
(Cost $1,020,968)
$1,024,000 U.S. Treasury Bill,
5.077%# due 01/22/1998............................... $ 1,020,968
-----------
TOTAL INVESTMENTS
(COST $19,492,549*)........................................ 104.7% 20,733,112
OTHER ASSETS AND LIABILITIES (NET).......................... (4.7) (921,826)
----- -----------
NET ASSETS.................................................. 100.0% $19,811,286
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $19,492,750.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
31
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
OPPORTUNITY VALUE PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- 69.8%
DIVERSIFIED CHEMICALS -- 11.9%
6,000 Dow Chemical Company..................... $ 609,000
17,000 duPont (E.I.) de Nemours & Company ...... 1,021,062
21,000 Monsanto Company ........................ 882,000
25,000 Solutia Inc. ............................ 667,187
-----------
3,179,249
-----------
BANKING -- 11.5%
7,000 BankBoston Corporation................... 657,563
7,000 Citicorp ................................ 885,063
1,000 First Empire State Corporation........... 465,000
3,200 Wells Fargo & Company ................... 1,086,200
-----------
3,093,826
-----------
AEROSPACE AND DEFENSE -- 6.2%
14,000 Boeing Company .......................... 685,125
10,000 Lockheed Martin Corporation.............. 985,000
-----------
1,670,125
-----------
ELECTRONICS -- 5.4%
30,000 National Semiconductor Corporation+...... 778,125
13,000 Varian Associates, Inc................... 657,312
-----------
1,435,437
-----------
FINANCIAL SERVICES -- 4.6%
20,000 Federal Home Loan Mortgage Corporation... 838,750
7,000 Federal National Mortgage Association ... 399,437
-----------
1,238,187
-----------
ENTERTAINMENT -- 4.2%
18,000 Time Warner Inc. ........................ 1,116,000
-----------
RESTAURANTS -- 3.7%
21,000 McDonald's Corporation .................. 1,002,750
-----------
TELECOMMUNICATIONS -- 3.7%
9,000 Cox Communications Inc., Class A+........ 360,563
22,000 Tele-Communications TCI Ventures Group,
Class A................................. 622,875
-----------
983,438
-----------
MANUFACTURING AND ENGINEERING -- 3.3%
18,000 Caterpillar, Inc. ....................... 874,125
-----------
FOOD AND BEVERAGES -- 3.3%
23,000 Diageo Plc, Sponsored ADR................ 871,125
-----------
PAPER AND PAPER PRODUCTS -- 2.9%
17,000 Champion International Corporation....... 770,313
-----------
COMPUTER SERVICE & SOFTWARE -- 2.2%
11,250 Computer Associates International,
Inc. ................................... 594,844
-----------
HEALTHCARE -- 1.9%
15,000 Tenet Healthcare Corporation+............ 496,875
-----------
INSURANCE -- 1.4%
2,400 ACE, Ltd. ............................... 231,600
2,300 EXEL Ltd. ............................... 145,762
-----------
377,362
-----------
APPAREL -- 1.2%
8,500 Nike, Inc., Class B...................... 333,625
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
TOYS, GAMES AND HOBBIES -- 1.1%
8,000 Mattel, Inc............................ $ 298,000
-----------
ENERGY -- 0.9%
4,500 Tenneco, Inc........................... 177,750
2,000 Triton Energy Corporation+............. 58,375
-----------
236,125
-----------
WASTE DISPOSAL -- 0.4%
3,000 Browning-Ferris Industries, Inc. ...... 111,000
-----------
Total Common Stock
(Cost $17,470,017).................... 18,682,406
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
CORPORATE BONDS -- 12.1%
$1,200,000 Beneficial Corporation, Discount Note,
5.550%# due 01/07/1998................ 1,198,890
1,009,000 Ford Motor Company, Discount Note,
5.783%# due 01/06/1998................ 1,008,190
174,000 International Business Machines
Corporation, Discount Note, 5.790%#
due 01/09/1998........................ 173,776
873,000 Prudential Corporation, Discount Note,
5.810%# due 01/09/1998................ 871,873
-----------
Total Corporate Bonds
(Cost $3,252,729)..................... 3,252,729
-----------
AGENCY SECURITIES -- 10.0%
FEDERAL HOME LOAN BANK (FHLB) -- 9.5%
FHLB, Discount Note:
605,000 5.480%# due 01/09/1998................. 604,263
600,000 5.600%# due 01/12/1998................. 598,973
1,340,000 5.750%# due 01/16/1998 ................ 1,336,790
-----------
2,540,026
-----------
FEDERAL FARM CREDIT BANK (FFCB) -- 0.5%
FFCB, Discount Notes:
135,000 5.580%# due 02/11/1998................. 134,142
-----------
Total Agency Securities
(Cost $2,674,168)..................... 2,674,168
-----------
COMMERCIAL PAPER -- 8.2%
1,395,000 American Express Credit Corporation,
5.760%# due 01/20/1998................ 1,390,759
117,000 General Electric Capital Corporation,
5.740%# due 01/28/1998................ 116,496
701,000 Household Finance Corporation,
5.850%# due 01/13/1998................ 699,633
-----------
Total Commercial Paper
(Cost $2,206,888)..................... 2,206,888
-----------
TOTAL INVESTMENTS
(COST
$25,603,802*)............................... 100.1% 26,816,191
OTHER ASSETS AND
LIABILITIES
(NET)....................................... (0.1) (14,221)
----- -----------
NET ASSETS................................... 100.0% $26,801,970
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $25,603,802.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
Ord. -- Ordinary
ADR -- American Depositary Receipt
See Notes to Financial Statements.
32
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- 82.3%
INSURANCE -- 21.2%
110,000 ACE Ltd. ........................................... $ 10,615,000
50,000 AFLAC, Inc. ........................................ 2,556,250
20,300 American International Group, Inc. ................. 2,207,625
79,000 Everest Re Holdings, Inc. .......................... 3,258,750
156,600 EXEL Ltd............................................ 9,924,525
31,000 General Re Corporation.............................. 6,572,000
20,000 Markel Corporation+................................. 3,122,500
80,000 Mid Ocean Ltd. ..................................... 4,340,000
75,000 RenaissanceRe Holdings Ltd. ........................ 3,309,375
------------
45,906,025
------------
BANKING -- 7.1%
31,000 BankBoston Corp. ................................... 2,912,063
40,000 Citicorp............................................ 5,057,500
22,000 Wells Fargo & Company............................... 7,467,625
------------
15,437,188
------------
FINANCIAL SERVICES -- 6.6%
120,000 Countrywide Credit Industries, Inc. ................ 5,145,000
147,000 Federal Home Loan Mortgage Corporation.............. 6,164,812
54,000 Travelers Group, Inc. .............................. 2,909,250
------------
14,219,062
------------
AEROSPACE AND DEFENSE -- 4.7%
40,000 AlliedSignal, Inc. ................................. 1,557,500
88,000 Lockheed Martin Corporation......................... 8,668,000
------------
10,225,500
------------
MANUFACTURING AND ENGINEERING -- 3.7%
163,000 Caterpillar, Inc. .................................. 7,915,688
------------
ENTERTAINMENT AND LEISURE -- 3.5%
83,000 Carnival Corporation................................ 4,596,125
100,000 Sabre Group Holdings, Inc.+......................... 2,887,500
------------
7,483,625
------------
ELECTRONICS -- 3.4%
58,000 Adaptec, Inc.+...................................... 2,153,250
66,000 Arrow Electronics, Inc. ............................ 2,140,875
46,000 AVNET Inc. ......................................... 3,036,000
------------
7,330,125
------------
RESTAURANTS -- 3.3%
75,000 Diageo Plc, Sponsored ADR+.......................... 2,840,625
92,000 McDonald's Corporation.............................. 4,393,000
------------
7,233,625
------------
TRANSPORTATION -- 3.0%
27,000 AMR Corporation+.................................... 3,469,500
114,000 Canadian Pacific, Ord............................... 3,106,500
------------
6,576,000
------------
DIVERSIFIED CHEMICALS -- 2.8%
65,000 duPont (E.I.) de Nemours & Company.................. 3,904,062
44,000 Hercules, Inc. ..................................... 2,202,750
------------
6,106,812
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
HEALTH CARE -- 2.8%
180,000 Tenet Healthcare Corporation+...................... $ 5,962,500
------------
RETAIL -- 2.5%
101,500 May Department Stores Company...................... 5,347,781
------------
AUTO PARTS-ORIGINAL EQUIPMENT -- 2.3%
140,600 LucasVarity Plc, ADR............................... 4,903,425
------------
PHOTO EQUIPMENT & SUPPLIES -- 2.3%
100,000 Polaroid Corp. .................................... 4,868,750
------------
MACHINERY -- 2.0%
120,000 Dover Corporation.................................. 4,335,000
------------
DIVERSIFIED -- 1.9%
65,000 Textron, Inc. ..................................... 4,062,500
------------
DRUGS AND MEDICAL PRODUCTS -- 1.8%
78,000 Becton, Dickinson & Company........................ 3,900,000
------------
COSMETICS AND TOILETRIES -- 1.6%
55,200 Avon Products, Inc. ............................... 3,387,900
------------
ENERGY -- 1.4%
48,000 Tenneco, Inc. ..................................... 1,896,000
40,000 Triton Energy Corporation+......................... 1,167,500
------------
3,063,500
------------
ADVERTISING -- 1.3%
68,200 Omnicom Group...................................... 2,889,975
------------
TELECOMMUNICATIONS -- 1.2%
43,000 Sprint Corporation................................. 2,520,875
------------
TOYS, GAMES AND HOBBIES -- 1.0%
59,375 Mattel, Inc. ...................................... 2,211,718
------------
PRINTING AND PUBLISHING -- 0.9%
52,000 Donnelley (R.R.) & Sons Company.................... 1,937,000
------------
Total Common Stock
(Cost $120,617,980)............................... 177,824,574
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C>
COMMERCIAL PAPER -- 10.4%
$ 6,725,000 Ford Motor Company,
5.800%# due 01/23/1998............................ 6,701,164
5,878,000 General Motors Acceptance Corporation, 5.860%# due
01/14/1998........................................ 5,865,562
239,000 Merrill Lynch & Company, Inc.,
5.850%# due 01/07/1998............................ 238,767
9,678,000 Norwest Financial Inc.,
5.730%# due 01/28/1998............................ 9,636,409
------------
Total Commercial Paper
(Cost $22,441,902)................................ 22,441,902
------------
CORPORATE NOTES -- 4.7%
10,000,000 Beneficial Corporation,
4.550%# due 01/07/1998............................ 9,990,750
218,000 IBM Credit Corporation,
5.700%# due 01/09/1998............................ 217,724
------------
Total Corporate Notes
(Cost $10,208,474)................................ 10,208,474
------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C> <C>
AGENCY SECURITIES -- 2.7%
FEDERAL HOME LOAN BANK (FHLB) -- 2.7%
(Cost $5,849,228)
$ 5,850,000 FHLB,
4.750%# due 01/02/1998............................. $ 5,849,228
------------
TOTAL INVESTMENTS
(COST $159,117,584*)...................................... 100.1% 216,324,178
OTHER ASSETS AND LIABILITIES (NET)......................... (0.1) (285,600)
----- ------------
NET ASSETS................................................. 100.0% $216,038,578
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $159,117,584.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
34
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- 64.3%
TECHNOLOGY -- 13.0%
165,750 Cisco Systems Inc.................................... $ 9,240,563
85,800 Computer Sciences Corporation+....................... 7,083,863
194,600 Intel Corporation.................................... 13,670,650
73,700 Microsoft Corporation+............................... 9,525,725
------------
39,520,801
------------
HEALTH CARE -- 7.8%
77,000 Johnson & Johnson Company............................ 5,072,375
105,700 Lilly, Eli & Company................................. 7,359,363
70,000 United Healthcare Corporation........................ 3,478,125
62,600 Warner-Lambert Company............................... 7,762,400
------------
23,672,263
------------
FINANCIAL SERVICES -- 7.4%
79,800 Associates First Capital Corporation................. 5,675,775
142,300 Federal National Mortgage Association................ 8,119,994
117,900 Merrill Lynch & Company, Inc......................... 8,599,331
------------
22,395,100
------------
TRANSPORTATION -- 5.2%
66,328 Burlington Northern Santa Fe Corporation............. 6,164,266
40,500 Delta Air Lines, Inc................................. 4,819,500
51,600 UAL Corporation+..................................... 4,773,000
------------
15,756,766
------------
TELECOMMUNICATIONS -- 5.1%
69,700 Lucent Technologies, Inc............................. 5,567,288
338,306 CBS Corp+............................................ 9,958,883
------------
15,526,171
------------
CONSUMER NON-DURABLES -- 3.9%
132,600 Philip Morris Companies, Inc......................... 6,008,437
71,800 Procter & Gamble Company............................. 5,730,538
------------
11,738,975
------------
RETAIL -- 3.8%
101,799 Home Depot Inc....................................... 5,961,604
139,900 Tandy................................................ 5,394,894
------------
11,356,498
------------
BASIC INDUSTRIES -- 3.5%
110,000 Boeing Company....................................... 5,383,125
73,700 United Technologies Corporation...................... 5,366,281
------------
10,749,406
------------
FOOD AND BEVERAGES -- 3.2%
106,100 Kellogg Company...................................... 5,265,213
122,900 PepsiCo, Inc......................................... 4,478,169
------------
9,743,382
------------
CONSUMER DURABLES -- 2.6%
164,400 Ford Motor Company................................... 8,004,225
------------
INSURANCE -- 2.0%
81,300 Marsh & McLennan Companies, Inc...................... 6,061,931
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
PRINTING & PUBLISHING -- 1.8%
88,200 Time Warner.......................................... $ 5,468,400
------------
ENTERTAINMENT -- 1.7%
205,300 Mirage Resorts, Inc.+................................ 4,670,575
12,290 Tricon Global Restaurants+........................... 357,178
------------
5,027,753
------------
COMMERCIAL SERVICES -- 1.4%
116,000 Corrections Corporation of America+.................. 4,299,250
------------
CAPITAL GOODS -- 1.3%
55,600 Honeywell Inc. ...................................... 3,808,600
------------
PETROLEUM-INTERNATIONAL -- 0.6%
22,200 Amoco Corporation.................................... 1,889,776
------------
Total Common Stock
(Cost $120,089,447)................................. 195,019,297
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C>
U.S. TREASURY OBLIGATIONS -- 12.4%
U.S. TREASURY NOTES -- 8.3%
U.S. Treasury Notes:
$1,000,000 5.500% due 11/15/1998................................ 998,910
4,720,000 5.875% due 01/31/1999................................ 4,731,045
6,875,000 6.375% due 04/30/1999................................ 6,937,286
1,000,000 6.375% due 05/15/1999................................ 1,009,220
4,345,000 6.000% due 08/15/1999................................ 4,366,030
6,975,000 5.875% due 11/15/2005................................ 7,012,037
------------
25,054,528
------------
U.S. TREASURY BOND -- 4.1%
U.S. Treasury Bond:
2,900,000 12.000% due 08/15/2013............................... 4,272,976
4,230,000 8.000% due 11/15/2021................................ 5,273,626
2,450,000 7.500% due 11/15/2024................................ 2,930,813
------------
12,477,415
------------
Total U.S. Treasury Obligations
(Cost $36,720,969).................................. 37,531,943
------------
MORTGAGE BACKED SECURITIES -- 9.7%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.0%
FHLMC:
3,000,000 6.830% due 03/06/2004................................ 3,140,160
1,995,959 7.500% due 06/01/2011................................ 2,052,705
2,314,790 7.500% due 08/01/2011................................ 2,378,077
747,551 8.000% due 12/01/2016................................ 783,838
1,550,915 8.000% due 01/01/2017................................ 1,605,197
731,418 7.000% due 03/01/2017................................ 747,509
1,898,856 7.500% due 01/01/2017................................ 1,945,719
2,509,699 7.000% due 08/01/2025................................ 2,541,071
------------
15,194,276
------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
MORTGAGE BACKED SECURITIES -- (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 3.7%
FNMA:
1,915,000 6.300% due 09/25/2002............................... $ 1,920,975
1,850,000 6.740% due 05/13/2004............................... 1,922,835
2,030,000 6.480% due 06/28/2004............................... 2,083,288
1,100,000 7.400% due 07/01/2004............................... 1,183,534
1,760,000 6.400% due 09/27/2005............................... 1,797,946
495,082 7.000% due 10/01/2017............................... 499,874
587,181 7.121% due 12/01/2025............................... 598,925
1,043,088 FRN due 01/01/2026.................................. 1,068,996
------------
11,076,373
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 1.0%
GNMA:
$2,580,983 8.000% due 08/15/2026............................... 2,675,344
453,071 8.000% due 10/15/2026............................... 469,635
------------
3,144,979
------------
Total Mortgage-Backed Securities
(Cost $28,891,112)................................. 29,415,628
------------
CORPORATE BONDS -- 8.5%
650,000 Ahmanson HF 2C
8.250% due 10/01/2002.............................. 699,426
350,000 Associates Corporation of North America, Senior
Note,
6.000% due 06/15/2000.............................. 348,933
150,000 Associates Corporation of North America, Senior
Note,
5.250% due 03/30/2000.............................. 147,267
900,000 American General Corp.
6.250% due 12/18/2002.............................. 899,802
900,000 Banc One Corp.
7.600% due 05/01/2007.............................. 967,383
400,000 Bear Stearns Company Inc.
6.500% due 08/01/2002.............................. 401,348
500,000 Bear Stearns
6.750% due 12/15/2007.............................. 504,520
100,000 Boeing Company, Note,
7.250% due 06/15/2025.............................. 107,836
500,000 Campbell Soup
6.150% due 12/01/2002.............................. 501,225
500,000 Carolina Power and Light, First Mortgage,
6.800% due 08/15/2007.............................. 516,185
475,000 Catepillar, Inc., Debentures,
9.375% due 07/15/2001.............................. 521,099
250,000 Chase Manhattan Corporation, Subordinate Note,
6.500% due 08/01/2005.............................. 249,785
1,000,000 CIT Group Holding
6.125% due 12/15/2000.............................. 1,000,150
500,000 Coca Cola Enterprises, Note,
6.375% due 08/01/2001.............................. 503,555
350,000 Coca Cola Enterprises, Note,
7.875% due 02/01/2002.............................. 371,340
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
$ 600,000 Comdisco Inc, Note,
6.500% due 04/30/1999.............................. $ 602,190
350,000 Comdisco Inc., Note,
6.375% due 11/30/2001.............................. 350,000
950,000 Du Pont Ei de Nemours, Note,
6.750% due 09/01/2007.............................. 982,993
750,000 Enron Corp.
6.750% due 09/01/2004.............................. 761,378
250,000 Federated Department Stores, Senior Note,
8.125% due 10/15/2002.............................. 266,713
350,000 Fleet Financial Group, Inc., Subordinate Note,
7.125% due 04/15/2006.............................. 363,927
300,000 Florida Power & Light Company,
First Mortgage Bond,
7.050% due 12/01/2026.............................. 300,855
350,000 Ford Motor Credit Corporation, Note,
8.200% due 02/15/2002.............................. 373,807
900,000 General American Transportation, Note, 6.750% due
03/01/2006......................................... 909,792
350,000 General Motors Corporation, Debenture, 8.100% due
06/15/2024......................................... 381,430
600,000 Hartford Life Insurance Company, Note, 7.650% due
06/15/2027......................................... 634,612
900,000 IBM Corp
7.000% due 10/30/2025.............................. 928,404
1,000,000 International Lease Fin Note
6.375% due 08/01/2002.............................. 1,005,110
350,000 Lehman Brothers, Inc., Note,
7.125% due 07/15/2002.............................. 357,868
400,000 Lockheed Martin Corporation,
Company Guaranteed,
7.250% due 05/15/2006.............................. 419,236
350,000 May Department Stores Company,
Company Guaranteed,
7.450% due 09/15/2011.............................. 375,071
15,000 May Department Stores Company, Debenture,
9.750% due 02/15/2021.............................. 18,702
300,000 MCI Communications Corporation,
Senior Notes,
6.950% due 08/15/2006.............................. 305,925
350,000 Mead Corporation, Debenture,
7.125% due 08/01/2025.............................. 342,500
250,000 NationsBank Corporation, Subordinate Note, 7.500%
due 09/15/2006..................................... 266,646
300,000 News America Holdings, Inc., Note,
8.500% due 02/15/2005.............................. 328,983
350,000 Norwest Corporation, Medium Term Note, 6.125% due
10/15/2000......................................... 349,675
350,000 Pacificorp, Medium Term Note,
6.310% due 07/28/2003.............................. 351,701
250,000 Praxair Inc., Debenture,
8.700% due 07/15/2022.............................. 275,120
1,000,000 Raytheon Company, Note,
6.450% due 08/15/2002.............................. 1,004,910
500,000 Sonat Inc.
6.750% due 10/01/2007.............................. 509,080
500,000 Southern California Edison
5.625% due 10/01/2002.............................. 489,474
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C> <C>
CORPORATE BONDS -- (CONTINUED)
$1,000,000 Southwest Airlines Co.
7.375% due 03/01/2027.............................. $ 1,068,920
350,000 Texas Utilities Electric Company,
First Mortgage Bond,
7.875% due 03/01/2023.............................. 365,673
800,000 Time Warner Entertainment, Senior Note, 8.375% due
03/15/2023......................................... 912,942
250,000 Union Electric Company, First Mortgage Bond,
6.750% due 05/01/2008.............................. 257,576
350,000 Union Pacific Corporation, Note,
7.875% due 02/15/2002.............................. 368,533
800,000 Virginia Electric and Power
7.375% due 07/01/2002.............................. 836,592
1,000,000 Walmart Stores
7.500% due 05/15/2004.............................. 1,067,160
------------
Total Corporate Bonds
(Cost $25,543,348)................................. 25,873,352
------------
COMMERCIAL PAPER -- 4.6%
8,800,000 Bell South Telephone,
5.950%# due 01/05/1998............................. 8,794,182
5,000,000 Merrill Lynch DCP
6.085%# due 01/02/1998............................. 4,999,167
------------
Total Commercial Paper
(Cost $13,793,349)................................. 13,793,349
------------
TOTAL INVESTMENTS
(COST $225,038,225*)...................................... 99.5% 301,633,569
OTHER ASSETS AND LIABILITIES (NET)......................... 0.5 1,468,579
------------
NET ASSETS................................................. 100.0% $303,102,148
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $225,049,454.
+ Non-income producing security.
# Variable rate security. The interest rate shown reflects the rate in effect
at December 31, 1997.
FRN--Floating Rate Note
See Notes to Financial Statements.
37
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
TCW MONEY MARKET PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
COMMERCIAL PAPER -- 49.1%
$1,700,000 Abbott Laboratories,
5.750%# due 01/14/1998............................... $ 1,696,470
1,800,000 American Express Credit Corp,
6.250%# due 01/02/1998............................... 1,799,687
2,300,000 Associates Corporation of North America,
5.530%# due 01/12/1998............................... 2,296,114
2,180,000 BellSouth Telecommunications Inc.,
6.050%# due 01/08/1998............................... 2,177,435
1,600,000 Beneficial Corporation,
6.060%# due 01/07/1998............................... 1,598,384
2,200,000 Ciesco L.P.,
5.820%# due 01/28/1998............................... 2,190,397
1,750,000 Disney (Walt) Company,
5.700%# due 01/05/1998............................... 1,748,892
1,000,000 Florida Power Corporation,
5.770%# due 02/02/1998............................... 994,871
2,200,000 IBM Credit Corporation,
5.710%# due 01/16/1998............................... 2,194,766
1,700,000 Merrill Lynch & Company, Inc.,
5.900%# due 01/06/1998............................... 1,698,607
2,000,000 Morgan Stanley, Dean Witter, Discover & Company,
5.700%# due 01/23/1998............................... 1,993,033
2,300,000 Prudential Funding Corporation,
5.950%# due 01/09/1998............................... 2,296,959
2,417,000 USAA Capital Corporation,
5.520%# due 01/06/1998............................... 2,415,147
-----------
Total Commercial Paper
(Cost $25,100,762)................................... 25,100,762
-----------
U.S. GOVERNMENT AGENCY SECURITIES -- 45.9%
Federal National Mortgage Association (FNMA):
3,000,000 5.480%# due 01/29/1998................................ 2,987,213
1,775,000 8.650% due 02/10/1998................................. 1,779,797
700,000 5.710% due 03/18/1998................................. 700,123
2,000,000 7.000% due 07/13/1998................................. 2,012,453
500,000 5.710% due 09/09/1998................................. 499,686
1,400,000 5.050% due 11/10/1998................................. 1,391,698
-----------
9,370,970
-----------
Federal Home Loan Bank (FHLB):
2,000,000 5.430%# due 02/04/1998................................ 1,989,743
500,000 7.035% due 04/07/1998................................. 501,768
1,700,000 5.829%+ due 04/21/1998................................ 1,700,000
1,000,000 5.820% due 06/16/1998................................. 1,000,339
1,500,000 5.710% due 06/23/1998................................. 1,500,150
1,800,000 5.800% due 09/18/1998................................. 1,800,801
-----------
8,492,801
-----------
Federal Home Loan Mortgage Corporation (FHLMC):
2,100,000 5.840% due 04/08/1998................................. 2,101,095
1,000,000 5.855% due 06/09/1998................................. 1,000,144
-----------
3,101,239
-----------
1,500,000 Student Loan Marketing Association (SLMA),
5.779%+ due 05/21/1998............................... 1,500,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<S> <C>
$1,000,000 Federal Farm Credit Bank (FFCB),
5.700% due 09/02/1998................................ $ 1,000,231
-----------
Total U.S. Government Agency Securities
(Cost $23,465,241)................................... 23,465,241
-----------
CORPORATE NOTES -- 6.8%
500,000 CIT Group Holdings, Inc.,
6.750% due 04/30/1998................................ 501,560
General Electric Cap Corporation:
1,000,000 8.000% due 01/15/1998................................. 1,000,849
1,000,000 7.960% due 02/02/1998................................. 1,001,698
1,000,000 NationsBank Corporation,
6.625% due 01/15/1998................................ 1,000,263
Total Corporate Notes
(Cost $3,504,370).................................... 3,504,370
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $52,070,373*)........................................ 101.8% 52,070,373
OTHER ASSETS AND LIABILITIES (NET).......................... (1.8) (908,743)
----- -----------
NET ASSETS.................................................. 100.0% $51,161,630
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was 52,070,373.
# Rate represents annualized discount yield at date of purchase.
+ Variable rate security. The interest rate shown reflects the rate currently
in effect.
See Notes to Financial Statements.
38
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<S> <C>
COMMON STOCK -- 91.0%
TELECOMMUNICATIONS -- 9.4%
67,400 ALLTEL Corporation................................. $ 2,767,613
58,400 AT&T Corporation................................... 3,577,000
32,100 BCE Inc............................................ 1,069,331
20,300 Bell Atlantic Corporation.......................... 1,847,300
23,300 BellSouth Corporation.............................. 1,312,081
30,700 Frontier Corporation............................... 738,719
43,400 GTE Corporation.................................... 2,267,650
30,141 SBC Communications, Inc............................ 2,207,828
20,600 Southern New England Telecommunications
Corporation....................................... 1,036,437
15,800 Sprint Corporation................................. 926,275
17,400 US West Inc........................................ 785,175
------------
18,535,409
------------
PETROLEUM -- INTERNATIONAL -- 8.9%
23,200 Amerada Hess Corporation........................... 1,273,100
20,100 Amoco Corporation.................................. 1,711,013
14,700 British Petroleum Company Plc, ADR................. 1,171,406
22,800 Chevron Corporation................................ 1,755,600
24,400 Enron Corporation.................................. 1,014,125
35,300 Exxon Corporation.................................. 2,159,919
29,400 Mobil Corporation.................................. 2,122,312
40,700 Occidental Petroleum Corporation................... 1,193,019
23,700 Phillips Petroleum Company......................... 1,152,412
19,300 Repsol S.A., ADR................................... 821,456
26,500 Royal Dutch Petroleum Company, ADR................. 1,435,969
31,200 Texaco Inc......................................... 1,696,500
------------
17,506,831
------------
BANKING AND FINANCE -- 7.0%
29,720 Banc One Corporation............................... 1,614,168
13,800 BankBoston Corporation............................. 1,296,338
15,800 Bankers Trust New York Corporation................. 1,776,513
16,332 Chase Manhattan Corporation........................ 1,788,354
26,460 First Union Corporation............................ 1,356,075
24,400 Mercantile Bankshares Corporation.................. 954,650
14,400 Morgan (J.P.) & Company Inc........................ 1,625,400
18,200 National City Corporation.......................... 1,196,650
17,300 PNC Bank Corporation............................... 987,181
3,433 Wells Fargo & Company.............................. 1,165,289
------------
13,760,618
------------
UTILITIES -- ELECTRIC -- 6.6%
23,600 Baltimore Gas & Electric Company................... 803,875
20,700 Central and Southwest Corporation.................. 560,194
24,500 Dominion Resources Inc............................. 1,042,781
25,700 DQE Inc............................................ 902,713
30,500 Entergy Corporation................................ 913,094
48,750 FirstEnergy Corporation+........................... 1,413,750
11,100 GPU, Inc........................................... 467,587
36,050 PacifiCorp......................................... 984,616
36,800 Peco Energy Company................................ 892,400
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<S> <C>
20,900 Public Service Enterprise Group, Inc................ $ 662,269
56,600 Southern Company.................................... 1,464,525
24,600 Teco Energy, Inc.................................... 691,875
41,500 Unicom Corporation.................................. 1,276,125
20,800 Western Resources, Inc.............................. 894,400
------------
12,970,204
------------
FINANCIAL SERVICES -- 5.4%
10,800 American Express Company............................ 963,900
29,600 American General Corporation........................ 1,600,250
33,200 Block (H&R) Inc..................................... 1,487,775
33,800 Federal National Mortgage Association............... 1,928,712
20,800 Fleet Financial Group, Inc.......................... 1,558,700
21,400 St. Paul Companies, Inc............................. 1,756,137
25,849 Travelers Group, Inc................................ 1,392,615
------------
10,688,089
------------
FOOD AND BEVERAGE -- 5.2%
46,300 Anheuser-Busch Companies Inc........................ 2,037,200
21,900 Brown-Forman Corporation, Class B................... 1,209,975
55,200 Cadbury Schweppes Ord............................... 556,185
23,000 General Mills Inc................................... 1,647,375
24,500 Heinz (H.J.) Company................................ 1,244,906
46,000 McCormick & Company, Inc............................ 1,288,000
29,700 Quaker Oats Company................................. 1,566,675
13,500 Sara Lee Corporation................................ 760,219
------------
10,310,535
------------
CONSUMER PRODUCTS -- 5.0%
3,800 Colgate-Palmolive Company........................... 279,300
48,900 Pall Corporation.................................... 1,011,619
51,100 Philip Morris Companies Inc......................... 2,315,469
25,700 RJR Nabisco Holdings Corporation.................... 963,750
4,600 Rubbermaid, Inc..................................... 115,000
27,100 Tupperware Corporation.............................. 755,412
15,100 Unilever, NV ADR.................................... 942,806
53,700 UST Inc............................................. 1,983,544
25,500 Whirlpool Corporation............................... 1,402,500
------------
9,769,400
------------
PHARMACEUTICALS -- 3.2%
16,800 Abbott Laboratories Company......................... 1,101,450
33,900 American Home Products Corporation.................. 2,593,350
12,300 Amgen, Inc.......................................... 665,738
55,290 Pharmacia & Upjohn Inc.............................. 2,024,996
------------
6,385,534
------------
INSURANCE -- 3.2%
19,600 EXEL Ltd. Ord....................................... 1,242,150
4,100 Hilb, Rogal and Hamilton Company.................... 79,181
13,100 Lincoln National Corporation........................ 1,023,437
22,600 Safeco Corporation.................................. 1,101,750
11,800 Transamerica Corporation............................ 1,256,700
40,900 USF&G Corporation................................... 902,356
53,700 Willis Corroon Group Plc, ADR....................... 661,181
------------
6,266,755
------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<S> <C>
COMMON STOCK -- (CONTINUED)
SPECIALTY CHEMICALS -- 2.7%
12,100 Eastman Chemical Company............................ $ 720,706
33,200 Great Lakes Chemical Corporation.................... 1,489,850
16,400 Imperial Chemical Industries Plc, ADR............... 1,064,975
18,200 Lubrizol Corporation................................ 671,125
6,400 Minnesota Mining & Manufacturing Company............ 525,200
20,200 Nalco Chemical Company.............................. 799,162
------------
5,271,018
------------
ENERGY SERVICES -- 2.6%
30,300 Duke Energy Corporation............................. 1,677,863
44,900 Houston Industries, Inc............................. 1,198,269
22,400 PG&E Corporation.................................... 681,800
40,100 Witco Corporation................................... 1,636,581
------------
5,194,513
------------
ELECTRICAL EQUIPMENT -- 2.6%
30,000 AMP, Inc............................................ 1,260,000
18,207 Cooper Industries Inc............................... 892,143
25,400 General Electric Company............................ 1,863,725
23,100 Hubbell Inc., Class B............................... 1,139,119
------------
5,154,987
------------
DIVERSIFIED CHEMICALS -- 2.5%
31,300 Dow Chemical Company................................ 3,176,950
29,000 du Pont (E.I.) de Nemours & Company................. 1,741,813
------------
4,918,763
------------
OTHER -- 2.4%
29,800 Eastman Kodak Company............................... 1,812,213
248,200 Smith & Nephew Ord.................................. 735,774
265,800 Tomkins Plc......................................... 1,270,321
34,600 Waste Management, Inc. ............................. 951,500
------------
4,769,808
------------
PAPER AND PAPER PRODUCTS -- 2.4%
21,100 Consolidated Papers Inc............................. 1,126,213
8,900 Georgia-Pacific Company, (Georgia-Pacific Group).... 540,675
8,900 Georgia-Pacific Company, (Timber Group)............. 201,919
25,300 International Paper Company......................... 1,091,062
32,100 Union Camp Corporation.............................. 1,723,369
------------
4,683,238
------------
MEDIA AND COMMUNICATIONS -- 2.3%
36,500 Dun & Bradstreet Corporation........................ 1,129,219
31,200 Knight-Ridder, Inc.................................. 1,622,400
14,300 McGraw-Hill Companies Inc........................... 1,058,200
28,300 Readers Digest Association Inc., Class A............ 668,587
2,600 Readers Digest Association Inc., Class B............ 63,375
------------
4,541,781
------------
RAILROADS -- 2.1%
54,100 Norfolk Southern Corporation........................ 1,666,956
41,000 Union Pacific Corporation........................... 2,559,937
------------
4,226,893
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<S> <C>
AUTOMOTIVES -- 2.0%
24,600 Echlin Inc. .............................. $ 890,213
22,200 General Motors Corporation................ 1,345,875
44,850 Genuine Parts Company..................... 1,522,097
------------
3,758,185
------------
PETROLEUM-DOMESTIC -- 1.9%
35,000 Atlantic Richfield Company................ 2,804,375
30,700 USX-Marathon Group ....................... 1,036,125
------------
3,840,500
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.8%
16,900 Bard (C.R.), Inc.......................... 529,181
25,000 Bausch & Lomb Inc......................... 990,625
11,600 Baxter International Inc+................. 585,075
51,800 US Surgical Corporation................... 1,518,387
------------
3,623,268
------------
DIVERSIFIED -- 1.8%
26,700 Fortune Brands, Inc. ..................... 989,569
32,700 Olin Corporation.......................... 1,532,812
16,800 PPG Industries, Inc....................... 959,700
------------
3,482,081
------------
RETAIL -- 1.5%
16,600 May Department Stores Company............. 874,612
34,100 Penney (J.C.) Company, Inc................ 2,056,656
------------
2,931,268
------------
REAL ESTATE -- 1.4%
10,500 Rouse Company............................. 343,875
13,400 Security Capital Pacific Trust............ 324,950
47,032 Simon DeBartolo Group, Inc................ 1,537,359
12,700 Weingarten Realty Inc..................... 569,119
------------
2,775,303
------------
PRINTING AND PUBLISHING -- 1.3%
35,600 Donnelley (R.R.) & Sons Company........... 1,326,100
24,600 Dow Jones & Company, Inc.................. 1,320,713
------------
2,646,813
------------
METALS AND MINING -- 1.2%
19,900 Inco Ltd.................................. 338,300
34,836 Newmont Mining Corporation................ 1,023,307
17,000 Reynolds Metals Company................... 1,020,000
------------
2,381,607
------------
COSMETICS & TOILETRIES -- 1.2%
37,800 International Flavors & Fragrances, Inc... 1,946,700
7,400 Kimberly-Clark Corporation................ 364,912
------------
2,311,612
------------
TRANSPORTATION SERVICES -- 0.8%
14,000 Alexander & Baldwin Inc................... 382,375
13,900 Burlington Northern Santa Fe Corporation.. 1,291,831
------------
1,674,206
------------
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<S> <C>
LODGING -- 0.6%
21,900 Hilton Hotels Corporation.......................... $ 651,525
7,600 ITT Corporation+................................... 629,850
------------
1,281,375
------------
BUSINESS SERVICES -- 0.6%
12,100 Deluxe Corporation................................. 418,206
9,200 GATX Corporation................................... 667,575
------------
1,085,781
------------
BUILDING AND CONSTRUCTION -- 0.5%
13,100 Armstrong World Industries Inc..................... 979,225
------------
STEEL -- 0.4%
23,200 USX-U.S. Steel Corporation......................... 725,000
------------
AEROSPACE & DEFENSE -- 0.3%
12,800 AlliedSignal Inc. ................................. 498,400
1,416 Raytheon Company, Class A.......................... 69,811
------------
568,211
------------
CONGLOMERATES -- 0.1%
177,500 Lonhro Ord......................................... 271,111
------------
TEXTILES & APPAREL -- 0.1%
3,500 Unifi, Inc......................................... 142,406
------------
Total Common Stock
(Cost $150,095,655)............................... 179,432,328
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C>
U.S. TREASURY OBLIGATIONS -- 7.5%
U.S. TREASURY BILLS -- 6.4%
$12,665,000 U.S. Treasury Bill, Discounted,
4.600%# due 01/22/1998............................ 12,631,016
------------
U.S. TREASURY NOTES -- 0.8%
U.S. Treasury Notes:
100,000 7.250% due 02/15/1998.............................. 100,172
300,000 5.875% due 11/15/1999.............................. 301,077
100,000 7.125% due 02/29/2000.............................. 102,891
300,000 6.500% due 05/31/2001.............................. 307,125
400,000 5.750% due 08/15/2003.............................. 400,248
50,000 7.500% due 02/15/2005.............................. 54,953
300,000 7.000% due 07/15/2006.............................. 323,811
------------
1,590,277
------------
U.S. TREASURY BONDS -- 0.3%
U.S. Treasury Bond:
180,000 5.625% due 02/15/2006.............................. 177,975
400,000 6.000% due 02/15/2026.............................. 399,500
------------
577,475
------------
Total U.S. Treasury Obligations
(Cost $14,693,469)................................ 14,798,768
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- ------------
<S> <C> <C>
COMMERCIAL PAPER -- 1.6%
$3,000,000 Bell Atlantic Financial Corporation, 5.850%# due
01/27/1998........................................ $ 2,987,326
125,000 Hewlett-Packard Company,
5.950%# due 01/21/1998............................ 124,587
------------
Total Commercial Paper
(Cost $3,111,912)................................. 3,111,913
------------
CORPORATE NOTES -- 1.0% (Cost $2,088,056)
2,100,000 Preferred Receivables,
5.850%# due 02/05/1998............................ 2,088,056
------------
TOTAL INVESTMENTS
(COST
$169,989,092*).......................................... 101.1 % 199,431,065
OTHER ASSETS AND
LIABILITIES
(NET)................................................... (1.1) (2,202,966)
----- ------------
NET ASSETS............................................... 100.0 % $197,228,099
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $169,960,320.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
41
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<S> <C>
COMMON STOCK -- 93.7%
BANKING AND FINANCE -- 11.3%
9,000 Barnett Banks Inc. ...................................... $ 646,875
125,000 Banca Fideuram........................................... 547,272
7,800 Citicorp................................................. 986,213
35,800 Federal National Mortgage Association.................... 2,042,837
15,900 First Union Corporation.................................. 814,875
84,800 Federal Home Loan Mortgage Corporation................... 3,556,300
6,100 Honeywell Inc. .......................................... 417,850
8,500 Northern Trust Corporation............................... 592,875
47,800 Norwest Corporation...................................... 1,846,275
1,700 SLM Holding Corporation.................................. 236,512
24,900 Toronto Dominion Bank ADR................................ 938,419
3,800 Wells Fargo & Company.................................... 1,289,862
-----------
13,916,165
-----------
COMPUTER SERVICE AND SOFTWARE -- 8.8%
15,300 Automatic Data Processing Inc. .......................... 939,037
21,600 BMC Software, Inc.+...................................... 1,417,500
12,600 Cisco Systems Inc.+...................................... 702,450
15,900 Compaq Computer Corporation.............................. 897,356
4,200 Dell Computer Corporation................................ 352,800
15,800 EMC Corporation -- Massachusetts......................... 433,512
15,000 Getronics NV............................................. 477,881
6,700 Intel Corporation........................................ 470,675
12,600 Microsoft Corporation+................................... 1,628,550
22,300 Network Associates Inc.+................................. 1,179,112
27,550 Oracle Corporation....................................... 614,709
27,800 Parametric Technology Company+........................... 1,317,025
14,100 Platinum Technology Inc.+................................ 398,325
-----------
10,828,932
-----------
INSURANCE -- 5.6%
24,100 ACE Ltd ................................................. 2,325,650
6,800 Aetna Inc. .............................................. 479,825
5,800 Erie Indemnity Company................................... 171,100
9,800 EXEL Ltd................................................. 621,075
21,898 Travelers Group Inc. .................................... 1,179,791
12,900 Travelers Property Casualty -- CL A...................... 567,600
28,900 UNUM Corporation......................................... 1,571,437
-----------
6,916,478
-----------
TELECOMMUNICATIONS -- 5.4%
14,300 A T & T Corporation...................................... 875,875
3,600 Ericsson (LM) Telephone, Class B, ADR.................... 134,325
60,000 Grupo Iusacell S.A. de CV, Series D, ADR+................ 915,000
22,900 MCI Communications Corporation........................... 980,406
14,000 Nokia Corporation ADR A.................................. 980,000
5,400 Telebras ADR............................................. 628,762
11,000 Telecel-Comunicacoes Pessoai+............................ 1,172,018
25,000 Telecom Italia Mobile SpA................................ 115,390
60,050 Telecom Italia Risp...................................... 264,777
21,100 WorldCom, Inc. .......................................... 638,275
-----------
6,704,828
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<S> <C>
HEALTH CARE SERVICES -- 4.6%
9,900 American Home Products Corporation........................ $ 757,350
6,200 Amgen Inc.+............................................... 335,575
13,100 Bristol-Meyers Squibb Company............................. 1,239,588
36,400 HEALTHSOUTH Corporation................................... 1,010,100
8,300 Johnson & Johnson Company................................. 546,762
4,900 PacifiCare Health Systems, Inc.+.......................... 256,637
22,800 Tenet Healthcare Corporation+............................. 755,250
15,400 United Healthcare Corporation............................. 765,187
-----------
5,666,449
-----------
CONSUMER PRODUCTS -- 4.5%
5,000 Hagemeyer NV.............................................. 208,857
21,100 Masco Corporation......................................... 1,073,462
43,800 Philip Morris Companies Inc. ............................. 1,984,687
9,000 Procter & Gamble Company.................................. 718,312
17,700 Service Corporation International......................... 653,794
60,600 TAG Heuer International SA, Sponsored ADR+................ 499,950
7,200 Unilever NV, ADR.......................................... 449,500
-----------
5,588,562
-----------
MEDIA AND COMMUNICATIONS -- 4.4%
18,400 Cox Communications, Inc., Class A+........................ 737,150
8,000 Modern Times Group -- B Shares+........................... 46,852
22,600 Tribune Company........................................... 1,406,850
53,500 Ver Ned Uitgevers......................................... 1,509,198
70,000 Vodafone Group Ord. ...................................... 509,867
16,900 Vodafone Group Plc, ADR................................... 1,225,250
-----------
5,435,167
-----------
PHARMACEUTICALS -- 4.0%
31,333 Astra AB, Class B......................................... 526,827
13,700 Biogen Inc.+.............................................. 498,337
15,100 Merck & Company........................................... 1,604,375
20,400 Pfizer Inc. .............................................. 1,521,075
6,100 Warner-Lambert Company.................................... 756,400
-----------
4,907,014
-----------
BUSINESS SERVICES -- 3.9%
44,600 Cendant Corporation+...................................... 1,533,125
20,000 Elsevier NV............................................... 323,519
19,900 Ikon Office Solutions, Inc................................ 559,687
20,550 Interpublic Group of Companies Inc. ...................... 1,023,647
33,132 Mutual Risk Management Ltd................................ 991,889
4,800 Reuters Holdings Plc, Class B, ADR........................ 318,000
-----------
4,749,867
-----------
FINANCIAL SERVICES -- 3.7%
13,500 AMBAC Inc. ............................................... 621,000
21,800 Block (H&R) Inc........................................... 976,913
2,400 Fairfax Financial Holdings, Ltd.+......................... 537,232
46,380 First Data Corporation.................................... 1,356,615
14,000 PartnerRe Ltd. ........................................... 649,250
5,500 St. Paul Companies, Inc................................... 451,344
-----------
4,592,354
-----------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTOFLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<S> <C>
COMMON STOCK - (CONTINUED)
RETAIL -- 3.4%
5,300 Circuit City Stores Inc. .............................. $ 188,481
24,500 Corporate Express Inc.................................. 315,437
9,909 CVS Corporation........................................ 634,795
17,000 Dillards Inc. CL A..................................... 599,250
10,000 Hennes & Mauritz Company, Series B..................... 440,812
15,100 Home Depot Inc......................................... 884,294
5,400 Kohl's Corporation+.................................... 367,875
19,700 Wal-Mart Stores, Inc................................... 776,919
------------
4,207,863
------------
MACHINERY -- 3.3%
37,400 Danaher Corporation.................................... 2,360,875
25,700 Teleflex Inc. ......................................... 970,175
22,100 TriMas Corporation..................................... 759,687
------------
4,090,737
------------
ELECTRONIC COMPONENTS -- 2.9%
24,000 Analog Devices Inc.+................................... 664,500
12,300 Hewlett-Packard Company................................ 768,750
12,500 Linear Technology Corporation.......................... 720,312
29,000 Maxim Integrated Products Inc.......................... 1,000,500
15,900 National Semiconductor Corporation..................... 412,406
1,900 Xilinx Inc.+........................................... 66,619
------------
3,633,087
------------
ELECTRICAL EQUIPMENT -- 2.8%
43,700 General Electric Company............................... 3,206,487
10,750 Molex Inc., Class A.................................... 309,062
------------
3,515,549
------------
FOOD AND BEVERAGE - 2.8%
1,000 LVMH Moet Hennessey Louis Vitton Ord. ................. 165,947
29,700 PepsiCo Inc. .......................................... 1,082,194
20,600 Safeway Inc.+.......................................... 1,302,950
16,000 Sara Lee Corporation................................... 901,000
------------
3,452,091
------------
CONGLOMERATES -- 2.8%
69 Berkshire Hathaway Inc.+............................... 3,174,000
40,000 Swire Pacific.......................................... 219,383
------------
3,393,383
------------
OTHER -- 2.4%
50,000 Granada Group Plc...................................... 763,692
200,000 Rentokil Initial Plc................................... 870,445
50 Sig Schweiz Ag......................................... 136,832
240,000 Tomkins Plc............................................ 1,147,017
------------
2,917,986
------------
PETROLEUM-INTERNATIONAL -- 2.2%
13,900 Mobil Corporation...................................... 1,003,406
31,900 Royal Dutch Petroleum Company, ADR..................... 1,728,581
------------
2,731,987
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<S> <C>
ENTERTAINMENT AND LEISURE -- 2.2%
15,400 Carnival Corporation..................................... $ 852,775
15,269 Disney (Walt) Company.................................... 1,512,585
7,600 McDonald's Corporation................................... 362,900
------------
2,728,260
------------
REAL ESTATE -- 1.8%
70,000 Security Capital US Realty++............................. 994,000
22,100 Starwood Lodging Trust................................... 1,279,037
------------
2,273,037
------------
MEDICAL SUPPLIES -- 1.8%
7,000 Baxter International Inc. ............................... 353,062
6,100 Boston Scientific Corporation+........................... 279,838
7,900 Medtronic Inc. .......................................... 413,269
700 Novartis AG+............................................. 1,135,019
------------
2,181,188
------------
MANUFACTURING -- 1.4%
39,422 Tyco International Ltd................................... 1,776,454
------------
AEROSPACE AND DEFENSE -- 1.4%
44,900 AlliedSignal Corporation................................. 1,748,294
------------
ENERGY SERVICES -- 1.1%
4,900 Cooper Cameron Corporation............................... 298,900
11,200 Halliburton Company...................................... 581,700
5,800 Schlumberger Ltd......................................... 466,900
------------
1,347,500
------------
PAPER AND PAPER PRODUCTS -- 1.1%
19,028 Kimberly-Clark Corporation............................... 938,318
80,000 Kimberly-Clark de Mexico, SA............................. 381,637
------------
1,319,955
------------
METALS AND MINING -- 1.0%
20,353 Anglo American Platinum -- ADR........................... 281,380
15,000 Anglo American Platinum Corporation...................... 200,349
23,000 Newmont Mining Corporation............................... 675,625
1,700 Pohang Iron & Steel, ADR................................. 29,644
------------
1,186,998
------------
BIOTECHNOLOGY -- 0.8%
15,500 Genentech Inc.+.......................................... 939,687
------------
WASTE DISPOSAL -- 0.8%
23,600 USA Waste Services, Inc.+................................ 926,300
------------
TOYS, GAMES, AND HOBBIES -- 0.7%
22,200 Mattel, Inc. ............................................ 826,950
------------
TRANSPORTATION -- 0.6%
75,000 Hutchinson Whampoa, Ltd.................................. 470,383
25,100 Tranz Rail Holdings Ltd ADR.............................. 288,650
------------
759,033
------------
SPECIALTY CHEMICALS -- 0.2%
4,500 Great Lakes Chemical Corporation......................... 201,938
------------
ENGINEERING AND CONSTRUCTION -- 0.0%##
51,000 United Engineers (Malaysia) Berhad....................... 42,485
------------
Total Common Stock
(Cost $91,318,973)...................................... 115,506,578
------------
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -------------
<S> <C> <C>
AGENCY SECURITIES -- 1.2%
FEDERAL HOME LOAN BANK (FHLB):
$1,343,000 4.750%# due 01/02/1998............................ $ 1,342,883
129,000 5.540%# due 01/16/1998............................ 128,702
-------------
Total Agency Securities
(Cost $1,471,585)................................ 1,471,585
-------------
CORPORATE DISCOUNT NOTES -- 2.3%
(Cost $2,810,075)
$2,817,000 Procter & Gamble Company, 5.900%# due 01/16/1998.. 2,810,075
-------------
COMMERCIAL PAPER -- 2.6%
215,000 Abbott Laboratories Company, 6.050%# due
01/05/1998....................................... 214,855
2,989,000 Ciesco, L.P., 6.400%# due 01/02/98................ 2,988,468
-------------
Total Commercial Paper
(Cost $3,203,323)................................ 3,203,323
-------------
TOTAL INVESTMENTS
(COST $98,803,956)........................................ 99.8% $122,991,561
OTHER ASSETS AND LIABILITIES (NET)......................... 0.2 237,954
----- ------------
NET ASSETS................................................. 100.0% $123,229,515
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $98,859,256.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
## Amount represents less than 0.1%.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
44
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- 93.1%
UNITED KINGDOM -- 18.7%
56,000 Abbey National Ord. .................................. $ 1,003,410
64,733 Argos Ord. ........................................... 585,791
207,000 ASDA Group Plc........................................ 603,440
57,353 British Gas Ord. ..................................... 258,090
47,000 British Petroleum Company Ord......................... 617,523
114,000 Cable & Wireless...................................... 1,001,669
82,768 Cadbury Schweppes Ord. ............................... 833,955
124,200 Caradon Plc........................................... 366,144
44,000 Centrica Plc+......................................... 64,676
42,000 Compass Group Ord..................................... 513,201
276,000 Diageo Plc............................................ 2,536,148
45,000 Electrocomponents Ord. ............................... 334,054
7,000 GKN Ord. ............................................. 143,361
95,000 Glaxo Wellcome Ord.................................... 2,246,733
11,000 Heywood Williams Group Corporation Ord................ 37,487
33,000 Hillsdown Holdings Ord................................ 80,483
138,000 Kingfisher Ord. ...................................... 1,921,942
74,000 Ladbroke Group Ord.................................... 320,849
28,000 Laing (John), Class A, Non-Voting Ord. ............... 148,534
237,000 National Westminster Bank Ord......................... 3,939,075
78,000 Rank Group Plc........................................ 434,270
223,000 Reed International Ord................................ 2,234,087
61,000 Rio Tinto Corporation Ord............................. 750,373
29,518 Rolls Royce Ord....................................... 113,925
116,000 Safeway, Inc. ........................................ 653,458
333,000 Shell Transport & Trading Ord......................... 2,406,370
58,000 Smith (David S.) Holdings Ord......................... 189,560
282,200 SmithKline Beecham Ord. .............................. 2,887,424
68,000 T&N Plc Ord. ......................................... 283,667
96,000 Tesco Ord. ........................................... 780,444
259,000 Tomkins Ord. ......................................... 1,237,822
104,000 United Newspapers & Media Ord. ....................... 1,183,674
------------
30,711,639
------------
JAPAN -- 18.1%
2,420 Advantest............................................. 137,174
24,000 Alps Electric Company................................. 226,120
37,000 Amada Company Ltd. ................................... 137,457
81,000 Canon Inc............................................. 1,886,174
23,000 Citizen Watch Company................................. 154,155
37,000 Dai Nippon Screen Manufacturing....................... 170,050
44,000 Daichi Pharmaceutical Company......................... 495,442
6,000 Daifuku Company Ltd. ................................. 29,184
50,000 Daiwa House Industry Company.......................... 264,267
74 DDI Corporation....................................... 195,557
71,000 Denso Corporation..................................... 1,278,054
136 East Japan Railway Company............................ 613,589
10,400 Fanuc Company Ltd..................................... 393,535
76,000 Hitachi Ltd........................................... 541,402
65,000 Hitachi Zosen Corporation............................. 104,060
4,000 Honda Motor Company Ltd. ............................. 146,764
16,000 Inax.................................................. 46,450
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
15,000 Ishihara Sangyo Kaisha+.............................. $ 16,660
19,000 Ito-Yokado Company................................... 967,828
34,000 Kao Corporation...................................... 489,621
21,000 Kokuyo Company Ltd................................... 361,930
46,000 Komatsu Ltd.......................................... 230,793
17,000 Komori Corporation................................... 252,624
31,000 Kumagai Gumi......................................... 16,859
48,000 Kuraray Company...................................... 397,089
25,000 Kyocera Corporation.................................. 1,133,665
31,000 Makita Corporation................................... 296,821
47,000 Marui Company Ltd. .................................. 730,831
78,000 Matsushita Electric Industrial Company............... 1,141,172
44,000 Mitsubishi Corporation............................... 347,147
243,000 Mitsubishi Heavy Industries Ltd...................... 1,012,578
22,000 Mitsubishi Paper Mills Ltd........................... 30,839
116,000 Mitsui Fudosan Company............................... 1,119,571
15,000 Mitsui Petrochemical Industries...................... 27,576
21,000 Murata Manufacturing Company......................... 527,614
9,000 National House Industrial Company.................... 61,701
132,000 NEC Corporation...................................... 1,405,439
9,000 Nippon Hodo.......................................... 28,954
272,000 Nippon Steel Corporation............................. 402,114
56 Nippon Telegraph & Telephone Corporation............. 480,429
69,000 Nomura Securities Company Ltd. ...................... 919,648
26,000 Pioneer Electronics Corporation...................... 400,306
4,000 Sangetso Company Ltd................................. 41,057
48,000 Sankyo Company....................................... 1,084,642
6,000 Sega Enterprises..................................... 108,464
58,000 Sekisui Chemical Company Ltd. ....................... 294,554
41,000 Sekisui House........................................ 263,493
5,620 Seven-Eleven Japan Company Ltd....................... 397,769
63,000 Sharp Corporation.................................... 433,351
42,000 Shinetsu Chemicals Company Ltd. ..................... 801,072
18,000 Shiseido Company Ltd. ............................... 245,423
17,300 Sony Corporation..................................... 1,537,189
78,000 Sumitomo Corporation................................. 436,155
109,000 Sumitomo Electric Industries Ltd. ................... 1,486,174
20,000 Sumitomo Forestry Company Ltd. ...................... 97,894
18,000 TDK Corporation...................................... 1,356,722
96,000 Teijin............................................... 200,751
17,000 Tokio Marine & Fire Insurance Company................ 192,723
9,700 Tokyo Electron....................................... 310,578
17,000 Tokyo Steel Manufacturing............................ 57,426
36,000 Toppan Printing Company Ltd. ........................ 468,786
22,000 UNY Company Ltd. .................................... 301,647
7,717 Yurtec Corporation................................... 47,348
------------
29,782,461
------------
NETHERLANDS -- 9.9%
46,070 ABN Amro Holdings N.V. .............................. 897,454
9,569 Ahold (Kon) N.V. .................................... 249,642
994 Akzo Nobel N.V. ..................................... 171,378
10,574 Baan Company......................................... 346,261
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
NETHERLANDS -- (CONTINUED)
6,000 Baan Company N.V..................................... $ 198,000
15,187 CSM CVA.............................................. 674,079
115,930 Elsevier N.V. ....................................... 1,875,279
17,365 Fortis Amev N.V. .................................... 757,048
47,740 International Nederlanden Groep N.V. ................ 2,010,651
4,254 Koninklijke PTT Nederland............................ 177,486
9,500 Nutricia (Veringde Bedrijven)........................ 288,134
2,500 Otra N.V. ........................................... 35,755
15,605 Polygram N.V. ....................................... 746,503
72,100 Royal Dutch Petroleum Company........................ 3,957,553
25,100 Unilever N.V. ....................................... 1,547,320
18,665 Wolters Kluwer....................................... 2,410,792
------------
16,343,335
------------
FRANCE -- 8.6%
955 Accor................................................ 177,516
4,666 Alcatel Alsthom Cie Generale D'Electric.............. 592,939
3,199 Assurances Generales de France....................... 169,462
5,260 AXA Company+++....................................... 406,907
1,460 Canal Plus........................................... 271,385
600 Carrefour............................................ 312,957
4,040 Compagnie de Saint-Gobain............................ 573,787
3,449 Credit Commercial de France.......................... 236,331
2,990 Danone............................................... 533,929
2,808 Dexia France......................................... 325,112
17,880 Eaux (Cie Generale des).............................. 2,494,884
1,630 GTM--Entrepose....................................... 109,659
1,686 Guilbert SA.+++...................................... 240,297
1,210 Havas................................................ 87,032
2,820 Lapeyre.............................................. 155,287
1,103 Legrand.............................................. 219,684
572 L'Oreal.............................................. 223,764
683 LVHM Moet Hennessey.................................. 113,342
845 Pathe................................................ 163,947
2,818 Pinault Printemps Redoute............................ 1,503,089
1,504 Primagaz............................................. 125,666
8,189 Sanofi SA. .......................................... 911,400
12,562 Schneider............................................ 681,937
3,007 Societe Generale Ord. ............................... 409,591
5,070 Societe Nationale Elf Aquitaine...................... 589,535
973 Sodexho.............................................. 520,927
3,290 Television Francaise................................. 336,105
15,268 Total SA 'B' Shares.................................. 1,661,219
------------
14,147,690
------------
SWITZERLAND -- 6.6%
561 ABB AG............................................... 704,297
2,375 Adecco SA. .......................................... 688,135
2,550 Credit Suisse Group.................................. 394,280
1,336 Nestle SA. .......................................... 2,000,824
2,009 Novartis AG.......................................... 3,257,504
246 Roche Holdings AG Genuscheine........................ 2,441,234
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
360 Schweizerischer Bankverein........................... $ 520,179
2,350 Schweizerischer Bankverein--Redg. ................... 729,929
------------
10,736,382
------------
GERMANY -- 5.2%
3,330 Allianz AG........................................... 862,579
2,719 Autotote Corporation, Class A+....................... 6,628
16,083 Bayer AG............................................. 600,766
12,741 Bayerische Hypotheken-Und Wechsel Bank............... 621,823
8,927 Bayerische Vereinsbank AG............................ 584,051
3,600 Bilfinger & Berger Bau AG............................ 111,662
232 Buderus AG........................................... 103,942
5,280 Commerzbank AG....................................... 207,795
13,624 Deutsche Bank AG..................................... 961,783
14,927 Deutsche Telekom AG.................................. 280,867
4,490 Dresdner Bank AG..................................... 207,154
15,800 Gehe AG.............................................. 790,439
5,430 Hoechst AG........................................... 190,156
700 Hornbach Baumarkt AG................................. 19,844
557 Mannesmann AG........................................ 281,441
2,922 Rhoen Klinikum AG.................................... 285,865
2,450 SAP AG............................................... 744,261
5,558 Siemens AG........................................... 329,031
18,321 Veba AG.............................................. 1,247,539
264 Volkswagen AG........................................ 148,509
------------
8,586,135
------------
ITALY -- 3.8%
21,000 Assicurazioni Generali............................... 515,800
34,000 Banca Commerciale Italiana........................... 118,202
262,553 Credito Italiano S.p.A............................... 809,625
174,772 Ente Nazionale Idrocarburi........................... 990,935
5,106 Gucci Group N.V...................................... 213,814
37,870 IMI S.p.A. Ord....................................... 449,559
6,140 Industrie Natuzzi S.p.A.............................. 126,638
34,740 Italgas S.p.A. ...................................... 143,359
18,753 Mediolanum S.p.A..................................... 353,010
8,000 Rinascente Ord. ..................................... 59,695
47,990 Telecom Italia Mobile di Risp S.p.A. ................ 136,455
281,353 Telecom Italia Mobile S.p.A. ........................ 1,298,613
170,315 Telecom Italia S.p.A. ............................... 1,087,936
------------
6,303,641
------------
SWEDEN -- 3.2%
28,890 ABB AB, Series A..................................... 342,027
83,060 Astra AB, Series B................................... 1,396,555
18,610 Atlas Copco AS, Series B............................. 554,322
9,480 Electrolux Company AB, Series B...................... 657,877
4,870 Esselte AB , Series B................................ 98,751
4,355 Granges AB........................................... 68,288
21,350 Hennes & Mauritz AB, Series 5........................ 941,133
129,222 Nordbanken AB........................................ 730,748
2,480 Sandvik AB, Series A................................. 70,590
15,380 Sandvik AB, Series B................................. 439,711
3,330 Scribona AB Free, Series B........................... 37,117
------------
5,337,119
------------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
HONG KONG -- 2.4%
23,000 Cheung Kong (Holdings) Ltd........................... $ 150,632
32,000 China Light & Power Company.......................... 177,571
87,000 Dao Heng Bank Group.................................. 217,247
37,540 First Pacific Company Ltd. .......................... 18,167
214,285 Hong Kong Land Holdings Ord.......................... 411,427
6,800 HSBC Holdings Plc.................................... 167,609
156,000 Hutchison Whampoa, Ltd............................... 978,397
202,120 New World Development Company........................ 699,034
23,000 Sun Hung Kai Properties Ltd. ........................ 160,279
81,000 Swire Pacific Company, Class A....................... 444,251
211,000 Wharf Holdings....................................... 462,898
------------
3,887,512
------------
SPAIN -- 2.2%
3,702 Argentaria........................................... 225,255
6,990 Banco Bilbao Vizcaya................................. 226,194
20,644 Banco de Santander Ord............................... 689,714
6,320 Banco Popular de Espanol............................. 441,798
5,056 Centros Comerciales Pryca............................ 75,334
20,848 Empresa Nacional de Electricidad (Endesa)............ 370,160
4,589 Gas Natural S.D.G., S.A.............................. 237,959
29,786 Iberdrola S.A........................................ 391,998
6,832 Repsol S.A........................................... 291,487
23,676 Telefonica de Espana Ord. ........................... 676,013
------------
3,625,912
------------
BRAZIL -- 2.2%
4,788,511 Cemig Energetica Minas Gerais........................ 208,051
8,086 Cemig Energetica Minas Gerais, ADR................... 343,655
6,800,000 Centrais Eletrobras.................................. 338,157
3,930 Cesp Cia Energetica ADS++............................ 67,400
6,030 Cia Brasil Dist Pao de Acucar, ADR................... 116,831
20,159 Telebras, ADR........................................ 2,347,264
7,156 Telec de Minas Gerais S.A.+.......................... 808
55,559 Telec de Sao Paulo S.A. ............................. 12,644
21,660 Usinas Siderurgicas de Minas Gerais S.A. ............ 108,300
21,600 White Martins S.A. .................................. 31,547
------------
3,574,657
------------
AUSTRALIA -- 2.0%
18,000 Australia and New Zealand Banking Group Ltd. ........ 118,957
43,330 Australian Gas Light Company......................... 302,171
5,000 Brambles Industries Ltd. ............................ 99,229
32,951 Broken Hill Property Company Ord..................... 306,030
30,655 Commonwealth Bank of Australia....................... 351,637
78,000 Fosters Brewing Group................................ 148,443
39,000 FXF Trust+........................................... 6,609
69,000 John Fairfax Holding................................. 143,906
11,368 Lend Lease Corporation Ord........................... 222,273
11,707 National Australia Bank Ltd.......................... 163,511
46,340 News Corporation, The Ord............................ 255,812
39,000 Publishing & Broadcasting Ltd........................ 175,742
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
112,600 Sydney Harbour Casino+............................... $ 106,778
33,000 Tabcorp Holdings Ltd................................. 154,856
107,000 Telstra Corporation Limited+......................... 225,949
33,000 Westpac Banking Corporation.......................... 211,120
27,000 WMC Ltd. ............................................ 94,145
32,000 Woodside Petroleum Ltd. ............................. 225,662
------------
3,312,830
------------
MEXICO -- 2.0%
40,310 Cemex, ADS+.......................................... 346,666
16,590 Cemex, Class B+...................................... 88,392
2,265 Cifra S.A. de CV, Class E, ADR....................... 54,358
34,169 Fomento Economico Mexicana, Series B................. 274,351
33,683 Gruma S.A. de CV, Series B........................... 133,555
7,946 Gruma S.A. de CV, Series B, ADR++.................... 125,150
47,166 Grupo Financiero Banamex, Series B................... 141,139
1,942 Grupo Financiero Banamex, Series L+.................. 5,005
84,790 Grupo Industrial Maseca S.A., Class B................ 87,621
18,986 Grupo Modelo S.A. de CV, Series C.................... 159,030
4,885 Grupo Televisa S.A., GDR+............................ 188,988
50,076 Kimberly-Clark de Mexico, Class A.................... 238,886
11,000 Panamerican Beverages Inc., Class A.................. 358,875
15,364 Telefonos de Mexico S.A., ADR........................ 861,344
10,200 Tv Azteca S.A. de CV, ADR+........................... 230,138
------------
3,293,498
------------
NORWAY -- 1.8%
2,170 Bergesen DY AS, Class A.............................. 51,197
25,770 Norsk Hydro AS....................................... 1,257,925
18,930 Orkla Booregaard AS.................................. 1,635,039
4,670 Saga Petroleum, Series B............................. 70,921
------------
3,015,082
------------
ARGENTINA -- 1.4%
5,274 Banco de Galicia -- Buenos Aires..................... 135,806
4,858 Banco Frances del Rio de la Plata S.A., ADR.......... 132,988
44,120 Perez Companc (Naviera).............................. 315,075
24,000 Telefonica de Argentina S.A., ADR.................... 894,000
21,962 Y.P.F Sociedad Anonima............................... 750,826
------------
2,228,695
------------
BELGIUM -- 1.3%
1,295 Credit Communal de Belgique S.A.+.................... 173,885
1,060 Generale de Banque Ord............................... 461,324
80 Generale de Banque S.A.+............................. 22
3,090 Kredietbank International NV......................... 1,296,848
72 U.C.B. SA............................................ 237,662
------------
2,169,741
------------
SINGAPORE -- 0.6%
18,000 City Developments Ltd. .............................. 83,299
12,000 Overseas-Chinese Banking Corporation (F)............. 69,772
26,600 Overseas Union Bank (F).............................. 101,792
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
COMMON STOCK -- (CONTINUED)
SINGAPORE -- (CONTINUED)
74,000 Singapore Land...................................... $ 162,444
29,000 Singapore Press Holdings (F)........................ 363,038
34,600 United Overseas Bank (F)............................ 191,937
------------
972,282
------------
PORTUGAL -- 0.6%
30,150 Estabelec Jeronimo Martins & Filho.................. 956,675
------------
NEW ZEALAND -- 0.3%
49,909 Air New Zealand Ltd., Class B, Ord.+++.............. 99,980
43,371 Fletcher Challenge (Building Division).............. 88,645
36,352 Fletcher Challenge (Energy Division)................ 127,280
49,000 Telecom Corporation of New Zealand.................. 237,573
------------
553,478
------------
CHINA -- 0.3%
23,100 Huaneng Power International, ADS+................... 535,631
------------
CHILE -- 0.3%
4,775 Chilectra S.A.++, ADR............................... 121,961
3,344 Chilgener S.A., ADS................................. 81,928
2,241 CIA Cerveceria Unidas SA, ADR....................... 65,829
6,066 Empresa Nacional Electricidad Chile, ADR............ 107,292
3,701 Enersis S.A., ADR................................... 107,329
2,652 Santa Isabel SA, ADR................................ 46,410
------------
530,749
------------
DENMARK -- 0.3%
2,080 Den Danske Bank..................................... 277,155
650 Tele Danmark AS, Series B........................... 40,317
1,950 UniDanmark AS, Series A............................. 143,150
------------
460,622
------------
CANADA -- 0.3%
9,090 Alcan Aluminum...................................... 250,618
3,920 Royal Bank of Canada................................ 207,377
------------
457,995
------------
MALAYSIA -- 0.2%
86,000 Berjaya Sports Toto Berhad.......................... 220,003
104,000 Tanjong............................................. 172,464
------------
392,467
------------
FINLAND -- 0.2%
5,600 Nokia AB, Class A................................... 391,544
------------
INDIA -- 0.2%
16,000 Mahanagar Telephone Niagam Ltd...................... 248,160
------------
VENEZUELA -- 0.1%
4,868 Compania Anonima Nacional Telefonos de Venezuela,
ADR+............................................... 202,631
------------
RUSSIA -- 0.1%
1,990 Gazprom, ADR+....................................... 47,661
1,170 Lukoil Company, ADR................................. 107,640
------------
155,301
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C>
PERU -- 0.1%
2,880 Credicorp Ltd. ..................................... $ 51,840
4,365 Telefonica del Peru S.A., ADR....................... 101,486
------------
153,326
------------
KOREA -- 0.1%
4,000 Samsung Electronics Company......................... 90,619
------------
CZECHOSLOVAKIA -- 0.0%#
580 SPT Telecom+........................................ 62,048
------------
PANAMA -- 0.0%#
1,349 Banco Latinoamericano de Exportaciones, S.A., Series
E.................................................. 55,815
------------
Total Common Stock
(Cost $134,115,413)................................ 153,275,672
------------
PREFERRED STOCK -- 1.7%
BRAZIL -- 1.3%
23,967,906 Banco Bradesco S.A.................................. 236,232
265,000 Banco Itau SA....................................... 142,467
279,975 Brahma-Companhia Cervejaria......................... 188,147
270,000 Brasmotor S.A....................................... 26,612
240,000 Companhia Cimento Portland Itau..................... 46,234
199,060 Coteminas PN........................................ 71,344
199,060 Empresa Nacional de Comercio Redito E Participacoes
S.A................................................ 148
2,620,000 Lojas Americanas NPV................................ 12,207
1,741,549 Petroleo Brasiliero-Petrobras....................... 407,280
577,000 Telec de Minas Gerais S.A........................... 72,897
607,377 Telecom Do Rio de Janeiro S.A....................... 63,130
1,684,346 Telecomunicacoes de Sao Paulo....................... 448,218
3,536,930 Unibanco-Uniao de Bancos Brasileir.................. 240,855
20,861 Usiminas PN......................................... 123,366
------------
2,079,137
------------
GERMANY -- 0.3%
2,042 Fielmann AG......................................... 45,403
870 Fresnius AG......................................... 160,072
1,820 Hornbach AG......................................... 125,953
623 SAP AG Vorzug....................................... 203,800
------------
535,228
------------
AUSTRALIA -- 0.1%
18,644 The News Corporation Ltd............................ 92,276
------------
Total Preferred Stock
(Cost $2,400,488).................................. 2,706,641
------------
WARRANTS -- 0.1%
10,020 Dresdner Bank AG, Expire 4/30/2002+... 178,232
------------
Total Warrants
(Cost $176,258).................................... 178,232
------------
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
RIGHTS -- 0.0%# (Cost $0)
1,024,752 Banco Bradesco S.A. Rights- Preferred.. $ 3,673
------------
TOTAL INVESTMENTS
(COST
$136,692,159*)........................... 94.9% $156,164,218
OTHER ASSETS AND
LIABILITIES
(NET).................................... 5.1 8,396,006
----- ------------
NET ASSETS................................ 100.0% $164,560,224
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes was $137,337,664.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+++ The Adviser has deemed these securities to be illiquid. Illiquid securities
generally cannot be disposed of in the ordinary course of business within
seven days at approximately the value at which the Portfolio has valued the
investments.
# Amount represents less than 0.1%.
Abbreviations:
ADR-- American Depositary Receipt
ADS-- American Depositary Shares
(F)-- Foreign or Alien Shares
GDR-- Global Depositary Receipt
Ord.-- Ordinary
At December 31, 1997, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% OF VALUE
SECTOR DIVERSIFICATION NET ASSETS (NOTE 1)
- ---------------------- ---------- -----------
<S> <C> <C>
COMMON STOCK:
Banking................................................. 11.8% 19,404,998
Energy.................................................. 8.5 13,944,198
Health and Personal Care................................ 7.9 13,002,384
Computers and Communications............................ 6.3 10,432,794
Retail Trade............................................ 6.3 10,363,500
Media................................................... 6.1 9,968,761
Business Services....................................... 5.2 8,686,661
Electronics and Instruments............................. 4.5 7,427,050
Food and Grocery Products............................... 4.5 7,384,851
Chemicals............................................... 3.8 6,177,584
Utilities............................................... 2.9 4,831,417
Multi-Industry.......................................... 2.8 4,628,751
Electrical Equipment.................................... 2.6 4,255,458
Financial Services...................................... 2.5 4,040,357
Household Products...................................... 2.3 3,729,275
Real Estate............................................. 2.1 3,471,857
Machinery and Engineering Services...................... 2.0 3,360,063
Entertainment and Leisure............................... 2.0 3,229,029
Construction and Building Materials..................... 1.9 3,147,783
Diversified Industrial Manufacturing.................... 1.8 3,047,895
Insurance............................................... 1.3 2,147,471
Beverage and Tobacco.................................... 1.0 1,692,040
Metals and Mining....................................... 1.0 1,662,976
Wholesale Trade......................................... 0.8 1,265,799
Transport and Storage................................... 0.5 863,995
Automotive.............................................. 0.2 295,273
Miscellaneous........................................... 0.2 265,314
Forestry and Paper Products............................. 0.1 220,399
Textiles & Apparel...................................... 0.1 213,814
Aerospace and Defense................................... 0.1 113,925
----- -----------
TOTAL COMMON STOCK...................................... 93.1 153,275,672
TOTAL PREFERRED STOCK................................... 1.7 2,706,641
TOTAL WARRANTS.......................................... 0.1 178,232
TOTAL RIGHTS............................................ 0.0# 3,673
----- -----------
TOTAL INVESTMENTS....................................... 94.9 156,164,218
OTHER ASSETS AND LIABILITIES (NET)...................... 5.1 8,396,006
----- -----------
NET ASSETS.............................................. 100.0% 164,560,224
===== ===========
</TABLE>
- ------------
#Amount represents less than 0.1%.
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL:
(CONTRACT AMOUNT $3,310)
<TABLE>
<CAPTION>
CONTRACT MARKET
VALUE VALUE
DATE (NOTE 1)
---------- --------
<S> <C> <C>
429,275 Japanese Yen..................................... 01/05/1998 $3,289
======
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
<TABLE>
<CAPTION>
DREYFUS TCW T.ROWE
DREYFUS U.S. MANAGED TCW PRICE
SMALLCAP GOVERNMENT ENHANCED OPPORTUNITY VALUE ASSET MONEY EQUITY
VALUE SECURITIES INDEX VALUE EQUITY ALLOCATION MARKET INCOME
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....... $148,456,346 $47,667,705 $20,733,112 $26,816,191 $216,324,178 $301,633,569 $52,070,373 $199,431,065
Cash............ -- 336 2,458 6,009 2,398 267,475 32,118 2,553
Foreign currency
(Cost $792 and
$506, $219,374,
respectively).. -- -- -- -- -- -- -- 781
Unrealized
appreciation on
forward foreign
exchange
contracts...... -- -- -- -- -- -- -- --
Receivable for
investment
securities
sold........... 463,564 -- -- -- -- -- -- 3,815
Receivable for
Portfolio
shares sold.... 217,126 189,101 4,521 22,829 145,639 71,648 161,966 250,796
Receivable from
investment
manager (Note
2)............. -- -- 5,878 -- -- -- -- --
Unamortized
organization
costs (Note
5)............. 1,044 5,949 21,667 20,173 1,044 -- -- 4,865
Dividends and/or
interest
receivable..... 55,062 622,723 24,983 10,056 201,487 1,418,420 386,909 492,534
Prepaid
expenses....... 1,467 421 -- 68 2,206 45,567 7,280 1,519
Other Assets.... -- 3,720 -- -- 35 -- -- 207
------------ ----------- ----------- ----------- ------------ ------------ ----------- ------------
Total Assets.... 149,194,609 48,489,955 20,792,619 26,875,326 216,676,987 303,436,679 52,658,646 200,188,135
------------ ----------- ----------- ----------- ------------ ------------ ----------- ------------
LIABILITIES:
Payable for
investment
securities
purchased...... 2,858,673 1,902,788 927,181 -- 421,515 -- 1,402,696 2,708,264
Payable for
Portfolio
shares
redeemed....... 10,137 12,112 14,837 5,026 8,140 27,691 51,765 25,457
Due to
Custodian...... 1,274 -- -- -- -- -- -- --
Transfer agent
fees payable... 75 75 75 75 75 75 75 75
Investment
management fee
payable (Note
2)............. 96,423 24,872 -- 14,204 142,764 190,789 22,850 128,643
Custodian fees
payable (Note
2)............. 8,464 2,255 7,910 700 3,458 5,822 800 7,224
Accrued
Trustees' fees
and expenses
(Note 2)....... 1,516 481 192 267 2,244 3,199 574 2,022
Accrued expenses
and other
payables....... 22,926 5,391 31,138 53,084 60,213 106,955 18,256 88,351
------------ ----------- ----------- ----------- ------------ ------------ ----------- ------------
Total
Liabilities.... 2,999,488 1,947,974 981,333 73,356 638,409 334,531 1,497,016 2,960,036
------------ ----------- ----------- ----------- ------------ ------------ ----------- ------------
NET ASSETS...... $146,195,121 $46,541,981 $19,811,286 $26,801,970 $216,038,578 $303,102,148 $51,161,630 $197,228,099
============ =========== =========== =========== ============ ============ =========== ============
Investments, at
Identified
Cost........... $138,498,177 $46,431,189 $19,492,549 $25,603,802 $159,117,584 $225,038,225 $52,070,373 $169,989,092
============ =========== =========== =========== ============ ============ =========== ============
NET ASSETS
CONSIST OF:
Undistributed
net investment
income......... $ 227,013 $ 1,990,775 $ 40,282 $ 167,809 $ 2,368,638 $ 4,396,467 $ 20 $ 3,262,979
Accumulated net
realized
gain/(loss) on
investments
sold, forward
foreign
exchange
contracts and
foreign
currency
transactions... 19,797,837 7,648 92,956 273,333 4,211,990 28,006,667 (1,124) 8,203,212
Net unrealized
appreciation of
investments,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets......... 9,958,169 1,236,516 1,240,563 1,212,389 57,206,624 76,595,344 -- 29,442,014
Paid-in
capital........ 116,212,102 43,307,042 18,437,485 25,148,439 152,251,326 194,103,670 51,162,734 156,319,894
------------ ----------- ----------- ----------- ------------ ------------ ----------- ------------
Total Net
Assets......... $146,195,121 $46,541,981 $19,811,286 $26,801,970 $216,038,578 $303,102,148 $51,161,630 $197,228,099
============ =========== =========== =========== ============ ============ =========== ============
NET ASSET VALUE,
offering price
and redemption
price per share
of beneficial
interest
outstanding.... $ 16.41 $ 11.87 $ 12.29 $ 11.75 $ 20.70 $ 22.34 $ 1.00 $ 19.34
============ =========== =========== =========== ============ ============ =========== ============
Number of
Portfolio
shares
outstanding.... 8,909,917 3,919,711 1,611,913 2,280,049 10,434,879 13,567,600 51,162,734 10,199,760
============ =========== =========== =========== ============ ============ =========== ============
<CAPTION>
T.ROWE T. ROWE
PRICE PRICE
GROWTH INTERNATIONAL
STOCK STOCK
PORTFOLIO PORTFOLIO
------------ -------------
<S> <C> <C>
ASSETS:
Investments, at
value (Note 1)
See accompanying
schedule....... $122,991,561 $156,164,218
Cash............ 1,897 8,218,034
Foreign currency
(Cost $792 and
$506, $219,374,
respectively).. 506 209,548
Unrealized
appreciation on
forward foreign
exchange
contracts...... -- 21
Receivable for
investment
securities
sold........... 439,215 --
Receivable for
Portfolio
shares sold.... 98,532 12,897
Receivable from
investment
manager (Note
2)............. -- --
Unamortized
organization
costs (Note
5)............. 4,865 --
Dividends and/or
interest
receivable..... 125,991 213,799
Prepaid
expenses....... 1,057 9,555
Other Assets.... -- --
------------ -------------
Total Assets.... 123,663,624 164,828,072
------------ -------------
LIABILITIES:
Payable for
investment
securities
purchased...... 274,277 --
Payable for
Portfolio
shares
redeemed....... 7,738 39,111
Due to
Custodian...... -- --
Transfer agent
fees payable... 75 75
Investment
management fee
payable (Note
2)............. 80,220 124,760
Custodian fees
payable (Note
2)............. 6,394 --
Accrued
Trustees' fees
and expenses
(Note 2)....... 1,261 1,743
Accrued expenses
and other
payables....... 64,144 102,159
------------ -------------
Total
Liabilities.... 434,109 267,848
------------ -------------
NET ASSETS...... $123,229,515 $164,560,224
============ =============
Investments, at
Identified
Cost........... $ 98,803,956 $136,692,159
============ =============
NET ASSETS
CONSIST OF:
Undistributed
net investment
income......... $ 301,437 $ 697,873
Accumulated net
realized
gain/(loss) on
investments
sold, forward
foreign
exchange
contracts and
foreign
currency
transactions... 6,419,081 1,237,508
Net unrealized
appreciation of
investments,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets......... 24,187,451 19,454,517
Paid-in
capital........ 92,321,546 143,170,326
------------ -------------
Total Net
Assets......... $123,229,515 $164,560,224
============ =============
NET ASSET VALUE,
offering price
and redemption
price per share
of beneficial
interest
outstanding.... $ 20.78 $ 14.21
============ =============
Number of
Portfolio
shares
outstanding.... 5,930,419 11,582,604
============ =============
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
STATEMENTS OF OPERATIONS
ENDEAVOR SERIES TRUST
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
DREYFUS TCW
DREYFUS U.S. MANAGED TCW
SMALL CAP GOVERNMENT ENHANCED OPPORTUNITY VALUE ASSET MONEY
VALUE SECURITIES INDEX VALUE EQUITY ALLOCATION MARKET
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ---------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends (Net
of foreign
withholding
taxes of $0,
$0, $149, $0,
$5,609, $1,077,
$0, $27,377
$29,346 and
$407,909,
respectively).......... $ 1,039,292 $ -- $ 109,883 $ 103,222 $ 2,034,859 $ 2,050,395 $ --
Interest (Net of
foreign
withholding
taxes of $410
for the T. Rowe
Price
International
Stock
Portfolio)............. 239,903 2,282,717 13,920 200,679 1,857,066 4,674,756 2,893,990
----------- ---------- ---------- ---------- ----------- ----------- ----------
Total
Investment
Income................ 1,279,195 2,282,717 123,803 303,901 3,891,925 6,725,151 2,893,990
----------- ---------- ---------- ---------- ----------- ----------- ----------
EXPENSES:
Investment
management fee
(Note 2)............... 920,244 227,037 50,159 97,611 1,367,432 2,057,590 258,744
Custodian fees
(Note 2)............... 44,713 16,870 37,571 7,292 29,149 45,145 14,792
Transfer agent
fees................... 829 829 600 885 829 746 829
Legal fees.............. 15,423 4,451 2,279 7,098 22,060 45,293 6,969
Audit fees.............. 18,939 4,702 1,753 2,009 21,866 33,550 5,765
Amortization of
organization
costs
(Note 5)............... 3,133 4,358 3,333 5,200 3,134 -- --
Trustee's fees
and expenses
(Note 2)............... 6,827 2,071 446 651 10,175 16,051 2,977
Printing................ 28,898 6,369 2,764 14,293 34,460 56,388 9,026
Other................... 13,465 11,799 5,362 6,713 32,247 59,690 13,320
----------- ---------- ---------- ---------- ----------- ----------- ----------
Subtotal............... 1,052,471 278,486 104,267 141,752 1,521,352 2,314,453 312,422
Waiver/reimbursement
from investment
manager (Note
2)..................... -- -- (17,349) -- -- -- --
Credits allowed
by the
custodian
(Note 2)............... (1,319) (67) (64) (1,419) (748) (4,414) (2,400)
----------- ---------- ---------- ---------- ----------- ----------- ----------
Total
expenses.............. 1,051,152 278,419 86,854 140,333 1,520,604 2,310,039 310,022
----------- ---------- ---------- ---------- ----------- ----------- ----------
NET INVESTMENT
INCOME................. 228,043 2,004,298 36,949 163,568 2,371,321 4,415,112 2,583,968
----------- ---------- ---------- ---------- ----------- ----------- ----------
REALIZED AND
UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND
3):
Net realized
gain/(loss) on:
Securities............. 19,825,375 275,682 92,956 273,333 4,215,619 34,569,853 (146)
Forward foreign
exchange
contracts............. (4,231) -- -- -- 100 -- --
Foreign
currencies and
net other
assets................ 1,755 -- -- -- (70) (21) --
----------- ---------- ---------- ---------- ----------- ----------- ----------
Net realized
gain/(loss) on
investments
during the
year................... 19,822,899 275,682 92,956 273,333 4,215,649 34,569,832 (146)
----------- ---------- ---------- ---------- ----------- ----------- ----------
Net change in
unrealized
appreciation/(depreciation)
of:
Securities............. 3,374,069 1,065,295 1,240,563 1,212,229 30,856,886 10,307,208 --
Forward foreign
exchange
contracts............. -- -- -- -- -- -- --
Foreign
currencies and
net other
assets................ -- -- -- -- 49 -- --
----------- ---------- ---------- ---------- ----------- ----------- ----------
Net unrealized
appreciation/(depreciation)
of investments
during the
year................... 3,374,069 1,065,295 1,240,563 1,212,229 30,856,935 10,307,208 --
----------- ---------- ---------- ---------- ----------- ----------- ----------
Net realized and
unrealized
gain/(loss) on
investments
during the
year................... 23,196,968 1,340,977 1,333,519 1,485,562 35,072,584 44,877,040 (146)
----------- ---------- ---------- ---------- ----------- ----------- ----------
NET INCREASE IN
NET ASSETS
RESULTING FROM
OPERATIONS............. $23,425,011 $3,345,275 $1,370,468 $1,649,130 $37,443,905 $49,292,152 $2,583,822
=========== ========== ========== ========== =========== =========== ==========
<CAPTION>
T.ROWE PRICE T.ROWE PRICE T. ROWE PRICE
EQUITY GROWTH INTERNATIONAL
INCOME STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------
<S>..................... <C> <C> <C>
INVESTMENT
INCOME:
Dividends (Net
of foreign
withholding
taxes of $0,
$0, $149, $0,
$5,609, $1,077,
$0, $27,377
$29,346 and
$407,909,
respectively).......... $ 3,640,538 $ 906,270 $ 2,801,316
Interest (Net of
foreign
withholding
taxes of $410
for the T. Rowe
Price
International
Stock
Portfolio)............. 928,257 278,345 36,965
------------- ------------- -------------
Total
Investment
Income................ 4,568,795 1,184,615 2,838,281
------------- ------------- -------------
EXPENSES:
Investment
management fee
(Note 2)............... 1,073,258 710,554 1,404,553
Custodian fees
(Note 2)............... 41,684 43,355 171,969
Transfer agent
fees................... 829 829 829
Legal fees.............. 18,346 12,227 29,873
Audit fees.............. 18,747 11,867 18,148
Amortization of
organization
costs
(Note 5)............... 2,423 2,423 --
Trustee's fees
and expenses
(Note 2)............... 8,085 5,324 9,136
Printing................ 35,487 22,061 48,814
Other................... 57,350 42,856 70,144
------------- ------------- -------------
Subtotal............... 1,256,209 851,496 1,753,466
Waiver/reimbursement
from investment
manager (Note
2)..................... -- -- --
Credits allowed
by the
custodian
(Note 2)............... (543) (526) (77,601)
------------- ------------- -------------
Total
expenses.............. 1,255,666 850,970 1,675,865
------------- ------------- -------------
NET INVESTMENT
INCOME................. 3,313,129 333,645 1,162,416
------------- ------------- -------------
REALIZED AND
UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND
3):
Net realized
gain/(loss) on:
Securities............. 8,209,071 6,387,650 3,948,177
Forward foreign
exchange
contracts............. (62,165) (25,299) (137,391)
Foreign
currencies and
net other
assets................ 10,931 (6,379) (96,858)
------------- ------------- -------------
Net realized
gain/(loss) on
investments
during the
year................... 8,157,837 6,355,972 3,713,928
------------- ------------- -------------
Net change in
unrealized
appreciation/(depreciation)
of:
Securities............. 21,564,194 15,152,588 (1,952,958)
Forward foreign
exchange
contracts............. 130 -- 21
Foreign
currencies and
net other
assets................ 668 (398) (19,820)
------------- ------------- -------------
Net unrealized
appreciation/(depreciation)
of investments
during the
year................... 21,564,992 15,152,190 (1,972,757)
------------- ------------- -------------
Net realized and
unrealized
gain/(loss) on
investments
during the
year................... 29,722,829 21,508,162 1,741,171
------------- ------------- -------------
NET INCREASE IN
NET ASSETS
RESULTING FROM
OPERATIONS............. $33,035,958 $21,841,807 $ 2,903,587
============= ============= =============
</TABLE>
- ------------
* The Enhanced Index Portfolio commenced operations on May 2, 1997.
See Notes to Financial Statements.
51
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
DREYFUS TCW
DREYFUS U.S. MANAGED TCW
SMALLCAP GOVERNMENT ENHANCED OPPORTUNITY VALUE ASSET MONEY
VALUE SECURITIES INDEX VALUE EQUITY ALLOCATION MARKET
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ----------- ----------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net investment
income.................... $ 228,043 $ 2,004,298 $ 36,949 $ 163,568 $ 2,371,321 $ 4,415,112 $ 2,583,968
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year...................... 19,822,899 275,682 92,956 273,333 4,215,649 34,569,832 (146)
Net unrealized
appreciation/(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year.................. 3,374,069 1,065,295 1,240,563 1,212,229 30,856,935 10,307,208 --
------------ ----------- ----------- ----------- ------------ ------------ -----------
Net increase in
net assets
resulting from
operations................ 23,425,011 3,345,275 1,370,468 1,649,130 37,443,905 49,292,152 2,583,822
Distributions to
shareholders
from net
investment
income.................... (635,811) (1,063,251) -- (851) (1,246,683) (3,471,255) (2,583,948)
Distributions to
shareholders
from net
realized
gains..................... (11,059,249) -- -- -- (4,562,514) -- --
Net increase in
net assets from
Portfolio share
transactions
(Note 4).................. 48,661,722 19,532,755 18,440,818 24,452,566 56,476,575 17,071,624 9,616,484
------------ ----------- ----------- ----------- ------------ ------------ -----------
Net increase in
net assets................ 60,391,673 21,814,779 19,811,286 26,100,845 88,111,283 62,892,521 9,616,358
NET ASSETS:
Beginning of
year...................... 85,803,448 24,727,202 -- 701,125 127,927,295 240,209,627 41,545,272
------------ ----------- ----------- ----------- ------------ ------------ -----------
End of year................ $146,195,121 $46,541,981 $19,811,286 $26,801,970 $216,038,578 $303,102,148 $51,161,630
============ =========== =========== =========== ============ ============ ===========
Undistributed
net investment
income.................... $ 227,013 $ 1,990,775 $ 40,282 $ 167,809 $ 2,368,638 $ 4,396,467 $ 20
============ =========== =========== =========== ============ ============ ===========
<CAPTION>
T.ROWE T.ROWE T. ROWE
PRICE PRICE PRICE
EQUITY GROWTH INTERNATIONAL
INCOME STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- --------------
<S>........................ <C> <C> <C>
Net investment
income.................... $ 3,313,129 $ 333,645 $ 1,162,416
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year...................... 8,157,837 6,355,972 3,713,928
Net unrealized
appreciation/(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year.................. 21,564,992 15,152,190 (1,972,757)
------------- ------------- --------------
Net increase in
net assets
resulting from
operations................ 33,035,958 21,841,807 2,903,587
Distributions to
shareholders
from net
investment
income.................... (1,330,453) (153,147) (1,046,567)
Distributions to
shareholders
from net
realized
gains..................... (1,924,151) (486,466) --
Net increase in
net assets from
Portfolio share
transactions
(Note 4).................. 89,195,889 42,294,928 28,267,957
------------- ------------- --------------
Net increase in
net assets................ 118,977,243 63,497,122 30,124,977
NET ASSETS:
Beginning of
year...................... 78,250,856 59,732,393 134,435,247
------------- ------------- --------------
End of year................ $197,228,099 $123,229,515 $164,560,224
============= ============= ==============
Undistributed
net investment
income.................... $ 3,262,979 $ 301,437 $ 697,873
============= ============= ==============
</TABLE>
- ------------
* The Enhanced Index Portfolio commenced operations on May 2, 1997.
See Notes to Financial Statements.
52
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
DREYFUS TCW T. ROWE T. ROWE
DREYFUS U.S. MANAGED TCW PRICE PRICE
SMALL CAP GOVERNMENT OPPORTUNITY VALUE ASSET MONEY EQUITY GROWTH
VALUE SECURITIES VALUE EQUITY ALLOCATION MARKET INCOME STOCK
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment
income/(loss).. $ 634,709 $ 1,066,216 $ (268) $ 1,244,040 $ 3,464,503 $ 1,589,322 $ 1,335,864 $ 295,735
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year........... 11,050,747 (284,458) -- 4,558,830 2,436,181 (763) 1,909,289 375,035
Net unrealized
appreciation/
(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year....... 4,486,377 (151,333) 160 14,300,362 30,117,285 -- 5,690,833 7,204,066
----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
Net
increase/(decrease)
in net assets
resulting from
operations..... 16,171,833 630,425 (108) 20,103,232 36,017,969 1,588,559 8,935,986 7,874,836
Distributions to
shareholders
from net
investment
income......... (669,363) (365,881) -- (773,280) (3,944,143) (1,589,322) (286,763) (34,313)
Distributions to
shareholders
from net
realized
gains.......... (2,256,693) (202,125) -- (1,416,509) -- -- (123,166) (589,782)
Net increase in
net assets from
Portfolio share
transactions
(Note 4)....... 19,960,841 11,946,615 701,233 41,383,418 9,260,111 13,994,868 47,814,305 30,830,367
----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
Net increase in
net assets..... 33,206,618 12,009,034 701,125 59,296,861 41,333,937 13,994,105 56,340,362 38,081,108
NET ASSETS:
Beginning of
year........... 52,596,830 12,718,168 -- 68,630,434 198,875,690 27,551,167 21,910,494 21,651,285
----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
End of year..... $85,803,448 $24,727,202 $ 701,125 $127,927,295 $240,209,627 $41,545,272 $78,250,856 $59,732,393
=========== =========== =========== ============ ============ =========== =========== ===========
Undistributed
net investment
income......... $ 634,795 $ 1,061,012 $ 292 $ 1,243,970 $ 3,467,344 $-- $ 1,329,442 $ 237,483
=========== =========== =========== ============ ============ =========== =========== ===========
<CAPTION>
T. ROWE
PRICE
INTERNATIONAL
STOCK
PORTFOLIO
--------------
<S> <C>
Net investment
income/(loss).. $ 818,510
Net realized
gain/(loss) on
securities,
forward foreign
exchange
contracts and
foreign
currency
transactions
during the
year........... 1,815,599
Net unrealized
appreciation/
(depreciation)
of securities,
forward foreign
exchange
contracts,
foreign
currencies and
net other
assets during
the year....... 13,305,619
--------------
Net
increase/(decrease)
in net assets
resulting from
operations..... 15,939,728
Distributions to
shareholders
from net
investment
income......... (773,317)
Distributions to
shareholders
from net
realized
gains.......... (284)
Net increase in
net assets from
Portfolio share
transactions
(Note 4)....... 26,917,266
--------------
Net increase in
net assets..... 42,083,393
NET ASSETS:
Beginning of
year........... 92,351,854
--------------
End of year..... $134,435,247
==============
Undistributed
net investment
income......... $ 734,537
==============
</TABLE>
- ------------
* The Opportunity Value Portfolio commenced operations on November 18, 1996.
See Notes to Financial Statements.
53
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96+++## 12/31/95 12/31/94+++ 12/31/93*+++
-------- ------------- -------- ----------- ------------
<S> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 14.69 $ 12.22 $ 10.98 $ 11.18 $ 10.00
-------- ------- ------- ------- -------
Net investment income#.. 0.02 0.12 0.15 0.10 0.22
Net realized and
unrealized gain/(loss)
on investments......... 3.52 2.95 1.36 (0.30) 0.96
-------- ------- ------- ------- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 3.54 3.07 1.51 (0.20) 1.18
-------- ------- ------- ------- -------
Distributions:
Dividends from net
investment income...... (0.10) (0.14) (0.10) -- --
Distributions from net
realized gains......... (1.72) (0.46) (0.17) -- --
-------- ------- ------- ------- -------
Total distributions..... (1.82) (0.60) (0.27) -- --
-------- ------- ------- ------- -------
Net asset value, end of
period................. $ 16.41 $ 14.69 $ 12.22 $ 10.98 $ 11.18
======== ======= ======= ======= =======
Total return++.......... 25.56% 25.63% 14.05% (1.79)% 11.80%
======== ======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $146,195 $85,803 $52,597 $35,966 $12,699
Ratio of net investment
income to average net
assets................. 0.20% 0.95% 1.56% 0.89% 3.98%+
Ratio of operating
expenses to average net
assets................. 0.91%*** 0.92% 0.87% 1.03% 1.30%+**
Portfolio turnover
rate................... 127% 171% 75% 77% 41%
Average commission rate
(per share of
security)(a)........... $ 0.0533 $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 operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 0.91%.
+ 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.
54
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/97 12/31/96+++ 12/31/95 12/31/94*+++
-------- ----------- -------- ------------
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of
period...................... $ 11.23 $ 11.39 $ 9.96 $ 10.00
------- ------- ------- -------
Net investment income#....... 0.39 0.62 0.30 0.24
Net realized and unrealized
gain/(loss) on investments.. 0.61 (0.44) 1.25 (0.28)
------- ------- ------- -------
Net increase/(decrease) in
net assets resulting from
investment operations....... 1.00 0.18 1.55 (0.04)
------- ------- ------- -------
Distributions:
Dividends from net investment
income...................... (0.36) (0.22) (0.12) --
Distributions from net
realized gains.............. -- (0.12) -- --
------- ------- ------- -------
Total distributions.......... (0.36) (0.34) (0.12) --
------- ------- ------- -------
Net asset value, end of
period...................... $ 11.87 $ 11.23 $ 11.39 $ 9.96
======= ======= ======= =======
Total return++............... 9.15% 1.81% 15.64% (0.40)%
======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)...................... $46,542 $24,727 $12,718 $ 3,505
Ratio of net investment
income to average net
assets...................... 5.74% 5.68% 5.58% 4.14%+
Ratio of operating expenses
to average net assets....... 0.80%*** 0.82% 0.84% 0.78%+**
Portfolio turnover rate...... 185% 222% 161% 100%
</TABLE>
- ------------
* The Portfolio commenced operations on May 13, 1994.
** Annualized operating expense ratio before waiver of fees and reimbursment
of expenses by investment manager for the period ended December 31, 1994
was 1.83%.
*** Annualized operating expenses ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 0.80%.
+ 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.
55
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENHANCED INDEX PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
PERIOD
ENDED
12/31/97*
---------
<S> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period............................. $ 10.00
-------
Net investment income#........................... 0.02
Net realized and
unrealized gain on
investments..................................... 2.27
-------
Net increase in net
assets resulting from
investment operations........................... 2.29
-------
Net asset value, end of
period.......................................... $ 12.29
=======
Total return++................................... 22.90%
=======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)............................... $19,811
Ratio of net investment
income to average net
assets.......................................... 0.55%+
Ratio of operating
expenses to average net
assets**........................................ 1.30%+***
Portfolio turnover
rate............................................ 6%
Average commission rate
(per share of
security)(a).................................... $0.0306
</TABLE>
- ------------
* The Portfolio commenced operations on May 2, 1997.
** Annualized operating expense ratio before waiver/reimbursement of fees by
investment manager for the period ended December 31, 1997 was 1.56%.
*** Annualized operating expense ratio before waiver/reimbursement of fees by
investment manager and custody fee credits for the period ended December
31, 1997 was 1.56%.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
# Net investment income before waiver/reimbursement of expenses by investment
manager for the period ended December 31, 1997 was $0.01.
(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
OPPORTUNITY VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/97 12/31/96*
-------- ---------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period................ $ 10.06 $ 10.00
------- -------
Net investment income/(loss)#....................... 0.07 (0.00)##
Net realized and unrealized gain on investments..... 1.62 0.06
------- -------
Net increase in net assets resulting from investment
operations......................................... 1.69 0.06
------- -------
Distributions:
Dividends from net investment income................ (0.00)## --
------- -------
Total distributions................................. (0.00) --
------- -------
Net asset value, end of period...................... $ 11.75 $ 10.06
======= =======
Total return++...................................... 16.81% 0.60%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $26,802 $ 701
Ratio of net investment income/(loss) to average net
assets............................................. 1.34% (1.09)%+
Ratio of operating expenses to average net assets... 1.15%*** 1.30%+**
Portfolio turnover rate............................. 44% 0%
Average commission rate (per share of security)(a).. $0.0572 $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 operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 1.16%.
+ 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.
57
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
VALUE EQUITY PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96+++ 12/31/95 12/31/94 12/31/93*+++
-------- ----------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 17.21 $ 14.23 $ 10.69 $ 10.28 $ 10.00
-------- -------- ------- ------- -------
Net investment income#.. 0.20 0.20 0.15 0.09 0.05
Net realized and
unrealized gain on
investments............ 3.96 3.15 3.52 0.33 0.23
-------- -------- ------- ------- -------
Net increase in net
assets resulting from
investment operations.. 4.16 3.35 3.67 0.42 0.28
-------- -------- ------- ------- -------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.14) (0.13) (0.09) (0.01) --
Distributions from net
realized gains......... (0.53) (0.24) (0.04) -- --
-------- -------- ------- ------- -------
Total distributions..... (0.67) (0.37) (0.13) (0.01) --
-------- -------- ------- ------- -------
Net asset value, end of
period................. $ 20.70 $ 17.21 $ 14.23 $ 10.69 $ 10.28
======== ======== ======= ======= =======
Total return++.......... 24.81% 23.84% 34.59% 4.09% 2.80%
======== ======== ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $216,039 $127,927 $68,630 $32,776 $11,178
Ratio of net investment
income to average net
assets................. 1.39% 1.29% 1.56% 1.31% 0.84%+
Ratio of operating
expenses to average net
assets................. 0.89%*** 0.91% 0.86% 1.02% 1.30%+**
Portfolio turnover
rate................... 16% 27% 28% 56% 1%
Average commission rate
(per share of
security)(a)........... $ 0.0515 $ 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 operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 0.89%.
+ 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.
58
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
TCW MANAGED ASSET ALLOCATION PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94+++ 12/31/93+++ 12/31/92+++ 12/31/91*
-------- -------- -------- ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 18.84 $ 16.28 $ 13.48 $ 14.30 $ 12.31 $ 11.37 $10.00
-------- -------- -------- -------- ------- ------- ------
Net investment income#.. 0.32 0.27 0.33 0.28 0.23 0.24 0.10
Net realized and
unrealized gain/(loss)
on investments......... 3.45 2.61 2.72 (1.03) 1.84 0.77 1.27
-------- -------- -------- -------- ------- ------- ------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 3.77 2.88 3.05 (0.75) 2.07 1.01 1.37
-------- -------- -------- -------- ------- ------- ------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.27) (0.32) (0.25) (0.07) (0.08) (0.07) --
-------- -------- -------- -------- ------- ------- ------
Net asset value, end of
period................. $ 22.34 $ 18.84 $ 16.28 $ 13.48 $ 14.30 $ 12.31 $11.37
======== ======== ======== ======== ======= ======= ======
Total return++.......... 20.14% 17.82% 22.91% (5.28)% 16.79% 9.01% 13.70%
======== ======== ======== ======== ======= ======= ======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $303,102 $240,210 $198,876 $172,449 $96,657 $14,055 $4,247
Ratio of net investment
income to average net
assets................. 1.61% 1.59% 2.12% 2.03% 1.71% 2.11% 4.54%+
Ratio of operating
expenses to average net
assets................. 0.84%*** 0.85% 0.84% 0.90% 1.12% 1.18%** 0.00%+**
Portfolio turnover
rate................... 67% 58% 93% 67% 67% 50% 61%
Average commission rate
(per share of
security)(a)........... $ 0.0606 $ 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 operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 0.84%.
+ 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.
59
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
TCW MONEY MARKET PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91*
-------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- -------- --------
Net investment income#.. 0.0498 0.0479 0.0540 0.0337 0.0218 0.0287 0.0377
-------- -------- -------- -------- -------- -------- --------
Distributions:
Dividends from net
investment income...... (0.0498) (0.0479) (0.0540) (0.0336) (0.0218) (0.0287) (0.0377)
Distributions from net
realized gains......... -- -- -- (0.0001) -- -- --
-------- -------- -------- -------- -------- -------- --------
Total distributions..... (0.0498) (0.0479) (0.0540) (0.0337) (0.0218) (0.0287) (0.0377)
-------- -------- -------- -------- -------- -------- --------
Net asset value, end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======== ========
Total return++.......... 5.07% 4.91% 5.54% 3.41% 2.19% 2.90% 3.84%
======== ======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $ 51,162 $ 41,545 $ 27,551 $ 20,766 $ 12,836 $ 4,527 $ 1,907
Ratio of net investment
income to average net
assets................. 4.99% 4.81% 5.37% 3.58% 2.19% 2.84% 5.02%+
Ratio of operating
expenses to average net
assets................. 0.60%*** 0.60% 0.60% 0.85% 0.99%** 0.91%** 0.00%+**
</TABLE>
- ------------
* The Portfolio commenced operations on April 8, 1991.
** Annualized operating expense ratios before waiver of fees and/or
reimbursement of expenses by investment manager for the years ended
December 31, 1993 and December 31, 1992, and the period ended December 31,
1991 were 1.23%, 2.37% and 8.48%, respectively.
*** Annualized operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 0.60%.
+ 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 for the period ended December 31, 1991 was $0.0195,
$0.0140 and $(0.0259), respectively.
See Notes to Financial Statements.
60
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR
ENDED ENDED ENDED
12/31/97 12/31/96+++ 12/31/95*+++
-------- ----------- ------------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.... $ 15.49 $ 13.05 $ 10.00
-------- ------- -------
Net investment income................... 0.25 0.41 0.34
Net realized and unrealized gain on
investments............................ 4.06 2.17 2.71
-------- ------- -------
Net increase in net assets resulting
from investment operations............. 4.31 2.58 3.05
-------- ------- -------
Distributions:
Dividends from net investment income.... (0.19) (0.10) --
Distributions from net realized gains... (0.27) (0.04) --
-------- ------- -------
Total distributions..................... (0.46) (0.14) --
-------- ------- -------
Net asset value, end of period.......... $ 19.34 $ 15.49 $ 13.05
======== ======= =======
Total return++.......................... 28.27% 19.88% 30.50%
======== ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).... $197,228 $78,251 $21,910
Ratio of net investment income to
average net assets..................... 2.47% 2.89% 3.24%+
Ratio of operating expenses to average
net assets............................. 0.94%*** 0.96% 1.15%+
Portfolio turnover rate................. 23% 19% 16%
Average commission rate (per share of
security)(a)........................... $ 0.0331 $0.0396 --
</TABLE>
- ------------
* The Portfolio commenced operations on January 3, 1995.
*** Annualized operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 0.94%.
+ 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.
61
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR
ENDED ENDED ENDED
12/31/97 12/31/96+++ 12/31/95*+++
-------- ----------- ------------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.... $ 16.29 $ 13.72 $ 10.00
-------- ------- -------
Net investment income................... 0.04 0.11 0.08
Net realized and unrealized gain on
investments............................ 4.59 2.71 3.64
-------- ------- -------
Net increase in net assets resulting
from investment operations............. 4.63 2.82 3.72
-------- ------- -------
Distributions:
Dividends from net investment income.... (0.03) (0.01) --
Distributions from net realized gains... (0.11) (0.24) --
-------- ------- -------
Total distributions..................... (0.14) (0.25) --
-------- ------- -------
Net asset value, end of period.......... $ 20.78 $ 16.29 $ 13.72
======== ======= =======
Total return++.......................... 28.57% 20.77% 37.20%
======== ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).... $123,230 $59,732 $21,651
Ratio of net investment income to
average net assets..................... 0.38% 0.75% 0.69%+
Ratio of operating expenses to average
net assets............................. 0.96%*** 1.01% 1.26%+
Portfolio turnover rate................. 41% 44% 64%
Average commission rate (per share of
security)(a)........................... $ 0.0376 $0.0385 --
</TABLE>
- ------------
* The Portfolio commenced operations on January 3, 1995.
*** Annualized operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 0.96%.
+ 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.
62
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED* ENDED ENDED ENDED ENDED
12/31/97 12/31/96+++ 12/31/95## 12/31/94 12/31/93+++ 12/31/92+++ 12/31/91*
-------- ----------- ---------- -------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 13.95 $ 12.19 $ 11.31 $ 11.99 $ 10.12 $10.52 $10.00
-------- -------- ------- ------- ------- ------ ------
Net investment
income/(loss)#......... 0.10 0.09 0.09 (0.02) (0.04) 0.00### 0.06
Net realized and
unrealized gain/(loss)
on investments......... 0.26 1.76 1.06 (0.66) 1.91 (0.38) 0.46
-------- -------- ------- ------- ------- ------ ------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 0.36 1.85 1.15 (0.68) 1.87 (0.38) 0.52
-------- -------- ------- ------- ------- ------ ------
Distributions:
Dividends from net
investment income...... (0.10) (0.09) -- -- -- (0.02) --
Distributions from net
realized gains......... -- (0.00)### (0.27) -- -- -- --
-------- -------- ------- ------- ------- ------ ------
Total distributions..... (0.10) (0.09) (0.27) -- -- (0.02) --
-------- -------- ------- ------- ------- ------ ------
Net asset value, end of
period................. $ 14.21 $ 13.95 $ 12.19 $ 11.31 $ 11.99 $10.12 $10.52
======== ======== ======= ======= ======= ====== ======
Total return++.......... 2.54% 15.23% 10.37% (5.67)% 18.48% (3.61)% 5.20%
======== ======== ======= ======= ======= ====== ======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $164,560 $134,435 $92,352 $84,102 $52,777 $6,305 $3,200
Ratio of net investment
income/(loss) to
average net assets..... 0.74% 0.73% 0.81% (0.16)% (0.31)% 0.01% 3.18%+
Ratio of operating
expenses to average net
assets**............... 1.07%*** 1.18% 1.15% 1.16% 1.52% 1.43% 0.00%+
Portfolio turnover
rate................... 19% 11% 111% 88% 37% 34% 0%
Average commission rate
(per share of
security)(a)........... $ 0.0016 $ 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.
*** Annualized operating expense ratio before credits allowed by the custodian
for the year ended December 31, 1997 was 1.12%.
+ 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.
### Amount represents less than $0.01 per share.
(a) Average commission rate paid per share of securities purchased and sold by
the Portfolio.
See Notes to Financial Statements.
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
1. SIGNIFICANT ACCOUNTING POLICIES
Endeavor Series Trust (the "Fund") was organized as a "Massachusetts business
trust" on November 19, 1988 under the laws of the Commonwealth of
Massachusetts. The Fund is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund offers ten
managed investment portfolios: Dreyfus Small Cap Value Portfolio, Dreyfus U.S.
Government Securities Portfolio, Enhanced Index Portfolio, Opportunity Value
Portfolio, Value Equity Portfolio, TCW Managed Asset Allocation Portfolio, TCW
Money Market Portfolio, T. Rowe Price Equity Income Portfolio T. Rowe Price
Growth Stock Portfolio, and T. Rowe Price International Stock Portfolio, (each
a "Portfolio" and collectively the "Portfolios"). The following is a summary of
significant accounting policies consistently followed by the Portfolios in the
preparation of their financial statements. The preparation of financial
statements in accordance with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates.
PORTFOLIO VALUATION:
DREYFUS SMALL CAP VALUE PORTFOLIO, DREYFUS U.S. GOVERNMENT SECURITIES
PORTFOLIO, ENHANCED INDEX PORTFOLIO, OPPORTUNITY VALUE PORTFOLIO, VALUE EQUITY
PORTFOLIO, TCW MANAGED ASSET ALLOCATION PORTFOLIO, T. ROWE PRICE EQUITY INCOME
PORTFOLIO, T. ROWE PRICE GROWTH STOCK PORTFOLIO AND T. ROWE PRICE INTERNATIONAL
STOCK PORTFOLIO.
Generally, a Portfolio's investments are valued at market value or, in the
absence of market value with respect to any portfolio securities, at fair value
as determined by, or under the direction of, the Board of Trustees. Portfolio
securities for which the primary market is on a domestic or foreign exchange,
or which are traded over-the-counter and quoted on the NASDAQ System, are
valued at the last sale price on the day of valuation or, if there was no sale
that day, at the last reported bid price using prices as of the close of
trading. Portfolio securities not quoted on the NASDAQ System that are actively
traded in the over-the-counter market, including listed securities for which
the primary market is believed to be over-the-counter, are valued at the most
recently quoted bid price provided by the principal market makers. In the case
of any securities which are not actively traded, these investments are stated
at fair value as determined under the direction of the Board of Trustees.
Short-term investments that mature in 60 days or less are valued at amortized
cost.
Foreign securities traded outside the United States are generally valued as of
the time their trading is complete, which is usually different from the close
of the New York Stock Exchange. Occasionally, events affecting the value of
such securities may occur between such times and the close of the New York
Stock Exchange that will not be reflected in the computation of a Portfolio's
net asset value. If events materially affecting the value of such securities
occur during such period, these securities will be valued at their fair value
according to procedures decided upon in good faith by the Fund's Board of
Trustees. All securities and other assets of a Portfolio initially expressed in
foreign currencies will be converted to U.S. dollar values at the mean of the
bid and offer prices of such currencies against U.S. dollars last quoted on a
valuation date by any recognized dealer.
TCW MONEY MARKET PORTFOLIO: The TCW Money Market Portfolio's investments are
valued on the basis of amortized cost under the guidance of the Board of
Trustees, based on their determination that this constitutes fair value.
Amortized cost involves valuing a portfolio instrument at its cost initially
and, thereafter, assuming a constant amortization to maturity of any discount
or premium, regardless of the impact of fluctuating interest rates on the
market value of the instrument.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is
recorded on the accrual basis.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date. Interest income is not accrued
until settlement date.
FORWARD FOREIGN CURRENCY CONTRACTS:
The Dreyfus U.S. Government Securities Portfolio, the Enhanced Index Portfolio,
the Opportunity Value Portfolio, the T. Rowe Price Equity Income Portfolio, the
T. Rowe Price Growth Stock Portfolio and the T. Rowe Price International Stock
Portfolio may engage in forward foreign currency exchange contracts. Each
Portfolio engages in forward foreign currency
64
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
exchange transactions to protect against changes in future exchange rates.
Forward foreign currency exchange contracts are valued at the forward rate and
are marked-to-market daily. The change in market value is recorded by each
Portfolio as an unrealized gain or loss. When the contract is closed, each
Portfolio records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it
was closed.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of a Portfolio's securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, each Portfolio
could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts.
FOREIGN CURRENCY:
The books and records of the Portfolios are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities, and items of income and expense
are translated on the respective dates of such transactions. Unrealized gains
and losses which result from changes in foreign currency exchange rates have
been included in the unrealized appreciation/ (depreciation) of investments and
net other assets. Net realized foreign currency gains and losses include the
effect of changes in exchange rates between trade date and settlement date on
investment security transactions, foreign currency transactions and interest
and dividends received. The portion of foreign currency gains and losses
related to fluctuation in exchange rates between the initial purchase trade
date and subsequent sale trade date is included in realized gains and losses on
investment securities sold.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income of the Dreyfus Small Cap Value Portfolio,
Dreyfus U.S. Government Securities Portfolio, Enhanced Index Portfolio,
Opportunity Value Portfolio, Value Equity Portfolio, TCW Managed Asset
Allocation Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price
Growth Stock Portfolio and T. Rowe Price International Stock Portfolio are
declared and paid at least annually. Dividends from net investment income of
the TCW Money Market Portfolio are declared daily and paid monthly. For all
Portfolios, all net realized long-term or short-term capital gains, if any,
will be declared and distributed at least annually.
Income dividends and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments of
income, gains and losses on various investment securities held by a Portfolio,
timing differences in the recognition of income, gains and losses and differing
characterizations of distributions made by the Portfolios.
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.
Permanent differences incurred during the year ended December 31, 1997
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>
DECREASE INCREASE/(DECREASE) INCREASE/(DECREASE)
PAID-IN UNDISTRIBUTED NET ACCUMULATED
CAPITAL INVESTMENT INCOME REALIZED GAIN/LOSS
-------- ------------------- -------------------
<S> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio............... $(2,462) $ (14) $ 2,476
Dreyfus U.S. Government
Securities Portfolio.... -- (11,284) 11,284
Enhanced Index
Portfolio............... (3,333) 3,333 --
Opportunity Value
Portfolio............... (4,800) 4,800 --
Value Equity Portfolio... -- 30 (30)
TCW Managed Asset
Allocation Portfolio.... -- (14,734) 14,734
T. Rowe Price Equity
Income Portfolio........ (2,340) (49,139) 51,479
T. Rowe Price Growth
Stock Portfolio......... (2,340) (116,544) 118,884
T. Rowe Price
International Stock
Portfolio............... -- (152,513) 152,513
</TABLE>
65
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
2. INVESTMENT MANAGEMENT FEE, ADMINISTRATIVE FEE, INVESTMENT ADVISORY FEE AND
OTHER RELATED PARTY TRANSACTIONS
The Fund is managed by Endeavor Investment Advisers (the "Investment Manager")
pursuant to a management agreement. The Investment Manager is a general
partnership of which Endeavor Management Co. is the managing partner. The
Investment Manager is responsible for providing investment management and
administrative services to the Fund, including selecting the investment
advisers (the "Advisers") for the Fund's Portfolios. As compensation for these
services, the Fund pays the Investment Manager a monthly fee based on a
percentage of the average daily net assets of each Portfolio at the following
annual rates: Dreyfus Small Cap Value Portfolio -- .80%; Dreyfus U.S.
Government Securities Portfolio -- .65%; Enhanced Index Portfolio -- .75%;
Opportunity Value Portfolio -- .80%; Value Equity Portfolio -- .80%; TCW
Managed Asset Allocation Portfolio -- .75%; TCW Money Market Portfolio -- .50%;
T. Rowe Price Equity Income Portfolio -- .80%, T. Rowe Price Growth Stock
Portfolio -- .80%; T. Rowe Price International Stock Portfolio -- .90%;
From the investment management fees, the Investment Manager pays the expenses
of providing investment advisory services to the Portfolios, including the fees
of the Adviser of each Portfolio. The Investment Manager also pays the fees and
expenses of First Data Investor Services Group, Inc. ("Investor Services
Group"), a wholly-owned subsidiary of First Data Corporation. Investor Services
Group assists the Investment Manager in the performance of its administrative
responsibilities to the Fund. As compensation for these services prior to July
1, 1997, the Investment Manager paid Investor Services Group a fee computed and
payable monthly at an annual rate of .10% of the Portfolios' aggregate daily
net assets on the first $600 million, .06% on the next $400 million and .01% on
assets exceeding $1 billion, with Portfolios established after July 1, 1996
subject to a $40,000 minimum annual fee until assets reach $40 million.
Effective July 1, 1997, under an amended agreement, the Investment Manager pays
Investor Services Group a flat fee of $650,000 per annum, provided that the
aggregate net assets of the ten Portfolios do not exceed $1 billion; if the
aggregate net assets of the ten Portfolios exceed $1 billion, Investor Services
Group shall also be entitled to receive an additional fee of 0.01% of any net
assets in excess of $1 billion; fees for additional Portfolios will be
negotiated separately.
The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank,
N.A., which is a wholly-owned subsidiary of Mellon Bank Corporation, as
successor to The Boston Company Asset Management, Inc., serves as the Adviser
to the Dreyfus Small Cap Value Portfolio and the Dreyfus U.S. Government
Securities Portfolio. As compensation for its services as investment adviser,
the Investment Manager pays Dreyfus a monthly fee based on a percentage of the
average daily net assets of each Portfolio at the following annual rates:
Dreyfus Small Cap Value Portfolio -- .375% and Dreyfus U.S. Government
Securities Portfolio -- .15%.
J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary of
J.P. Morgan and Co. Incorporated, serves as the Adviser to the Enhanced Index
Portfolio. As compensation for its services as investment adviser, the
Investment Manager pays Morgan a monthly fee at an annual rate of .35% of the
average daily net assets of the Portfolio.
OpCap Advisors ("OpCap") (formerly known as Quest for Value Advisors), a
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.
TCW Funds Management, Inc. ("TCW"), a wholly-owned subsidiary of The TCW Group,
Inc., serves as the Adviser to the TCW Managed Asset Allocation Portfolio and
the TCW Money Market Portfolio pursuant to separate investment advisory
agreements between the Investment Manager and TCW. As compensation for its
services as investment adviser, the Investment Manager pays TCW a monthly fee
based on a percentage of the average daily net assets of each Portfolio at the
following annual rates: TCW Managed Asset Allocation Portfolio -- .375% and TCW
Money Market Portfolio -- .25%.
T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to the
T. Rowe Price Equity Income Portfolio and to the T. Rowe Price Growth Stock
Portfolio. As compensation for its services as investment adviser, the
Investment Manager pays T. Rowe Price a monthly fee at the annual rate of .40%
of the average daily net assets of each Portfolio.
66
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
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.
From time to time the Investment Manager may waive a portion or all of the fees
otherwise payable to it and/or reimburse expenses. The Investment Manager has
voluntarily undertaken to waive its fees and has agreed to bear certain
expenses so that total expenses do not exceed the following percentages of the
respective Portfolio's average daily net assets: Dreyfus Small Cap Value
Portfolio -- 1.30%, Dreyfus U.S. Government Securities Portfolio -- 1.00%,
Enhanced Index Portfolio -- 1.30%, Opportunity Value Portfolio -- 1.30%, Value
Equity Portfolio -- 1.30%, TCW Managed Asset Allocation Portfolio -- 1.25%, TCW
Money Market Portfolio -- .99%, T. Rowe Price Equity Income Portfolio -- 1.30%,
T. Rowe Price Growth Stock Portfolio -- 1.30%, and T. Rowe Price International
Stock Portfolio -- 1.53% . For the year ended December 31, 1997, the Investment
Manager waived and/or reimbursed expenses of $17,349 on the Enhanced Index
Portfolio.
Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of
Mellon Bank Corporation, serves as the Fund's custodian. Investor Services
Group serves as the Fund's transfer agent.
The Fund's custodian, Boston Safe Deposit and Trust Company, has agreed to
compensate the Portfolios and decrease custody fees for cash balances left
uninvested by each Portfolio. For the period ended December 31, 1997, the
Fund's expenses were reduced by $89,101.
For the year ended December 31, 1997, the Fund incurred total brokerage
commissions of $1,260,270 of which $24,662 was paid to CIBC Oppenheimer Corp, a
former affiliate of OpCap Advisors, $7,391 was paid to Jardine Fleming Group
Ltd., $608 was paid to Ord Minnett Securities, Ltd., Australia and $10,011 was
paid to Robert Fleming Holdings Ltd., brokers affiliated with certain of the
Fund's Advisers.
No director, officer or employee of the Investment Manager, Endeavor Management
Co., the Advisers or Investor Services Group received any compensation from the
Fund for serving as an officer or Trustee of the Fund. Effective May 13, 1997,
the Fund pays each Trustee who is not a director, officer or employee of the
Investment Manager, Endeavor Management Co., the Advisers, Investor Services
Group or any of their affiliates $7,500 per annum plus $500 per regularly
scheduled meeting attended and reimburses them for travel and out-of-pocket
expenses. Prior to May 13, 1997, each Trustee received $2,500 per annum plus
$500 per regularly scheduled meeting attended and reimbursement for travel and
out-of-pocket expenses.
3. PURCHASES AND SALES OF SECURITIES
Purchases and proceeds from sales of securities, excluding short-term
investments, for the year ended December 31, 1997 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------------------ ------------------------
U. S. U.S.
GOVERNMENT OTHER GOVERNMENT OTHER
----------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio.............. -- $170,719,316 -- $140,242,345
Dreyfus U.S. Government
Securities Portfolio... $78,883,219 4,670,077 $56,906,116 5,928,380
Enhanced Index
Portfolio.............. -- 18,994,473 -- 616,049
Opportunity Value
Portfolio.............. -- 20,729,679 -- 3,775,747
Value Equity Portfolio.. -- 56,521,977 -- 21,926,647
TCW Managed Asset
Allocation Portfolio... 82,131,429 98,390,645 61,312,515 111,992,936
T. Rowe Price Equity
Income Portfolio....... 298,055 108,039,840 679,814 26,769,146
T. Rowe Price Growth
Stock Portfolio........ -- 70,755,810 -- 34,678,353
T. Rowe Price
International Stock
Portfolio.............. -- 53,945,560 -- 27,320,613
</TABLE>
67
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
At December 31, 1997, aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there was an excess
of tax cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS TAX BASIS
UNREALIZED UNREALIZED NET UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
------------ ------------ --------------
<S> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio....................... $18,086,337 $ 8,275,004 $ 9,811,333
Dreyfus U.S. Government
Securities Portfolio............ 1,254,831 21,742 1,233,089
Enhanced Index Portfolio......... 1,715,356 474,994 1,240,362
Opportunity Value Portfolio...... 1,912,533 700,144 1,212,389
Value Equity Portfolio........... 57,894,756 688,162 57,206,594
TCW Managed Asset Allocation
Portfolio....................... 77,185,578 601,463 76,584,115
T. Rowe Price Equity Income
Portfolio....................... 30,828,317 1,357,572 29,470,745
T. Rowe Price Growth Stock
Portfolio....................... 27,299,540 3,167,235 24,132,105
T. Rowe Price International Stock
Portfolio....................... 33,878,882 15,052,328 18,826,554
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of shares of beneficial interest
without par value of one or more series. Shares of the Fund are presently
divided into eleven series of shares, each series representing one of the
Fund's eleven Portfolios. One series, Select 50 Portfolio, was not operational
at December 31, 1997. 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>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
DREYFUS SMALL CAP VALUE
PORTFOLIO:
Sold...................... 2,854,599 $46,267,300 1,685,691 $21,819,816
Issued as reinvestment of
dividends................ 796,124 11,695,060 222,513 2,926,056
Redeemed.................. (579,781) (9,300,638) (373,076) (4,785,031)
--------- ----------- --------- -----------
Net increase.............. 3,070,942 $48,661,722 1,535,128 $19,960,841
========= =========== ========= ===========
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
DREYFUS U.S. GOVERNMENT
SECURITIES PORTFOLIO:
Sold...................... 2,054,139 $23,404,469 1,451,562 $16,007,728
Issued as reinvestment of
dividends................ 96,135 1,063,251 53,384 568,005
Redeemed.................. (432,109) (4,934,965) (419,777) (4,629,118)
--------- ----------- --------- -----------
Net increase.............. 1,718,165 $19,532,755 1,085,169 $11,946,615
========= =========== ========= ===========
<CAPTION>
PERIOD ENDED
12/31/97#
----------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C>
ENHANCED INDEX PORTFOLIO:
Sold...................... 1,676,961 $19,232,288
Redeemed.................. (65,048) (791,470)
--------- -----------
Net increase.............. 1,611,913 $18,440,818
========= ===========
</TABLE>
------------
# The Enhanced Index Portfolio and the Opportunity Value Portfolio
commenced operations on May 2, 1997 and November 18, 1996, respectively.
68
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
<TABLE>
<CAPTION>
YEAR ENDED PERIOD ENDED
12/31/97 12/31/96#
------------------------ --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPPORTUNITY VALUE
PORTFOLIO:
Sold.................... 2,313,198 $ 25,586,520 73,459 $ 738,698
Issued as reinvestment
of dividends........... 80 852 -- --
Redeemed................ (102,942) (1,134,806) (3,746) (37,465)
---------- ------------ ------------ ------------
Net increase............ 2,210,336 $ 24,452,566 69,713 $ 701,233
========== ============ ============ ============
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
------------------------ --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
VALUE EQUITY PORTFOLIO:
Sold.................... 3,232,180 $ 61,464,872 2,765,358 $ 43,709,370
Issued as reinvestment
of dividends........... 325,993 5,809,197 140,281 2,189,789
Redeemed................ (557,099) (10,797,494) (294,404) (4,515,741)
---------- ------------ ------------ ------------
Net increase............ 3,001,074 $ 56,476,575 2,611,235 $ 41,383,418
========== ============ ============ ============
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
------------------------ --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
TCW MANAGED ASSET ALLO-
CATION PORTFOLIO:
Sold.................... 1,736,406 $ 36,394,153 1,280,847 $ 22,326,834
Issued as reinvestment
of dividends........... 170,745 3,471,255 223,337 3,944,143
Redeemed................ (1,086,805) (22,793,784) (975,851) (17,010,866)
---------- ------------ ------------ ------------
Net increase............ 820,346 $ 17,071,624 528,333 $ 9,260,111
========== ============ ============ ============
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
------------ ------------
SHARES AND SHARES AND
AMOUNT AMOUNT
------------ ------------
<S> <C> <C>
TCW MONEY MARKET PORTFO-
LIO:
Sold.................... $ 60,627,400 $ 44,833,447
Issued as reinvestment
of dividends........... 2,583,983 1,589,374
Redeemed................ (53,594,899) (32,427,953)
------------ ------------
Net increase............ $ 9,616,484 $ 13,994,868
============ ============
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
------------------------ --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
T. ROWE PRICE EQUITY
INCOME PORTFOLIO:
Sold.................... 5,318,386 $ 92,122,352 3,441,208 $ 48,786,661
Issued as reinvestment
of dividends........... 195,942 3,254,603 29,619 409,929
Redeemed................ (367,672) (6,181,066) (96,445) (1,382,285)
---------- ------------ ------------ ------------
Net increase............ 5,146,656 $ 89,195,889 3,374,382 $ 47,814,305
========== ============ ============ ============
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
------------------------ --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
T. ROWE PRICE GROWTH
STOCK PORTFOLIO:
Sold.................... 2,718,480 $ 50,798,964 2,208,428 $ 32,571,074
Issued as reinvestment
of dividends........... 35,593 639,613 42,717 624,095
Redeemed................ (490,826) (9,143,649) (161,680) (2,364,802)
---------- ------------ ------------ ------------
Net increase............ 2,263,247 $ 42,294,928 2,089,465 $ 30,830,367
========== ============ ============ ============
</TABLE>
------------
# The Enhanced Index Portfolio and the Opportunity Value Portfolio
commenced operations on May 2, 1997 and November 18, 1996, respectively.
69
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/97 12/31/96
----------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
T. ROWE PRICE INTERNA-
TIONAL STOCK PORTFOLIO:
Sold.................... 2,814,522 $ 40,791,148 2,422,576 $31,650,627
Issued as reinvestment
of dividends........... 70,239 1,046,567 59,099 773,603
Redeemed................ (941,417) (13,569,758) (421,555) (5,506,964)
--------- ------------ --------- -----------
Net increase............ 1,943,344 $ 28,267,957 2,060,120 $26,917,266
========= ============ ========= ===========
</TABLE>
5. ORGANIZATION COSTS
Organization costs are amortized on a straight-line basis over a period of five
years from the commencement of operations of each Portfolio. In the event that
any of the initial shares (Dreyfus Small Cap Value Portfolio -- 10 shares,
Dreyfus U.S. Government Securities Portfolio -- 10 shares, Enhanced Index
Portfolio -- 10 shares, Opportunity Value Portfolio -- 10 shares, Value Equity
Portfolio -- 10 shares, TCW Managed Asset Allocation Portfolio -- 10,000
shares, TCW Money Market Portfolio -- 100,000 shares, T. Rowe Price Equity
Income Portfolio -- 10 shares, T. Rowe Price Growth Stock Portfolio -- 10
shares and T. Rowe Price International Stock Portfolio -- 10,000 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 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, 1997, all such costs for the T. Rowe Price
International Stock Portfolio, TCW Managed Asset Allocation Portfolio and TCW
Money Market Portfolio have been fully amortized.
6. FOREIGN AND ILLIQUID SECURITIES
The Portfolios may invest in foreign securities. Investing in securities of
foreign companies and foreign governments involves special risks and
considerations not typically associated with investing in the securities of
U.S. companies and the U.S. government. These risks include re-valuation of
currencies and future adverse political and economic developments. Moreover,
securities of many foreign companies and foreign governments and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. companies and the U.S. government.
Each Portfolio may invest up to 10% (15% with respect to Dreyfus Small Cap
Value Portfolio, Enhanced Index Portfolio, Opportunity Value Portfolio, Value
Equity Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth
Stock 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, 1997, 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 EXPIRING IN 2005
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
TCW Money Market Portfo-
lio.................... $215 $ -- $763 $146
</TABLE>
70
<PAGE>
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
To the Board of Trustees and Shareholders of
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, the Dreyfus Small Cap Value, Dreyfus U.S. Government
Securities, Enhanced Index, Opportunity Value, Value Equity, TCW Managed Asset
Allocation, TCW Money Market, T. Rowe Price Equity Income, T. Rowe Price Growth
Stock, and T. Rowe Price International Stock Portfolios) as of December 31,
1997, and the related statements of operations for the year then ended, the
statements of changes in net assets 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, 1997, 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,
1997, the results of their operations for the year then ended, the changes in
their net assets and the financial highlights for each of the periods indicated
therein, in conformity with generally accepted accounting principles.
[ART TO COME]
Boston, Massachusetts
February 11, 1998
71
<PAGE>
TAX INFORMATION (UNAUDITED)
ENDEAVOR SERIES TRUST
DECEMBER 31, 1997
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1997, were as follows:
<TABLE>
<S> <C>
Value Equity Portfolio.............................................. $3,177,310
Dreyfus Small Cap Value Portfolio................................... 3,159,785
T. Rowe Price Growth Stock Portfolio................................ 157,651
T. Rowe Price Equity Income Fund.................................... 1,158,783
</TABLE>
72
