<PAGE>
POLICYHOLDER LETTER
Dear Policyholders:
As President of the Endeavor Series Trust, I am pleased to report positive
investment returns for the period ending June 30, 1998. Through quality
investments, the Endeavor Management Team continues to position the portfolios
of Endeavor Series Trust to benefit from present and future financial markets
to meet long-term financial objectives.
Endeavor is pleased to have recently added two new portfolios, the Endeavor
Select 50 Portfolio managed by Montgomery Asset Management LLC, and the
Endeavor High Yield Portfolio managed by Massachusetts Financial Services
Company. In the third quarter of 1998 the Endeavor Variable Annuity will
include two additional investment options, The Dow Target 5 and The Dow Target
10 Subaccounts, managed by First Trust Advisers L.P., which are part of the
new Endeavor Target Account.
On behalf of the Board of Trustees and the entire Endeavor Management Team, I
would like to sincerely thank you for your continued confidence in the
Endeavor Variable Annuity and the Endeavor Series Trust.
Questions and comments from our policyholders are always welcome. Please do
not hesitate to give us a call.
Sincerely,
/s/ Vincent J. McGuinness, Jr.
Vincent J. (VJ) McGuinness, Jr.
President
Endeavor Series Trust
August 13, 1998
1
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 96.7%
MEDICAL SUPPLIES -- 10.2%
63,400 Beckman Coulter Inc.+................................. $ 3,693,050
104,800 CONMED Corporation+................................... 2,410,400
69,700 ESC Medical Systems Ltd. ............................. 2,352,375
74,200 Haemonetics Corporation............................... 1,187,200
65,300 Perrigo Company....................................... 657,081
134,000 Quest Diagnostics, Inc.+.............................. 2,931,250
73,700 Respironics Inc....................................... 1,146,956
58,500 Spacelabs Medical, Inc.+.............................. 979,875
48,200 Teva Pharmaceutical Industries Ltd. .................. 1,696,038
------------
17,054,225
------------
OIL AND GAS -- 9.4%
11,600 Devon Energy Corporation.............................. 405,275
92,400 EEX Corporation....................................... 866,250
26,100 Gulf Indonesia Resources Ltd.+........................ 300,150
67,200 Houston Exploration Company+.......................... 1,541,400
88,700 Lomak Petroleum Incorporated.......................... 925,806
19,500 Newfield Exploration Company.......................... 485,063
38,700 Oryx Energy Company+.................................. 856,237
12,200 Pennzoil Company...................................... 617,625
25,800 Petsec Energy Ltd., Sponsored ADR..................... 417,638
191,900 Santa-Fe Energy Resources, Inc. ...................... 2,062,925
100,800 Tesoro Petroleum Corporation.......................... 1,600,200
42,700 Titan Exploration, Inc.+.............................. 378,962
84,800 Valero Energy Corporation............................. 2,819,600
71,200 Vintage Petroleum Inc. ............................... 1,343,900
63,500 Forcenergy Inc. ...................................... 1,131,094
------------
15,752,125
------------
RETAIL -- 7.5%
117,600 Ann Taylor Stores Corporation+........................ 2,491,650
100,900 Brown Group Inc. ..................................... 2,005,387
25,100 Brylane Inc. ......................................... 1,154,600
89,000 Claire's Stores, Inc. ................................ 1,824,500
15,000 Discount Auto Parts Inc. ............................. 390,000
46,100 Finlay Enterprises Inc. .............................. 1,112,162
82,300 Gymboree Corporation+................................. 1,247,359
47,000 Huffy Corporation..................................... 851,875
25,400 Lone Star Steakhouse & Saloon+........................ 350,838
18,200 Ruby Tuesday Inc. .................................... 282,100
14,500 Tommy Hilfiger Corporation+........................... 906,250
------------
12,616,721
------------
FINANCIAL SERVICES -- 7.4%
46,800 Anthracite Capital Inc. .............................. 649,350
35,528 Astoria Financial Corporation......................... 1,900,748
45,000 Bay View Capital Corporation.......................... 1,428,750
14 Downey Financial Corporation.......................... 466
13,300 First Savings Bank of Washington...................... 335,825
90,800 Golden State Bancorp Inc.+............................ 2,701,300
21,400 Golden State Bancorp Inc., Litigation................. 113,688
41,600 Independence Community Bank........................... 707,200
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
60,100 Long Island Bancorp, Inc. ............................ $ 3,651,075
48,000 PFF Bancorp Inc. ..................................... 894,000
------------
12,382,402
------------
ELECTRONICS -- 7.2%
23,700 Berg Electronics Corporation.......................... 463,631
132,300 CHS Electronics Inc. ................................. 2,364,862
64,900 Credence Systems Corporation.......................... 1,233,100
21,400 Etec Systems Inc. .................................... 753,013
38,200 FSI International, Inc.+.............................. 370,062
50,000 General Semiconductor Inc.+........................... 493,750
48,300 International Rectifier Corporation+.................. 410,550
31,400 KLA-Tencor Corporation+............................... 869,388
42,600 Kulicke & Soffa Industries Inc. ...................... 724,200
95,500 Lam Research Corporation+............................. 1,826,437
63,400 Oak Industries, Inc.+................................. 2,242,775
25,600 Silicon Valley Group Inc.+............................ 411,200
------------
12,162,968
------------
COMPUTER SERVICE AND SOFTWARE -- 6.4%
7,200 Ardent Software Inc. ................................. 99,000
67,600 Diamond Multimedia Systems............................ 462,638
97,700 GT Interactive Software Corporation................... 735,803
73,500 In Focus Systems Inc. ................................ 519,094
167,200 The Learning Company.................................. 4,953,300
124,300 Symantec Corporation+................................. 3,247,337
81,300 Shiva Corporation..................................... 680,888
------------
10,698,060
------------
AEROSPACE & DEFENSE -- 5.1%
33,100 Alliant Techsystems Inc.+............................. 2,093,575
58,100 B.E. Aerospace Inc. .................................. 1,692,162
57,900 Doncasters PLC, ADR................................... 1,610,344
66,700 Fairchild Corporation, (The)+......................... 1,346,506
12,600 Special Devices, Inc. ................................ 445,725
47,100 Tristar Aerospace Company............................. 730,050
24,800 Watkins-Johnson Company............................... 644,800
------------
8,563,162
------------
BUILDING AND CONSTRUCTION -- 4.8%
125,700 CalMat Company........................................ 2,765,400
83,300 Chicago Bridge & Iron Company+........................ 1,291,150
95,700 Halter Marine Group, Inc. ............................ 1,441,481
41,400 Newport News Shipbuilding Inc. ....................... 1,107,450
49,800 Oakwood Homes Corporation............................. 1,494,000
------------
8,099,481
------------
CONTAINERS -- 4.4%
94,700 Ball Corporation...................................... 3,805,756
96,300 Gaylord Container Corporation, Class A................ 740,306
180,100 Stone Container Corporation........................... 2,814,063
------------
7,360,125
------------
TRANSPORTATION -- 4.2%
102,800 Arkansas Best Corporation............................. 963,750
26,800 Arnold Industries, Inc. .............................. 395,300
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
TRANSPORTATION -- (CONTINUED)
63,800 Avondale Industries, Inc. ............................ $ 1,760,481
25,000 Covenant Transport Inc., Class A...................... 487,500
18,900 Knightsbridge Tankers Ltd.+........................... 505,575
55,300 Tranz Rail Holdings Ltd. ............................. 366,362
21,400 Wisconsin Central Transportation Corporation.......... 468,125
117,400 Yellow Corporation+................................... 2,179,238
------------
7,126,331
------------
INSURANCE -- 4.1%
38,000 Allmerica Financial Corporation....................... 2,470,000
18,600 Berkley, W.R. Corporation............................. 745,163
31,200 Citizens Corporation.................................. 976,950
35,900 Everest Reinsurance Holdings, Inc. ................... 1,379,906
19,200 Guarantee Life Companies.............................. 420,000
27,700 SCPIE Holdings Inc. .................................. 938,337
------------
6,930,356
------------
AUTO PARTS -- 3.0%
7,500 Arvin Industries Inc. ................................ 272,344
37,500 Breed Technologies Inc. .............................. 574,219
59,400 Dura Automotive Systems Inc. ......................... 1,908,225
24,600 Federal-Mogul Corporation............................. 1,660,500
87,600 Miller Industries, Inc. .............................. 678,900
------------
5,094,188
------------
ENVIRONMENTAL SERVICES -- 2.4%
1,116,100 DSC Communications Corporation........................ 4,045,863
------------
MACHINERY AND ENGINEERING -- 2.2%
35,800 Amcast Industrial Corporation......................... 666,775
26,900 Cummins Engine Inc. .................................. 1,378,625
25,400 Global Industries Tech Inc. .......................... 365,125
72,100 OmniQuip International, Inc. ......................... 1,333,850
------------
3,744,375
------------
SERVICES -- 2.0%
59,800 Aviall Inc. .......................................... 818,512
52,800 Borg-Warner Security Corporation...................... 1,194,600
109,000 Danka Business Systems, ADR........................... 1,287,562
------------
3,300,674
------------
PAPER AND PAPER PRODUCTS -- 1.8%
174,300 Unisource Worldwide Inc.+............................. 1,884,619
52,500 Wausau-Mosinee Paper Corporation...................... 1,200,938
------------
3,085,557
------------
MEDIA AND COMMUNICATIONS -- 1.6%
52,600 Emmis Broadcasting Corporation+....................... 2,514,937
15,200 Ortel Corporation+.................................... 235,600
------------
2,750,537
------------
COMPUTERS -- 1.5%
66,000 LTX Corporation+...................................... 323,813
35,500 Read-Rite Corporation+................................ 321,719
73,900 Wang Laboratories Inc. ............................... 1,879,831
------------
2,525,363
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
METALS & MINING -- 1.5%
2,700 Intermet Corporation.................................. $ 48,937
27,500 Shaw Group Inc. ...................................... 715,000
45,300 Wolverine Tube Inc.+.................................. 1,721,400
------------
2,485,337
------------
NETWORKING PRODUCTS -- 1.4%
104,000 Adaptec Inc. ......................................... 1,488,500
60,000 Hypercom Corporation.................................. 637,500
8,200 Splash Technology Holdings Inc. ...................... 140,938
------------
2,266,938
------------
TEXTILES AND APPAREL -- 1.3%
17,200 Authentic Fitness Corporation......................... 271,975
35,400 Guilford Mills Inc.+.................................. 708,000
75,900 Phillips-Van Heusen Company........................... 1,119,525
------------
2,099,500
------------
LEISURE -- 0.9%
137,700 Boyd Gaming Corporation+.............................. 817,594
28,100 Carmike Cinemas, Inc., Class A+....................... 756,944
------------
1,574,538
------------
HOTELS/RESORTS -- 0.9%
100,400 Station Casinos Inc.+................................. 1,474,625
------------
HEALTH CARE -- 0.8%
35,700 Integrated Health Services............................ 1,338,750
------------
MARINE SERVICES -- 0.8%
132,800 Horizon Offshore Inc. ................................ 1,303,100
------------
CONSUMER SERVICES -- 0.8%
35,700 ACNielsen Corporation+................................ 901,425
43,500 Cambridge Shopping Centers++.......................... 391,679
------------
1,293,104
------------
REAL ESTATE -- 0.7%
34,400 Kaufman & Broad Home Corporation...................... 1,092,200
------------
FOOD AND BEVERAGES -- 0.5%
37,800 J.M. Smucker Company, Class B......................... 921,375
------------
MANUFACTURING -- 0.5%
28,100 Imation Corporation+.................................. 465,406
23,400 O'Sullivan Industries Holding Inc. ................... 327,600
5,800 Trimble Navigation Ltd.+.............................. 93,888
400 U.S Industiries, Inc.+................................ 9,900
------------
896,794
------------
STEEL -- 0.5%
105,400 ARMCO Inc. ........................................... 671,925
12,000 Birmingham Steel Corporation.......................... 148,500
------------
820,425
------------
RECYCLING -- 0.5%
190,400 Philip Services Corporation........................... 785,400
------------
CHEMICALS -- 0.4%
31,700 Quaker Chemical Corporation........................... 600,319
------------
Total Common Stocks
(Cost $163,425,004).................................. 162,244,918
------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
COMMERCIAL PAPER -- 3.3% (COST $5,526,000)
$5,526,000 General Electric Capital Corporation,
6.450% due 07/01/1998............................... $ 5,526,000
------------
TOTAL INVESTMENTS
(COST $168,951,004*)...................................... 100.0% 167,770,918
OTHER ASSETS AND LIABILITIES (NET)......................... 0.0 35,763
----- ------------
NET ASSETS................................................. 100.0% $167,806,681
===== ============
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
Abbreviations:
ADR -- American Depositary Receipts
See Notes to Financial Statements.
4
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 47.1%
U.S. TREASURY NOTES -- 27.2%
$10,000,000 6.375% due 08/15/2002................................ $10,306,200
7,000,000 5.500% due 02/28/2003................................ 6,994,540
-----------
17,300,740
-----------
U.S. TREASURY BILLS --17.5%
1,200,000 8.125% due 05/15/2021................................ 1,562,436
8,008,000 7.250% due 08/15/2022................................ 9,582,053
-----------
11,144,489
-----------
U.S. TREASURY INFLATION INDEX NOTES -- 2.3%
1,500,000 3.625% due 04/15/2028................................ 1,481,715
-----------
Total U.S. Treasury Obligations
(Cost $28,833,140).................................. 29,926,944
-----------
MORTGAGE-BACKED SECURITIES -- 26.8%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 11.9%
GNMA:
226,646 8.000% due 07/15/2017................................ 237,321
176,982 8.500% due 12/15/2021................................ 187,511
285,216 9.000% due 12/15/2021................................ 306,873
228,736 7.000% due 11/15/2023................................ 232,739
386,362 7.500% due 12/15/2023................................ 397,467
372,848 8.000% due 06/15/2027................................ 386,364
366,810 8.000% due 07/15/2027................................ 380,107
1,420,568 8.000% due 08/15/2027................................ 1,472,064
4,000,000 6.500% due 06/01/2028, TBA........................... 3,986,250
-----------
7,586,696
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 9.5%
FNMA:
3,800,000 5.625% due 03/15/2001................................ 3,794,072
148,359 7.000% due 08/01/2003................................ 150,193
193,494 7.500% due 06/01/2009................................ 198,893
763,776 6.500% due 02/01/2013................................ 768,068
503,885 6.500% due 03/01/2013................................ 506,717
54,095 7.000% due 07/01/2022................................ 54,954
150,545 7.000% due 07/01/2023................................ 152,803
243,833 6.500% due 02/01/2026................................ 243,374
196,496 7.000% due 09/01/2026................................ 199,259
-----------
6,068,333
-----------
STUDENT LOAN MARKETING ASSOCIATION (SLMA) -- 4.7%
SLMA,
12,360,000 Zero Coupon due 10/03/2022........................... 2,964,422
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.6%
FHLMC Gold:
170,746 9.500% due 07/25/2022................................ 184,852
207,324 9.500% due 12/01/2022................................ 224,393
-----------
409,245
-----------
Total Mortgage-Backed Securities
(Cost $16,800,910).................................. 17,028,696
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
AGENCY SECURITIES -- 9.8%
FEDERAL HOME LOAN BANK (FHLB) -- 8.8%
FHLB:
$ 550,000 5.590% due 01/05/2001............................... $ 548,966
5,000,000 5.910% due 03/19/2005............................... 5,035,950
-----------
5,584,916
-----------
TENNESSEE VALLEY AUTHORITY (TVA) -- 1.0%
625,000 TVA,
8.375% due 10/01/1999.............................. 644,725
-----------
Total Agency Securities
(Cost $6,192,911).................................. 6,229,641
-----------
CORPORATE FIXED INCOME SECURITIES -- 7.7%
FINANCIAL SERVICES -- 6.7%
1,000,000 BT Capital Trust B,
Financial Company Guarantee,
7.900% due 01/15/2027.............................. 1,055,960
1,000,000 Hartford Life, Note,
7.100% due 06/15/2007.............................. 1,052,170
2,000,000 Lehman Brothers, Inc.,
Senior Subordinate Note,
7.625% due 06/15/2006.............................. 2,146,840
-----------
4,254,970
-----------
TELEPHONE -- 0.9%
600,000 U.S. West Capital Funding Inc.,
Company Guarantee,
6.125% due 07/15/2002.............................. 600,012
-----------
OIL AND GAS -- 0.1%
30,000 Norcen Energy Resources, Debenture,
7.375% due 05/15/2006.............................. 31,982
-----------
Total Corporate Fixed Income Securities
(Cost $4,852,288).................................. 4,886,964
-----------
REPURCHASE AGREEMENT -- 7.0% (Cost $4,454,000)
4,454,000 Agreement with UBS, 5.780% to be repurchased at
$4,454,715 on 07/01/1998, collateralized by
$4,543,219 US Treasury Note, 5.625% due
11/30/2000......................................... 4,454,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $61,133,249*)........................................ 98.4% 62,526,245
OTHER ASSETS & LIABILITIES (NET)............................ 1.6 1,028,397
----- -----------
NET ASSETS.................................................. 100.0% $63,554,642
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
Abbreviations:
Gold -- Payments are on an accelerated 45-day payment cycle instead of 75-day
payment cycle.
TBA -- To Be Announced
<TABLE>
<CAPTION>
NUMBER OF UNREALIZED
CONTRACTS (DEPRECIATION)
--------- --------------
<C> <S> <C>
FUTURES CONTRACTS-LONG POSITION
32 U.S. Treasury Notes, 5 Year,
September 1998..................................... $(7,750)
=======
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 98.6%
FINANCIAL SERVICES -- 13.6%
500 A.G. Edwards Inc.......................................... $ 21,344
1,000 Ahmanson (H.F.) & Company................................. 71,000
500 Ambac Financial Group, Inc. .............................. 29,250
2,600 American Express Company.................................. 296,400
200 Amresco Inc. ............................................. 5,825
375 Associated Bancorporation................................. 14,110
2,000 Associates First Capital Corporation...................... 153,750
1,058 Banc One Corporation...................................... 59,027
4,900 Bankamerica Corporation................................... 423,544
600 Bankers Trust N.Y. Corporation............................ 69,638
500 Bear Stearns Companies, Inc............................... 28,437
300 Beneficial Corporation.................................... 45,957
300 Capital One Financial Corporation......................... 37,257
699 Charter One Financial, Inc................................ 23,551
700 Chase Manhattan Corporation............................... 52,850
3,200 Citicorp.................................................. 477,600
300 City National Corporation................................. 11,082
200 Colonial Bancgroup Inc.................................... 6,450
400 Compass Bancshares Inc.................................... 18,050
200 ContiFinancial Corporation................................ 4,625
600 Crestar Financial Corporation............................. 32,738
600 Dime Bancorp Inc.......................................... 17,963
3,900 Federal Home Loan Mortgage Corporation.................... 183,544
5,900 Federal National Mortgage Association..................... 358,425
200 Financial Security Assurance Holdings..................... 11,550
300 Finova Group, Inc. ....................................... 16,988
500 First American Corporation................................ 24,063
2,000 First Chicago Corporation NBD............................. 177,250
756 First Tennessee National Corporation...................... 23,862
6,117 First Union Corporation................................... 356,317
800 Firstar Corporation....................................... 30,400
300 Golden West Financial Corporation......................... 31,894
500 Greenpoint Financial Corporation.......................... 18,813
500 Hannaford Brothers Company................................ 22,000
1,500 Household International, Inc.............................. 74,625
1,100 Huntington Bancshares Corporation......................... 36,850
2,500 Keycorp New............................................... 89,063
400 Lehman Brothers Holdings Inc.............................. 31,025
400 Long Island Bancorp Inc................................... 24,300
19 M & T Bank Corporation.................................... 10,526
2,300 MBNA Corporation.......................................... 75,900
600 Marshall & Ilsley Corporation............................. 30,638
200 Mellon Bank Corporation................................... 13,925
800 Mercantile Bankcorp Inc................................... 40,300
400 Mercantile Bankshares Corporation......................... 13,925
3,400 Morgan Stanley/Dean Witter & Company...................... 310,675
4,300 NationsBank Corporation................................... 328,950
1,900 Norwest Corporation....................................... 71,013
300 Ocwen Financial Corporation............................... 8,063
400 Pacific Century Financial................................. 9,600
500 Peoples Heritage Financial Group, Inc. ................... 11,812
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
306 Provident Financial Group, Inc............................ $ 13,961
200 Republic NY Corporation................................... 12,588
900 Southtrust Corporation.................................... 39,150
900 Sovereign Bancorp, Inc.................................... 14,709
900 TCF Financial Corporation................................. 26,550
1,400 The Charles Schwab Corporation............................ 45,500
5,100 Travelers Group, Inc. .................................... 309,187
500 Union Planters Corporation................................ 29,406
141 Washington Federal, Inc................................... 3,895
1,650 Washington Mutual, Inc. .................................. 71,672
700 Wells Fargo & Company..................................... 258,300
200 Wilmington Trust Company.................................. 12,175
-----------
5,173,837
-----------
TECHNOLOGY -- 13.4%
800 Advanced Micro Devices Inc................................ 13,650
2,600 Applied Materials, Inc.................................... 76,700
300 Autodesk, Inc. ........................................... 11,587
1,200 Cabletron Systems, Inc. .................................. 16,125
7,300 Cisco Systems, Inc. ...................................... 672,056
8,999 Compaq Computer Corporation............................... 255,361
1,100 Compusa Inc............................................... 19,869
5,200 Computer Associates International, Inc. .................. 288,925
3,600 EMC Corporation........................................... 161,325
3,200 First Data Corporation.................................... 106,600
1,200 Frontier Corporation...................................... 37,800
12,100 Intel Corporation......................................... 896,913
6,800 International Business Machines Corporation............... 780,725
4,700 Lucent Technologies....................................... 390,981
6,600 Microsoft Corporation..................................... 715,275
200 Network Associates Inc.................................... 9,575
7,000 Oracle Corporation........................................ 171,938
1,900 Parametric Technology Corporation......................... 51,537
1,177 Quantum Corporation....................................... 24,423
70 Read-Rite Corporation..................................... 634
1,300 Rockwell International Corporation........................ 62,481
2,700 Sun Microsystems Inc. .................................... 117,281
400 Symantec Corporation...................................... 10,450
2,800 Texas Instruments, Inc.................................... 163,275
400 Textronix Corporation..................................... 14,150
521 Xilinx, Inc. ............................................. 17,714
-----------
5,087,350
-----------
CONSUMER STAPLES -- 9.9%
2,800 Anheuser-Busch Companies Inc. ............................ 132,125
2,200 Campbell Soup Company..................................... 116,875
6,700 Coca-Cola Company......................................... 572,850
900 General Mills Inc......................................... 61,538
6,500 Gillette Company.......................................... 368,469
2,100 H.J. Heinz Company........................................ 117,862
400 Hershey Foods Corporation................................. 27,600
1,700 Kellogg Company........................................... 63,856
3,200 Kimberly-Clark Corporation................................ 146,800
300 Nabisco Holdings Corporation.............................. 10,819
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
CONSUMER STAPLES -- (CONTINUED)
7,400 PepsiCo, Inc. ............................................ $ 304,788
14,100 Philip Morris Companies Inc............................... 555,187
7,800 Proctor & Gamble Company.................................. 710,288
600 Ralston-Purina Group...................................... 70,088
2,700 Sara Lee Corporation...................................... 151,031
2,500 Sherwin-Williams Company.................................. 82,813
3,700 Unilever, NV ADR.......................................... 292,069
-----------
3,785,058
-----------
DRUGS -- 8.3%
2,400 ALZA Corporation.......................................... 103,800
11,300 American Home Products Corporation........................ 584,775
7,300 Bristol-Myers Squibb Company.............................. 839,044
3,500 Chiron Corporation........................................ 54,906
4,800 Forest Laboratories, Inc. ................................ 171,600
3,500 Johnson & Johnson, Inc. .................................. 258,125
2,000 Merck & Company, Inc. .................................... 267,500
1,900 Pfizer Inc. .............................................. 206,506
8,900 Warner-Lambert Company.................................... 617,438
1,200 Watson Pharmaceuticals.................................... 56,025
-----------
3,159,719
-----------
MULTI-INDUSTRY -- 7.7%
6,800 Allied Signal, Inc. ...................................... 301,750
11,000 Boeing Company............................................ 490,188
856 Coltec Industries, Inc. .................................. 17,013
3,600 Eastman Kodak Company..................................... 263,025
775 Fruit of the Loom, Inc., Class A.......................... 25,769
9,300 General Electric Company.................................. 846,300
1,000 Harris Corporation........................................ 44,688
1,400 ITT Industries, Inc....................................... 52,325
1,000 Johnson Controls, Inc. ................................... 57,063
2,000 Raytheon Company.......................................... 115,250
311 Sensormatic Electronics Corporation....................... 4,354
2,000 Tenneco Inc., New......................................... 76,125
6,600 Tyco International, Ltd., New............................. 415,800
700 Unifi Inc. ............................................... 23,975
6,100 Waste Management Inc., New................................ 213,500
-----------
2,947,125
-----------
ENERGY -- 7.5%
900 Allegheny Energy Inc. .................................... 27,113
200 Anadarko Petroleum Corporation............................ 13,437
700 Ashland Inc............................................... 36,138
2,900 Atlantic Richfield Company................................ 226,563
2,300 Chevron Corporation....................................... 191,044
700 Columbia Energy Group..................................... 38,938
700 Consolidated Natural Gas Company.......................... 41,212
500 Cooper Cameron Corporation................................ 25,500
600 Diamond Offshore Drilling, Inc. .......................... 24,000
14,800 Exxon Corporation......................................... 1,055,425
92 Input/Output, Inc......................................... 1,639
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
300 KN Energy Inc............................................. $ 16,256
7,000 Mobil Corporation......................................... 536,375
2,300 Phillips Petroleum Company................................ 110,831
2,100 Royal Dutch Petroleum Company, ADR........................ 115,106
2,800 Schlumberger Ltd. ........................................ 191,275
600 Texaco, Inc. ............................................. 35,813
1,400 Tosco Corporation......................................... 41,125
2,300 Union Pacific Resources Group............................. 40,394
1,300 Unocal Corporation........................................ 46,475
500 Valero Energy Corporation................................. 16,625
500 Western Resources, Inc. .................................. 19,406
-----------
2,850,690
-----------
TELEPHONE -- 7.3%
2,300 3Com Corporation.......................................... 70,581
4,000 Ameritech Corporation..................................... 179,500
5,000 AT&T Corporation.......................................... 285,625
2,600 Bell Atlantic Corporation................................. 118,625
4,000 BellSouth Corporation..................................... 268,500
1,000 Cincinnati Bell Inc....................................... 28,625
6,900 GTE Corporation........................................... 383,813
3,700 Motorola, Inc. ........................................... 194,481
3,500 MCI Communications Corporation............................ 203,437
15,900 SBC Communications, Inc. ................................. 636,000
8,700 WorldCom Inc. ............................................ 421,406
-----------
2,790,593
-----------
SERVICES -- 5.6%
300 Bestfoods Inc. ........................................... 17,419
1,000 Circus Circus Enterprises Inc. ........................... 16,938
4,100 Comcast Corporation, Class A.............................. 166,434
43 Corn Products International............................... 1,467
1,700 Donnelley (R.R.) & Sons Company........................... 77,775
1,700 Equifax, Inc. ............................................ 61,731
254 Extended Stay America, Inc. .............................. 2,857
900 Gannett Company, Inc. .................................... 63,956
600 Furniture Brands International, Inc. ..................... 16,838
1,300 International Game Technology Inc. ....................... 31,525
6,100 McDonald's Corporation.................................... 420,900
700 MGM Grand, Inc............................................ 22,094
2,100 Mirage Resorts, Inc. ..................................... 44,756
4,100 Seagram Company Ltd. ..................................... 167,844
3,000 Service Corporation International......................... 128,625
4,500 Tele Communications Inc., New, Class A.................... 90,281
6,300 Time Warner Inc. ......................................... 538,256
1,000 The Times Mirror Company.................................. 62,875
2,100 Viacom Inc., Class B...................................... 122,325
100 Washington Post Company, Class B.......................... 57,600
-----------
2,112,496
-----------
RETAIL -- 5.3%
2,400 Albertson's Inc. ......................................... 124,200
3,400 American Stores Company................................... 82,238
1,900 Autozone, Inc. ........................................... 60,681
1,200 Best Buy Company Inc. .................................... 43,350
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL -- (CONTINUED)
1,200 Circuit City Stores, Inc. ................................ $ 56,250
900 Corporate Express, Inc. .................................. 11,419
100 Costco Companies Inc. .................................... 6,306
3,000 Dayton Hudson Corporation................................. 145,500
1,300 Dillards, Inc., Class A Shares............................ 53,869
2,600 Federated Department Stores, Inc. ........................ 139,913
1,000 General Nutrition Companies, Inc. ........................ 31,125
6,000 K Mart Stores............................................. 114,750
3,200 Kroger Company............................................ 137,200
1,900 May Department Stores Company............................. 124,450
98 Nine West Group, Inc...................................... 2,628
5,900 Safeway, Inc. ............................................ 240,056
4,800 Sears Roebuck & Company................................... 293,100
3,900 TJX Companies Inc. New.................................... 94,088
3,400 Toys R Us Inc............................................. 80,112
3,000 Wal-Mart Stores Inc. ..................................... 182,250
-----------
2,023,485
-----------
BASIC INDUSTRY -- 5.1%
158 Albemarble Corporation.................................... 3,486
2,300 Alcan Aluminum Ltd........................................ 63,537
1,800 Allegheny Teledyne Inc. .................................. 41,063
1,700 Aluminum Company of America............................... 112,094
600 Boise Cascade Corporation................................. 19,650
2,100 Browning Ferris Industries Inc. .......................... 72,975
800 Champion International Corporation........................ 39,350
400 Crompton & Knowles Corporation............................ 10,075
300 Cytec Industries Inc. .................................... 13,275
1,400 Dow Chemical Company...................................... 135,363
6,800 du Pont (E.I.) de Nemours & Company....................... 507,450
900 El Paso Natural Gas Company............................... 34,425
1,000 Freeport McMoRan Copper & Gold Inc.,
Class A.................................................. 14,250
1,000 Georgia Pacific Corporation--[Pac Group].................. 58,938
1,200 Louisiana-Pacific Corporation............................. 21,900
500 Lyondell Petrochemical Company............................ 15,219
1,200 Mead Corporation.......................................... 38,100
8,100 Monsanto Company.......................................... 452,588
800 Praxair, Inc. ............................................ 37,450
700 Reynolds Metals Company................................... 39,156
400 Rohm & Haas Company....................................... 41,575
600 Solutia, Inc. ............................................ 17,213
600 Temple-Inland, Inc. ...................................... 32,325
800 Union Camp Corporation.................................... 39,700
800 Union Carbide Corporation................................. 42,700
800 W.W. Grainger, Inc........................................ 39,850
200 Witco Corporation......................................... 5,850
-----------
1,949,557
-----------
INSURANCE -- 4.1%
1,300 Aetna Inc................................................. 98,963
2,700 Allstate Corporation...................................... 247,219
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
4,000 American International Group.............................. $ 584,000
1,400 CIGNA Corporation......................................... 96,600
200 Fremont General Corporation............................... 10,838
393 General Re Corporation.................................... 100,706
1,600 Marsh & McLennan Companies, Inc. ......................... 96,700
600 MBIA, Inc................................................. 44,925
200 The PMI Group Inc. ....................................... 14,675
800 Torchmark Corporation..................................... 36,600
400 Travelers Properties Casualty, Class A.................... 17,150
900 Safeco Corporation........................................ 40,894
1,500 St. Paul Companies, Inc. ................................. 63,094
400 Transamerica Corporation.................................. 46,000
900 UNUM Corporation.......................................... 49,950
-----------
1,548,314
-----------
CYCLICAL -- 3.1%
4,300 Chrysler Corporation...................................... 242,413
900 Cooper Tire & Rubber Company.............................. 18,563
2,100 Echlin, Inc............................................... 103,031
1,600 Genuine Parts Company..................................... 55,200
2,300 Goodyear Tire & Rubber Company............................ 148,206
2,400 Hasbro, Inc. ............................................. 94,350
1,200 Lear Corporation.......................................... 61,575
3,600 Leggett & Platt, Inc...................................... 90,000
5,400 Mattel, Inc............................................... 228,488
600 Owens Corning Inc. ....................................... 24,487
800 Reebok International, Ltd................................. 22,150
2,400 Stone Container Corporation............................... 37,500
900 Whirlpool Corporation..................................... 61,875
-----------
1,187,838
-----------
HEALTH SERVICES -- 2.6%
3,600 Abbot Laboratories Inc.................................... 147,150
500 Bausch & Lomb Inc. ....................................... 25,063
1,800 Boston Scientific Corporation............................. 128,925
300 Columbia/HCA Healthcare Corporation....................... 8,738
400 Health Care & Retirement Corporation...................... 15,775
2,600 Humana, Inc............................................... 81,088
1,500 Lilly Eli & Company....................................... 99,094
2,100 Medtronic Inc............................................. 133,875
500 Perkin-Elmer Corporation.................................. 31,094
900 Stryker Corporation....................................... 34,538
3,000 Tenet Healthcare Corporation.............................. 93,750
1,400 United Healthcare Corporation............................. 88,900
2,400 United States Surgical Corporation........................ 109,500
-----------
997,490
-----------
UTILITIES -- 2.6%
1,000 Ameren Corporation........................................ 39,750
91 American Electric Power Company, Inc. .................... 4,129
1,100 Baltimore Gas & Electric Company.......................... 34,169
4,100 Central and Southwest Corporation......................... 110,188
1,200 CINergy Corporation....................................... 42,000
800 CMS Energy Corporation.................................... 35,250
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
UTILITIES -- (CONTINUED)
1,500 Dominion Resources Inc. .................................. $ 61,125
2,400 Enron Corporation......................................... 129,750
1,200 Ensco International Inc................................... 20,850
1,800 Entergy Corporation New................................... 51,750
900 GPU, Inc.................................................. 34,031
500 New England Electric Systems.............................. 21,625
1,200 Northern States Power Company............................. 34,350
200 PG&E Corporation.......................................... 6,313
1,700 Peco Energy Company....................................... 49,831
1,300 P P & L Resources, Inc.................................... 29,494
1,400 R & B Falcon Corporation.................................. 31,675
3,300 Southern Company.......................................... 91,369
800 Sun Company Inc. ......................................... 31,050
900 Teco Energy, Inc. ........................................ 24,131
1,900 Texas Utilities Company................................... 79,088
900 Wisconsin Energy Corporation.............................. 27,338
-----------
989,256
-----------
CAPITAL GOODS -- 1.3%
2,500 Caterpillar Inc. ......................................... 132,188
900 Cooper Industries Inc. ................................... 49,444
1,700 Deere & Company........................................... 89,887
500 Eaton Corporation......................................... 38,875
2,600 Emerson Electric Company.................................. 156,813
166 Foster Wheeler Corporation................................ 3,559
800 Parker Hannifin Corporation............................... 30,500
-----------
501,266
-----------
TRANSPORTATION -- 1.2%
1,100 Burlington Northern Santa Fe.............................. 108,007
300 CNF Transportation, Inc................................... 12,750
1,500 CSX Corporation........................................... 68,250
400 FDX Corporation........................................... 25,100
2,500 Norfolk Southern Corporation.............................. 74,532
500 Ryder System, Inc......................................... 15,782
600 Southwest Airlines Company................................ 17,750
1,700 Union Pacific Corporation................................. 75,013
155 Wisconsin Central Transportation Corporation.............. 3,391
-----------
400,575
-----------
Total Common Stocks (Cost $33,978,944).................... 37,504,649
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
U.S. GOVERNMENT TREASURY -- 5.3%
U.S. TREASURY BILLS:
$ 14,000 4.844%# due 07/09/1998................................ $ 13,985
92,000 4.770%# due 07/16/1998................................ 91,817
1,933,000 4.780%# due 07/23/1998................................ 1,927,409
-----------
Total U.S. Government Treasury
(Cost $2,033,211).................................... 2,033,211
-----------
TOTAL INVESTMENTS
(COST $36,012,155*)........................................ 103.9% 39,537,860
OTHER ASSETS AND LIABILITIES (NET).......................... (3.9) (1,477,712)
----- -----------
NET ASSETS.................................................. 100.0% $38,060,148
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
9
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 77.4%
BANKING -- 11.7%
14,000 BankBoston Corporation...................... $ 778,750
12,000 Citicorp.................................... 1,791,000
3,000 M & T Bank Corporation...................... 1,662,000
1,900 Wells Fargo & Company....................... 701,100
-----------
4,932,850
-----------
DIVERSIFIED CHEMICALS -- 10.5%
10,000 Dow Chemical Company........................ 966,875
20,000 duPont (E.I.) de Nemours & Company.......... 1,492,500
6,900 Hercules, Inc............................... 283,763
14,300 Monsanto Company............................ 799,013
30,000 Solutia Inc................................. 860,625
-----------
4,402,776
-----------
AEROSPACE AND DEFENSE -- 5.8%
31,000 Boeing Company.............................. 1,381,437
10,000 Lockheed Martin Corporation................. 1,058,750
-----------
2,440,187
-----------
MANUFACTURING AND ENGINEERING -- 5.8%
24,300 Caterpillar, Inc............................ 1,284,862
14,000 Minnesota Mining & Manufacturing Company.... 1,150,625
-----------
2,435,487
-----------
INSURANCE -- 5.6%
22,200 ACE, Ltd. .................................. 865,800
19,300 EXEL Ltd. .................................. 1,501,781
-----------
2,367,581
-----------
TELECOMMUNICATIONS -- 5.5%
8,000 Cox Communications Inc., Class A............ 387,500
19,000 Sprint Corporation.......................... 1,339,500
30,000 Tele-Communications TCI Ventures Group,
Class A.................................... 601,875
-----------
2,328,875
-----------
RESTAURANTS -- 4.6%
28,000 McDonald's Corporation...................... 1,932,000
-----------
FINANCIAL SERVICES -- 4.0%
36,000 Federal Home Loan Mortgage Corporation...... 1,694,250
-----------
ENTERTAINMENT -- 3.9%
19,000 Time Warner Inc............................. 1,623,312
-----------
FOOD AND BEVERAGES -- 3.5%
30,000 Diageo Plc, Sponsored ADR................... 1,445,625
-----------
CONSUMER DURABLES -- 2.7%
30,000 ITT Industries Inc.......................... 1,121,250
-----------
TRANSPORTATION -- 2.2%
12,000 United Air Lines Corporation................ 936,000
-----------
PRINTING & GRAPHIC DESIGN -- 2.2%
20,000 Donnelley (R.R.) & Sons Company............. 915,000
-----------
PAPER AND PAPER PRODUCTS -- 2.1%
17,800 Champion International Corporation.......... 875,538
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
ENERGY -- 1.5%
18,000 Unocal Corporation................................... $ 643,500
-----------
HEALTHCARE -- 1.5%
20,000 Tenet Healthcare Corporation+........................ 625,000
-----------
TOYS, GAMES AND HOBBIES -- 1.4%
14,200 Mattel, Inc.......................................... 600,838
-----------
ELECTRONICS -- 1.3%
10,000 National Semiconductor Corporation+.................. 131,875
10,000 Varian Associates, Inc............................... 390,000
-----------
521,875
-----------
DRUGS AND MEDICAL PRODUCTS -- 0.9%
5,100 Becton, Dickinson & Company.......................... 395,888
-----------
CONSUMER NON-DURABLES -- 0.7%
7,000 Philip Morris Companies Inc.......................... 275,625
-----------
Total Common Stocks
(Cost $29,064,454).................................. 32,513,457
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 17.0%
$1,027,000 American Express Company,
5.510%# due 07/17/1998.............................. 1,024,485
Ford Motor Credit Corporation:
120,000 5.520%# due 07/14/1998............................... 119,761
999,000 5.500%# due 07/23/1998............................... 995,642
1,875,000 General Motors Acceptance Corporation, 5.540%# due
07/15/1998.......................................... 1,870,964
650,000 Household Finance Corporation,
5.550%# due 07/29/1998.............................. 647,194
1,142,000 International Business Machines Credit Corporation,
5.520%# due 07/17/1998.............................. 1,139,198
1,354,000 John Deere Capital Corporation,
5.530%# due 07/14/1998.............................. 1,351,296
-----------
Total Commercial Paper
(Cost $7,148,540)................................... 7,148,540
-----------
AGENCY SECURITIES -- 5.7%
FEDERAL HOME LOAN BANK (FHLB)
FHLB, Discount Notes:
1,000,000 5.550%# due 07/01/1998............................... 1,000,000
120,000 5.370%# due 07/03/1998............................... 119,964
1,175,000 5.390%# due 07/10/1998............................... 1,173,417
110,000 5.410%# due 07/24/1998............................... 109,620
-----------
Total Agency Securities
(Cost $2,403,001)................................... 2,403,001
-----------
TOTAL INVESTMENTS
(COST $38,616,995*)....................................... 100.1% 42,064,998
OTHER ASSETS AND LIABILITIES (NET)......................... (0.1) (25,287)
----- -----------
NET ASSETS................................................. 100.0% $42,039,711
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
10
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENDEAVOR VALUE EQUITY PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 91.4%
INSURANCE -- 22.4%
330,000 ACE Ltd. ........................................... $ 12,870,000
100,000 AFLAC, Inc. ........................................ 3,031,250
20,300 American International Group, Inc. ................. 2,963,800
164,000 Everest Re Holdings, Inc. .......................... 6,303,750
156,600 EXEL Ltd. .......................................... 12,185,438
34,000 General Re Corporation.............................. 8,712,500
20,000 Markel Corporation+................................. 3,560,000
60,000 Mid Ocean Ltd. ..................................... 4,710,000
75,000 Renaissance Re Holdings Ltd. ....................... 3,473,437
------------
57,810,175
------------
FINANCIAL SERVICES -- 10.0%
120,000 Countrywide Credit Industries, Inc. ................ 6,090,000
137,000 Federal Home Loan Mortgage Corporation.............. 6,447,562
230,000 Green Tree Financial Corporation.................... 9,846,875
54,000 Travelers Group, Inc. .............................. 3,273,750
------------
25,658,187
------------
AEROSPACE AND DEFENSE -- 7.1%
60,000 AlliedSignal, Inc. ................................. 2,662,500
70,000 Boeing Company...................................... 3,119,375
58,000 General Dynamics Corporation........................ 2,697,000
93,000 Lockheed Martin Corporation......................... 9,846,375
------------
18,325,250
------------
BANKING -- 6.2%
62,000 BankBoston Corporation ............................. 3,448,750
34,000 Citicorp............................................ 5,074,500
20,000 Wells Fargo & Company............................... 7,380,000
------------
15,903,250
------------
TRANSPORTATION -- 4.4%
54,000 AMR Corporation+.................................... 4,495,500
122,000 Canadian Pacific, Ord. ............................. 3,461,750
77,000 Union Pacific Corporation........................... 3,397,625
------------
11,354,875
------------
ENTERTAINMENT AND LEISURE -- 3.9%
156,000 Carnival Corporation................................ 6,181,500
100,000 Sabre Group Holdings, Inc.+......................... 3,800,000
------------
9,981,500
------------
ELECTRONICS -- 3.4%
71,000 AVNET Inc. ......................................... 3,882,813
100,000 Rockwell International Corporation.................. 4,806,250
------------
8,689,063
------------
DIVERSIFIED CHEMICALS -- 2.7%
70,000 duPont (E.I.) de Nemours & Company.................. 5,223,750
44,000 Hercules, Inc. ..................................... 1,809,500
------------
7,033,250
------------
RETAIL -- 2.6%
101,500 May Department Stores Company....................... 6,648,250
------------
CONSUMER NON-DURABLES -- 2.6%
168,000 Philip Morris Companies Inc. ....................... 6,615,000
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MANUFACTURING AND ENGINEERING -- 2.5%
120,000 Caterpillar, Inc. .................................. $ 6,345,000
------------
RESTAURANTS -- 2.5%
92,000 McDonald's Corporation.............................. 6,348,000
------------
MACHINERY -- 2.4%
180,000 Dover Corporation................................... 6,165,000
------------
AUTO PARTS-ORIGINAL EQUIPMENT -- 2.2%
140,600 LucasVarity Plc, Sponsored ADR...................... 5,597,638
------------
DRUGS AND MEDICAL PRODUCTS -- 2.2%
72,000 Becton, Dickinson & Company......................... 5,589,000
------------
HEALTH CARE -- 2.2%
180,000 Tenet Healthcare Corporation+....................... 5,625,000
------------
DIVERSIFIED -- 2.2%
77,000 Textron, Inc. ...................................... 5,519,937
------------
COSMETICS AND TOILETRIES -- 1.5%
90,000 International Flavors and Fragrances Inc. .......... 3,909,375
------------
PHOTO EQUIPMENT & SUPPLIES -- 1.4%
100,000 Polaroid Corporation................................ 3,556,250
------------
PAPER AND RELATED PRODUCTS -- 1.3%
70,000 Champion International Corporation.................. 3,443,125
------------
ADVERTISING -- 1.3%
68,200 Omnicom Group....................................... 3,401,475
------------
FOOD AND BEVERAGES -- 1.2%
64,800 Diageo L.C., Sponsored ADR.......................... 3,122,550
------------
TELECOMMUNICATIONS -- 1.2%
43,000 Sprint Corporation.................................. 3,031,500
------------
TOYS, GAMES AND HOBBIES -- 1.0%
59,375 Mattel, Inc......................................... 2,512,305
------------
TEXTILES AND APPAREL -- 0.7%
50,000 Unifi Incorporated.................................. 1,712,500
------------
NETWORKING -- 0.4%
46,000 Arrow Electronics Inc............................... 1,000,500
------------
Total Common Stocks
(Cost $160,107,872)................................ 234,897,955
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
COMMERCIAL PAPER -- 7.6%
$10,516,000 Ford Motor Credit Corporation,
5.520%# due 07/22/1998 ............................ 10,482,138
International Business Machines Credit Corporation:
1,515,000 5.520%# due 07/15/1998 ............................. 1,511,748
2,244,000 5.500%# due 07/15/1998 ............................. 2,239,200
5,409,000 John Deere Capital Corporation,
5.610%# due 08/05/1998 ............................ 5,379,919
------------
Total Commercial Paper
(Cost $19,613,005)................................. 19,613,005
------------
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR VALUE EQUITY PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
AGENCY SECURITY -- 1.0%
FEDERAL HOME LOAN BANK (FHLB) -- 1.0%
(Cost $2,450,000)
$ 2,450,000 Federal Home Loan Bank,
5.550%# due 07/01/1998 ........................... $ 2,450,000
------------
TOTAL INVESTMENTS
(COST $182,170,877*).................................... 100.1% 256,960,960
OTHER ASSETS AND LIABILITIES (NET)......................... (0.1) (221,062)
----- ------------
NET ASSETS................................................. 100.0% $256,739,898
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord.-- Ordinary
See Notes to Financial Statements.
12
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 68.4%
BANKING & FINANCIAL SERVICES -- 8.5%
74,000 American Express Company............................ $ 8,436,000
54,100 BankAmerica Corporation............................. 4,676,269
35,800 Chase Manhattan Corporation......................... 2,702,900
52,400 CitiCorp............................................ 7,820,700
39,900 Merrill Lynch & Company, Inc. ...................... 3,680,775
4,800 Wells Fargo & Company............................... 1,771,200
------------
29,087,844
------------
INSURANCE -- 7.4%
50,900 ACE Ltd. ........................................... 1,985,100
46,600 Allstate Corporation................................ 4,266,812
22,200 CMAC Investment Corporation......................... 1,365,300
8,900 General Re Corporation.............................. 2,280,625
132,300 Loews Corporation................................... 11,526,638
33,400 Reinsurance Group of America Inc. .................. 1,713,837
54,000 St. Paul Companies Inc. ............................ 2,271,375
------------
25,409,687
------------
OFFICE AUTOMATION AND EQUIPMENT -- 7.4%
85,900 Case Corporation.................................... 4,144,675
119,000 Knoll Inc. ......................................... 3,480,750
40,600 Pitney Bowes Inc. .................................. 1,953,875
4,900 Unisource Worldwide Inc. ........................... 52,981
125,500 United Technologies Corporation..................... 11,608,750
40,000 Xerox Corporation................................... 4,065,000
------------
25,306,031
------------
FOOD AND BEVERAGES -- 6.4%
90,300 Coca-Cola Company................................... 7,720,650
92,000 Coca-Cola Enterprises............................... 3,611,000
21,700 Quaker Oats Company................................. 1,192,144
42,900 Ralston Purina Company.............................. 5,011,256
50,700 Wrigley Company..................................... 4,968,600
------------
22,503,650
------------
MEDIA & ENTERTAINMENT -- 5.8%
107,300 Clear Channel Communications, Inc. ................. 11,709,113
34,300 Gannet Inc. ........................................ 2,437,444
13,200 Harrah's Entertainment Inc. ........................ 306,900
46,900 International Game Technologies Inc. ............... 1,137,325
53,100 SFX Entertainment Inc., Class A..................... 2,435,963
21,600 Time Warner Inc. ................................... 1,845,450
------------
19,872,195
------------
AEROSPACE AND DEFENSE -- 4.6%
64,100 Cordant Technologies Inc. .......................... 2,956,613
58,000 Gulfstream Aerospace Corporation.................... 2,697,000
83,400 Litton Industries Inc. ............................. 4,920,600
51,300 Northrop Corporation................................ 5,290,312
------------
15,864,525
------------
DIVERSIFIED OPERATIONS -- 4.4%
132 Berkshire Hathaway Inc., Class A.................... 10,336,260
28,900 Textron Inc. ....................................... 2,071,769
44,600 Tyco International Ltd. ............................ 2,809,800
------------
15,217,829
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
TECHNOLOGY -- 4.0%
21,550 Cisco Systems Inc. .................................. $ 1,983,946
21,700 Intel Corporation.................................... 1,608,512
20,900 Linear Technology Corporation........................ 1,260,531
81,900 Microsoft Corporation+............................... 8,875,912
------------
13,728,901
------------
TRANSPORTATION -- 3.4%
191,100 Continental Air Lines Inc., Class B.................. 11,633,212
------------
COMPUTER SERVICE & SOFTWARE -- 2.1%
21,500 America On Line Inc. ................................ 2,279,000
16,300 Dell Computer Corporation............................ 1,512,844
37,800 Ingram Micro Inc. ................................... 1,670,288
9,800 International Business Machines Corporation.......... 1,125,163
35,400 Software Net Corporation............................. 677,025
------------
7,264,320
------------
TELECOMMUNICATIONS -- 2.1%
7,600 ADC Telecommunications Inc. ......................... 277,637
35,500 AT&T Corporation..................................... 2,027,937
9,700 Ciena Corporation.................................... 675,362
21,900 Comcast Corporation, Class A......................... 870,525
17,500 Motorola Inc. ....................................... 919,844
48,400 Worldcom Inc. ....................................... 2,344,375
------------
7,115,680
------------
CONSUMER DURABLES -- 2.0%
86,000 General Motors Corporation........................... 5,745,875
33,100 ITT Industries Inc. ................................. 1,237,113
------------
6,982,988
------------
MEDICAL SERVICES AND SUPPLIES -- 1.8%
42,600 Merck & Co. Inc. .................................... 5,697,750
39,100 PharAmerica.......................................... 471,644
------------
6,169,394
------------
RETAIL -- 1.7%
56,199 Home Depot Inc. ..................................... 4,668,029
35,700 Staples Inc. ........................................ 1,033,069
2,000 Tommy Hilfiger Corporation........................... 125,000
------------
5,826,098
------------
COMMERCIAL SERVICES -- 1.7%
275,600 Cendant Corporation.................................. 5,753,150
------------
CONSUMER NON-DURABLES -- 1.5%
131,400 Philip Morris Companies, Inc. ....................... 5,173,875
------------
DIVERSIFIED CHEMICALS -- 0.8%
35,300 duPont (E.I.) de Nemours & Company................... 2,634,263
------------
OIL AND GAS -- 0.7%
12,600 Devon Energy Corporation............................. 440,213
31,300 Diamond Offshore Drilling Inc. ...................... 1,252,000
11,600 Schlumberger Ltd. ................................... 792,425
------------
2,484,638
------------
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
PRINTING & PUBLISHING -- 0.7%
26,500 Pultizer Publishing Company......................... $ 2,365,125
------------
AGRICULTURAL AND ENVIRONMENTAL -- 0.7%
39,700 Monsanto Company.................................... 2,218,238
10,000 Philip Services Corporation......................... 41,250
------------
2,259,488
------------
HOTELS AND RESORTS -- 0.4%
52,600 Hilton Hotels Corporation........................... 1,499,100
------------
ADVERTISING -- 0.3%
27,900 Young & Rubicam Inc. ............................... 892,800
------------
Total Common Stocks
(Cost $214,899,899)................................ 235,044,793
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C>
MORTGAGE BACKED SECURITIES -- 19.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 8.2%
FHLMC:
$ 3,000,000 6.830% due 03/26/2004............................... 3,162,660
984,486 11.500% due 05/01/2020.............................. 1,114,192
534,597 6.138% due 06/15/2020............................... 544,952
558,062 6.156% due 02/15/2028............................... 560,155
2,300,000 6.500% due 05/15/2028............................... 2,293,410
5,000,000 0.000% due 06/15/2028............................... 4,985,675
5,000,000 0.000% due 06/15/2028............................... 5,124,220
10,500,000 0.000% due 06/15/2028............................... 10,469,917
------------
28,255,181
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 7.3%
FNMA:
1,915,000 6.300% due 09/25/2002............................... 1,927,275
1,850,000 6.740% due 05/13/2004............................... 1,937,579
2,030,000 6.480% due 06/28/2004............................... 2,105,171
1,100,000 7.400% due 07/01/2004............................... 1,189,551
1,760,000 6.400% due 09/27/2005............................... 1,819,945
3,020,000 6.340% due 02/04/2008............................... 3,032,261
467,025 7.000% due 10/01/2017............................... 474,175
925,000 10.000% due 11/01/2018.............................. 1,017,380
909,612 11.000% due 09/01/2019.............................. 1,020,803
635,000 0.000% due 09/25/2023............................... 594,316
356,231 6.138% due 03/25/2024............................... 357,232
974,003 9.000% due 04/01/2026............................... 1,038,141
871,913 9.000% due 04/01/2028............................... 929,136
915,482 6.052% due 04/18/2028............................... 917,016
5,000,000 0.000% due 06/15/2028............................... 4,979,690
750,000 5.952% due 06/17/2028............................... 751,507
1,060,000 6.038% due 07/18/2028............................... 1,062,612
------------
25,153,790
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 4.1%
GNMA:
296,680 10.500% due 12/15/2014.............................. 327,662
195,731 9.500% due 04/15/2017............................... 212,048
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
$ 185,008 9.500% due 05/15/2017............................... $ 200,430
263,654 9.500% due 08/15/2017............................... 285,632
969,130 10.500% due 08/15/2017.............................. 1,063,378
132,758 9.500% due 10/15/2017............................... 143,825
96,075 9.500% due 11/15/2017............................... 104,084
246,876 9.500% due 07/15/2018............................... 267,365
299,647 9.500% due 09/15/2019............................... 324,401
982,671 9.500% due 06/15/2020............................... 1,063,860
972,297 10.000% due 12/15/2020.............................. 1,069,371
979,202 9.500% due 12/15/2021............................... 1,060,465
974,729 6.875% due 03/20/2025............................... 998,795
2,937,124 7.000% due 11/15/2027............................... 2,983,912
2,955,966 6.500% due 03/15/2028............................... 2,949,492
808,000 10.000% due 06/15/2028.............................. 896,921
------------
13,951,641
------------
Total Mortgage-Backed Securities
(Cost $66,982,573)................................. 67,360,612
------------
CORPORATE BONDS -- 9.1%
525,000 Americredit Automobile Trust,
5.698% due 06/12/2001.............................. 525,005
Arcadia Automobile Trust:
750,000 5.900% due 11/15/2002............................... 748,945
750,000 6.375% due 01/15/2003............................... 755,625
775,000 6.200% due 05/15/2003............................... 778,027
Associated Corporation of North America, Senior
Notes:
150,000 5.250% due 03/30/2000............................... 148,415
350,000 6.000% due 06/15/2000............................... 350,385
375,000 BankAmerica Institution,
8.070% due 12/31/2026.............................. 408,491
900,000 Banc One Corporation,
7.600% due 05/01/2007.............................. 976,590
Bear Stearns Company Inc.:
400,000 6.500% due 08/01/2002............................... 404,576
500,000 6.750% due 12/15/2007............................... 512,365
100,000 Boeing Company, Note,
7.250% due 06/15/2025.............................. 109,422
500,000 Carolina Power and Light, First Mortgage,
6.800% due 08/15/2007.............................. 522,495
475,000 Catepillar, Inc., Debentures,
9.375% due 07/15/2001.............................. 518,862
250,000 Chase Manhattan Corporation,
Subordinate Note,
6.500% due 08/01/2005.............................. 253,140
750,000 Citibank Credit Card Trust,
5.651% due 05/15/2002.............................. 750,007
Coca Cola Enterprises, Notes:
500,000 6.375% due 08/01/2001............................... 505,565
350,000 7.875% due 02/01/2002............................... 371,182
Comdisco Inc, Notes:
600,000 6.500% due 04/30/1999............................... 602,502
350,000 6.375% due 11/30/2001............................... 351,484
525,000 Contimortgage Home Equity Loan Trust,
5.686% due 03/15/2013.............................. 525,005
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
CORPORATE BONDS -- (CONTINUED)
$ 425,000 Continental Airline Inc.,
6.648% due 03/15/2019............................. $ 433,662
950,000 duPont (E.I.) de Nemours & Company, Note, 6.750%
due 09/01/2007.................................... 989,596
525,000 Empire Home Equity Loan Trust,
5.650% due 04/25/2008............................. 525,005
750,000 Enron Corporation,
6.750% due 09/01/2004............................. 763,995
230,000 EOP Operating LLP,
6.763% due 06/15/2007............................. 230,492
305,000 Equifax Inc.,
6.300% due 07/01/2005............................. 303,384
240,000 Equitable Companies Inc.,
6.500% due 04/01/2008............................. 242,700
250,000 Federated Department Stores, Senior Note,
8.125% due 10/15/2002............................. 266,655
First Plus Home Equity Trust:
726,260 5.706% due 03/10/2008.............................. 726,040
650,000 5.650% due 10/12/2009.............................. 649,905
525,000 First USA Credit Card, Master Trust,
5.684% due 09/17/2003............................. 525,326
350,000 Fleet Financial Group, Inc.,
Subordinate Note,
7.125% due 04/15/2006............................. 367,836
300,000 Florida Power & Light Company,
First Mortgage Bond,
7.050% due 12/01/2026............................. 310,212
350,000 Ford Motor Credit Corporation, Note,
8.200% due 02/15/2002............................. 372,225
900,000 General American Transportation, Note,
6.750% due 03/01/2006............................. 916,317
350,000 General Motors Corporation, Debenture,
8.100% due 06/15/2024............................. 385,735
735,537 Green Tree Home Equity Loan Trust,
5.950% due 07/15/2029............................. 736,161
600,000 Hartford Life Insurance Company, Note,
7.650% due 06/15/2027............................. 666,282
900,000 IBM Corporation,
7.000% due 10/30/2025............................. 960,327
350,000 Lehman Brothers, Inc., Note,
7.125% due 07/15/2002............................. 361,295
400,000 Lockheed Martin Corporation,
Company Guaranteed,
7.250% due 05/15/2006............................. 424,388
350,000 May Department Stores Company,
Company Guaranteed,
7.450% due 09/15/2011............................. 382,550
15,000 May Department Stores Company, Debenture,
9.750% due 02/15/2021............................. 19,287
300,000 Merck & Company,
6.400% due 03/01/2028............................. 308,148
350,000 Minnesota Mining and Mortgage Company,
6.375% due 02/15/2028 ............................ 351,694
250,000 NationsBank Corporation,
Subordinate Note,
7.500% due 09/15/2006............................. 270,360
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
$ 385,000 Neiman Marcus Group Inc.,
6.650% due 06/01/2008............................. $ 386,448
300,000 News America Holdings, Inc., Note,
8.500% due 02/15/2005 ............................ 332,325
350,000 Norwest Corporation, Medium Term Note,
6.125% due 10/15/2000............................. 351,785
350,000 Pacificorp, Medium Term Note,
6.310% due 07/28/2003............................. 353,259
250,000 Praxair Inc., Debenture,
8.700% due 07/15/2022............................. 277,915
425,000 Prime Property Funding,
6.800% due 08/15/2002............................. 431,103
275,000 Prudential Insurance Company,
8.300% due 07/01/2025............................. 317,092
625,000 Residential Funding Mortgage Securities Inc.,
5.696% due 02/25/2010............................. 624,713
500,000 Sonat Inc.,
6.750% due 10/01/2007............................. 508,640
500,000 Southern California Edison Company,
5.625% due 10/01/2002............................. 491,335
1,000,000 Southwest Airlines Company,
7.375% due 03/01/2027............................. 1,088,920
625,000 Team Fleet Financial Corporation,
6.130% due 10/25/2004............................. 622,449
350,000 Texas Utilities Electric Company,
First Mortgage Bond,
7.875% due 03/01/2023............................. 375,925
800,000 Time Warner Entertainment, Senior Note,
8.375% due 03/15/2023............................. 937,048
300,000 Transcontinental Gas Pipeline,
6.250% due 01/15/2008............................. 294,720
250,000 Union Electric Company,
First Mortgage Bond,
6.750% due 05/01/2008............................. 261,313
800,000 Virginia Electric and Power Company,
7.375% due 07/01/2002............................. 837,768
410,000 World Financial Properties Inc.,
6.950% due 09/01/2013............................. 426,534
------------
Total Corporate Bonds
(Cost $30,972,991)................................ 31,526,957
------------
AGENCY SECURITIES -- 6.6%
6,805,000 Federal Home Loan Bank (FHLB),
5.401%# due 07/01/1998............................. 6,805,000
------------
Federal Home Loan Mortgage Corporation (FHLMC):
10,000,000 5.495%# due 07/07/1998............................. 9,990,883
6,000,000 5.481%# due 07/24/1998............................. 5,979,032
------------
15,969,915
------------
Total Agency Securities
(Cost $22,774,915)................................ 22,774,915
------------
U.S. TREASURY OBLIGATIONS -- 3.7%
U.S. TREASURY NOTES -- 2.4%
U.S. Treasury Notes:
6,274,179 3.375% due 01/15/2007.............................. 6,076,166
2,105,754 3.625% due 01/15/2008.............................. 2,081,411
------------
8,157,577
------------
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (CONTINUED)
U.S. TREASURY BOND -- 1.3%
$ 3,300,000 U.S. Treasury Bond,
8.750% due 08/15/2020............................... $ 4,538,523
------------
Total U.S. Treasury Obligations
(Cost $12,667,171)................................. 12,696,100
------------
COMMERCIAL PAPER -- 2.0%
2,000,000 Atlantic Asset Securities,
5.540%# due 07/10/1998............................. 1,997,230
2,000,000 duPont (E.I.) de Nemours & Company,
5.500%# due 07/28/1998............................. 1,991,750
3,000,000 Toyota Motor Credit Corporation,
5.510%# due 07/09/1998............................. 2,996,327
------------
Total Commercial Paper
(Cost $6,985,307).................................. 6,985,307
------------
TOTAL INVESTMENTS
(COST $355,282,856*)...................................... 109.4% 376,388,684
OTHER ASSETS AND LIABILITIES (NET)......................... (9.4) (32,481,081)
----- ------------
NET ASSETS................................................. 100.0% $343,907,603
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
16
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENDEAVOR MONEY MARKET PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 56.7%
$1,070,000 AI Credit Corporation,
6.100%# due 07/01/1998.............................. $ 1,070,000
2,000,000 American Express Credit Corporation, 5.597%# due
08/25/1998.......................................... 1,983,194
2,175,000 Bank of America Corporation,
5.490%# due 07/10/1998.............................. 2,172,015
1,240,000 BellSouth Telecommunications Inc.,
5.575%# due 08/11/1998.............................. 1,232,247
1,300,000 CIT Group Holdings, Inc.,
5.660%# due 07/24/1998.............................. 1,295,415
750,000 Daimler Benz,
5.653%# due 07/22/1998.............................. 747,585
2,000,000 Deere and Company,
5.624%# due 07/16/1998.............................. 1,995,417
1,925,000 Eastman Kodak Company,
5.593%# due 08/20/1998.............................. 1,910,295
1,500,000 Ford Motor Credit Corporation,
5.718%# due 07/24/1998.............................. 1,494,729
2,000,000 General Electric Capital Corporation, 5.636%# due
10/09/1998.......................................... 1,969,444
2,000,000 General Re Insurance,
5.608%# due 08/26/1998.............................. 1,982,858
2,000,000 Merrill Lynch & Company, Inc.,
5.530%# due 07/27/1998.............................. 1,992,012
2,000,000 Metlife Funding Inc.,
5.651%# due 09/09/1998.............................. 1,978,457
2,000,000 Morgan (J.P.) & Company Inc.,
5.500%# due 07/17/1998 ............................. 1,995,111
1,970,000 National Rural,
5.640%# due 07/17/1998.............................. 1,965,184
950,000 Prudential Funding Corporation, 5.800%# due
07/09/1998.......................................... 948,830
2,100,000 SBC Communications, Inc., 5.581%# due 08/06/1998..... 2,088,450
2,000,000 Texaco Inc.,
5.601%# due 08/18/1998.............................. 1,985,307
1,500,000 Toyota Motor Credit Corporation, 5.633%# due
07/17/1998.......................................... 1,496,333
2,000,000 Transamerica Finance, 5.530%# due 07/22/1998......... 1,993,548
1,629,000 UBS Finance Inc.,
5.579%# due 08/04/1998.............................. 1,620,538
1,500,000 United Parcel Service Company,
5.411%# due 09/30/1998.............................. 1,479,942
620,000 USAA Capital Corporation, 5.490%# due 08/12/1998..... 616,029
-----------
Total Commercial Paper
(Cost $38,012,940).................................. 38,012,940
-----------
U.S. GOVERNMENT AGENCY SECURITIES -- 20.5%
1,000,000 Federal Farm Credit Bank (FFCB), 5.700% due
09/02/1998.......................................... 1,000,060
-----------
Federal Home Loan Bank (FHLB):
600,000 5.800% due 09/18/1998................................ 600,086
1,000,000 5.605% due 03/12/1999................................ 999,972
-----------
1,600,058
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
Federal National Mortgage Association (FNMA):
$2,000,000 7.000% due 07/13/1998................................ $ 2,000,774
2,000,000 5.350% due 07/16/1998................................ 2,000,000
500,000 5.710% due 09/09/1998................................ 499,913
1,400,000 5.050% due 11/10/1998................................ 1,396,442
1,800,000 5.521%+ due 01/21/1999............................... 1,799,497
1,466,000 5.410% due 02/23/1999................................ 1,464,133
2,000,000 5.850% due 03/29/1999................................ 2,002,485
-----------
11,163,244
-----------
Total U.S. Government Agency Securities (Cost
$13,763,362)........................................ 13,763,362
-----------
CORPORATE NOTES -- 16.0%
2,000,000 Abbey National Treasury Service,
5.464%+ due 06/15/1999.............................. 1,998,011
2,000,000 Banc One Corporation, 5.450%+ due 06/14/1999......... 1,998,731
2,000,000 Bayerische Landesbank, New York,
5.521% due 06/29/1999............................... 1,998,534
1,250,000 First Union National Bank, North Carolina,
5.570%+ due 05/17/1999.............................. 1,250,000
2,000,000 Royal Bank of Canada, New York, 5.526%+ due
06/29/1999.......................................... 1,998,631
1,500,000 Societe Generale, New York, 5.571%+ due 05/20/1999... 1,499,151
-----------
Total Corporate Notes
(Cost $10,743,058).................................. 10,743,058
-----------
CERTIFICATES OF DEPOSIT -- (YANKEE) -- 6.0%
1,000,000 Bank of Montreal,
5.570% due 10/09/1998............................... 999,750
2,000,000 Canadian Imperial Bank of Commerce, New York,
5.700% due 06/14/1999............................... 1,998,919
1,000,000 Westdeutsche Landesbank, 5.570% due 09/22/1998....... 1,000,000
-----------
Total Certificates of Deposit (Cost $3,998,669)...... 3,998,669
-----------
TOTAL INVESTMENTS
(COST $66,518,029*)........................................ 99.2% 66,518,029
OTHER ASSETS AND LIABILITIES (NET).......................... 0.8 512,268
----- -----------
NET ASSETS.................................................. 100.0% $67,030,297
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
# 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.
17
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 92.6%
PETROLEUM -- 9.5%
35,200 Amerada Hess Corporation........................... $ 1,911,800
81,800 Amoco Corporation.................................. 3,404,925
16,800 British Petroleum Company Plc, ADR................. 1,482,600
36,600 Chevron Corporation................................ 3,040,088
48,800 Exxon Corporation.................................. 3,480,050
31,900 Mobil Corporation.................................. 2,444,337
43,700 Occidental Petroleum Corporation................... 1,179,900
22,600 Phillips Petroleum Company......................... 1,089,037
29,700 Royal Dutch Petroleum Company, ADR................. 1,627,931
45,400 Texaco Inc......................................... 2,709,812
20,900 Unocal Corporation................................. 747,175
------------
23,117,655
------------
TELECOMMUNICATIONS -- 8.1%
73,200 ALLTEL Corporation................................. 3,403,800
39,500 AT&T Corporation................................... 2,256,438
32,100 BCE Inc. .......................................... 1,370,269
46,800 Bell Atlantic Corporation.......................... 2,135,250
23,900 BellSouth Corporation.............................. 1,604,288
36,800 Frontier Corporation............................... 1,159,200
48,900 GTE Corporation.................................... 2,720,063
67,082 SBC Communications, Inc............................ 2,683,266
21,000 Southern New England Telecommunications
Corporation....................................... 1,375,500
25,800 US West Inc........................................ 1,212,600
------------
19,920,674
------------
BANKING AND FINANCE -- 7.1%
39,282 Banc One Corporation............................... 2,192,427
27,800 BankBoston Corporation............................. 1,546,375
16,800 Bankers Trust New York Corporation................. 1,949,850
26,464 Chase Manhattan Corporation........................ 1,998,032
33,360 First Union Corporation............................ 1,943,220
32,400 Mercantile Bankshares Corporation.................. 1,127,925
21,900 Morgan (J.P.) & Company Inc........................ 2,565,037
18,200 National City Corporation.......................... 1,292,200
20,900 PNC Bank Corporation............................... 1,124,681
4,633 Wells Fargo & Company.............................. 1,709,577
------------
17,449,324
------------
UTILITIES -- 5.6%
29,600 Baltimore Gas & Electric Company................... 919,450
27,900 Central and Southwest Corporation.................. 749,813
27,900 Dominion Resources Inc. ........................... 1,136,925
33,400 DQE Inc............................................ 1,202,400
30,500 Entergy Corporation................................ 876,875
55,050 FirstEnergy Corporation............................ 1,692,788
18,300 GPU, Inc........................................... 691,969
44,350 PacifiCorp......................................... 1,003,419
43,500 Peco Energy Company................................ 1,275,094
66,100 Southern Company................................... 1,830,144
28,600 Teco Energy, Inc................................... 766,837
46,700 Unicom Corporation................................. 1,637,419
------------
13,783,133
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
FOOD AND BEVERAGE -- 5.4%
52,700 Anheuser-Busch Companies Inc........................ $ 2,486,781
21,900 Brown-Forman Corporation, Class B................... 1,407,075
36,500 General Mills Inc................................... 2,495,688
28,600 Heinz (H.J.) Company................................ 1,605,175
25,400 Kellogg Company..................................... 954,087
51,500 McCormick & Company, Inc............................ 1,839,516
35,300 Quaker Oats Company................................. 1,939,294
8,700 Sara Lee Corporation................................ 486,656
------------
13,214,272
------------
FINANCIAL SERVICES -- 5.2%
32,500 American General Corporation........................ 2,313,594
33,200 Block (H&R) Inc..................................... 1,398,550
39,800 Federal National Mortgage Association............... 2,417,850
23,200 Fleet Financial Group, Inc.......................... 1,937,200
69,874 St. Paul Companies, Inc............................. 2,939,075
29,349 Travelers Group, Inc................................ 1,779,283
------------
12,785,552
------------
CONSUMER PRODUCTS -- 4.0%
63,600 Pall Corporation.................................... 1,303,800
74,000 Philip Morris Companies Inc......................... 2,913,750
46,900 RJR Nabisco Holdings Corporation.................... 1,110,944
32,900 Tupperware Corporation.............................. 925,312
62,800 UST Inc............................................. 1,695,600
25,500 Whirlpool Corporation............................... 1,753,125
------------
9,702,531
------------
SPECIALTY CHEMICALS -- 3.9%
8,700 Eastman Chemical Company............................ 541,575
43,400 Great Lakes Chemical Corporation.................... 1,711,588
47,000 Hercules Inc. ...................................... 1,932,875
18,900 Imperial Chemical Industries Plc, ADR............... 1,219,050
29,000 Lubrizol Corporation................................ 877,250
24,400 Minnesota Mining & Manufacturing Company............ 2,005,375
35,800 Nalco Chemical Company.............................. 1,257,475
------------
9,545,188
------------
PHARMACEUTICALS -- 3.8%
34,200 Abbott Laboratories Company......................... 1,397,925
70,200 American Home Products Corporation.................. 3,632,850
10,400 Amgen, Inc. ........................................ 679,900
8,000 Johnson & Johnson, Inc. ............................ 590,000
64,990 Pharmacia & Upjohn Inc. ............................ 2,997,664
------------
9,298,339
------------
INSURANCE -- 3.1%
22,300 EXEL Ltd. Ord....................................... 1,735,219
1,500 Hilb, Rogal and Hamilton Company.................... 23,438
15,400 Lincoln National Corporation........................ 1,407,175
50,100 Safeco Corporation.................................. 2,276,419
11,800 Transamerica Corporation............................ 1,357,000
68,000 Willis Corroon Group Plc, ADR....................... 854,250
------------
7,653,501
------------
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRICAL EQUIPMENT -- 2.9%
44,400 AMP, Inc. .......................................... $ 1,526,250
20,807 Cooper Industries Inc. ............................. 1,143,085
25,700 General Electric Company............................ 2,338,700
17,500 Hewlett Packard Company............................. 1,047,813
27,100 Hubbell Inc., Class B............................... 1,128,037
------------
7,183,885
------------
DIVERSIFIED -- 2.8%
40,900 Fortune Brands, Inc. ............................... 1,572,094
29,575 Lonrho Africa Ord................................... 36,295
40,800 Olin Corporation.................................... 1,700,850
25,700 PPG Industries, Inc. ............................... 1,787,756
308,200 Tomkins Plc......................................... 1,673,741
------------
6,770,736
------------
DIVERSIFIED CHEMICALS -- 2.3%
33,100 Dow Chemical Company................................ 3,200,356
31,600 du Pont (E.I.) de Nemours & Company................. 2,358,150
9,575 Octel Corporation................................... 190,303
------------
5,748,809
------------
RAILROADS -- 2.2%
91,500 Norfolk Southern Corporation........................ 2,727,844
59,400 Union Pacific Corporation........................... 2,621,025
------------
5,348,869
------------
PAPER AND PAPER PRODUCTS -- 2.1%
49,500 Consolidated Papers Inc............................. 1,348,875
13,700 Georgia-Pacific Company, (Georgia-Pacific Group).... 807,444
8,900 Georgia-Pacific Company, (Timber Group)............. 204,700
25,300 International Paper Company......................... 1,087,900
35,300 Union Camp Corporation.............................. 1,751,762
------------
5,200,681
------------
MEDICAL SUPPLIES & EQUIPMENT -- 2.1%
25,000 Bausch & Lomb Inc. ................................. 1,253,125
13,700 Baxter International Inc.+ ......................... 737,231
270,200 Smith & Nephew Ord.................................. 674,474
52,300 US Surgical Corporation............................. 2,386,187
------------
5,051,017
------------
REAL ESTATE -- 2.0%
43,900 Crescent Real Estate Equities Trust................. 1,476,138
13,500 Rouse Company....................................... 424,406
31,000 Security Capital Pacific Trust...................... 697,500
62,232 Simon DeBartolo Group, Inc. ........................ 2,022,540
12,700 Weingarten Realty Inc............................... 531,019
------------
5,151,603
------------
ENERGY SERVICES -- 2.0%
34,200 Duke Energy Corporation............................. 2,026,350
44,900 Houston Industries, Inc. ........................... 1,386,288
46,500 Witco Corporation................................... 1,360,125
------------
4,772,763
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
MEDIA AND COMMUNICATIONS -- 1.8%
36,500 Dun & Bradstreet Corporation........................ $ 1,318,563
35,900 Knight-Ridder, Inc.................................. 1,976,744
38,900 Readers Digest Association Inc., Class A............ 1,055,162
------------
4,350,469
------------
PETROLEUM -- DOMESTIC -- 1.8%
40,800 Atlantic Richfield Company.......................... 3,187,500
33,200 USX-Marathon Group.................................. 1,139,175
------------
4,326,675
------------
COSMETICS & TOILETRIES -- 1.7%
51,600 International Flavors & Fragrances, Inc............. 2,241,375
43,600 Kimberly-Clark Corporation.......................... 2,000,150
------------
4,241,525
------------
METALS AND MINING -- 1.6%
50,300 Inco Ltd............................................ 685,337
46,836 Newmont Mining Corporation.......................... 1,106,500
20,200 Phelps Dodge Corporation............................ 1,155,187
17,000 Reynolds Metals Company............................. 950,937
------------
3,897,961
------------
AUTOMOTIVES -- 1.5%
29,100 General Motors Corporation.......................... 1,944,244
50,550 Genuine Parts Company............................... 1,743,975
------------
3,688,219
------------
LODGING -- 1.5%
33,100 Hilton Hotels Corporation........................... 943,350
55,726 Starwood Hotels & Resorts........................... 2,692,262
------------
3,635,612
------------
PRINTING AND PUBLISHING -- 1.5%
41,400 Donnelley (R.R.) & Sons Company..................... 1,894,050
30,500 Dow Jones & Company, Inc. .......................... 1,700,375
------------
3,594,425
------------
WASTE DISPOSAL -- 1.4%
42,600 Browning Ferris Industries Inc...................... 1,480,350
52,500 Waste Management, Inc............................... 1,837,500
------------
3,317,850
------------
RETAIL -- 1.3%
19,500 May Department Stores Company....................... 1,277,250
26,200 Penney (J.C.) Company, Inc. ........................ 1,894,587
------------
3,171,837
------------
AEROSPACE & DEFENSE -- 1.3%
31,200 AlliedSignal Inc. .................................. 1,384,500
30,800 TRW Inc............................................. 1,682,450
------------
3,066,950
------------
PHOTOGRAPHY EQUIPMENT & SUPPLIES -- 0.9%
32,500 Eastman Kodak Company............................... 2,374,531
------------
TRANSPORTATION SERVICES -- 0.8%
16,200 Alexander & Baldwin Inc............................. 471,825
14,900 Burlington Northern Santa Fe Corporation............ 1,462,994
------------
1,934,819
------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
BUILDING AND CONSTRUCTION -- 0.5%
17,100 Armstrong World Industries Inc..................... $ 1,152,113
------------
STEEL -- 0.4%
27,000 USX--US Steel Group Inc............................ 891,000
------------
BUSINESS SERVICES -- 0.3%
18,400 GATX Corporation................................... 807,300
------------
CONGLOMERATES -- 0.1%
44,375 Lonrho Ord......................................... 211,535
------------
TEXTILES & APPAREL -- 0.1%
5,900 Unifi, Inc......................................... 202,075
------------
Total Common Stocks
(Cost $194,013,494)............................... 226,563,428
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.9%
U.S. TREASURY NOTES -- 0.7%
U.S. Treasury Notes:
$ 300,000 5.875% due 11/15/1999.............................. 301,359
100,000 7.125% due 02/29/2000.............................. 102,500
300,000 6.500% due 05/31/2001.............................. 307,686
400,000 5.750% due 08/15/2003.............................. 404,248
50,000 7.500% due 02/15/2005.............................. 55,343
180,000 5.625% due 02/15/2006.............................. 180,731
300,000 7.000% due 07/15/2006.............................. 327,609
------------
1,679,476
------------
U.S. TREASURY BONDS -- 0.2%
400,000 U.S. Treasury Bond, 6.000% due 02/15/2026.......... 416,124
------------
Total U.S. Treasury Obligations (Cost $1,961,989).. 2,095,600
------------
COMMERCIAL PAPER -- 8.2%
4,480,000 Ciesco Company,
5.520%# due 07/20/1998............................ 4,466,948
2,875,000 du Pont (E.I.) de Nemours & Company,
5.520%# due 07/20/1998............................ 2,866,624
5,065,000 IBM Credit Corporation, 5.500%# due 07/08/1998..... 5,059,583
4,548,000 Koch Industries, 6.300%# due 07/01/1998............ 4,548,000
3,090,000 Metlife Funding, 5.500%# due 07/10/1998............ 3,085,751
------------
Total Commercial Paper (Cost $20,026,906).......... 20,026,906
------------
TOTAL INVESTMENTS
(COST $216,002,389*)..................................... 101.7 % 248,685,934
OTHER ASSETS AND LIABILITIES (NET)........................ (1.7) (4,124,262)
----- ------------
NET ASSETS................................................ 100.0 % $244,561,672
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
20
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 94.7%
BANKING AND FINANCE -- 11.4%
16,800 Banc One Corporation................................. $ 937,650
49,000 Banca Fideuram....................................... 279,507
9,400 Citicorp............................................. 1,402,950
96,300 Federal Home Loan Mortgage Association............... 4,532,119
38,400 Federal National Mortgage Association................ 2,332,800
25,700 First Union Corporation.............................. 1,497,025
12,000 HSBC Holdings Plc.................................... 293,495
2,900 Honeywell Inc........................................ 242,331
24,530 NationsBank Corporation.............................. 1,876,545
7,900 Northern Trust Corporation........................... 602,375
60,100 Norwest Corporation.................................. 2,246,237
11,550 SLM Holding Corporation.............................. 565,950
600 Societe Generale..................................... 124,750
24,900 Toronto Dominion Bank ADR............................ 1,128,281
3,400 Wells Fargo & Company................................ 1,254,600
------------
19,316,615
------------
COMPUTER SERVICE AND SOFTWARE -- 11.3%
14,400 Adobe Systems, Inc. ................................. 611,100
4,700 America On Line Inc. ................................ 498,200
10,300 Ascend Communication Inc. ........................... 510,494
16,500 Automatic Data Processing Inc. ...................... 1,202,437
40,800 BMC Software, Inc.+.................................. 2,119,050
27,400 Cadence Design Systems, Inc. ........................ 856,250
1,300 Cap Gemini SA........................................ 204,277
12,400 Cisco Systems Inc.+.................................. 1,141,575
5,900 Dell Computer Corporation............................ 547,594
26,100 EMC Corporation -- Massachusetts..................... 1,169,606
15,066 Getronics NV......................................... 781,966
19,100 Intel Corporation.................................... 1,415,788
25,100 Microsoft Corporation+............................... 2,720,213
23,550 Network Associates Inc.+............................. 1,127,456
43,550 Oracle Corporation................................... 1,069,697
58,500 Parametric Technology Company+....................... 1,586,813
13,100 Platinum Technology Inc.+............................ 374,169
23,600 Sterling Commerce Inc. .............................. 1,143,125
------------
19,079,810
------------
TELECOMMUNICATIONS -- 6.9%
21,400 Airtouch Communications, Inc. ....................... 1,250,563
1,600 Alcatel Alsthom...................................... 325,785
9,800 A T & T Corporation.................................. 559,825
41,500 CBS Corporation...................................... 1,317,625
5,600 Ciena Corporations................................... 389,900
21,600 MCI Communications Corporation....................... 1,255,500
1,800 Nokia Corporation ADR, Class A....................... 130,613
10,900 Telebras ADR......................................... 1,190,144
7,900 Telecel-Comunicacoes Pessoai+........................ 1,403,684
56,000 Telecom Italia Mobile SpA............................ 342,603
60,050 Telecom Italia Mobile SpA -- RNC..................... 290,829
16,700 Tellabs, Inc......................................... 1,196,137
42,200 WorldCom, Inc........................................ 2,044,063
------------
11,697,271
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
HEALTH CARE SERVICES -- 6.8%
29,300 American Home Products Corporation................... $ 1,516,275
26,100 Bristol-Meyers Squibb Company........................ 2,999,869
64,900 HEALTHSOUTH Corporation.............................. 1,732,019
17,800 Johnson & Johnson Company............................ 1,312,750
14,700 Lilly Eli & Company.................................. 971,119
29,800 Tenet Healthcare Corporation+........................ 931,250
26,200 United Healthcare Corporation........................ 1,663,700
8,000 Zeneca Group Plc..................................... 343,557
------------
11,470,539
------------
MEDIA AND COMMUNICATIONS -- 4.7%
12,700 Cox Communications, Inc., Class A+................... 615,156
32,900 Omnicom Group, Inc. ................................. 1,640,888
27,300 Tribune Company...................................... 1,878,581
53,500 Ver Ned Uitgevers.................................... 1,945,072
70,000 Vodafone Group Ord. ................................. 889,449
7,900 Vodafone Group Plc, ADR.............................. 995,894
------------
7,965,040
------------
INSURANCE -- 4.7%
53,700 ACE Ltd. ............................................ 2,094,300
3,600 Aetna Inc. .......................................... 274,050
9,800 EXEL Ltd. ........................................... 762,563
32,299 Travelers Group Inc. ................................ 1,958,127
21,200 Travelers Property Casualty, Class A................. 908,950
33,400 UNUM Corporation..................................... 1,853,700
------------
7,851,690
------------
CONSUMER PRODUCTS -- 4.2%
14,000 Gillette Company..................................... 793,625
5,000 Hagemeyer NV......................................... 216,466
24,500 Masco Corporation.................................... 1,482,250
51,900 Philip Morris Companies Inc. ........................ 2,043,563
9,400 Procter & Gamble Company............................. 855,987
14,800 Service Corporation International.................... 634,550
60,600 TAG Heuer International SA, Sponsored ADR+........... 568,125
7,200 Unilever NV, ADR..................................... 568,350
------------
7,162,916
------------
RETAIL -- 4.2%
37,800 Autozone Inc. ....................................... 1,207,237
5,300 Circuit City Stores Inc. ............................ 248,437
26,618 CVS Corporation...................................... 1,036,438
10,800 Fred Meyer Inc. ..................................... 459,000
16,500 Home Depot Inc. ..................................... 1,370,531
9,300 Kohl's Corporation+.................................. 482,437
17,200 Rite Aid Corporation................................. 646,075
27,800 Wal-Mart Stores, Inc. ............................... 1,688,850
------------
7,139,005
------------
PHARMACEUTICALS -- 4.0%
20,800 Biogen Inc.+......................................... 1,019,200
15,100 Merck & Company...................................... 2,019,625
18,600 Pfizer Inc. ......................................... 2,021,588
25,400 Warner-Lambert Company............................... 1,762,125
------------
6,822,538
------------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
FINANCIAL SERVICES -- 3.2%
15,400 AMBAC Inc. .......................................... $ 900,900
14,100 Block (H&R) Inc. .................................... 593,963
3,800 Fairfax Financial Holdings, Ltd.+.................... 1,486,388
400 Fairfax Financial Holdings++......................... 156,026
46,980 First Data Corporation............................... 1,565,021
14,000 PartnerRe Ltd. ...................................... 714,000
------------
5,416,298
------------
FOOD AND BEVERAGE -- 2.8%
38,700 PepsiCo Inc. ........................................ 1,593,956
49,100 Safeway Inc.+........................................ 1,997,756
19,100 Sara Lee Corporation................................. 1,068,406
------------
4,660,118
------------
PETROLEUM -- INTERNATIONAL -- 2.7%
8,900 Chevron Corporation.................................. 739,256
21,500 Mobil Corporation.................................... 1,647,438
39,700 Royal Dutch Petroleum Company, ADR................... 2,176,056
------------
4,562,750
------------
ELECTRICAL EQUIPMENT -- 2.7%
49,800 General Electric Company............................. 4,531,800
------------
ELECTRONIC COMPONENTS -- 2.7%
51,200 Analog Devices Inc.+................................. 1,257,600
15,100 Hewlett-Packard Company.............................. 904,113
8,000 Linear Technology Corporation........................ 482,500
35,200 Maxim Integrated Products Inc. ...................... 1,115,400
3,600 Philips Electronics NV............................... 302,856
1,800 Teradyne Inc. ....................................... 48,150
17,700 TV Azteca SA de CV................................... 191,381
5,900 Xilinx Inc.+......................................... 200,600
------------
4,502,600
------------
ENTERTAINMENT AND LEISURE -- 2.6%
30,800 Carnival Corporation................................. 1,220,450
12,669 Disney (Walt) Company................................ 1,331,037
29,400 Hilton Hotels Corporation............................ 837,900
9,600 McDonald's Corporation............................... 662,400
13,900 Mirage Resorts, Inc. ................................ 296,244
------------
4,348,031
------------
TOYS, GAMES, AND HOBBIES -- 2.5%
23,400 Hasbro Inc. ......................................... 919,912
11,800 Mattel, Inc. ........................................ 499,287
43,722 Tyco International Ltd. ............................. 2,754,486
------------
4,173,685
------------
MACHINERY -- 2.4%
80,000 Danaher Corporation.................................. 2,935,000
30,700 Teleflex Inc. ....................................... 1,166,600
------------
4,101,600
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
REAL ESTATE -- 2.3%
40,500 Crescent Real Estate Equities Trust.................. $ 1,361,812
71,800 Security Capital US Realty+.......................... 954,940
31,800 Starwood Lodging Trust............................... 1,536,337
------------
3,853,089
------------
OTHER -- 2.0%
50,000 Granada Group Plc.................................... 920,005
133,500 Rentokil Initial Plc................................. 960,720
240,000 Tomkins Plc.......................................... 1,303,368
------------
3,184,093
------------
BUSINESS SERVICES -- 1.6%
28,200 Cendant Corporation+................................. 588,675
20,000 Elsevier NV.......................................... 302,069
43,232 Mutual Risk Management Ltd. ......................... 1,575,266
------------
2,466,010
------------
AEROSPACE AND DEFENSE -- 1.4%
58,400 AlliedSignal Corporation............................. 2,591,500
------------
WASTE DISPOSAL -- 1.2%
41,800 USA Waste Services, Inc.+............................ 2,063,875
------------
CONGLOMERATES -- 1.0%
21 Berkshire Hathaway Inc.+............................. 1,644,405
------------
PAPER AND PAPER PRODUCTS -- 0.8%
22,928 Kimberly-Clark Corporation........................... 1,051,822
80,000 Kimberly-Clark de Mexico, SA......................... 282,678
------------
1,334,500
------------
MEDICAL SUPPLIES -- 0.7%
6,700 Guidant Corporation.................................. 477,794
460 Novartis AG+......................................... 766,717
------------
1,244,511
------------
BIOTECHNOLOGY -- 0.7%
18,000 Genentech Inc.+...................................... 1,221,750
------------
ENERGY SERVICES -- 0.7%
27,400 Halliburton Company.................................. 1,221,012
------------
SPECIALTY CHEMICALS -- 0.7%
12,700 Raytheon Company, Class B............................ 750,888
9,000 Rhone-Poulenc Corporation SA, Class A................ 507,633
------------
1,258,521
------------
PUBLISHING -- 0.7%
20,500 Schibsted ASA........................................ 345,078
5,800 Wolters Kluwer NV.................................... 796,674
------------
1,141,752
------------
TRANSPORTATION -- 0.6%
203,300 Hutchinson Whampoa, Ltd. ............................ 1,073,176
------------
METALS AND MINING -- 0.5%
34,000 Newmont Mining Corporation........................... 803,250
------------
Total Common Stocks
(Cost $122,806,331)................................. 159,903,750
------------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 5.9%
$1,075,000 du Pont (E.I.) de Nemours & Company, 5.520%# due
07/20/1998......................................... $ 1,071,868
5,864,000 IBM Credit Corporation,
5.500%# due 07/08/1998............................. 5,857,729
3,021,000 Koch Industries Inc.,
6.300%# due 07/01/1998............................. 3,021,000
------------
Total Commercial Paper (Cost $9,950,597)............ 9,950,597
------------
AGENCY SECURITIES -- 1.1%
1,680,000 Federal Home Loan Bank,
5.420%# due 08/28/1998............................. 1,665,330
155,000 Federal Home Loan Mortgage Corporation, 5.400%# due
07/10/1998......................................... 154,791
------------
Total Agency Securities (Cost $1,820,121)........... 1,820,121
------------
TOTAL INVESTMENTS
(COST $134,577,049*)...................................... 101.7% 171,674,468
OTHER ASSETS AND LIABILITIES (NET)......................... (1.7) (2,855,171)
----- ------------
NET ASSETS................................................. 100.0% $168,819,297
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
23
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 91.7%
UNITED KINGDOM -- 18.4%
56,000 Abbey National Ord. ................................. $ 995,809
207,000 ASDA Group Plc....................................... 711,129
57,353 British Gas Ord. .................................... 331,816
56,000 British Petroleum Company Ord. ...................... 817,218
114,000 Cable & Wireless..................................... 1,385,717
93,768 Cadbury Schweppes Ord. .............................. 1,452,135
162,200 Caradon Plc.......................................... 503,735
44,000 Centrica Plc+........................................ 74,201
84,000 Compass Group Ord. .................................. 968,459
238,464 Diageo Plc. ......................................... 2,826,960
45,000 Electrocomponents Ord. .............................. 362,534
14,000 GKN Ord. ............................................ 178,474
95,000 Glaxo Wellcome Ord. ................................. 2,853,601
11,000 Heywood Williams Group Corporation Ord. ............. 48,213
33,000 Hillsdown Holdings Ord. ............................. 89,262
146,000 Kingfisher Ord. ..................................... 2,352,440
74,000 Ladbroke Group Ord. ................................. 406,505
28,000 Laing (John), Class A, Non-Voting Ord. .............. 185,370
237,000 National Westminster Bank Ord. ...................... 4,238,149
105,000 Rank Group Plc....................................... 576,798
213,000 Reed International Ord. ............................. 1,927,602
61,000 Rio Tinto Corporation Ord. .......................... 687,499
29,518 Rolls Royce Ord. .................................... 121,983
116,000 Safeway, Inc. ....................................... 760,214
333,000 Shell Transport & Trading Ord. ...................... 2,346,363
58,000 Smith (David S.) Holdings Ord. ...................... 184,485
282,200 SmithKline Beecham Ord. ............................. 3,446,750
96,000 Tesco Ord. .......................................... 937,704
284,000 Tomkins Ord. ........................................ 1,542,319
104,000 United Newspapers & Media Ord. ...................... 1,455,177
------------
34,768,621
------------
JAPAN -- 14.4%
2,662 Advantest............................................ 143,621
24,000 Alps Electric Company................................ 286,396
37,000 Amada Company Ltd. .................................. 180,625
72,000 Canon Inc. .......................................... 1,640,269
23,000 Citizen Watch Company................................ 190,461
37,000 Dai Nippon Screen Manufacturing...................... 151,992
33,000 Daichi Pharmaceutical Company........................ 436,754
6,000 Daifuku Company Ltd. ................................ 22,434
40,000 Daiwa House Industry Company......................... 354,379
74 DDI Corporation...................................... 258,494
71,000 Denso Corporation.................................... 1,181,023
114 East Japan Railway Company........................... 537,557
8,800 Fanuc Company Ltd. .................................. 305,489
16,000 Fujitsu Ltd. ........................................ 168,945
90,000 Hitachi Ltd. ........................................ 589,065
65,000 Hitachi Zosen Corporation............................ 105,301
4,000 Honda Motor Company Ltd. ............................ 142,909
16,000 Inax................................................. 55,196
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
19,000 Ito-Yokado Company................................... $ 897,302
34,000 Kao Corporation...................................... 526,217
21,000 Kokuyo Company Ltd. ................................. 356,910
42,000 Komatsu Ltd. ........................................ 204,730
17,000 Komori Corporation................................... 323,968
48,000 Kuraray Company...................................... 409,286
17,000 Kyocera Corporation.................................. 833,586
31,000 Makita Corporation................................... 358,494
55,000 Marui Company Ltd. .................................. 823,389
78,000 Matsushita Electric Industrial Company............... 1,257,974
44,000 Mitsubishi Corporation............................... 273,667
209,000 Mitsubishi Heavy Industries Ltd. .................... 792,045
116,000 Mitsui Fudosan Company............................... 919,476
21,000 Murata Manufacturing Company......................... 683,445
116,000 NEC Corporation...................................... 1,084,747
56 Nippon Telegraph & Telephone Corporation............. 465,755
82,000 Nomura Securities Company Ltd. ...................... 957,764
14,000 Pioneer Electronics Corporation...................... 268,316
4,000 Sangetso Company Ltd. ............................... 51,783
48,000 Sankyo Company....................................... 1,096,984
6,000 Sega Enterprises..................................... 103,927
58,000 Sekisui Chemical Company Ltd. ....................... 297,823
41,000 Sekisui House........................................ 318,760
5,620 Seven-Eleven Japan Company Ltd. ..................... 335,729
14,000 Sharp Corporation.................................... 113,806
42,000 Shinetsu Chemicals Company Ltd. ..................... 729,008
27,000 Shiseido Company Ltd. ............................... 307,746
17,300 Sony Corporation..................................... 1,495,154
78,000 Sumitomo Corporation................................. 376,264
109,000 Sumitomo Electric Industries Ltd. ................... 1,106,003
20,000 Sumitomo Forestry Company Ltd. ...................... 112,678
16,000 TDK Corporation...................................... 1,186,085
17,000 Tokio Marine & Fire Insurance Company................ 175,324
9,700 Tokyo Electron....................................... 298,149
17,000 Tokyo Steel Manufacturing............................ 87,785
45,000 Toppan Printing Company Ltd. ........................ 482,968
22,000 UNY Company Ltd. .................................... 357,995
7,717 Yurtec Corporation................................... 46,212
------------
27,268,164
------------
NETHERLANDS -- 10.4%
37,460 ABN Amro Holdings NV................................. 877,227
13,919 Ahold (Kon) NV....................................... 447,156
994 Akzo Nobel NV........................................ 221,133
20,240 ASM Lithography Holdings NV.......................... 599,438
6,000 Baan Company NV...................................... 214,500
15,187 CSM CVA.............................................. 729,968
90,000 Elsevier NV.......................................... 1,359,309
19,045 Fortis Amev NV....................................... 1,115,912
52,330 International Nederlanden Groep NV................... 3,429,196
4,254 Koninklijke PTT Nederland............................ 163,869
9,500 Numico NV............................................ 297,715
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
NETHERLANDS -- (CONTINUED)
9,540 Philips Electronics NV............................... $ 802,568
15,605 Polygram NV.......................................... 796,890
72,100 Royal Dutch Petroleum Company........................ 4,001,122
4,254 TNT Post Group....................................... 108,827
25,100 Unilever NV.......................................... 1,993,034
18,665 Wolters Kluwer....................................... 2,563,780
------------
19,721,644
------------
FRANCE -- 10.2%
955 Accor................................................ 267,274
5,966 Alcatel Alsthom Cie Generale D'Electric.............. 1,214,772
8,290 AXA Company+++....................................... 932,431
1,460 Canal Plus........................................... 272,888
880 Carrefour............................................ 556,759
5,010 Compagnie de Saint-Gobain............................ 928,960
3,449 Credit Commercial de France.......................... 290,379
2,990 Danone............................................... 824,442
2,808 Dexia France......................................... 378,072
1,630 GTM -- Entrepose..................................... 169,317
2,816 Lafarge.............................................. 291,116
2,820 Lapeyre.............................................. 262,610
1,103 Legrand.............................................. 291,910
572 L'Oreal.............................................. 318,183
845 Pathe................................................ 165,626
2,818 Pinault Printemps Redoute............................ 2,358,549
1,504 Primagaz............................................. 132,098
8,189 Sanofi SA............................................ 963,061
12,562 Schneider............................................ 1,001,727
2,200 SGS Thompson......................................... 155,929
3,657 Societe Generale Ord. ............................... 760,350
5,070 Societe Nationale Elf Aquitaine...................... 712,821
5,612 Sodexho.............................................. 1,061,005
3,290 Television Francaise................................. 509,905
15,268 Total SA "B' Shares.................................. 1,984,989
11,290 Vivendi.............................................. 2,410,869
------------
19,216,042
------------
GERMANY -- 6.7%
2,930 Allianz AG........................................... 977,425
16,083 Bayer AG............................................. 833,094
12,741 Bayerische Hypotheken-Und Wechsel Bank............... 808,369
8,927 Bayerische Vereinsbank AG............................ 757,491
3,600 Bilfinger & Berger Bau AG............................ 123,487
232 Buderus AG........................................... 115,813
5,280 Commerzbank AG....................................... 201,174
13,624 Deutsche Bank AG..................................... 1,153,027
24,847 Deutsche Telekom AG.................................. 680,740
12,086 Dresdner Bank AG..................................... 653,533
21,470 Gehe AG.............................................. 1,152,028
5,430 Hoechst AG........................................... 273,292
700 Hornbach Baumarkt AG................................. 34,435
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
12,820 Mannesmann AG....................................... $ 1,318,901
2,922 Rhoen Klinikum AG................................... 289,267
2,450 SAP AG.............................................. 1,487,854
5,558 Siemens AG.......................................... 339,534
17,201 Veba AG............................................. 1,157,640
284 Volkswagen AG....................................... 274,534
------------
12,631,638
------------
SWITZERLAND -- 6.4%
561 ABB AG.............................................. 829,849
2,705 Adecco SA........................................... 1,221,832
4,680 Credit Suisse Group................................. 1,043,056
1,526 Nestle SA........................................... 3,271,080
1,339 Novartis AG+........................................ 2,231,814
156 Roche Holdings AG Genuscheine....................... 1,534,452
6,038 UBS AG.............................................. 2,248,734
------------
12,380,817
------------
ITALY -- 5.0%
19,840 Assicurazioni Generali.............................. 645,421
34,000 Banca Commerciale Italiana.......................... 203,416
417,000 Banca di Roma....................................... 868,383
226,553 Credito Italiano S.p.A.............................. 1,186,478
174,772 Ente Nazionale Idrocarburi.......................... 1,145,965
5,106 Gucci Group NV...................................... 270,618
35,870 IMI S.p.A. Ord. .................................... 565,279
6,140 Industrie Natuzzi S.p.A. ........................... 159,640
130,000 Istituto Nazionale Delle Assicurazion............... 369,495
34,740 Italgas S.p.A. ..................................... 141,560
16,753 Mediolanum S.p.A.+.................................. 531,796
8,000 Rinascente Ord. .................................... 79,696
247,353 Telecom Italia Mobile di Risp S.p.A. ............... 1,513,284
255,315 Telecom Italia S.p.A. .............................. 1,880,285
------------
9,561,316
------------
SWEDEN -- 3.6%
28,890 ABB AB, Series A.................................... 409,350
83,060 Astra AB, Series B.................................. 1,655,992
18,610 Atlas Copco AS, Series B............................ 507,545
57,500 Electrolux Company AB, Series B..................... 987,774
4,870 Esselte AB , Series B............................... 112,972
4,355 Granges AB.......................................... 79,728
21,350 Hennes & Mauritz AB, Series 5....................... 1,362,652
155,462 Nordbanken AB....................................... 1,140,380
2,480 Sandvik AB, Series A................................ 68,569
15,380 Sandvik AB, Series B................................ 422,347
3,330 Scribona AB Free, Series B.......................... 40,085
------------
6,787,394
------------
SPAIN -- 2.7%
14,808 Argentaria.......................................... 332,178
6,990 Banco Bilbao Vizcaya................................ 358,730
41,288 Banco de Santander Ord.............................. 1,056,768
5,047 Banco Popular de Espanol............................ 430,484
20,848 Empresa Nacional de Electricidad (Endesa)........... 456,114
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
SPAIN -- (CONTINUED)
4,589 Gas Natural S.D.G., SA.............................. $ 331,569
29,786 Iberdrola SA........................................ 483,646
6,832 Repsol SA........................................... 375,571
25,828 Telefonica de Espana Ord. .......................... 1,194,135
------------
5,019,195
------------
BELGIUM -- 2.3%
1,295 Credit Communal de Belgique SA+..................... 194,999
1,310 Generale de Banque Ord.............................. 973,078
80 Generale de Banque SA+.............................. 2
30,900 KBC Bancassurance Holding........................... 2,766,792
72 U.B.C. SA........................................... 373,746
------------
4,308,617
------------
AUSTRALIA -- 2.1%
18,000 AMP Ltd............................................. 211,179
44,044 Australian Gas Light Company........................ 276,137
12,000 Brambles Industries Ltd............................. 236,059
32,951 Broken Hill Property Company Ord.................... 279,202
54,000 Colonial Ltd. ...................................... 163,580
30,655 Commonwealth Bank of Australia...................... 358,508
43,000 Fosters Brewing Group............................... 101,431
98,000 Goodman Fielder Ltd................................. 142,959
93,000 John Fairfax Holding................................ 162,048
11,540 Lend Lease Corporation Ord. ........................ 233,887
11,707 National Australia Bank Ltd. ....................... 154,790
39,000 Publishing & Broadcasting Ltd. ..................... 168,254
144,600 Star City Holdings Limited.......................... 84,375
33,000 Tabcorp Holdings Ltd. .............................. 168,999
98,049 Telstra Corporation Ltd.+........................... 251,977
49,340 The News Corporation Ord. .......................... 403,675
52,000 Westpac Banking Corporation......................... 317,948
37,000 Woodside Petroleum Ltd. ............................ 185,120
------------
3,900,128
------------
NORWAY -- 1.7%
2,170 Bergesen DY AS, Class A............................. 41,341
30,500 Norsk Hydro AS...................................... 1,343,218
75,720 Orkla Booregaard AS................................. 1,768,628
4,670 Saga Petroleum, Series B............................ 66,118
------------
3,219,305
------------
BRAZIL -- 1.6%
9,895 Cemig Energetica Minas Gerais....................... 301,797
6,800,000 Centrais Eletrobras................................. 199,905
6,800,000 Centrais Geradoras de Sul de Brasil SA -Gerasul..... 9,290
6,030 Cia Brasil Dist Pao de Acucar, ADR.................. 136,429
20,159 Telebras, ADR....................................... 2,201,111
55,559 Telec de Sao Paulo SA............................... 8,402
55,559 Telesp Celular SA................................... 2,356
7,073 Unibanco GDR........................................ 208,654
------------
3,067,944
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MEXICO -- 1.5%
40,310 Cemex, ADS+........................................ $ 362,790
16,590 Cemex, Class B+.................................... 73,206
2,527 Cifra SA de CV, Class E, ADR....................... 37,273
6,834 Fomento Economico Mexicana, Series B............... 212,956
34,244 Gruma SA de CV, Series B........................... 74,621
8,078 Gruma SA de CV, Series B, ADR++.................... 71,696
47,166 Grupo Financiero Banamex, Series B................. 91,860
1,942 Grupo Financiero Banamex, Series L+................ 3,134
84,790 Grupo Industrial Maseca SA, Class B................ 61,713
18,986 Grupo Modelo SA de CV, Series C.................... 159,528
7,585 Grupo Televisa SA, GDR+............................ 285,386
69,076 Kimberly-Clark de Mexico, Class A.................. 244,078
11,000 Panamerican Beverages Inc., Class A................ 345,813
15,364 Telefonos de Mexico SA, ADR........................ 738,432
10,200 Tv Azteca SA de CV, ADR+........................... 110,288
------------
2,872,774
------------
HONG KONG -- 1.1%
87,000 CLP Holdings Ltd. ................................. 396,373
30,000 Hang Seng Bank Ltd. ............................... 169,592
82,000 Henderson Land Development Company................. 270,405
172,700 Hong Kong & China Gas Company...................... 196,149
152,800 Hong Kong Telecom.................................. 286,944
133,000 Hutchison Whampoa, Ltd. ........................... 702,078
------------
2,021,541
------------
ARGENTINA -- 1.0%
6,196 Banco de Galicia -- Buenos Aires................... 113,077
4,858 Banco Frances del Rio de la Plata SA, ADR.......... 111,430
44,120 Perez Companc (Naviera)............................ 221,513
24,000 Telefonica de Argentina SA, ADR.................... 778,500
21,962 Y.P.F Sociedad Anonima............................. 660,233
------------
1,884,753
------------
PORTUGAL -- 0.4%
17,470 Estabelec Jeronimo Martins & Filho................. 839,809
------------
FINLAND -- 0.4%
11,200 Nokia AB, Class A.................................. 827,730
------------
DENMARK -- 0.3%
2,080 Den Danske Bank.................................... 249,800
650 Tele Danmark AS, Series B.......................... 62,450
1,950 UniDanmark AS, Series A............................ 175,428
------------
487,678
------------
CANADA -- 0.3%
9,090 Alcan Aluminum..................................... 250,175
3,920 Royal Bank of Canada............................... 235,752
------------
485,927
------------
NEW ZEALAND -- 0.2%
36,352 Fletcher Challenge (Energy Division)............... 87,013
49,000 Telecom Corporation of New Zealand................. 202,447
17,000 Telecom Corporation of New Zealand, Installment
Reciepts.......................................... 36,357
------------
325,817
------------
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
CHINA -- 0.2%
23,100 Huaneng Power International, ADS+.................. $ 310,406
------------
SINGAPORE -- 0.1%
21,004 Singapore Press Holdings (F)....................... 140,858
85,000 Singapore Telecommunications (F)................... 121,068
------------
261,926
------------
CHILE -- 0.1%
4,775 Chilectra SA++, ADR................................ 100,879
2,241 CIA Cerveceria Unidas SA, ADR...................... 47,341
3,701 Enersis SA, ADR.................................... 90,443
------------
238,663
------------
INDIA -- 0.1%
16,000 Mahanagar Telephone Niagam Ltd..................... 163,200
------------
PERU -- 0.1%
3,168 Credicorp Ltd...................................... 46,530
4,365 Telefonica del Peru SA, ADR........................ 89,210
------------
135,740
------------
KOREA -- 0.1%
4,334 Samsung Electronics Company........................ 134,155
18 Samsung Electronics Company, GDR................... 288
------------
134,443
------------
VENEZUELA -- 0.1%
4,868 Compania Anonima Nacional Telefonos de Venezuela,
ADR+.............................................. 121,700
------------
RUSSIA -- 0.1%
7,240 Gazprom, ADR+...................................... 80,907
1,170 Lukoil Company, ADR................................ 39,780
------------
120,687
------------
THAILAND -- 0.1%
132,000 Thai Farmers Bank Public Company................... 116,517
------------
CZECH REPUBLIC -- 0.0%#
5,800 SPT Telecom+....................................... 80,220
------------
PANAMA -- 0.0%#
1,349 Banco Latinoamericano de Exportaciones, SA, Series
E................................................. 41,482
------------
Total Common Stocks
(Cost $131,006,149)............................... 173,321,838
------------
PREFERRED STOCKS -- 1.9%
BRAZIL -- 1.1%
23,967,906 Banco Bradesco SA.................................. 199,983
265,000 Banco Itau SA...................................... 151,226
279,975 Brahma-Companhia Cervejaria........................ 174,296
270,000 Brasmotor SA....................................... 24,746
240,000 Companhia Cimento Portland Itau.................... 42,561
199,060 Empresa Nacional de Comercio Redito E Participacoes
SA................................................ 499
5,860,036 Energetica de Minas Girais......................... 182,406
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
2,896,549 Petroleo Brasiliero-Petrobras....................... $ 538,462
584,156 Telec de Minas Gerais SA............................ 40,659
607,377 Telecom Do Rio de Janeiro SA........................ 45,689
1,684,346 Telecomunicacoes de Sao Paulo....................... 396,128
584,156 Telemig Celular SA.................................. 17,678
607,377 Telerj Celular SA................................... 36,126
1,684,346 Telesp Celular SA................................... 139,810
20,861 Usiminas PN......................................... 106,420
------------
2,096,689
------------
GERMANY -- 0.7%
2,042 Fielmann AG......................................... 71,404
870 Fresnius AG......................................... 165,016
1,820 Hornbach AG......................................... 166,547
1,243 SAP AG Vorzug....................................... 844,476
------------
1,247,443
------------
AUSTRALIA -- 0.1%
39,770 The News Corporation Ltd............................ 282,422
------------
Total Preferred Stocks
(Cost $2,935,083).................................. 3,626,554
------------
WARRANTS -- 0.1% (Cost $176,257)
10,020 Dresdner Bank AG, Expire 04/30/2002+................ 261,184
------------
RIGHTS -- 0.0%#
AUSTRALIA -- 0.0%#
6,000 Colonial Limited.................................... 1,378
------------
BRAZIL -- 0.0%#
81,770 Telec de Sao Paulo SA-Preferred..................... 1,308
------------
MEXICO -- 0.0%#
16,590 Cemex SA............................................ 167
------------
Total Rights (Cost $0).............................. 2,853
------------
TOTAL INVESTMENTS
(COST $134,117,489*)..................................... 93.7% 177,212,429
OTHER ASSETS AND LIABILITIES (NET)........................ 6.3 11,849,125
----- ------------
NET ASSETS................................................ 100.0% $189,061,554
===== ============
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+++ The Adviser has deemed these securities to be illiquid. Illiquid securities
generally cannot be disposed of in the ordinary course of business within
seven days at approximately the value at which the Portfolio has valued the
investments.
# Amount represents less than 0.1%.
Abbreviations:
ADR -- American Depositary Receipt
ADS-- American Depositary Shares
(F)-- Foreign or Alien Shares
GDR-- Global Depositary Receipt
Ord.-- Ordinary
See Notes to Financial Statements.
27
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
At June 30, 1998, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% OF
SECTOR DIVERSIFICATION NET ASSETS VALUE
- ---------------------- ---------- -----------
<S> <C> <C>
COMMON STOCKS:
Banking.................................................. 13.8% 26,072,818
Energy................................................... 7.9 14,841,709
Health and Personal Care................................. 7.4 13,991,150
Electronics and Instruments.............................. 6.9 12,960,154
Retail Trade............................................. 6.5 12,240,634
Telecommunications....................................... 5.9 11,173,369
Broadcasting and Publishing.............................. 5.0 9,454,593
Food and Grocery Products................................ 4.6 8,686,937
Financial Services....................................... 3.3 6,244,778
Chemicals................................................ 3.1 5,803,419
Utilities................................................ 3.1 5,787,238
Multi-Industry........................................... 2.7 5,192,566
Beverage and Tobacco..................................... 2.7 5,044,733
Business Services........................................ 2.6 4,938,041
Machinery and Engineering Services....................... 2.5 4,650,102
Household Products....................................... 2.3 4,346,729
Construction and Building Materials...................... 2.2 4,133,852
Insurance................................................ 2.2 4,068,766
Entertainment and Leisure................................ 1.8 3,373,227
Industrial Components.................................... 1.2 2,287,026
Miscellaneous............................................ 1.1 2,074,585
Real Estate.............................................. 0.8 1,423,768
Wholesale Trade.......................................... 0.6 1,113,896
Metals and Mining........................................ 0.5 1,025,459
Textiles & Apparel....................................... 0.5 870,365
Transport and Storage.................................... 0.4 687,725
Automotive............................................... 0.2 417,443
Forestry and Paper Products.............................. 0.1 184,485
Aerospace and Defense.................................... 0.1 121,983
Media.................................................... 0.1 110,288
----- -----------
TOTAL COMMON STOCKS...................................... 91.7 173,321,838
TOTAL PREFERRED STOCKS................................... 1.9 3,626,554
TOTAL WARRANTS........................................... 0.1 261,184
TOTAL RIGHTS............................................. 0.0# 2,853
----- -----------
TOTAL INVESTMENTS........................................ 93.7 177,212,429
OTHER ASSETS AND LIABILITIES (NET)....................... 6.3 11,849,125
----- -----------
NET ASSETS............................................... 100.0% 189,061,554
===== ===========
</TABLE>
- ------------
# Amount represents less than 0.1%.
See Notes to Financial Statements.
28
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENDEAVOR SELECT 50 PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
COMMON STOCKS -- 91.7%
BANKING AND FINANCE -- 15.3%
35,930,000 Akbank T.A.S. ....................................... $ 1,160,338
228,000 Bank Leumi Le-Israel................................. 454,869
21,200 Corporacion Bancaria de Espana SA.................... 475,566
7,000 First Union Corporation.............................. 407,750
10,200 FIRSTPLUS Financial Group, Inc. ..................... 385,050
6,500 National City Corporation............................ 461,500
-----------
3,345,073
-----------
TELECOMMUNICATIONS -- 10.0%
16,900 Aspect Telecommunications Corporation................ 462,637
9,000 Bell Atlantic Corporation............................ 410,625
6,240 Nokia Corporation, ADR, Class A...................... 452,790
7,400 Portugal Telecom SA.................................. 392,449
3,700 Portugal Telecom SA, ADR............................. 195,175
2,550 Telecomunicacoes Brasileiras SA-Telebras, ADR........ 278,428
-----------
2,192,104
-----------
RETAIL -- 7.2%
524 Carrefour SA......................................... 331,525
16,500 Duane Reade Inc. .................................... 495,000
11,800 Linens 'n Things, Inc. .............................. 360,637
5,150 Nordstrom, Inc. ..................................... 397,837
-----------
1,584,999
-----------
MACHINERY -- 6.5%
26,600 Elevadores Atlas, SA................................. 448,489
11,000 Manitowoc Company, Inc. ............................. 444,125
5,100 Mannesmann AG........................................ 524,680
-----------
1,417,294
-----------
PETROLEUM -- INTERNATIONAL -- 6.0%
6,000 Amerada Hess Corporation............................. 325,875
5,000 Chevron Corporation.................................. 415,312
8,700 Dresser Industries, Inc. ............................ 383,344
16,800 Transportador de Gas del Sur SA, ADR................. 193,200
-----------
1,317,731
-----------
ELECTRICAL EQUIPMENT -- 5.4%
7,200 Emerson Electric Company............................. 434,250
13,500 Encore Wire Corporation.............................. 217,687
245,766 International Broadcasting Corporation Public
Company, Ltd. ...................................... 142,684
8,600 Pitney Bowes, Inc. .................................. 413,875
-----------
1,208,496
-----------
COMPUTER SERVICE AND SOFTWARE -- 3.9%
8,600 Comverse Technology, Inc. ........................... 446,125
17,800 Structural Dynamics Research Corporation............. 411,625
-----------
857,750
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ -----------
<C> <S> <C>
ELECTRONIC COMPONENTS -- 3.8%
13,400 ASM Lithography....................................... $ 389,437
5,100 Philips Electronics NV................................ 433,500
-----------
822,937
-----------
DRUGS -- 3.3%
5,500 Glaxo Welcome Plc, ADR................................ 328,969
3,000 Merck & Company, Inc. ................................ 401,250
-----------
730,219
-----------
FOOD AND BEVERAGES -- 3.1%
2,948,000 Cosmos Bottling Corporation........................... 332,269
7,000 Dole Foods Company, Inc. ............................. 347,812
-----------
680,081
-----------
BUSINESS SERVICES -- 3.1%
9,100 On Assignment, Inc. .................................. 317,931
20,200 Caribiner International, Inc. ........................ 353,500
-----------
671,431
-----------
ADVERTISING -- 2.3%
15,900 Ha-Lo Industries, Inc. ............................... 494,887
-----------
MEDIA AND COMMUNICATIONS -- 2.2%
14,400 Avid Technology, Inc. ................................ 482,400
-----------
ENGINEERING AND CONSTRUCTION -- 2.2%
2,110 Altran Technologies SA................................ 479,189
-----------
AUTO PARTS -- 2.1%
11,800 Montupet.............................................. 468,432
-----------
DIVERSIFIED CHEMICALS -- 2.1%
4,800 Dow Chemical Company.................................. 464,100
-----------
MEDICAL SUPPLIES -- 2.1%
12,700 Cooper Companies, Inc. ............................... 462,756
-----------
PAPER AND PAPER PRODUCTS -- 1.9%
9,900 International Paper Company........................... 425,700
-----------
CONSUMER PRODUCTS -- 1.9%
7,000 Masco Corporation..................................... 423,500
-----------
STEEL -- 1.8%
21,000 Ispat International NV................................ 393,751
-----------
METALS AND MINING -- 1.8%
4,700 Minnesota Mining & Manufacturing Company.............. 386,282
-----------
OTHER -- 1.7%
8,200 Interface, Inc. ...................................... 165,537
5,400 Moog Inc., Class A.................................... 206,212
-----------
371,749
-----------
TRANSPORTATION -- 1.0%
11,300 Swift Transportation Company, Inc. ................... 223,882
-----------
AGRICULTURE -- 1.0%
344,000 PPB Oil Palms Berhad.................................. 223,795
-----------
Total Common Stocks
(Cost $19,527,448)................................... 20,128,538
-----------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR SELECT 50 PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<C> <S> <C>
REPURCHASE AGREEMENT--12.9% (Cost $2,825,000)
$2,825,000 Agreement with UBS,
5.780% to be repurchased at $2,825,454
on 07/01/1998, collateralized by $2,881,916
US Treasury Note 13.875%
due 05/15/2011...................................... $ 2,825,000
-----------
TOTAL INVESTMENTS
(COST $22,352,449*)....................................... 104.6% 22,953,538
OTHER ASSETS AND LIABILITIES (NET)......................... (4.6) (1,018,893)
----- -----------
NET ASSETS................................................. 100.0% $21,934,645
===== ===========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
30
<PAGE>
PORTFOLIO OF INVESTMENTS
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- ----------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- 89.1%
TELEPHONE & COMMUNICATIONS -- 18.3%
$100,000 Albritton Communication Inc., Senior Subordinate Notes,
8.875% due 02/01/2008................................. $ 108,000
100,000 American Cellular Corporation., Senior Notes,
10.500% due 05/15/2008++.............................. 100,000
15,000 Esprit Telecom Group Plc., Senior Notes,
10.875% due 06/15/2008++.............................. 14,850
50,000 Exodus Communications, Senior Notes,
11.250% due 07/01/2008++.............................. 50,000
135,000 Intermedia Communication Corporation, Senior Discount
Notes,
11.250% due 07/15/2007................................ 98,550
100,000 Level 3 Communications Inc., Senior Notes,
9.125% due 05/01/2008++............................... 97,250
35,000 Metronet Communications Inc., Senior Discount Notes,
9.950% due 06/15/2008++............................... 21,656
100,000 Metronet Communications Inc., Senior Discount Notes,
8.875% due 02/01/2008 Yankee.......................... 99,750
125,000 Millicom International Cellular Inc., Senior Discount
Notes,
13.500% due 06/01/2006................................ 97,500
150,000 Nextel International Inc., Senior Discount Notes,
9.950% due 02/15/2008++............................... 95,625
150,000 Pagemart Wireless Inc., Senior Discount Notes,
11.250% due 02/01/2008................................ 92,250
30,000 Western Wireless Inc., Senior Subordinate Notes,
10.500% due 02/01/2007................................ 32,325
----------
907,756
----------
BROADCASTING & MEDIA -- 12.6%
100,000 Chancellor Media Corporation, Company Guarantee,
8.750% due 06/15/2007................................. 104,250
25,000 Cumulus Media Inc., Senior Subordinate Notes,
10.375% due 07/01/2008................................ 25,344
100,000 Fox/Liberty Networks LLC, Senior Notes,
8.875% due 08/15/2007................................. 102,000
100,000 Granite Broadcasting, Senior Subordinate Notes,
8.875% due 05/15/2008++............................... 101,125
100,000 HMV Media Group Plc, Senior Subordinate Notes,
10.250% due 05/15/2008++.............................. 101,500
100,000 Satelites Mexicanos SA, Senior Notes,
10.125% due 11/01/2004++.............................. 97,375
155,000 United International Holdings Inc., Senior Discount
Notes,
10.750% due 02/15/2008................................ 95,713
----------
627,307
----------
LEISURE -- 6.9%
100,000 Boyd Gaming Corporation, Senior Subordinate Notes,
9.500% due 07/15/2007................................. 104,000
25,000 Casino America Inc., Senior Notes,
12.500% due 08/01/2003................................ 28,250
$100,000 Cinemark USA Inc., Senior Subordinate Notes,
9.625% due 08/01/2008................................. $ 103,000
100,000 Grand Casinos Inc., First Mortgage,
10.125% due 12/01/2003................................ 109,000
----------
344,250
----------
CAPITAL GOODS -- 6.4%
100,000 Johnstown American Industries Inc., Company Guarantee,
11.750% due 08/15/2005................................ 110,750
100,000 Kaiser Aluminum & Chemical Corporation, Senior Notes,
10.875% due 10/15/2006................................ 107,500
100,000 Nortek, Inc., Senior Notes,
9.250% due 03/15/2007................................. 102,750
----------
321,000
----------
AUTOMOTIVE -- 6.2%
100,000 Hayes Lemerz International Inc., Company Guarantee,
9.125% due 07/15/2007................................. 104,500
100,000 Stanadyne Automotive Corporation, Senior Subordinate
Notes,
10.250% due 12/15/2007++.............................. 102,500
100,000 Williams Scotsman Inc., Company Guarantee,
9.875% due 06/01/2007................................. 104,000
----------
311,000
----------
RETAIL -- 5.2%
100,000 Cole National Group Inc., Senior Subordinate Notes,
8.625% due 08/15/2007................................. 101,000
100,000 Friendly Ice Cream Corporation, Company Guarantee,
10.500% due 12/01/2007................................ 105,000
45,000 Jitney-Jungle Stores of America Inc., Company
Guarantee,
12.000% due 03/01/2006................................ 50,625
----------
256,625
----------
ENGINEERING & TECHNOLOGY -- 5.1%
100,000 Argo-Tech Corporation, Company Guarantee,
8.625% due 10/01/2007................................. 100,000
50,000 CSC Holdings Inc., Senior Subordinate Notes,
9.250% due 11/01/2005................................. 53,500
100,000 General Binding Corporation, Senior Subordinate Notes,
9.375% due 06/01/2008++............................... 101,750
----------
255,250
----------
OIL AND GAS -- 5.0%
100,000 Chesapeake Energy Corporation, Senior Notes,
9.625% due 05/01/2005++............................... 100,250
50,000 International Utility Structures Inc., Senior
Subordinate Notes,
10.750% due 02/01/2008++.............................. 50,500
100,000 Pool Energy Services Company, Senior Subordinate Notes,
8.625% due 04/01/2008++............................... 96,000
----------
246,750
----------
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- ----------
<C> <S> <C> <C>
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
OTHER -- 4.9%
$100,000 Numatics, Inc., Senior Subordinate Notes,
9.625% due 04/01/2008++............................... $ 101,000
100,000 Repap New Brunswick Inc., Senior Notes,
9.000% due 06/01/2004++............................... 101,125
75,000 Spectrasite Holdings Inc., Senior Discount Notes,
12.000% due 07/15/2008++.............................. 41,812
----------
243,937
----------
STEEL -- 4.2%
100,000 AK Steel Corporation, Senior Notes,
9.125% due 12/15/2006................................. 104,500
100,000 WCI Steel Inc., Senior Notes,
10.000% due 12/01/2004................................ 102,750
----------
207,250
----------
COMMERCIAL SERVICES -- 4.1%
100,000 Iron Mountain, Inc., Company Guarantee,
8.750% due 09/30/2009................................. 102,000
100,000 Pierce Lahey Corporation, Senior Subordinate Notes,
9.125% due 07/15/2007................................. 102,500
----------
204,500
----------
MEDICAL SERVICES & SUPPLIES -- 2.2%
10,000 Insight Health Services Corporation, Senior Subordinate
Notes,
9.625% due 06/15/2008++............................... 9,938
100,000 Prime Medical Services Inc., Senior Subordinate Notes,
8.875% due 04/01/2008++............................... 99,000
----------
108,938
----------
EDUCATIONAL -- 2.0%
100,000 Kindercare Learning Centers Inc., Senior Subordinate
Notes,
9.500% due 02/15/2009................................. 100,500
----------
COSMETICS -- 2.0%
100,000 Revlon Consumer Products Inc., Senior Subordinate
Notes,
8.625% due 02/01/2008................................. 100,000
----------
AEROSPACE & DEFENSE -- 2.0%
100,000 BE Aerospace, Senior Subordinate Notes,
8.000% due 03/01/2008................................. 99,750
----------
CONTAINERS -- 2.0%
100,000 Gaylord Container Corporation, Senior Notes,
9.750% due 06/15/2007................................. 98,500
----------
Total Corporate Fixed Income Securities
(Cost $4,456,226)..................................... 4,433,313
----------
AGENCY SECURITIES -- 10.9% (Cost $540,000)
FEDERAL HOME LOAN BANK (FHLB) -- 10.9%
$540,000 FHLB,
5.400%# due 07/01/1998................................. $ 540,000
----------
FOREIGN BONDS -- 0.8% (Cost $40,766)
25,000 Middleweb Plc,
10.500% due 05/30/2008++............................... 41,638
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $5,036,992*).......................................... 100.8% 5,014,951
OTHER ASSETS & LIABILITIES (NET)............................. (0.8) (40,966)
----- ----------
NET ASSETS................................................... 100.0% $4,973,985
===== ==========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
# Rate represents annualized yield at date of purchase.
++ 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.
See Notes to Financial Statements.
32
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
33
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
DREYFUS
DREYFUS U.S. ENDEAVOR ENDEAVOR
SMALL CAP GOVERNMENT ENHANCED OPPORTUNITY
VALUE SECURITIES INDEX VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note
1) See accompanying
schedule................... $167,770,918 $62,526,245 $39,537,860 $42,064,998
Repurchase agreements (Note
1)......................... -- -- -- --
Cash........................ 349 598,495 652 4,093
Foreign currency (Cost $177,
$970,421 and $29,674,
respectively).............. -- -- -- --
Receivable for investment
securities sold............ 3,447,615 3,481,272 854,923 --
Receivable for Portfolio
shares sold................ 36,370 99,668 329,053 59,125
Receivable from investment
manager (Note 2)........... -- -- 6,550 2,802
Unamortized organization
costs (Note 5)............. -- 3,771 19,167 17,573
Dividends and/or interest
receivable................. 51,813 940,658 36,004 20,984
Prepaid expenses............ -- -- -- --
Other Assets................ -- -- -- --
------------ ----------- ----------- -----------
Total Assets................ 171,307,065 67,650,109 40,784,209 42,169,575
------------ ----------- ----------- -----------
LIABILITIES:
Payable for investment
securities purchased....... 3,309,745 3,982,500 2,603,598 --
Payable for Portfolio shares
redeemed................... 17,553 47,560 2,701 1,154
Due to Custodian............ -- -- -- --
Variation Margin (Note 1)... -- 16,492 -- --
Transfer agent fees
payable.................... 75 75 75 75
Investment management fees
payable (Note 2)........... 108,371 33,120 3,685 26,294
Administration fees
payable.................... -- -- -- --
Custodian fees payable (Note
2)......................... 16,451 5,275 28,801 2,056
Accrued Trustees' fees and
expenses (Note 2).......... 775 237 84 124
Accrued expenses and other
payables................... 47,414 10,208 85,117 100,161
------------ ----------- ----------- -----------
Total Liabilities........... 3,500,384 4,095,467 2,724,061 129,864
------------ ----------- ----------- -----------
NET ASSETS.................. $167,806,681 $63,554,642 $38,060,148 $42,039,711
============ =========== =========== ===========
Investments, at Identified
Cost....................... $168,951,004 $61,133,249 $36,012,155 $38,616,995
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Undistributed net investment
income/(loss).............. $ (175,033) $ 1,472,618 $ 31,742 $ 209,581
Accumulated net realized
gain/(loss) on investments
sold, forward foreign
exchange contracts and
foreign currency
transactions............... 19,516,452 427,048 2,336,036 457,460
Net unrealized
appreciation/(depreciation)
of investments, forward
foreign exchange contracts,
foreign currencies and net
other assets............... (1,180,086) 1,385,246 3,525,705 3,448,003
Paid-in capital............. 149,645,348 60,269,730 32,166,665 37,924,667
------------ ----------- ----------- -----------
Total Net Assets............ $167,806,681 $63,554,642 $38,060,148 $42,039,711
============ =========== =========== ===========
NET ASSET VALUE, offering
price and redemption price
per share of beneficial
interest outstanding....... $ 15.29 $ 11.91 $ 14.53 $ 12.71
============ =========== =========== ===========
Number of Portfolio shares
outstanding................ 10,975,367 5,337,793 2,618,605 3,307,557
============ =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
<TABLE>
<CAPTION>
T. ROWE T. ROWE T. ROWE
ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE
VALUE ASSET MONEY EQUITY GROWTH INTERNATIONAL
ENDEAVOR ENDEAVOR
EQUITY ALLOCATION MARKET INCOME STOCK STOCK
SELECT 50 HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO
--------- ------------ ----------- ------------ ------------ -------------
- ----------- ----------
<S> <C> <C> <C> <C> <C>
<C> <C>
$256,960,960 $376,388,684 $66,518,029 $248,685,934 $171,674,468 $177,212,429
$20,128,538 $5,014,951
-- -- -- -- -- --
2,825,000 --
3,452 841,888 1,536 1,047 163,211 10,080,361
- -- 6,959
-- -- -- 92 -- 968,123
27,707 --
-- 2,139,482 -- 24,763 841,567 325,378
1,203,168 --
76,046 9,049 268,782 96,693 54,924 706,497
197,741 165,341
-- -- -- -- -- --
- -- --
-- -- -- 3,654 3,654 --
39,156 22,408
313,603 1,387,419 300,981 540,581 116,959 526,757
4,735 83,856
-- 6,606 6,606 -- -- 7,392
- -- --
-- -- -- 207 -- --
- -- --
- ------------ ------------ ----------- ------------ ------------ ------------
- ----------- ----------
257,354,061 380,773,128 67,095,934 249,352,971 172,854,783 189,826,937
24,426,045 5,293,515
- ------------ ------------ ----------- ------------ ------------ ------------
- ----------- ----------
-- 36,449,718 -- 4,081,551 3,730,820 374,140
2,422,036 293,059
323,124 8,985 1,099 347,461 63,825 9,752
- -- 2
-- -- -- -- -- --
3,296 --
-- -- -- -- -- --
- -- --
75 75 75 75 75 75
- -- --
164,526 207,344 28,318 157,924 106,483 136,842
18,919 2,530
-- -- -- -- -- --
5,000 1,500
8,840 15,914 4,738 16,308 15,057 100,000
1,000 --
1,115 1,629 307 973 618 887
- -- --
116,483 181,860 31,100 187,007 118,608 143,687
41,149 22,439
- ------------ ------------ ----------- ------------ ------------ ------------
- ----------- ----------
614,163 36,865,525 65,637 4,791,299 4,035,486 765,383
2,491,400 319,530
- ------------ ------------ ----------- ------------ ------------ ------------
- ----------- ----------
256,739,898 $343,907,603 $67,030,297 $244,561,672 $168,819,297 $189,061,554
$21,934,645 $4,973,985
============ ============ =========== ============ ============ ============
=========== ==========
182,170,877 $355,282,856 $66,518,029 $216,002,389 $134,577,049 $134,117,489
$22,352,449 $5,036,992
============ ============ =========== ============ ============ ============
=========== ==========
$ 1,425,004 $ 3,251,889 $ -- $ 2,314,549 $ 315,821 $ 567,410
$ 95,872 $ 18,856
5,605,784 93,828,188 (1,457) 6,576,289 9,458,913 (2,406,944)
578,833 (325)
74,790,083 21,105,828 -- 32,683,788 37,095,027 43,093,820
599,148 (22,041)
174,919,027 225,721,698 67,031,754 202,987,046 121,949,536 147,807,268
20,660,792 4,977,495
- ------------ ------------ ----------- ------------ ------------ ------------
- ----------- ----------
256,739,898 $343,907,603 $67,030,297 $244,561,672 $168,819,297 $189,061,554
$21,934,645 $4,973,985
============ ============ =========== ============ ============ ============
=========== ==========
$ 22.39 $ 22.95 $ 1.00 $ 19.52 $ 23.39 $ 15.93
$ 11.05 $ 9.99
============ ============ =========== ============ ============ ============
=========== ==========
11,465,389 14,982,740 67,031,754 12,531,739 7,217,780 11,866,962
1,984,810 498,040
============ ============ =========== ============ ============ ============
=========== ==========
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
STATEMENTS OF OPERATIONS
ENDEAVOR SERIES TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
DREYFUS
DREYFUS U.S. ENDEAVOR ENDEAVOR
SMALL CAP GOVERNMENT ENHANCED OPPORTUNITY
VALUE SECURITIES INDEX VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends..................... $ 433,986 $ -- $ 197,254 $ 174,487
Interest...................... 112,329 1,678,363 14,445 230,185
Foreign taxes withheld........ -- -- -- --
----------- ---------- ---------- ----------
Total Investment Income...... 546,315 1,678,363 211,699 404,672
----------- ---------- ---------- ----------
EXPENSES:
Investment management fees
(Note 2)..................... 639,746 176,814 103,818 136,263
Administration fees........... -- -- -- --
Custodian fees (Note 2)....... 20,979 9,942 36,690 3,349
Transfer agent fees........... 348 348 348 348
Legal fees.................... 9,291 3,308 3,300 741
Audit fees.................... 7,963 2,528 917 1,352
Amortization of organization
costs (Note 5)............... 1,044 2,178 2,500 2,600
Trustees' fees and expenses
(Note 2)..................... 5,200 1,787 792 1,003
Other......................... 34,202 7,321 54,499 49,384
----------- ---------- ---------- ----------
Subtotal..................... 718,773 204,226 202,864 195,040
Waiver/reimbursement from
investment manager (Note 2).. -- -- (23,899) --
Credits allowed by the
custodian (Note 2)........... (176) (786) (31) (29)
----------- ---------- ---------- ----------
Total expenses............... 718,597 203,440 178,934 195,011
----------- ---------- ---------- ----------
NET INVESTMENT INCOME/(LOSS).. (172,282) 1,474,923 32,765 209,661
----------- ---------- ---------- ----------
REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities................... 19,679,391 766,134 2,337,165 457,725
Futures contracts............ -- (331,852) -- --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currencies and net
other assets................ -- (118) -- --
----------- ---------- ---------- ----------
Net realized gain/(loss) on
investments during the
period....................... 19,679,391 434,164 2,337,165 457,725
----------- ---------- ---------- ----------
Net change in unrealized
appreciation/(depreciation)
of:
Securities................... (11,138,255) 156,480 2,285,142 2,235,614
Futures contracts............ -- (7,750) -- --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currencies and net
other assets................ -- -- -- --
----------- ---------- ---------- ----------
Net unrealized
appreciation/(depreciation)
of investments during the
period....................... (11,138,255) 148,730 2,285,142 2,235,614
----------- ---------- ---------- ----------
Net realized and unrealized
gain/(loss) on investments
during the period............ 8,541,136 582,894 4,622,307 2,693,339
----------- ---------- ---------- ----------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................... $ 8,368,854 $2,057,817 $4,655,072 $2,903,000
=========== ========== ========== ==========
</TABLE>
- ------------
* The Enhanced Select 50 Portfolio and Endeavor High Yield Portfolio commenced
operations on February 3, 1998, and June 1, 1998, respectively.
See Notes to Financial Statements.
36
<PAGE>
<TABLE>
<CAPTION>
T. ROWE T. ROWE T. ROWE
ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE
VALUE ASSET MONEY EQUITY GROWTH INTERNATIONAL
ENDEAVOR ENDEAVOR
EQUITY ALLOCATION MARKET INCOME STOCK STOCK
SELECT 50 HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO* PORTFOLIO*
--------- ----------- ---------- ----------- ----------- ------------- --
- -------- ----------
<S> <C> <C> <C> <C> <C>
<C> <C>
$ 1,468,858 $ 1,171,933 $ -- $ 2,824,971 $ 806,132 $ 2,402,251 $
128,991 $ --
1,036,970 3,459,895 1,697,537 524,260 225,473 19,160
72,013 22,917
(1,558) -- -- (4,469) (20,270) (282,794)
(2,203) --
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
2,504,270 4,631,828 1,697,537 3,344,762 1,011,335 2,138,617
198,801 22,917
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
951,432 1,217,162 151,336 890,936 585,112 807,819
78,473 2,530
-- -- -- -- -- --
15,240 1,500
16,295 22,481 6,863 23,706 26,613 123,109
5,257 1,427
348 348 348 348 348 348
273 --
14,112 11,950 3,134 15,499 9,726 13,092
767 --
11,303 16,629 3,119 9,970 6,565 9,052
500 --
1,044 -- -- 1,211 1,211 --
- -- --
7,674 10,683 1,920 7,042 4,547 5,881
294 --
66,533 98,027 14,525 107,000 58,823 49,821
2,125 31
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
1,068,741 1,377,280 181,245 1,055,712 692,945 1,009,122
102,929 5,488
-- -- -- -- -- --
- -- --
(58) -- (26) (58) (116) (23,109)
- -- (1,427)
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
1,068,683 1,377,280 181,219 1,055,654 692,829 986,013
102,929 4,061
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
1,435,587 3,254,548 1,516,318 2,289,108 318,506 1,152,604
95,872 18,856
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
5,621,357 93,845,581 (333) 6,596,882 9,312,907 (2,219,494)
730,036 (332)
-- -- -- -- -- --
- -- --
(295) -- -- (15,087) (94,036) (71,893)
(65,312) 978
-- -- -- 7,851 23,713 (46,669)
(85,891) (971)
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
5,621,062 93,845,581 (333) 6,589,646 9,242,584 (2,338,056)
578,833 (325)
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
17,583,489 (55,489,516) -- 3,241,572 12,919,331 23,622,881
601,089 (22,041)
-- -- -- -- -- --
- -- --
-- -- -- -- -- (21)
- -- --
(30) -- -- 202 (10,428) 16,443
(1,941) --
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
17,583,459 (55,489,516) -- 3,241,774 12,908,903 23,639,303
599,148 (22,041)
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
23,204,521 38,356,065 (333) 9,831,420 22,151,487 21,301,247
1,177,981 (22,366)
- ----------- ----------- ---------- ----------- ----------- ----------- --
- -------- --------
$24,640,108 $41,610,613 $1,515,985 $12,120,528 $22,469,993 $22,453,851
$1,273,853 $ (3,510)
=========== =========== ========== =========== =========== ===========
========== ========
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
DREYFUS
DREYFUS U.S. ENDEAVOR ENDEAVOR
SMALL CAP GOVERNMENT ENHANCED
OPPORTUNITY
VALUE SECURITIES INDEX VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ----------- ----------
- -
<S> <C> <C> <C> <C>
Net investment
income/(loss).............. $ (172,282) $ 1,474,923 $ 32,765 $
209,661
Net realized gain/(loss) on
securities, forward foreign
exchange contracts and
foreign currency
transactions during the
period..................... 19,679,391 434,164 2,337,165
457,725
Net unrealized
appreciation/(depreciation)
of securities, forward
foreign exchange contracts,
foreign currencies and net
other assets during the
period..................... (11,138,255) 148,730 2,285,142
2,235,614
------------ ----------- ----------- ----------
- -
Net increase/(decrease) in
net assets resulting from
operations................. 8,368,854 2,057,817 4,655,072
2,903,000
Distributions to
shareholders from net
investment income.......... (229,764) (1,993,080) (41,305)
(167,889)
Distributions to
shareholders from net
realized gains............. (19,960,776) (14,764) (94,085)
(273,598)
Net increase in net assets
from Portfolio share
transactions (Note 4)...... 33,433,246 16,962,688 13,729,180
12,776,228
------------ ----------- ----------- ----------
- -
Net increase in net assets.. 21,611,560 17,012,661 18,248,862
15,237,741
NET ASSETS:
Beginning of period......... 146,195,121 46,541,981 19,811,286
26,801,970
------------ ----------- ----------- ----------
- -
End of period............... $167,806,681 $63,554,642 $38,060,148
$42,039,711
============ =========== ===========
===========
Undistributed net investment
income/(loss).............. $ (175,033) $ 1,472,618 $ 31,742 $
209,581
============ =========== ===========
===========
</TABLE>
- ------------
* The Endeavor Select 50 Portfolio and Endeavor High Yield Portfolio commenced
operations on February 3, 1998, and June 1, 1998, respectively.
See Notes to Financial Statements.
38
<PAGE>
<TABLE>
<CAPTION>
T.ROWE T.ROWE T.ROWE
ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE
VALUE ASSET MONEY EQUITY GROWTH
INTERNATIONAL ENDEAVOR ENDEAVOR
EQUITY ALLOCATION MARKET INCOME STOCK STOCK
SELECT 50 HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO* PORTFOLIO*
--------- ------------ ----------- ------------ ------------ -----------
- -- ----------- ----------
<S> <C> <C> <C> <C> <C>
<C> <C>
$ 1,435,587 $ 3,254,548 $ 1,516,318 $ 2,289,108 $ 318,506 $
1,152,604 $ 95,872 $ 18,856
5,621,062 93,845,581 (333) 6,589,646 9,243,911
(2,338,056) 578,833 (325)
17,583,459 (55,489,516) -- 3,241,774 12,907,576
23,639,303 599,148 (22,041)
- ------------ ------------ ----------- ------------ ------------ -----------
- - ----------- ----------
24,640,108 41,610,613 1,515,985 12,120,528 22,469,993
22,453,851 1,273,853 (3,510)
(2,379,221) (4,399,126) (1,516,338) (3,237,538) (304,122)
(1,283,067) -- --
(4,227,268) (28,024,060) -- (8,216,569) (6,204,079)
(1,306,396) -- --
22,667,701 31,618,028 15,869,020 46,667,152 29,627,990
4,636,942 20,660,792 4,977,495
- ------------ ------------ ----------- ------------ ------------ -----------
- - ----------- ----------
40,701,320 40,805,455 15,868,667 47,333,573 45,589,782
24,501,330 21,934,645 4,973,985
216,038,578 303,102,148 51,161,630 197,228,099 123,229,515
164,560,224 0 0
- ------------ ------------ ----------- ------------ ------------ -----------
- - ----------- ----------
$256,739,898 $343,907,603 $67,030,297 $244,561,672 $168,819,297
$189,061,554 $21,934,645 $4,973,985
============ ============ =========== ============ ============
============ =========== ==========
$ 1,425,004 $ 3,251,889 $ -- $ 2,314,549 $ 315,821 $
567,410 $ 95,872 $ 18,856
============ ============ =========== ============ ============
============ =========== ==========
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
ENDEAVOR SERIES TRUST
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
DREYFUS
DREYFUS U.S. ENDEAVOR ENDEAVOR
ENDEAVOR ENDEAVOR ENDEAVOR
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>
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,
foward 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,
foward 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,
foward 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,
foward 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 Endeavor Enhanced Index Portfolio commenced operations on May 2, 1997.
See Notes to Financial Statements.
40
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR
YEAR PERIOD
06/30/98 ENDED ENDED ENDED
ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96+++## 12/31/95
12/31/94+++ 12/31/93*+++
----------- -------- ------------- -------- ------
- ----- ------------
<S> <C> <C> <C> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 16.41 $ 14.69 $ 12.22 $ 10.98 $
11.18 $ 10.00
-------- -------- ------- ------- ----
- --- -------
Net investment
income/(loss)#......... (0.02) 0.02 0.12 0.15
0.10 0.22
Net realized and
unrealized gain/(loss)
on investments......... 1.01 3.52 2.95 1.36
(0.30) 0.96
-------- -------- ------- ------- ----
- --- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 0.99 3.54 3.07 1.51
(0.20) 1.18
-------- -------- ------- ------- ----
- --- -------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.02) (0.10) (0.14) (0.10) --
- --
Distributions from net
realized gains......... (2.09) (1.72) (0.46) (0.17) --
- --
-------- -------- ------- ------- ----
- --- -------
Total distributions..... (2.11) (1.82) (0.60) (0.27) --
- --
-------- -------- ------- ------- ----
- --- -------
Net asset value, end of
period................. $ 15.29 $ 16.41 $ 14.69 $ 12.22 $
10.98 $ 11.18
======== ======== ======= =======
======= =======
Total return++.......... 5.78% 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)...... $167,807 $146,195 $85,803 $52,597
$35,966 $12,699
Ratio of net investment
income/(loss) to
average net assets..... (0.22)%+ 0.20% 0.95% 1.56%
0.89% 3.98%+
Ratio of operating
expenses to average net
assets................. 0.90%+ 0.91% 0.92% 0.87%
1.03% 1.30%+**
Ratio of operating
expenses to average net
assets without credits
allowed by the
custodian.............. 0.90%+ 0.91% 0.92% 0.87%
1.03% 1.30%+
Portfolio turnover
rate................... 76% 127% 171% 75%
77% 41%
</TABLE>
- ------------
* The Portfolio commenced operations on May 4, 1993.
** Annualized operating expense ratio before waiver of fees by investment
manager for the period ended December 31, 1993 was 2.10%.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropriately presents the per share data for the period
since use of the undistributed method did not accord with results of
operations.
# Net investment income before waiver of fees by investment manager for the
period ended December 31, 1993 was $0.18.
## The Dreyfus Corporation became the Portfolio's Adviser effective September
16, 1996.
See Notes to Financial Statements.
41
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
06/30/98+++ ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96+++ 12/31/95
12/31/94*+++
----------- -------- ----------- -------- ---------
- ---
<S> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 11.87 $ 11.23 $ 11.39 $ 9.96 $ 10.00
------- ------- ------- ------- -------
Net investment income#.. 0.32 0.39 0.62 0.30 0.24
Net realized and
unrealized gain/(loss)
on investments......... 0.13 0.61 (0.44) 1.25
(0.28)
------- ------- ------- ------- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 0.45 1.00 0.18 1.55
(0.04)
------- ------- ------- ------- -------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.41) (0.36) (0.22) (0.12) --
Distributions from net
realized gains......... (0.00)## -- (0.12) -- --
------- ------- ------- ------- -------
Total distributions..... (0.41) (0.36) (0.34) (0.12) --
------- ------- ------- ------- -------
Net asset value, end of
period................. $ 11.91 $ 11.87 $ 11.23 $ 11.39 $ 9.96
======= ======= ======= ======= =======
Total return++.......... 3.81% 9.15% 1.81% 15.64%
(0.40)%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $63,555 $46,542 $24,727 $12,718 $ 3,505
Ratio of net investment
income to average net
assets................. 5.42%+ 5.74% 5.68% 5.58%
4.14%+
Ratio of operating
expenses to average net
assets................. 0.75%+ 0.80% 0.82% 0.84%
0.78%+**
Ratio of operating
expenses to average net
assets without credits
allowed by the
custodian.............. 0.75%+ 0.80% 0.82% 0.84%
0.78%+
Portfolio turnover
rate................... 302% 185% 222% 161%
100%
</TABLE>
- ------------
* The Portfolio commenced operations on May 13, 1994.
** Annualized operating expense ratio before waiver of fees and reimbursement
of expenses by investment manager for the period ended December 31, 1994 was
1.83%.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropiately 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.
## Amount represents less than $0.01.
See Notes to Financial Statements.
42
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
6/30/98+++ ENDED
(UNAUDITED) 12/31/97*
----------- ---------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period................... $ 12.29 $ 10.00
------- -------
Net investment income#................................. 0.02 0.02
Net realized and unrealized gain on investments........ 2.28 2.27
------- -------
Net increase in net assets resulting from investment
operations............................................ 2.30 2.29
------- -------
DISTRIBUTIONS:
Dividends from net investment income................... (0.02) --
Distributions from net realized gains.................. (0.04) --
------- -------
Total distributions.................................... (0.06) --
------- -------
Net asset value, end of period......................... $ 14.53 $ 12.29
======= =======
Total return++......................................... 18.80% 22.90%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................... $38,060 $19,811
Ratio of net investment income to average net assets... 0.24%+ 0.55%+
Ratio of operating expenses to average net assets**.... 1.29%+ 1.30%+
Ratio of operating expenses to average net assets
without credits allowed by the custodian.............. 1.29%+ 1.30%+
Portfolio turnover rate................................ 43% 6%
</TABLE>
- ------------
* The Portfolio commenced operations on May 2, 1997.
** Annualized operating expense ratio before waiver/reimbursement of fees by
investment manager for the periods ended June 30, 1998 and December 31, 1997
were 1.47% and 1.56% respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropriately presents the per share data for the period
since use of the undistributed method did not accord with results of
operations.
# Net investment income before waiver/reimbursement of expenses by investment
manager for the six months ended June 30, 1998 and the period ended December
31, 1997 was $0.00 and $0.02, respectively.
See Notes to Financial Statements.
43
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
06/30/98+++ ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96*
----------- -------- ---------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period...... $ 11.75 $ 10.06 $10.00
------- ------- ------
Net investment income/(loss)#............. 0.08 0.07 (0.00)##
Net realized and unrealized gain on
investments.............................. 1.02 1.62 0.06
------- ------- ------
Net increase in net assets resulting from
investment operations.................... 1.10 1.69 0.06
------- ------- ------
DISTRIBUTIONS:
Dividends from net investment income...... (0.05) (0.00)## --
Distributions from net realized gains..... (0.09) -- --
------- ------- ------
Total distributions....................... (0.14) (0.00) --
------- ------- ------
Net asset value, end of period............ $ 12.71 $ 11.75 $10.06
======= ======= ======
Total return++............................ 9.40% 16.81% 0.60%
======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (in 000's)...... $42,040 $26,802 $ 701
Ratio of net investment income/(loss) to
average net assets....................... 1.23%+ 1.34% (1.09)%+
Ratio of operating expenses to average net
assets................................... 1.15%+ 1.15% 1.30%+**
Ratio of operating expenses to average net
assets without credits allowed by the
custodian................................ 1.15%+ 1.16% 1.30%+
Portfolio turnover rate................... 22% 44% 0%
</TABLE>
- ------------
* The Portfolio commenced operations on November 18, 1996.
** Annualized operating expense ratio before waiver/reimbursement of fees by
investment manager for the period ended December 31, 1996 was 12.69%.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropiately presents the per share data for the period
since use of the undistributed method did not accord with results of
operations.
# Net investment loss before waiver/reimbursement of expenses by investment
manager for the period ended December 31, 1996 was ($0.04).
## Amount represents greater than $(0.01) per share.
See Notes to Financial Statements.
44
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENDEAVOR VALUE EQUITY PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
PERIOD
06/30/98 ENDED ENDED ENDED ENDED
ENDED
(UNAUDITED) 12/31/97 12/31/96+++ 12/31/95 12/31/94
12/31/93*+++
----------- -------- ----------- -------- --------
- ------------
<S> <C> <C> <C> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 20.70 $ 17.21 $ 14.23 $ 10.69 $ 10.28
$ 10.00
-------- -------- -------- ------- -------
- -------
Net investment income#.. 0.11 0.20 0.20 0.15 0.09
0.05
Net realized and
unrealized gain on
investments............ 2.18 3.96 3.15 3.52 0.33
0.23
-------- -------- -------- ------- -------
- -------
Net increase in net
assets resulting from
investment operations.. 2.29 4.16 3.35 3.67 0.42
0.28
-------- -------- -------- ------- -------
- -------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.22) (0.14) (0.13) (0.09) (0.01)
- --
Distributions from net
realized gains......... (0.38) (0.53) (0.24) (0.04) --
- --
-------- -------- -------- ------- -------
- -------
Total distributions..... (0.60) (0.67) (0.37) (0.13) (0.01)
0.00
-------- -------- -------- ------- -------
- -------
Net asset value, end of
period................. $ 22.39 $ 20.70 $ 17.21 $ 14.23 $ 10.69
$ 10.28
======== ======== ======== ======= =======
=======
Total return++.......... 11.08% 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)...... $256,740 $216,039 $127,927 $68,630 $32,776
$11,178
Ratio of net investment
income to average net
assets................. 1.21%+ 1.39% 1.29% 1.56% 1.31%
0.84%+
Ratio of operating
expenses to average net
assets................. 0.90%+ 0.89% 0.91% 0.86% 1.02%
1.30%+**
Ratio of operating
expenses to average net
assets without credits
allowed by the
custodian.............. 0.90%+ 0.89% 0.91% 0.86% 1.02%
1.30%+
Portfolio turnover
rate................... 11% 16% 27% 28% 56%
1%
</TABLE>
- ------------
* The portfolio commenced operations on May 27, 1993.
** Annualized operating expense ratio before waiver of fees by investment
manager for the period ended December 31, 1993 was 2.10%.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropiately 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.
See Notes to Financial Statements.
45
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
YEAR
06/30/98# ENDED ENDED ENDED ENDED
ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94+++
12/31/93+++
----------- -------- -------- -------- -----------
- -----------
<S> <C> <C> <C> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 22.34 $ 18.84 $ 16.28 $ 13.48 $ 14.30
$ 12.31
-------- -------- -------- -------- --------
- -------
Net investment income... 0.22 0.32 0.27 0.33 0.28
0.23
Net realized and
unrealized gain/(loss)
on investments......... 2.77 3.45 2.61 2.72 (1.03)
1.84
-------- -------- -------- -------- --------
- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 2.99 3.77 2.88 3.05 (0.75)
2.07
-------- -------- -------- -------- --------
- -------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.32) (0.27) (0.32) (0.25) (0.07)
(0.08)
Distributions from net
realized gains......... (2.06) -- -- -- --
- --
-------- -------- -------- -------- --------
- -------
Total distributions..... (2.38) (0.27) (0.32) (0.25) (0.07)
(0.08)
======== ======== ======== ======== ========
=======
Net asset value, end of
period................. $ 22.95 $ 22.34 $ 18.84 $ 16.28 $ 13.48
$ 14.30
======== ======== ======== ======== ========
=======
Total return++.......... 13.73% 20.14% 17.82% 22.91% (5.28)%
16.79%
======== ======== ======== ======== ========
=======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $343,908 $303,102 $240,210 $198,876 $172,449
$96,657
Ratio of net investment
income to average net
assets................. 2.01%+ 1.61% 1.59% 2.12% 2.03%
1.71%
Ratio of operating
expenses to average net
assets................. 0.85%+ 0.84% 0.85% 0.84% 0.90%
1.12%
Ratio of operating
expenses to average net
assets without credits
allowed by the
custodian.............. 0.85%+ 0.84% 0.85% 0.84% 0.90%
1.12%
Portfolio turnover
rate................... 110% 67% 58% 93% 67%
67%
</TABLE>
- ------------
+ 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 appropiately presents the per share data for the period
since use of the undistributed method did not accord with results of
operations.
# Morgan Stanley Asset Management Inc. became the Portfolio's Adviser
effective May 1, 1998.
See Notes to Financial Statements.
46
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENDEAVOR MONEY MARKET PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
YEAR
06/30/98# ENDED ENDED ENDED ENDED
ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
12/31/93
----------- -------- -------- -------- -------- -
- -------
<S> <C> <C> <C> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $
1.00
-------- -------- -------- -------- -------- -
- -------
Net investment income... 0.0248 0.0498 0.0479 0.0540 0.0337
0.0218
-------- -------- -------- -------- -------- -
- -------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.0248) (0.0498) (0.0479) (0.0540) (0.0336)
(0.0218)
Distributions from net
realized gains......... -- -- -- -- (0.0001)
- --
-------- -------- -------- -------- -------- -
- -------
Total distributions..... (0.0200) (0.0498) (0.0479) (0.0540) (0.0337)
(0.0218)
-------- -------- -------- -------- -------- -
- -------
Net asset value, end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $
1.00
======== ======== ======== ======== ========
========
Total return++.......... 2.50% 5.07% 4.91% 5.54% 3.41%
2.19%
======== ======== ======== ======== ========
========
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $ 67,030 $ 51,162 $ 41,545 $ 27,551 $ 20,766 $
12,836
Ratio of net investment
income to average net
assets................. 5.01%+ 4.99% 4.81% 5.37% 3.58%
2.19%
Ratio of operating
expenses to average net
assets................. 0.60%+ 0.60% 0.60% 0.60% 0.85%
0.99%**
Ratio of operating
expenses to average net
assets without credits
allowed by the
custodian.............. 0.60%+ 0.60% 0.60% 0.60% 0.85%
0.99%
</TABLE>
- ------------
** Annualized operating expense ratio before waiver of fees and/or
reimbursement of expenses by investment manager for the year ended December
31, 1993 was 1.23%.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Morgan Stanley Asset Management Inc. became the Portfolio's Adviser effective
May 1, 1998.
See Notes to Financial Statements.
47
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
06/30/98 ENDED ENDED ENDED
(UNAUDITED)+++ 12/31/97 12/31/96+++ 12/31/95*+++
-------------- -------- ----------- ------------
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of
period...................... $ 19.34 $ 15.49 $ 13.05 $ 10.00
-------- -------- ------- -------
Net investment income........ 0.20 0.25 0.41 0.34
Net realized and unrealized
gain on investments......... 0.96 4.06 2.17 2.71
-------- -------- ------- -------
Net increase in net assets
resulting from investment
operations.................. 1.16 4.31 2.58 3.05
-------- -------- ------- -------
DISTRIBUTIONS:
Dividends from net investment
income...................... (0.28) (0.19) (0.10) --
Distributions from net
realized gains.............. (0.70) (0.27) (0.04) --
-------- -------- ------- -------
Total distributions.......... (0.98) (0.46) (0.14) --
-------- -------- ------- -------
Net asset value, end of
period...................... $ 19.52 $ 19.34 $ 15.49 $ 13.05
======== ======== ======= =======
Total return++............... 5.98% 28.27% 19.88% 30.50%
======== ======== ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)...................... $244,562 $197,228 $78,251 $21,910
Ratio of net investment
income to average net
assets...................... 2.06%+ 2.47% 2.89% 3.24%+
Ratio of operating expenses
to average net assets....... 0.95%+ 0.94% 0.96% 1.15%+
Ratio of operating expenses
to average net assets
without credits allowed by
the custodian............... 0.95%+ 0.94% 0.96% 1.15%+
Portfolio turnover rate...... 11% 23% 19% 16%
</TABLE>
- ------------
* The Portfolio commenced operations on January 3, 1995.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropriately presents the per share data for the period
since use of the undistributed method did not accord with results of
operations.
See Notes to Financial Statements.
48
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
06/30/98 ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96+++
12/31/95*+++
----------- -------- ----------- -----------
- -
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of
period......................... $ 20.78 $ 16.29 $ 13.72 $ 10.00
-------- -------- ------- -------
Net investment income........... 0.04 0.04 0.11 0.08
Net realized and unrealized gain
on investments................. 3.54 4.59 2.71 3.64
-------- -------- ------- -------
Net increase in net assets
resulting from investment
operations..................... 3.58 4.63 2.82 3.72
-------- -------- ------- -------
DISTRIBUTIONS:
Dividends from net investment
income......................... (0.05) (0.03) (0.01) --
Distributions from net realized
gains.......................... (0.92) (0.11) (0.24) --
-------- -------- ------- -------
Total distributions............. (0.97) (0.14) (0.25) --
-------- -------- ------- -------
Net asset value, end of period.. $ 23.39 $ 20.78 $ 16.29 $ 13.72
======== ======== ======= =======
Total return++.................. 17.36% 28.57% 20.77% 37.20%
======== ======== ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)......................... $168,819 $123,230 $59,732 $21,651
Ratio of net investment income
to average net assets.......... 0.44%+ 0.38% 0.75% 0.69%+
Ratio of operating expenses to
average net assets............. 0.95%+ 0.96% 1.01% 1.26%+
Ratio of operating expenses to
average net assets without
credits allowed by the
custodian...................... 0.95%+ 0.96% 1.01% 1.26%+
Portfolio turnover rate......... 28% 41% 44% 64%
</TABLE>
- ------------
* The Portfolio commenced operations on January 3, 1995.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropriately presents the per share data for the period
since use of the undistributed method did not accord with results of
operations.
See Notes to Financial Statements.
49
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
YEAR
06/30/98 ENDED ENDED ENDED* ENDED
ENDED
(UNAUDITED) 12/31/97 12/31/96+++ 12/31/95#
12/31/94 12/31/93+++
----------- -------- ----------- --------- -------
- - -----------
<S> <C> <C> <C> <C> <C>
<C>
OPERATING PERFORMANCE:
Net asset value,
beginning of period.... $ 14.21 $ 13.95 $ 12.19 $ 11.31 $ 11.99
$ 10.12
-------- -------- -------- ------- -------
- -------
Net investment
income/(loss).......... 0.10 0.10 0.09 0.09
(0.02) (0.04)
Net realized and
unrealized gain/(loss)
on investments......... 1.84 0.26 1.76 1.06
(0.66) 1.91
-------- -------- -------- ------- -------
- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 1.94 0.36 1.85 1.15
(0.68) 1.87
-------- -------- -------- ------- -------
- -------
DISTRIBUTIONS:
Dividends from net
investment income...... (0.11) (0.10) (0.09) -- --
- --
Distributions from net
realized gains......... (0.11) -- (0.00)## (0.27) --
- --
-------- -------- -------- ------- -------
- -------
Total distributions..... (0.22) (0.10) (0.09) (0.27) --
- --
-------- -------- -------- ------- -------
- -------
Net asset value, end of
period................. $ 15.93 $ 14.21 $ 13.95 $ 12.19 $ 11.31
$ 11.99
======== ======== ======== ======= =======
=======
Total return++.......... 13.59% 2.54% 15.23% 10.37%
(5.67)% 18.48%
======== ======== ======== ======= =======
=======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
period (in 000's)...... $189,062 $164,560 $134,435 $92,352 $84,102
$52,777
Ratio of net investment
income/(loss) to
average net assets..... 1.28%+ 0.74% 0.73% 0.81%
(0.16)% (0.31)%
Ratio of operating
expenses to average net
assets................. 1.10%+ 1.07% 1.18% 1.15%
1.16% 1.52%
Ratio of operating
expenses to average net
assets without credits
allowed by the
custodian.............. 1.12%+ 1.12% 1.18% 1.15%
1.16% 1.52%
Portfolio turnover
rate................... 11% 19% 11% 111%
88% 37%
</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.
++ 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.
# Rowe Price-Fleming International, Inc. became the Portfolio's Adviser
effective January 3, 1995.
## Amount represents less than $0.01 per share.
See Notes to Financial Statements.
50
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENDEAVOR SELECT 50 PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
PERIOD
ENDED
06/30/98*
(UNAUDITED)
-----------
<S> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period............................... $ 10.00
-------
Net investment income.............................................. 0.05
Net realized and unrealized gain on investments.................... 1.00
-------
Net increase in net assets resulting from investment operations.... 1.05
-------
Net asset value, end of period..................................... $ 11.05
=======
Total return++..................................................... 10.50%
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................... $21,935
Ratio of net investment income to average net assets............... 1.34%+
Ratio of operating expenses to average net assets.................. 1.44%+
Portfolio turnover rate............................................ 66%
</TABLE>
- ------------
* The Portfolio commenced operations on February 3, 1998.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
See Notes to Financial Statements.
51
<PAGE>
FINANCIAL HIGHLIGHTS
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
PERIOD
ENDED
06/30/98*
(UNAUDITED)
-----------
<S> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period.............................. $10.00
------
Net investment income............................................. 0.04
Net realized and unrealized loss on investments................... (0.05)
------
Net decrease in net assets resulting from investment operations... (0.01)
------
Net asset value, end of period.................................... $ 9.99
======
Total return++.................................................... (0.13)%
======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).............................. $4,974
Ratio of net investment income to average net assets.............. 5.78%+
Ratio of operating expenses to average net assets................. 1.24%+
Ratio of operating expenses to average net assets without credits
allowed by the custodian......................................... 1.68%+
Portfolio turnover rate........................................... 8%
</TABLE>
- ------------
* The Portfolio commenced operations on June 1, 1998.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
See Notes to Financial Statements.
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
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 twelve
managed investment portfolios: Dreyfus Small Cap Value Portfolio, Dreyfus U.S.
Government Securities Portfolio, Endeavor Enhanced Index Portfolio, Endeavor
Opportunity Value Portfolio, Endeavor Value Equity Portfolio, Endeavor Asset
Allocation Portfolio, Endeavor Money Market Portfolio, T. Rowe Price Equity
Income Portfolio, T. Rowe Price Growth Stock Portfolio, T. Rowe Price
International Stock Portfolio, Endeavor Select 50 Portfolio, and Endeavor High
Yield 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, ENDEAVOR ENHANCED INDEX PORTFOLIO, ENDEAVOR OPPORTUNITY VALUE
PORTFOLIO, ENDEAVOR VALUE EQUITY PORTFOLIO, ENDEAVOR ASSET ALLOCATION
PORTFOLIO, T. ROWE PRICE EQUITY INCOME PORTFOLIO, T. ROWE PRICE GROWTH STOCK
PORTFOLIO, T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO, ENDEAVOR SELECT 50
PORTFOLIO, AND ENDEAVOR HIGH YIELD 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.
ENDEAVOR MONEY MARKET PORTFOLIO: The Endeavor 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.
FUTURES CONTRACTS: Certain of the Portfolios may engage in futures contracts
for the purpose of hedging against a decline in the value of the portfolio
securities held or in the price of the securities intended to be purchased, in
order to maintain liquidity.
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
Upon entering into a futures contract, a Portfolio is required to deposit with
the broker an amount of cash or cash equivalents equal to a certain percentage
of the contract amount. This is known as the "initial margin." Subsequent
payments ("variation margin") are made or received by the Portfolio each day,
depending on the daily fluctuation of the value of the contract. The daily
changes in the contract are recorded as unrealized gain or loss. The Portfolio
recognizes a realized gain or loss when the contact is closed. The net
unrealized appreciation/(depreciation), if any, is shown in the financial
statements.
There are several risks in connection with the use of futures contracts as a
hedging device. The change in value of futures contracts primarily corresponds
with the value of their underlying instruments, which may not correlate with
the change in value of the hedged investments. In addition, there is the risk
that the Portfolio may not be able to enter into a closing transaction because
of an illiquid secondary market.
FORWARD FOREIGN CURRENCY CONTRACTS:
The Dreyfus U.S. Government Securities Portfolio, the Endeavor Enhanced Index
Portfolio, the Endeavor Opportunity Value Portfolio, the T. Rowe Price Equity
Income Portfolio, the T. Rowe Price Growth Stock Portfolio, the T. Rowe Price
International Stock Portfolio, the Endeavor Select 50 Portfolio, and the
Endeavor High Yield Portfolio may engage in forward foreign currency exchange
contracts. Each Portfolio engages in forward foreign currency exchange
transactions to protect against changes in future exchange rates. Forward
foreign currency exchange contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded by each
Portfolio as an unrealized gain or loss. When the contract is closed, each
Portfolio records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it
was closed.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of a Portfolio's securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, each Portfolio
could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts.
FOREIGN CURRENCY:
The books and records of the Portfolios are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities, and items of income and expense
are translated on the respective dates of such transactions. Unrealized gains
and losses which result from changes in foreign currency exchange rates have
been included in the unrealized appreciation/ (depreciation) of investments and
net other assets. Net realized foreign currency gains and losses include the
effect of changes in exchange rates between trade date and settlement date on
investment security transactions, foreign currency transactions and interest
and dividends received. The portion of foreign currency gains and losses
related to fluctuation in exchange rates between the initial purchase trade
date and subsequent sale trade date is included in realized gains and losses on
investment securities sold.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income of the Dreyfus Small Cap Value Portfolio,
Dreyfus U.S. Government Securities Portfolio, Endeavor Enhanced Index
Portfolio, Endeavor Opportunity Value Portfolio, Endeavor Value Equity
Portfolio, Endeavor Asset Allocation Portfolio, T. Rowe Price Equity Income
Portfolio, T. Rowe Price Growth Stock Portfolio, T. Rowe Price International
Stock Portfolio, Endeavor Select 50 Portfolio, and Endeavor High Yield
Portfolio are declared and paid at least annually. Dividends from net
investment income of the Endeavor 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.
54
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
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
Endeavor Enhanced Index
Portfolio............... (3,333) 3,333 --
Endeavor Opportunity
Value Portfolio......... (4,800) 4,800 --
Endeavor Value Equity
Portfolio............... -- 30 (30)
Endeavor 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>
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%; Endeavor Enhanced Index Portfolio --
.75%; Endeavor Opportunity Value Portfolio -- .80%; Endeavor Value Equity
Portfolio -- .80%; Endeavor Asset Allocation Portfolio -- .75%; Endeavor 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%; Endeavor Select 50 Portfolio -- 1.10%; Endeavor High Yield
Portfolio -- .775%.
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. With the exception of the Endeavor Select 50
Portfolio and the Endeavor High Yield Portfolio, the Investment Manager also
pays the fees and expenses of First Data Investor Services Group, Inc.
("Investor Services Group"), a wholly-owned subsidiary of First Data
Corporation. Investor Services Group assists the Investment Manager in the
performance of its administrative responsibilities to the Fund. As compensation
for these services the Investment Manager pays Investor Services Group a flat
fee of $720,000 per annum, $70,000 of which the Endeavor Select 50 and the
Endeavor High Yield Portfolios pay Investor Services Group directly, provided
that the aggregate net assets of the twelve Portfolios do not exceed $1
billion; if the aggregate net assets of the twelve 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.
The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank,
N.A., which is a wholly-owned subsidiary of Mellon Bank 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%.
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary of
J.P. Morgan and Co. Incorporated, serves as the Adviser to the Endeavor
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") a subsidiary of Oppenheimer Capital, serves as the
Adviser to the Endeavor Opportunity Value Portfolio and the Endeavor 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.
Morgan Stanley Asset Management Inc. ("Morgan Stanley"), a subsidiary of Morgan
Stanley Dean Witter & Company, serves as the Adviser to the Endeavor Asset
Allocation Portfolio and the Endeavor Money Market Portfolio pursuant to
separate investment advisory agreements between the Investment Manager and
Morgan Stanley. As compensation for its services as investment adviser, the
Investment Manager pays Morgan Stanley a monthly fee based on a percentage of
the average daily net assets of each Portfolio at the following annual rates:
Endeavor Asset Allocation Portfolio -- .30% and Endeavor 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.
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
net assets of the Portfolio exceed $200 million, the fee shall be .50% of total
average daily net assets.
Montgomery Asset Management LLC ("Montgomery"), a wholly owned subsidiary of
Commerzbank AG, serves as the Adviser to the Endeavor Select 50 Portfolio. As
compensation for its services as investment adviser, the Investment Manager
pays Montgomery a fee at the annual rate of .70% of the average daily net
assets of the Portfolio.
Massachusetts Financial Services Company ("MFS"), a subsidiary of Sun Life
Assurance Company of Canada (U.S.) , serves as the Adviser to the Endeavor High
Yield Portfolio. As compensation for its services as investment adviser, the
Investment Manager pays MFS a fee at the annual rate of .375% of the average
daily net assets of the Portfolio.
From time to time the Investment Manager may waive a portion or all of the fees
otherwise payable to it and/or reimburse expenses. The Investment Manager has
voluntarily undertaken to waive its fees and has agreed to bear certain
expenses so that total expenses do not exceed the following percentages of the
respective Portfolio's average daily net assets: Dreyfus Small Cap Value
Portfolio -- 1.30%, Dreyfus U.S. Government Securities Portfolio -- 1.00%,
Endeavor Enhanced Index Portfolio --1.30%, Endeavor Opportunity Value
Portfolio -- 1.30%, Endeavor Value Equity Portfolio -- 1.30%, Endeavor Managed
Asset Allocation Portfolio -- 1.25%, Endeavor Money Market Portfolio -- .99%,
T. Rowe Price Equity Income Portfolio -- 1.30%, T. Rowe Price Growth Stock
Portfolio -- 1.30%, T. Rowe Price International Stock Portfolio -- 1.53%,
Endeavor Select 50 Portfolio -- 1.50% and Endeavor High Yield Portfolio --
1.30%. For the six months ended June 30, 1998, the Investment Manager waived
and/or reimbursed expenses of $23,899 for the Endeavor 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 six months ended June 30, 1998, the
Fund's expenses were reduced by $25,816.
For the six months ended June 30, 1998, the Fund incurred total brokerage
commissions of $27,064 of which $23,819 was paid to CIBC Oppenheimer Corp, a
former affiliate of OpCap Advisors, $733 was paid to Jardine Fleming Group
Ltd., $595 was
56
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
paid to Ord Minnett Securities, Ltd., Australia and $1,917 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. 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 $10,000 per annum plus $500 per regularly scheduled meeting attended
and reimburses them for travel and out-of-pocket expenses.
3. PURCHASES AND SALES OF SECURITIES
Purchases and proceeds from sales of securities, excluding short-term
investments, for the six months ended June 30, 1998 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.............. $ -- $133,668,033 $ -- $118,531,597
Dreyfus U.S. Government
Securities Portfolio... 109,218,414 66,776,704 95,390,993 68,199,198
Endeavor Enhanced Index
Portfolio.............. -- 25,244,883 -- 12,075,252
Endeavor Opportunity
Value Portfolio........ -- 17,025,100 -- 5,887,451
Endeavor Value Equity
Portfolio.............. -- 56,224,616 -- 22,356,365
Endeavor Asset
Allocation Portfolio... 111,998,640 259,170,522 99,089,853 251,647,132
T. Rowe Price Equity
Income Portfolio....... -- 59,294,393 100,000 21,974,185
T. Rowe Price Growth
Stock Portfolio........ -- 61,103,849 -- 38,929,670
T. Rowe Price
International Stock
Portfolio.............. -- 138,318,400 -- 18,674,319
Endeavor Select 50
Portfolio.............. -- 28,077,269 -- 9,279,856
Endeavor High Yield
Portfolio.............. -- 4,665,711 -- 163,388
</TABLE>
At June 30, 1998, 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 NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ --------------
<S> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio....................... $14,449,572 $15,629,658 $(1,180,086)
Dreyfus U.S. Government
Securities Portfolio............ 1,412,001 19,005 1,392,996
Endeavor Enhanced Index
Portfolio....................... 4,201,055 675,350 3,525,705
Endeavor Opportunity Value
Portfolio....................... 4,460,666 1,012,663 3,448,003
Endeavor Value Equity Portfolio.. 79,091,291 4,301,208 74,790,083
Endeavor Asset Allocation
Portfolio....................... 27,979,447 6,873,619 21,105,828
T. Rowe Price Equity Income
Portfolio....................... 37,899,001 5,215,456 32,683,545
T. Rowe Price Growth Stock
Portfolio....................... 39,715,216 2,617,797 37,097,419
T. Rowe Price International Stock
Portfolio....................... 54,970,407 11,875,467 43,094,940
Endeavor Select 50 Portfolio..... 1,755,558 1,154,469 601,089
Endeavor High Yield Portfolio.... 11,959 34,000 (22,041)
</TABLE>
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
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 twelve series of shares, each series representing one of the
Fund's twelve Portfolios. Since the Endeavor Money Market Portfolio has sold
shares, issued shares as reinvestment of dividends and redeemed shares only at
a constant net asset value of $1.00 per share, the number of shares represented
by such sales, reinvestments and redemptions is the same as the amounts shown
below for such transactions. Changes in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/98 12/31/97
----------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
DREYFUS SMALL CAP VALUE
PORTFOLIO:
Sold..................... 1,408,087 $ 23,979,032 2,854,599 $46,267,300
Issued as reinvestment of
dividends............... 1,295,096 20,190,540 796,124 11,695,060
Redeemed................. (637,733) (10,736,326) (579,781) (9,300,638)
--------- ------------ --------- -----------
Net increase............. 2,065,450 $ 33,433,246 3,070,942 $48,661,722
========= ============ ========= ===========
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/98 12/31/97
----------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
DREYFUS U.S. GOVERNMENT
SECURITIES PORTFOLIO:
Sold..................... 1,533,964 $ 18,385,591 2,054,139 $23,404,469
Issued as reinvestment of
dividends............... 170,301 2,007,843 96,135 1,063,251
Redeemed................. (286,183) (3,430,746) (432,109) (4,934,965)
--------- ------------ --------- -----------
Net increase............. 1,418,082 $ 16,962,688 1,718,165 $19,532,755
========= ============ ========= ===========
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/98 12/31/97#
----------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
ENDEAVOR ENHANCED INDEX
PORTFOLIO:
Sold..................... 1,536,085 $ 21,205,460 1,676,961 $19,232,288
Issued as reinvestment of
dividends............... 9,636 135,390 -- --
Redeemed................. (539,029) (7,611,670) (65,048) (791,470)
--------- ------------ --------- -----------
Net increase............. 1,006,692 $ 13,729,180 1,611,913 $18,440,818
========= ============ ========= ===========
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/98 12/31/97
----------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
ENDEAVOR OPPORTUNITY
VALUE PORTFOLIO:
Sold..................... 1,123,788 $ 14,009,426 2,313,198 $25,586,520
Issued as reinvestment of
dividends............... 35,206 441,487 80 852
Redeemed................. (131,486) (1,674,685) (102,942) (1,134,806)
--------- ------------ --------- -----------
Net increase............. 1,027,508 $ 12,776,228 2,210,336 $24,452,566
========= ============ ========= ===========
</TABLE>
------------
# The Endeavor Enhanced Index Portfolio commenced operations on May 2,
1997.
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR
ENDED
06/30/98 12/31/97
------------------------------ -------------------
- -----------
SHARES AMOUNT SHARES
AMOUNT
----------------- ------------ ----------------- -
- -----------
<S> <C> <C> <C>
<C>
ENDEAVOR VALUE EQUITY
PORTFOLIO:
Sold.................... 1,178,073 $ 25,978,956 3,232,180 $
61,464,872
Issued as reinvestment
of dividends........... 298,801 6,606,489 325,993
5,809,197
Redeemed................ (446,364) (9,917,744) (557,099)
(10,797,494)
----------- ------------ ----------- -
- -----------
Net increase............ 1,030,510 $ 22,667,701 3,001,074 $
56,476,575
=========== ============ ===========
============
<CAPTION>
SIX MONTHS ENDED YEAR
ENDED
06/30/98 12/31/97
------------------------------ -------------------
- -----------
SHARES AMOUNT SHARES
AMOUNT
----------------- ------------ ----------------- -
- -----------
<S> <C> <C> <C>
<C>
ENDEAVOR ASSET
ALLOCATION PORTFOLIO:
Sold.................... 919,562 $ 21,903,780 1,736,406 $
36,394,153
Issued as reinvestment
of dividends........... 1,453,955 32,423,186 170,745
3,471,255
Redeemed................ (958,377) (22,708,938) (1,086,805)
(22,793,784)
----------- ------------ ----------- -
- -----------
Net increase............ 1,415,140 $ 31,618,028 820,346 $
17,071,624
=========== ============ ===========
============
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/98 12/31/97
----------------- -----------------
SHARES AND AMOUNT SHARES AND AMOUNT
----------------- -----------------
<S> <C> <C>
ENDEAVOR MONEY MARKET
PORTFOLIO:
Sold.................... $55,058,264 $60,627,400
Issued as reinvestment
of dividends........... 1,515,632 2,583,983
Redeemed................ (40,704,876) (53,594,899)
----------- -----------
Net increase............ $15,869,020 $ 9,616,484
=========== ===========
<CAPTION>
SIX MONTHS ENDED YEAR
ENDED
06/30/98 12/31/97
------------------------------ -------------------
- -----------
SHARES AMOUNT SHARES
AMOUNT
----------------- ------------ ----------------- -
- -----------
<S> <C> <C> <C>
<C>
T. ROWE PRICE EQUITY
INCOME PORTFOLIO:
Sold.................... 2,034,890 $ 40,996,136 5,318,386 $
92,122,352
Issued as reinvestment
of dividends........... 584,990 11,454,107 195,942
3,254,603
Redeemed................ (287,901) (5,783,091) (367,672)
(6,181,066)
----------- ------------ ----------- -
- -----------
Net increase............ 2,331,979 $ 46,667,152 5,146,656 $
89,195,889
=========== ============ ===========
============
<CAPTION>
SIX MONTHS ENDED YEAR
ENDED
06/30/98 12/31/97
------------------------------ -------------------
- -----------
SHARES AMOUNT SHARES
AMOUNT
----------------- ------------ ----------------- -
- -----------
<S> <C> <C> <C>
<C>
T. ROWE PRICE GROWTH
STOCK PORTFOLIO:
Sold.................... 1,305,576 $ 30,061,570 2,718,480 $
50,798,964
Issued as reinvestment
of dividends........... 287,973 6,508,200 35,593
639,613
Redeemed................ (306,188) (6,941,780) (490,826)
(9,143,649)
----------- ------------ ----------- -
- -----------
Net increase............ 1,287,361 $ 29,627,990 2,263,247 $
42,294,928
=========== ============ ===========
============
</TABLE>
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/98 12/31/97
----------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- ------------
<S> <C> <C> <C> <C>
T. ROWE PRICE
INTERNATIONAL STOCK
PORTFOLIO:
Sold.................... 960,097 $ 15,116,130 2,814,522 $ 40,791,148
Issued as reinvestment
of dividends........... 162,553 2,589,463 70,239 1,046,567
Redeemed................ (838,292) (13,068,651) (941,417) (13,569,758)
--------- ------------ --------- ------------
Net increase............ 284,358 $ 4,636,942 1,943,344 $ 28,267,957
========= ============ ========= ============
<CAPTION>
PERIOD ENDED
06/30/98##
-----------------------
SHARES AMOUNT
--------- ------------
<S> <C> <C>
ENDEAVOR SELECT 50
PORTFOLIO:
Sold.................... 2,049,227 $ 21,386,015
Issued as reinvestment
of dividends........... -- --
Redeemed................ (64,417) (725,223)
--------- ------------
Net increase............ 1,984,810 $ 20,660,792
========= ============
<CAPTION>
PERIOD ENDED
06/30/98###
-----------------------
SHARES AMOUNT
--------- ------------
<S> <C> <C>
ENDEAVOR HIGH YIELD
PORTFOLIO:
Sold.................... 498,056 $ 4,977,650
Issued as reinvestment
of dividends........... -- --
Redeemed................ (16) (155)
--------- ------------
Net increase............ 498,040 $ 4,977,495
========= ============
</TABLE>
------------
## The Endeavor Select 50 Portfolio commenced operations on February 3,
1998.
### The Endeavor High Yield Portfolio commenced operations on June 1,
1998.
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, Endeavor Enhanced
Index Portfolio -- 10 shares, Endeavor Opportunity Value Portfolio -- 10
shares, Endeavor Value Equity Portfolio -- 10 shares, Endeavor Asset Allocation
Portfolio -- 10,000 shares, Endeavor Money Market Portfolio -100,000 shares, T.
Rowe Price Equity Income Portfolio -- 10 shares, T. Rowe Price Growth Stock
Portfolio -- 10 shares, T. Rowe Price International Stock Portfolio -- 10,000
shares, Endeavor Select 50 Portfolio -- 10 shares, and Endeavor High Yield
Portfolio -- 10 shares) owned by a separate account of PFL Life Insurance
Company are redeemed during such amortization period, the redemption proceeds
will be reduced for any unamortized organization costs in the same proportion
as the number of shares redeemed bears to the number of initial shares
outstanding at the time of the redemption. The Fund bears the expense of
registering and qualifying the shares of the various Portfolios for
distribution under Federal and state securities regulations.
6. CONCENTRATION OF RISK
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. These risks
are heightened for investments in emerging market countries. 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.
60
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
ENDEAVOR SERIES TRUST
JUNE 30, 1998 (UNAUDITED)
The Endeavor High Yield Portfolio invests in securities offering high current
income which generally will be in the lower rating categories of recognized
ratings agencies (so-called "junk bonds"). These securities generally involve
more credit risk than securities in the higher rating categories. In addition,
the trading market for high yield securities may be relatively less liquid than
the market for higher-rated securities.
Each Portfolio may invest up to 15% (10% with respect to Dreyfus U.S.
Government Securities Portfolio and Endeavor Money Market 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 Endeavor Money Market Portfolio 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>
$215 $ -- $763 $146
</TABLE>
61
<PAGE>
ENDEAVOR SERIES TRUST
SPECIAL MEETINGS OF SHAREHOLDERS
APRIL 21, 1998
At a special meeting of the shareholders of the Endeavor Asset Allocation
Portfolio and the Endeavor Money Market Portfolio held on April 21, 1998:
(i) New investment advisory agreements between the Investment Manager and
Morgan Stanley Asset Management Inc. relating to the Portfolios were approved
by the shareholders as follows:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAINED TOTAL
---------- ------- --------- ----------
<S> <C> <C> <C> <C>
Endeavor Asset Allocation Portfolio.... 12,228,019 134,374 1,074,991 13,437,384
Endeavor Money Market Portfolio........ 52,985,229 575,926 4,031,485 57,592,640
</TABLE>
(ii) An amendment to the Endeavor Asset Allocation Portfolio's investment
restriction regarding illiquid securities and a change of this restriction to
non-fundamental was approved by the shareholders as follows:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAINED TOTAL
---------- ------- --------- ----------
<S> <C> <C> <C> <C>
Endeavor Asset Allocation Portfolio.... 11,690,524 403,122 1,343,738 13,437,384
</TABLE>
FEBRUARY 23, 1998
At a special meeting of the shareholders held on February 23, 1998, the
Brokerage Enhancement Plan between the Endeavor Group and the Endeavor Series
Trust was approved by the shareholders of each Portfolio of the Trust as
follows:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAINED TOTAL
---------- --------- --------- ----------
<S> <C> <C> <C> <C>
Dreyfus Small Cap Value Portfolio... 8,163,827 266,211 443,686 8,873,724
Dreyfus U.S. Government Securities
Portfolio.......................... 3,585,467 119,515 278,870 3,983,852
Endeavor Enhanced Index Portfolio... 1,501,183 48,951 81,586 1,631,720
Endeavor Opportunity Value
Portfolio.......................... 2,081,127 69,371 161,865 2,312,363
Endeavor Value Equity Portfolio..... 9,608,763 208,886 626,658 10,444,307
Endeavor Asset Allocation
Portfolio.......................... 12,484,930 407,117 678,529 13,570,576
Endeavor Money Market Portfolio..... 44,066,576 3,110,581 4,665,873 51,843,030
T. Rowe Price Equity Income
Portfolio.......................... 9,302,702 306,682 613,365 10,222,749
T. Rowe Price Growth Stock Portfolio
................................... 5,400,442 178,036 356,073 5,934,551
T. Rowe Price International Stock
Portfolio.......................... 10,526,940 347,042 694,084 11,568,066
</TABLE>
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