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SHAREHOLDER LETTER
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Dear Shareholders:
I am pleased to present you with the performance and market activity information
on the portfolios of the Endeavor Series Trust for the year ended December 31,
1998. On the surface it appeared to be another great year. The S&P 500 Index
returns of more than 28% marked the fourth year in a row with returns greater
than 20%; in addition, Internet stocks seemed unstoppable during the fourth
quarter.
However, the themes of volatility and uncertainty continued to rear their ugly
heads, resulting in the primary challenge for the year - staying committed to
the marketplace. I would like to take this opportunity to restate our commitment
towards well-balanced, diversified investment portfolios managed by committed
and experienced professionals. It remains our core belief that no one individual
or firm can invest in all markets at all times in all styles, and continually
out-perform the specialists. For this reason we continue to utilize different
investment styles and various advisers devoted to providing dedicated and
experienced professionals who are specialists in their given discipline. In
1998, we saw continued expansion in line with this core philosophy with the
addition of the Endeavor Select 50 and the Endeavor High Yield Portfolios to the
Endeavor Series Trust. On the following pages the specialists that make up our
team share with you their reflections on 1998, and thoughts for 1999, along with
their individual Portfolio returns.
Thank you for allowing us the opportunity to invest with you and for your
continued support of the Endeavor Series Trust. We are looking forward to 1999
and the opportunities that lie ahead for all of us.
Sincerely,
/s/ Vincent J. (VJ) McGuinness, Jr.
Vincent J. (VJ) McGuinness, Jr.
President
Endeavor Series Trust
February 24, 1999
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DREYFUS SMALL CAP VALUE PORTFOLIO
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The market soared in the final quarter of 1998 with a return of 21.3% for the
S&P 500 Index, lifting its result for all of 1998 to 28.6%. The year also marked
the eighth in a row of positive returns for the S&P 500, and the first time ever
that four successive years have seen equities gain more than 20%. For the
1995-98 period the annualized return works out to an astounding 30.6% (just
below the record of 31.6% for 1933-36). For the year, the Russell small stock
index (the "Russell 2000 Index") was down 2.6%. The continued divergence in
performance between large and small stocks and between growth and value stocks
was particularly extreme in 1998. We believe this dramatic spread in valuation
levels, the largest in over 25 years, has created a compelling opportunity for
long-term investors.
In this environment, Dreyfus Small Cap Value Portfolio seeks capital
appreciation through investment in a diversified portfolio of equity securities
of companies with a median market capitalization of approximately $750 million
or less. Our strategy is to find stocks that are cheap in spite of the overall
market's strong gains. We compare company specific valuations to their
historical ranges and their peer groups. While cheap stocks tend to offer less
downside than the market as a whole, our primary focus is on those stocks where
business is getting better and there is potential for positive earnings
surprises. We analyze out-of-favor companies and industries in order to identify
positive turns in business trends before the improvements become widely known by
Wall Street. As holdings appreciate to fair value, we sell them even if business
conditions remain favorable. Our dedication to the "value" style of investing is
of paramount importance. Additionally, our analysis is done on a stock-by-stock
basis. Our sector weightings result from detailed bottom-up analysis of
individual securities. To help control risk, we limit investments in individual
securities to 3% of the Portfolio. Sector weightings may not exceed 30% or three
times the weight in the Russell 2000 Index. Our Portfolio is highly diversified
with between 100 and 200 holdings typically. This focus on diversification is
necessary because smaller capitalization stocks tend to have greater than
average business risk, and in some cases, financial risk.
Despite overall market valuation being expensive, there are many cheap stocks,
which is where we focus all of our efforts. The Portfolio is highly diversified
with 141 holdings at year-end. The median market capitalization is $509 million.
The Portfolio exhibits attractive valuation characteristics as evidenced by its
price/book ratio of 1.7 times, which compares favorably to the 2.2 times level
for the Russell 2000 Index. The Portfolio's price/earnings ratio of 12.6 times
1999 estimates also demonstrates attractive value when contrasted to 17.1 times
1999 earnings per share estimates for the Russell 2000 Index.
Technology, which was our largest sector weighting, was also our best performing
sector in 1998. Stock prices were up dramatically in the fourth quarter as
business started to improve, excess inventories were reduced and pricing firmed.
Our major commitments are in personal computer component manufacturers,
semi-conductor capital equipment producers and software companies. The Learning
Company, Quantum and Maxtor were all strong contributors to 1998 performance. We
continue to have a substantial overweight in Technology shares, as valuations
remain attractive.
We have a strong commitment to the Health Care sector as business momentum is
very positive and product innovation and cost containment continue to drive
performance. Major contributors to 1998's performance in the Health Care sector
were Beckman Coulter, CONMED and Wellpoint. Many medical product companies, rich
in technology and with good earnings growth prospects, continue to be
undervalued.
The Energy sector was our biggest disappointment last year. We were overweighted
because many of the domestic exploration and production companies were selling
at all-time low valuations. This sector has performed poorly because oil prices
have been under pressure due to weak global demand. We have recently reduced our
exposure due to poor momentum but we remain overweighted due to extremely
attractive valuations.
Our underweighting in the Financial Services and Utility sectors continues.
Financial Services companies are currently selling at high valuation levels
given their slowing growth prospects. Although Utilities outperformed in 1998,
as investors sought a safe haven from the volatile and uncertain global markets,
they were unattractive to us before their recent gains and are even less
attractive today.
Looking ahead, the eventual recognition of the compelling values in smaller
stocks should produce outstanding returns for investors. By maintaining our
focus on undervalued securities with improving business momentum, we believe our
clients will be well positioned to benefit from this trend going forward.
Peter I. Higgins, Portfolio Manager
The Dreyfus Corporation
2
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DREYFUS SMALL CAP VALUE PORTFOLIO
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PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
Dreyfus Small Cap Value Portfolio
vs.
Russell 2000 Index and Lipper VA Small Cap Index+
May 4, 1993 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Dreyfus Small Russell 2000 Lipper VA Small
Date Cap Value Portfolio* Index* Cap Index*
- ---- -------------------- ------ ----------
5/4/93 10,000 10,000 10,000
12/31/98 19,436 20,536 19,323
+ The Russell 2000 Index is a capitalization weighted total return index which
is comprised of 2,000 of the smallest capitalized U.S. domiciled companies whose
common stock is traded in the United States on the New York Stock Exchange, AMEX
and NASDAQ.
The Lipper VA Small Cap Index is an equally weighted performance index of small
cap funds underlying 30 variable annuities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Small Cap
Index has been added which more narrowly reflects the Portfolio's peer group.
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Average Annual Total Return*
Dreyfus Small Cap Value Portfolio Actual Without Waivers
--------------------------------- ------ ---------------
Year ended 12/31/98 (2.18)% (2.25)%
Five Years ended 12/31/98 11.56% 11.47%
Inception (05/04/93) through 12/31/98 12.33% 12.26%
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*Assumes reinvestment of all dividends and distributions.
3
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DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
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The U.S. economy continued to show resiliency in the fourth quarter of 1998.
Corporate profits, for the most part, were better than already lowered
expectations, although there were pockets of weakness in the manufacturing and
commodity based sectors. The overall outlook is that the U.S. economy, with the
help of three monetary eases by the Federal Reserve, has averted being pulled
down into the "Asian contagion".
While commodity indices have continued to decline to levels not seen in decades,
the Consumer sector has benefited and remains quite strong. Consumer confidence
levels remain quite high, and this is reflected in continued strong retail
spending. This trend is quite amazing when you view some of the things happening
to bring confidence down: impeachment and the foreign economic crisis. In
essence the economy remains stronger than most had anticipated.
To start the fourth quarter, U.S. Treasury issues benefited from this flight to
quality trade. Investors sold spread product and swapped to the more liquid,
higher quality Treasury market. By mid-October, spreads had widened to a point
that issuers found it too costly to raise debt, dealers found it too dangerous
to position inventory, hence the needed easings by the Federal Reserve. The
easings returned liquidity to spread product.
The volatility present through the October/November liquidity crisis (the after
effect of the Asian crisis) had a dramatic impact on corporate spreads. In
particular the Finance sector in the investment grade sector widened in spread
more than industrials. Also, lower quality credits were hurt more than same
sector higher quality.
We had positioned the Portfolio with exposure to the Finance and Banking sector
as that sector represented better relative value. We also viewed the falling of
commodity prices to be an ominous sign for the Industrial sector. We accordingly
underweighted the Industrial sector. While we believe our fundamental rationale
was correct, the allocation clearly hurt performance of the Portfolio versus the
Lehman Aggregate Bond Index.
By the end of the fourth quarter, credit spreads began to stabilize and tighten.
We decreased our allocation in Treasury securities by the end of 1998 and
increased our allocation to Corporate, FNMAs and GNMAs. We have become more
optimistic on the U.S. economy's prospects in 1999. There will most likely be
pockets of volatility, in particular emanating out of Japan, as the Japanese
struggle to raise debt, thereby raising yields there, and around the world. This
in turn will put pressure on currencies, in particular the Euro, followed by the
dollar. We will watch this closely as a determining factor for interest rate
direction here in the U.S..
Gerald Thunelius, Portfolio Manager
The Dreyfus Corporation
4
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DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
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PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
Dreyfus U.S. Government Securities Portfolio
vs.
Lehman Aggregate Bond Index and Lipper VA General U.S. Government Index+
May 13, 1994 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Dreyfus U.S. Lipper VA General
Government Security Lehman Aggregate U.S. Government
Date Portfolio* Bond Index* Index*
- ---- ---------- ----------- ------
5/13/94 10,000 10,000 10,000
12/31/98 13,745 14,742 13,513
+ The Lehman Aggregate Bond Index is an index composed of treasury issues,
agency issues, corporate bond issues and mortgage-backed securities.
The Lipper VA General U.S. Government Index is an equally weighted performance
index of U.S. Government funds underlying 30 variable annuities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA General U.S.
Government Index has been added which more narrowly reflects the Portfolio's
peer group.
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Average Annual Total Return*
Dreyfus U.S. Government Securities Portfolio Actual Without Waivers
-------------------------------------------- ------ ---------------
Year ended 12/31/98 7.38% 7.37%
Inception (05/13/94) through 12/31/98 7.10% 7.02%
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*Assumes reinvestment of all dividends and distributions.
5
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ENDEAVOR ENHANCED INDEX PORTFOLIO
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Endeavor Enhanced Index Portfolio returned 31.4% (net of fees) for the year
ended December 31, 1998. The S&P 500 Index returned 28.6% during this time
period, while the Lipper VA Growth and Income Index returned 28.3%.
The U.S. stock market ended a very volatile year in a rally driven by size and
growth. The largest 50 stocks outperformed the rest of the market, gaining 40%
versus the 17% for the other 450 stocks in the S&P 500 Index. U.S. stock markets
staged an impressive rise during the fourth quarter, driving results for the
full year and extending the Index's streak of 20% plus returns to an
unprecedented four years. Liquidity flooded financial markets as the Federal
Reserve cut interest rates three times in the space of 6 weeks in September,
October and November. As such, early fourth quarter stock market advances were
fairly broad based. However, gains that elevated the S&P 500 to a record level
became increasingly more narrow as analysts lowered earning expectations and
interest rates stagnated.
While the market environment was difficult for most active managers, stock
selection and risk control in the Portfolio were the key contributors to its
success for the quarter as well as for the year. In particular, the Portfolio's
holding in drug stock Warner Lambert benefited performance as sales of its
cholesterol-reducing drug Lipitor surpassed the $1 billion market. Favorable
stock selection in the consumer cyclical and telephone sectors also enhanced
performance. Specifically, the Portfolio's holding in Chrysler positively
impacted performance as that company agreed to merge with Daimler-Benz. The
Portfolio's overweight position in WorldCom enhanced returns on news of an
approved merger with MCI. In the latter part of the year, our decision to
underweight money center banks and brokerage stocks within the finance sector
had a positive impact on the Portfolio's performance. Stocks in these sectors
traded sharply lower due to the financial and economic meltdown in emerging
markets, the declining U.S. stock market, and the large potential losses from
exposure to the hedge fund, Long Term Capital Management. Another positive
contributor, the newly merged MCI WorldCom displayed share strength owing to
superior strategic positioning and management talent. Additionally, the company
has above average exposure to the Internet and international segments in the
telecommunications services market. Conversely, the Portfolio's holding in
Monsanto held back performance in the last quarter, as the company announced its
decision to end merger talks with American Home Products. Monsanto will now be
forced to issue equity, since its balance sheet has been weakened by $8 billion
of seed acquisitions.
The end of 1998 caps an unprecedented four year period in which the U.S. market
has returned in excess of 20% per annum. The question going forward is whether
market fundamentals can continue to support this performance. We expect
moderation with respect to earnings, economic growth, and share price
appreciation. Positive seasonal trends and monetary conditions should support
the market as we enter the new year. However, any one of a plethora of macro
uncertainties has the potential to deflect stocks from extending their recent
gains: the impeachment of the President, the impact of the Euro, the year 2000
problem, or further international financial turmoil or international
hostilities.
J.P. Morgan Investment Management, Inc.
6
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ENDEAVOR ENHANCED INDEX PORTFOLIO
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PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
Endeavor Enhanced Index Portfolio**
vs.
S&P 500 Stock Index and Lipper VA Growth and Income Index+
May 2, 1997 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Endeavor Enhanced S&P 500 Lipper VA Growth
Date Index Portfolio* Stock Index* and Income Index*
- ---- ---------------- ----------- -----------------
5/2/97 10,000 10,000 10,000
12/31/98 16,148 15,760 13,976
+ The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper VA Growth and Income Index is an equally weighted performance index
of growth and income funds underlying 10 variable annuities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Growth and
Income Index has been added which more narrowly reflects the Portfolio's peer
group.
- --------------------------------------------------------------------------------
Average Annual Total Return*
Endeavor Enhanced Index Portfolio** Actual Without Waivers
----------------------------------- ------ ---------------
Year ended 12/31/98 31.39% 31.39%
Inception (05/02/97) through 12/31/98 33.27% 33.26%
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*Assumes reinvestment of all dividends and distributions.
** Formerly the Enhanced Index Portfolio.
7
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ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
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Endeavor Opportunity Value Portfolio invests in stocks, bonds and cash
equivalents, with a bias toward stocks, which have outperformed other classes of
investments for nearly every five-year period since the Depression. Our
long-term approach and philosophy is to invest in superior businesses at
reasonable prices.
However, 1998 was not an especially good year for the Portfolio. The Portfolio's
total return was 5.2%, compared with a return of 28.6% for the S&P 500 Index and
an average total return of 13.6% for the funds in the Lipper VA Flexible
Portfolio Index. The S&P 500 is an unmanaged index of 500 of the largest
corporations weighted by market capitalization.
We trailed the S&P 500 because of two main factors: our only minimal holdings of
technology issues, many of which had large gains in 1998, and the poor
performance of certain of the Portfolio's investments, including Citigroup, Inc.
and Boeing Co. Other major holdings of the Portfolio, including its three
largest holdings -- Freddie Mac, Time Warner Inc. and McDonald's Corp.-- rose
strongly.
While the Portfolio's 1998 results did not live up to our expectations, we
remain dedicated to the continued delivery of excellent results over time. We
focus on individual companies and try to understand where their businesses are
going over the next several years, not on where the stock market is heading in
the next six months. Simply stated, we want to invest in superior businesses
that are underpriced in the stock market. We define a superior business as one
which is extremely well managed, earns high returns on capital, has a dominant
competitive position to protect those returns and uses the free cash flow
resulting from those returns to create shareholder value, such as through astute
acquisitions or share repurchase. The objectives of our strategy are: a)
preserve capital, don't lose it; and b) generate excellent returns for the
Portfolio's shareholders.
We expect U.S. and international economic growth to slow in 1999, and we have
positioned the Portfolio to perform well in this environment. We own very few
cyclical stocks that would be hurt by economic weakness. New investments in the
fourth quarter were AlliedSignal Inc., a diversified technology and
manufacturing company; News Corporation Ltd., a global media and communications
company; and US WEST, Inc., which provides telecommunications services in the
western and midwestern United States. We believe each should deliver strong
business results in 1999.
US WEST exemplifies our philosophy of owning quality companies with excellent
prospects. It has been investing in new technologies and businesses, and those
investments should begin to pay off with higher earnings. This includes the
company's new wired-wireless service, the first of its kind in the United
States, which allows customers to have a single number for their wired and
wireless phones.
Richard Glasebrook II, Portfolio Manager
OpCap Advisors
8
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ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
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PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
Endeavor Opportunity Value Portfolio**
vs.
S&P 500 Stock Index and Lipper VA Flexible Portfolio Index+
November 18, 1996 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Endeavor Opportunity S&P 500 Lipper VA Flexible
Date Value Portfolio* Stock Index* Portfolio Index*
---- ---------------- ------------ ----------------
11/18/96 10,000 10,000 10,000
12/31/98 12,360 18,079 13,925
+ The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper VA Flexible Portfolio Index is an equally weighted performance index
of flexible portfolio funds underlying 30 variable annuities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Flexible
Portfolio Index has been added which more narrowly reflects the Portfolio's peer
group.
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Average Annual Total Return*
Endeavor Opportunity Value Portfolio** Actual Without Waivers
-------------------------------------- ------ ---------------
Year ended 12/31/98 5.18% 5.16%
Inception (11/18/96) through 12/31/98 10.52% 10.32%
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*Assumes reinvestment of all dividends and distributions.
**Formerly the Opportunity Value Portfolio.
9
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ENDEAVOR VALUE EQUITY PORTFOLIO
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Endeavor Value Equity Portfolio is intended for the long-term investor seeking
to preserve capital and make it grow through investments in quality undervalued
securities. It invests in a diverse group of undervalued companies with superior
business characteristics, including strong competitive positions, high cash flow
and favorable earnings outlooks. 1998 was a very difficult year for value
investors and the Portfolio provided a total return of only 7.6%, compared with
a return of 28.6% for the S&P 500 Index. The S&P 500 is an unmanaged index of
500 of the largest corporations weighted by market capitalization. The
Portfolio's performance compared with an average total return of 22.1% for the
Lipper VA Capital Appreciation Index. Lipper is currently revising its
categories for equity funds and will be adding a value category, but such a
benchmark has not existed in the past.
We underperformed the market for several reasons. For one, we own the stocks of
a diverse group of large and mid-sized companies, and mid cap stocks did not
perform nearly as well as the S&P 500, which is dominated by larger companies.
In addition, the performance of the market in 1998 was driven primarily by large
"growth" stocks, reflecting a preference of many investors for owning highly
liquid issues -- especially those with predictable earnings -- in an uncertain
global economic environment. Year-to-year performance differentials between
value and growth styles of investing are common, and we are confident the
pendulum will swing back to value investing in time.
In addition, with our risk-averse investment philosophy, we sometimes trail the
market averages in periods of sharply rising prices. We focus on long-term
investments in quality companies rather than attempting to predict near-term
market trends.
The average price-earnings ratio of the stocks owned by the Portfolio was 18.1x
at the end of December, compared with a price-earnings ratio of 31.8x for the
S&P 500, indicating the relative value of the Portfolio's holdings. In contrast
to their low relative valuations, the stocks owned by the Portfolio generate
returns on equity that are well above the average returns of the S&P 500 stocks.
This combination of low relative stock market prices and superior business
characteristics helps control risk and creates opportunity for investment
profit.
In the fourth quarter, we established a new position in Avery Dennison
Corporation. Avery Dennison illustrates our philosophy of buying undervalued
quality companies. It holds the leading market share in pressure-sensitive
materials, and enjoys economies of scale in production, customer service
infrastructure, and research and development spending. It has driven costs lower
and simultaneously developed important new products like self-adhesive postage
stamps and Duracell power-check battery labels. Avery has an after-tax return on
invested capital of 18%, an underleveraged balance sheet and strong free cash
flow. The stock sells at a significantly lower valuation than other industrial
or chemical companies of similar quality.
Eileen Rominger, Portfolio Manager
OpCap Advisors
10
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ENDEAVOR VALUE EQUITY PORTFOLIO
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PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
Endeavor Value Equity Portfolio**
vs.
S&P 500 Stock Index and Lipper VA Capital Appreciation Index+
May 27, 1993 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Endeavor Value S&P 500 Lipper VA Capital
Date Equity Portfolio* Stock Index* Appreciation Index*
---- ----------------- ------------ -------------------
5/27/93 10,000 10,000 10,000
12/31/98 23,943 30,923 22,872
+ The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper VA Capital Appreciation Index is an equally weighted performance
index of capital appreciation funds underlying 30 variable annuities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Capital
Appreciation Index has been added which more narrowly reflects the Portfolio's
peer group.
- --------------------------------------------------------------------------------
Average Annual Total Return*
Endeavor Value Equity Portfolio** Actual Without Waivers
--------------------------------- ------ ---------------
Year ended 12/31/98 7.56% 7.55%
Five Years ended 12/31/98 18.41% 18.31%
Inception (05/27/93) through 12/31/98 16.88% 16.79%
- --------------------------------------------------------------------------------
*Assumes reinvestment of all dividends and distributions.
**Formerly the Value Equity Portfolio.
11
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ENDEAVOR ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
The fourth quarter of 1998 witnessed a return of investor confidence and a
dramatic reversal of the damage suffered by investors during the third quarter
of the year. Three separate moves by the Federal Reserve Board to lower
short-term interest rates helped to restore investor confidence and market
liquidity following the crisis environment of the summer months. The Federal
Reserve's moves were preventative steps intended to reduce the likelihood of a
domestic recession and foster a more orderly and liquid market, thereby reducing
the potential for a "credit crunch" while avoiding the spread of global economic
weakness. The result was a return of confidence and a positive backdrop for
domestic financial markets.
While 1998 was a somewhat disappointing year for the equity portion of the
Endeavor Asset Allocation Portfolio given the narrow leadership that
characterized this market, we were encouraged by our return in the fourth
quarter and believe it bodes well for 1999. We spent the early part of the
quarter reducing our cyclical and mid-cap exposure and adding selectively to our
"large cap" holdings. This strategy laid the foundation for our performance in
the quarter and positions us well for 1999.
The Portfolio remains a mix of what we call "classic" growth issues, less
traditional growth stocks and still others which fall somewhere in between. At
year-end our ten largest holdings accounted for just under 40% of the equity
portion of the Portfolio and we held 68 securities. Our largest position
remained Clear Channel Communications, which represented 5.2% of stocks or 3.5%
of the (total) Portfolio.
Looking toward 1999 and assuming a backdrop of continued low inflation,
relatively low interest rates, modest GDP growth and ongoing fears regarding
emerging markets, we can visualize the U.S. market continuing to favor some of
the same high growth, mega-cap companies which performed so well in 1998. We
view this as an opportunity as a number of companies we are invested in appear
well positioned for this environment. We believe this market will continue its
preference for high quality growth companies that can continue to meet or beat
expectations.
Fixed income markets were also affected by the Federal Reserve's actions as
yield spreads on the vast majority of these securities reversed trend and
narrowed over the course of the quarter. The dramatic "flight to quality" rally
came to an end as corporates, mortgages, etc. outpaced Treasuries. Sector and
security decisions in the non-Treasury areas benefited from the significant
narrowing of spreads and had a positive effect on total return during the
quarter. Corporate holdings were also helped by credit rating upgrades and other
developments with the potential to enhance credit quality, while most mortgage
holdings benefited from slower than expected prepayments. Weighted average
credit quality remains strong, and the overall level of prepayment risk remains
fairly close to that of the broader market benchmarks despite the large mortgage
position. Corporates and mortgages remain very attractive and we continue to
overweight these sectors. This strategy allows the Portfolio to maintain an
attractive yield advantage while retaining a call-protected, well-diversified,
high credit quality profile.
Looking forward, against a backdrop of continued low inflation, a reasonably
accommodative rate environment, more modest GDP growth and ongoing fears of
emerging market slowdowns, recent economic data suggest that the U.S. economy
continues to exhibit surprising resiliency despite the lingering effects of a
difficult global and financial market environment. Importantly, the Federal
Reserve remains sensitive to the risks posed to the financial system by renewed
economic or financial market turmoil. To reiterate, we view this environment as
an opportunity and feel the Portfolio is well positioned to participate in a
market that continues to afford investors with a number of attractive options.
Once again, we thank you for your confidence and welcome your comments.
Morgan Stanley Asset Management
12
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ENDEAVOR ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
Endeavor Asset Allocation Portfolio**
vs.
S&P 500 Stock Index, Lipper VA Flexible Portfolio Index, Blended Index
and Lehman Government/Corporate Bond Index+
April 8, 1991 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Lipper VA Lehman
Endeavor Asset Flexible Government/
Allocation S&P 500 Portfolio Blended Corporate
Date Portfolio* Stock Index* Index* Index* Bond Index*
---- ---------- ------------ ------ ------ -----------
4/8/91 10,000 10,000 10,000 10,000 10,000
12/31/98 28,240 39,623 24,234 32,132 19,215
+ The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper VA Flexible Portfolio Index is an equally weighted performance index
of flexible portfolio funds underlying 30 variable annuities.
The Blended Index is a hypothetical index comprised of 65% S&P 500 Stock Index,
30% Lehman Aggregate Bond Index and 5% 90-Day Treasury Bills.
The Lehman Government/ Corporate Bond Index is an index composed of U.S.
government, treasury and agency securities, corporate and Yankee bonds.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Flexible
Portfolio Index has been added which more narrowly reflects the Portfolio's peer
group. The Blended Index has been added to reflect the Portfolio's long-term
average allocation to stocks, bonds and cash.
- --------------------------------------------------------------------------------
Average Annual Total Return*
Endeavor Asset Allocation Portfolio** Actual Without Waivers
------------------------------------- ------ ---------------
Year ended 12/31/98 18.39% 18.35%
Five Years ended 12/31/98 14.30% 13.96%
Inception (04/08/91) through 12/31/98 14.36% 14.14%
- --------------------------------------------------------------------------------
*Assumes reinvestment of all dividends and distributions.
**Formerly the TCW Managed Asset Allocation Portfolio.
13
<PAGE>
- --------------------------------------------------------------------------------
ENDEAVOR MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
The Endeavor Money Market Portfolio (formerly the TCW Money Market Portfolio)
invests in top quality U.S. $ denominated money market securities rated A1/P1 or
better. All securities mature within 397 days, and the entire Portfolio's
average weighted days to maturity is always less than 90 days. The Portfolio
also expects to maintain a net asset value of $1.00 per share.
The annualized seven and thirty day yields for the Portfolio as of December 31,
1998 were 4.67% and 4.68%, respectively. As with all money market portfolios,
past yields are not necessarily indicative of future performance. The Portfolio
ended the year with a weighted average maturity of 62 days.
The U.S. economy began 1998 with a robust first quarter. Inflation at the
Consumer Price Index level was relatively non-existent as commodity and producer
prices fell during the first quarter. Interest rates declined, and consumers
enjoyed attractive financing opportunities that stimulated a strong housing
market. Jobs remained plentiful and the unemployment rate held steady. As the
economy moved into the second quarter, economic strength continued although at a
more moderate pace. The labor market made further gains and the unemployment
rate fell slightly. Although wages rose in the second quarter, they remained low
enough to quell market fears of higher inflation and tighter corporate profit
margins.
As the Russian debt crisis unfolded in the third quarter, U.S. markets
experienced a significant inflow of capital as investors sought high quality
U.S. Treasury securities and liquid money market instruments. This intense
"flight to quality" lowered liquidity levels in all types of credit based
markets, from emerging market debt to high-grade corporate securities. At the
end of the third quarter and into the fourth, the Federal Reserve Board provided
the market with relief via three 25 basis point easings of short-term U.S.
interest rates. This easing successfully calmed markets and began to restore
liquidity, especially to the high-grade market sectors.
Looking ahead to 1999, U.S. inflationary risks appear to remain subdued, and
domestic growth is expected to moderate from its recent pace. Inflation is
likely to move up slightly next year, but the overall level should stay low
enough to ensure high and attractive domestic real rates. Until foreign
economies begin to stimulate growth overseas, demand for U.S. goods will remain
low, providing businesses with little pricing power.
Over the past year, the Portfolio benefited from extending its maturity prior to
the Federal Reserve's easings, which boosted the Portfolio's yield. Floating
rate notes continue to add value and yield to the Portfolio, without a material
impact to the average weighted maturity of the assets. We will continue to watch
for opportunities to extend the Portfolio's maturity when enough yield
protection against potential interest rate changes is in place.
Morgan Stanley Asset Management
14
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
Positive economic growth, a favorable interest rate environment, and substantial
stock market volatility characterized last year. A solid first half was
undermined by a severe third quarter correction, which gave way to a
near-euphoric rally in the final months with a fourth quarter return of 11.02%
for the T. Rowe Price Equity Income Portfolio. The S&P 500 Index advanced by
more than 20% for a record fourth consecutive year. However, within the context
of another strong year for equities, there were significant crosscurrents that
had a major impact on the performance of many sectors of the market.
The Portfolio's annual return of 8.81% was respectable but somewhat
disappointing, since it was the first time in a while that the Portfolio
performance lagged its Lipper peer group. During the broad market advances we
have seen in recent years, it is extremely difficult for funds with conservative
charters like the Portfolio to keep up with S&P 500 stocks. In times such as
these, it is helpful to keep in mind that the purpose of this type of portfolio
is not to generate robust returns under all market conditions. The goal is to
produce attractive returns, including substantial dividend income, over time;
and also to help cushion investment principal when times get rough.
Portfolio Highlights
The Portfolio was 95% invested in equities at year-end. Three of our largest
sales during the past six months were stocks of companies that were in the
process of being merged or acquired. In each case, we were able to sell our
shares at prices higher than our original cost.
We made significant new investments in several companies, including Baker
Hughes, Boeing, and BankAmerica, all of which we bought at prices well below
their highs for the year. Many of our holdings typically trade at below-average
valuation levels because, for many diverse reasons, their share prices declined
before we took a position in them. This investment strategy -- buying
out-of-favor stocks with good long-term potential -- has served shareholders
well in the past, and we believe it will continue as a successful strategy in
the future when investors focus again on stocks with appealing market
valuations.
Among the Portfolio's largest holdings are companies from many diverse
industries, including SBC Communications, American Home Products, Exxon,
Anheuser-Busch, Dow Chemical, GE, and others that represent a broad
cross-section of the U.S. economy.
Summary and Outlook
Twelve months ago, we commented on the rapid appreciation of stock prices
compared with the growth in the underlying earnings and dividends. In 1997,
share prices increased at a much faster rate than the underlying fundamentals,
and this "delinkage" between price and value grew even more pronounced in 1998.
We expect 1999 to be a more challenging year than the one that just ended. In
our view, this could lead to more moderate returns than the robust and
unsustainable performance of the past four years. In this environment, our
investment approach will be steady and constant, as always. We will continue to
search for attractively valued stocks with solid long-term potential.
Brian C. Rogers, Portfolio Manager
T. Rowe Price Associates, Inc.
15
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 invested in
T. Rowe Price Equity Income Portfolio
vs.
S&P 500 Stock Index, Lipper VA Equity Income Index
and Lipper Equity Income Index+
January 3, 1995 through December 31, 1998
[LINE GRAPH APPEARS HERE]
T. Rowe Price
Equity Income S&P 500 Lipper VA Equity Lipper Equity
Date Portfolio* Stock Index* Income Index* Income Index*
---- ---------- ------------ ------------- -------------
1/3/95 10,000 10,000 10,000 10,000
12/98 21,835 28,997 16,279 21,578
+ The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper VA Equity Income Index measures the total returns earned by 10
variable annuities investing in equity income funds.
The Lipper Equity Income Index is an equally weighted performance index of
equity income funds underlying 10 variable annuities..
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Equity Income
Index has been added which more narrowly reflects the Portfolio's peer group.
- --------------------------------------------------------------------------------
Average Annual Total Return*
T. Rowe Price Equity Income Portfolio Actual Without Waivers
------------------------------------- ------ ---------------
Year ended 12/31/98 8.81% 8.80%
Inception (01/03/95) through 12/31/98 21.59% 21.59%
- --------------------------------------------------------------------------------
*Assumes reinvestment of all dividends and distributions.
16
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE GROWTH STOCK PORTFOLIO
- --------------------------------------------------------------------------------
Market Environment
Over the last six months many negative developments attempted to stand in the
way of the bull market and the robust U.S. economy. Russia defaulted on its
loans causing panic in emerging markets and a looming credit crunch both here
and abroad. Before much damage could be inflicted on the U.S. economy, the
Federal Reserve Board stepped in by lowering rates in the U.S. several times,
and the International Monetary Fund put a package together to stabilize Latin
America. This calmed the market and restored consumer confidence. While the
manufacturing sector slowed noticeably, other elements of the economy remained
relatively strong. This calming effort, combined with the public's insatiable
appetite for stocks, drove the market up sharply at year-end, surpassing highs
reached in July.
The T. Rowe Price Growth Stock Portfolio outperformed both the Lipper VA Growth
Index and the S&P 500 Index for the three months and one-year period ended
December 31, 1998 with returns of 23.37% and 28.67%, respectively. The
narrowness of the S&P 500 Index continued as most of the performance came from
the top 50 blue chip stocks. This was also true for the Portfolio as the smaller
companies in the Portfolio continued to lag. International holdings also
continued to underperform slightly.
Investment Review
Several of our large holdings did quite well. America Online, which was
purchased early in the year, performed exceedingly well. Network Associates,
EMC, Microsoft, MCI Worldcom, and Intel also added nicely to returns. In other
sectors, the Portfolio was helped by our large positions in Freddie Mac,
Safeway, Home Depot, Philip Morris, and Danaher. On the international side, ACE
Limited, Wolters Kluwer, and Hutchison Whampoa were positive contributors.
Many of our financial stocks detracted from performance. Trading activities and
poor foreign loans effected Citigroup, and general soft markets negatively
affected our insurance holdings. As usual a few earnings disappointments, like
Parametric Technology and United Healthcare, also impacted returns. In most
cases we held or added to these positions.
Outlook
The U.S. stock market has continued to advance despite many efforts to slow it
down. The Federal Reserve Board continues to masterfully steer the economic
ship, and U.S. companies continue to be world leaders and shareholder focused.
On the negative side, valuations are extreme, industrial America is troubled,
and consumers continue to spend and not save. In addition, economies around the
world appear to remain volatile. While the market was rewarded with strong
returns in 1998, earnings and cash flow at companies showed little growth.
Over time, stocks cannot continue to move upward at a faster rate than the
underlying cash flow. This could produce lower stock market returns in the
period ahead. We do, however, feel confident that the companies that make up
your Portfolio will continue to grow to their "true value" faster than the
overall market.
Robert W. Smith, Portfolio Manager
T. Rowe Price Associates, Inc.
17
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE GROWTH STOCK PORTFOLIO
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
T. Rowe Price Growth Stock Portfolio
vs.
S&P 500 Stock Index, Lipper VA Growth Index
and Lipper Growth & Income Fund Average+
January 3, 1995 through December 31, 1998
[LINE GRAPH APPEARS HERE]
T. Rowe Price Lipper Growth
Price Growth S&P 500 Lipper VA & Income Fund
Date Stock Portfolio* Stock Index* Growth Index* Ave.*
---- ---------------- ------------ ------------- -----
1/3/95 10,000 10,000 10,000 10,000
12/98 27,411 28,997 24,174 23,142
+ The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Lipper VA Growth Index is an equally weighted performance index of growth
funds underlying 30 variable annuities.
The Lipper Growth & Income Fund Average is composed of the Portfolio's peer
group of mutual funds investing in growth and income oriented securities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Growth Index
has been added which more narrowly reflects the Portfolio's peer group.
- --------------------------------------------------------------------------------
Average Annual Total Return*
T. Rowe Price Growth Stock Portfolio Actual Without Waivers
Year ended 12/31/98 28.67% 28.66%
Inception (01/03/95) through 12/31/98 28.72% 28.72%
- --------------------------------------------------------------------------------
*Assumes reinvestment of all dividends and distributions.
18
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
- --------------------------------------------------------------------------------
For the year, the MSCI EAFE benchmark was up 20%, helped by dollar weakness that
contributed about one-third of the gain. Europe, up 29%, was the strongest
international region in 1998, while Latin America, down 35%, was the weakest.
Latin America suffered the savage sell-off that afflicted the Far East last year
as "Asian contagion", exacerbated by the Russian default and devaluation,
induced a loss of confidence in Brazil and the region. Japan managed a modest
increase of 5% in U.S.$ terms, but the rest of the Far East, excluding
Australia, declined 5%. In 1998 the dollar fell 13% against the yen, 7% against
major European currencies, and 1% against sterling.
For 1998, the T. Rowe Price International Stock Portfolio's performance of
15.44% was behind the EAFE index. Country allocation was negative, but stock
selection a small positive. For the quarter ended December 31, 1998, the
Portfolio's performance of 18.43% lagged the EAFE Index's performance of 20.75%.
Performance Attribution
Country allocation relative to the benchmark was negative over the year. For the
year, underweighting Japan, in particular, and Asia to a lesser extent, added
value. However, these gains were offset largely by our position in Latin
America, with smaller negatives from overweighting Norway and underweighting the
buoyant Finnish and German markets. For the year, stock selection was positive,
with holdings in the Netherlands, Belgium, France, and Japan particularly
successful.
Investment Outlook
Looking forward, we see international economies growing more slowly. Our
cautious stance in the Pacific and Japan will help shield the Portfolio from the
pain that those markets must go through before they can emerge as fundamentally
healthy investment centers. Your Portfolio's emphasis on businesses which have
the management, products, and sound finances to support sustainable growth
should prove appropriate as cyclical businesses face a tougher environment.
Corporate activity and restructuring in Europe are expected to continue as the
Economic and Monetary Union (EMU) deregulation and a weaker economy coincide in
the year ahead. The extent of corporate consolidation in Europe lags the U.S.,
and thus there is further scope for industry concentration. Our enthusiasm for
Continental Europe remains high, as we continue to find businesses with
sustainable growth prospects, managed to maximize returns, at reasonable
valuations.
The Japanese government's long overdue action in the fourth quarter is
encouraging. We remain underweighted, though, because at the stock level there
are relatively few companies focused on shareholder value and willing to take
the tough actions that may be required in the recessionary and deflationary
environment of Japan at present.
In the rest of the Far East, the bottom of the crisis may be at hand, but we
believe that valuations bear little relationship to the underlying merits of the
stocks. We retain our belief that Latin America offers attractions and
opportunity. The key remains avoiding a disorderly devaluation in Brazil. Our
view is that this is possible, and the Portfolio holdings will, in time, be able
to achieve valuations closer to those of international sector peers.
Our outlook for currencies favors the new euro currency over the dollar and the
yen, although we do not anticipate major moves in the year ahead.
Confidence has clearly returned to global stock markets after the difficult
third quarter. Looking ahead, we believe that this renewed confidence, coupled
with healthy if unspectacular economic growth in Europe and signs that we are at
least closer to the bottom in Asia, will lead to reasonable performance from
international equity markets in 1999.
David Warren and John Ford, Portfolio Managers
Rowe Price-Fleming International, Inc.
19
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 Invested in
T. Rowe Price International Stock Portfolio
vs.
Morgan Stanley Capital International EAFE Index and
Lipper VA International Index+
March 24, 1995 through December 31, 1998
[LINE GRAPH APPEARS HERE]
T. Rowe Price Morgan Stanley
International Capital International Lipper VA
Stock Portfolio* EAFE Index* International Index*
---------------- ----------- --------------------
3/24/95 10,000 10,000 10,000
12/98 15,062 14,140 14,485
+ The Morgan Stanley Capital International EAFE Index is a composite portfolio
consisting of equity total returns for the countries of Europe, Australia, New
Zealand and countries of the Far East, weighted based on each country's gross
domestic product.
The Lipper VA International Index is an equally weighted performance index of
international funds underlying 30 variable annuities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA International
Index has been added which more narrowly reflects the Portfolio's peer group.
- --------------------------------------------------------------------------------
Average Annual Total Return*
T. Rowe Price International Stock Portfolio Actual Without Waivers
------------------------------------------- ------ ---------------
Year ended 12/31/98 15.44% 15.32%
Period from (03/24/95) through 12/31/98 11.52% 11.49%
- --------------------------------------------------------------------------------
*Assumes reinvestment of all dividends and distributions.
(Note: Effective March 24, 1995, the name of the Global Growth Portfolio was
changed to T. Rowe Price International Stock Portfolio, and the investment
objective was changed from investment on a global basis to investment on an
international basis (i.e., non-U.S. companies). The Portfolio commenced
operations on April 8, 1991.)
20
<PAGE>
- --------------------------------------------------------------------------------
ENDEAVOR SELECT 50 PORTFOLIO
- --------------------------------------------------------------------------------
Q: How did the Endeavor Select 50 Portfolio perform for the period ended
December 31, 1998?
A: During the last six months of 1998 the Portfolio returned -3.53% compared to
a return of 1.67% for its custom benchmark. From its inception date on February
3, 1998 through year end, the Portfolio returned 6.60%. The custom benchmark's
return is composed of 40% S&P 500, 20% Russell 2000, 20% MSCI Emerging Markets
Free, and 20% MSCI EAFE Indexes. The Portfolio 's unique composition provides
exposure to five very different equity disciplines. The portfolio managers of
Montgomery's five equity disciplines, U.S. Growth, U.S. Emerging Growth, Equity
Income, International Equities and Emerging Markets, each pick approximately ten
stocks that they believe have the greatest potential for capital appreciation.
While diversification across markets and sectors may help to smooth returns
under normal circumstances, our investments in the U.S. market were, ironically,
the largest contributors to our under-performance. The fourth quarter recovery
in the U.S. market did not favor our U.S. equity style of management. Although
the market appeared to broaden at the beginning of the quarter, interest in the
small cap and mid cap sectors of the market rapidly flattened in favor of a
handful of large cap and Internet stocks.
Q: Emerging markets were most affected by the volatility in global markets over
a six-month period. How did the emerging markets portion of the Portfolio
perform?
A: As investors fled from risky assets in the third quarter, virtually no
emerging market escaped unscathed. Negative sentiment rather than fundamentals
drove these markets, so even good companies with strong balance sheets suffered.
Indeed, the larger, good-quality blue chip companies were often hurt the most
purely because they were the most liquid investments and could therefore be sold
more easily. In view of this environment, it is hardly surprising that the
emerging markets component of the Portfolio acted as a drag on performance.
During the fourth quarter, good stock-picking in some rebounding markets lifted
the Portfolio's performance. A good example of a stock that contributed to
favorable returns is Overseas Union Bank in Singapore which appreciated by 69.8%
over the quarter. Unfortunately, fourth quarter gains were not enough to
counteract the losses resulting from a very difficult third quarter, so this
discipline remained a drag on overall Portfolio performance over the six month
period.
Q: Were there any other disciplines that were similarly affected?
A: The U.S. Growth portion of the Portfolio also suffered disproportionately in
the volatility that hit the markets in late summer. Our discipline considers
valuations as well as expected growth potential and concentrated in cyclical
sectors and in smaller to mid-cap stocks. Investors generally perceived smaller
stocks to be more risky during the third quarter, due to their low liquidity and
in some cases their lack of earnings history. Investors sold these issues
disproportionately, choosing larger cap stocks' earnings sustainability over
growth.
Q: Have stocks in the Portfolio changed as a result?
A: There has been no reason to alter component stocks because of market
volatility. The only reason for removing a stock before it meets it price target
would be if the portfolio managers determined that a particular company's
fundamentals had deteriorated sufficiently for its long-term prospects to appear
less attractive, or they have identified another company with superior capital
appreciation potential.
As prices plummeted in the third quarter we took the opportunity of adding high
quality companies to the Portfolio at low valuations. Conversely, following
strong rebound rallies, we replaced companies that had reached their price
targets with stocks that appeared to have better capital appreciation potential.
Q: What is your outlook for the global markets in 1999?
A: We anticipate that the U.S. economy may continue to grow in 1999, but at a
slower rate than it enjoyed in 1998. A slowdown in corporate earnings and a more
difficult business environment is likely to shift emphasis from an "indexer's
market" to a "stock picker's market" as returns soften. In contrast, in Europe,
although growth and corporate earnings are also slowing, we believe that the
business momentum generated by the Economic and Monetary Union may continue to
drive returns higher. We remain cautious about the outlook for Japan, but in our
opinion the recovery evident in some of the emerging Asian countries may
continue as long as the yen remains stable. The outlook for emerging markets in
Latin America is less optimistic, at least in the short-term, as high interest
rates have resulted in recession in many of these economies, especially Brazil.
Q. Can the Portfolio's strategy allow investors in the Portfolio to take full
advantage of these trends?
A. We believe that the Portfolio's strategy is well suited to the kind of global
market environment that we appear to be confronting in 1999. A migration of S&P
returns back to historical levels and a broadening of the market should favor
Montgomery's bottom-up investing approach. We are cautiously optimistic that the
ample diversification of the Portfolio will benefit shareholders in the more
uncertain time ahead.
Montgomery Asset Management, LLC
21
<PAGE>
- --------------------------------------------------------------------------------
ENDEAVOR SELECT 50 PORTFOLIO
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 invested in
Endeavor Select 50 Portfolio
vs.
S&P 500 Stock Index, Blended Index and Lipper VA Global Index+
February 3, 1998 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Endeavor Select S&P 500 Lipper VA Blended
Date 50 Portfolio* Stock Index* Global Index* Index*
---- ------------- ------------ ------------- ------
2/3/98 10,000 10,000 10,000 10,000
12/98 10,660 12,719 11,342 10,983
+ The S&P 500 Stock Index is an index composed of 500 widely held common stocks
listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter market.
The Blended Index is a hypothetical index comprised: 40% S&P 500 Stock Index,
20% Russell 2000, 20% EAFE and 20% MSCI EM Free Index.
The Lipper VA Global Index is an equally weighted performance index of global
funds underlying 10 variable annuities..
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity. The Lipper VA Global Index
has been added which more narrowly reflects the Portfolio's peer group. The
Blended Index has been added to reflect the Portfolio's long-term average
allocation to the investment markets represented by the four listed broad-based
indices.
- --------------------------------------------------------------------------------
Aggregate Total Return*
Endeavor Select 50 Portfolio Actual Without Waivers
---------------------------- ------ ---------------
Inception (02/03/98) through 12/31/98 6.60% 6.54%
- --------------------------------------------------------------------------------
*Assumes reinvestment of all dividends and distributions.
22
<PAGE>
- --------------------------------------------------------------------------------
ENDEAVOR HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
1998 was a volatile year for the high-yield market. During the first half of the
year, high-yield bonds were the best performing domestic fixed income asset
class. However, in the third quarter, the high-yield market posted its worst
performance in eight years due to renewed concerns that economic problems in
Asia and Russia would negatively impact the domestic economy. The second
interest rate cut by the Federal Reserve on October 15th helped restore
confidence in the high-yield market and was the catalyst for a price recovery in
the fourth quarter.
Despite the modest price recovery in the fourth quarter, we think the high-yield
market still offers good long-term value. As of December 31, 1998, the yield on
the Lehman High-Yield Index was 10.5% compared to 4.6% for comparable Treasury
yields, resulting in a spread of 5.9%. The spread began 1998 at 3.5% and has
risen to its widest level since 1991 as a result of lower high-yield bond prices
and investors' flight-to-quality. We believe the high-yield market remains an
attractive asset class given our cautious outlook for corporate earnings in 1999
and the historically high yield levels available in the market today.
The Endeavor High Yield Portfolio's performance benefited from an overweight
position in the media sector, particularly the bonds of cable-television
companies. Valuations for cable-television companies rose substantially based on
the growing perception that their networks are a cost effective way to deliver
Internet and telephone services to residential consumers. The Portfolio also
benefited from being underweight in the energy sector, which was one of the
worst performing sectors of the high-yield market due to the severe decline in
oil prices. Performance was negatively impacted by our cyclical holdings as
paper and steel prices declined in response to the Asian economic crisis.
Throughout 1998, our investment strategy has become more conservative. We expect
credit problems will increase among the riskier high-yield companies as
corporate profits decline due to slower economic growth. Therefore, we've been
adding higher quality companies to the Portfolio and have reduced our cyclical
exposure by selling the bonds of some paper, metal and general industrial
companies. One of the major challenges facing investors in 1999 will be
determining how individual companies are impacted by global economic events, and
therefore, we believe that careful credit selection will remain crucial to the
Portfolio's relative performance.
Massachusetts Financial Services Company
23
<PAGE>
- --------------------------------------------------------------------------------
ENDEAVOR HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
December 31, 1998
Hypothetical Illustration of $10,000 invested in
Endeavor High Yield Portfolio
vs.
Lehman High Yield Index and Lipper VA High Current Yield Index+
June 1, 1998 through December 31, 1998
[LINE GRAPH APPEARS HERE]
Endeavor High Lehman High Lipper VA High
Yield Portfolio* Yield Index* Current Yield Index*
---------------- ------------ --------------------
6/1/98 10,000 10,000 10,000
12/98 9,690 9,758 9,491
+ The Lehman High Yield Index is an index composed of high current yield bonds.
The Lipper VA High Current Yield Index is an equally weighted performance index
of high current yieldfunds underlying 30 variable annuities.
Index information is available at month-end only; therefore, the closest
month-end to inception date of the Portfolio has been used.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. The Portfolio's share price and investment return will vary
with market conditions, and the principal value of shares, when redeemed, may be
more or less than original cost. The graph above does not reflect separate
account expenses for the Endeavor Variable Annuity.
- --------------------------------------------------------------------------------
Aggregate Total Return*
Endeavor High Yield Portfolio Actual Without Waivers
----------------------------- ------ ---------------
Inception (06/01/98) through 12/31/98 (3.10)% (3.37)%
- --------------------------------------------------------------------------------
*Assumes reinvestment of all dividends and distributions.
24
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 97.4%
Electronics -- 11.9%
117,800 Amkor Technology, Inc.+ ...................... $ 1,273,713
94,300 Atmel Corporation+ ........................... 1,443,969
40,500 Belden, Inc. ................................. 858,094
143,400 CHS Electronics, Inc.+ ....................... 2,428,838
10,300 Cohu, Inc. ................................... 226,600
61,300 CommScope, Inc.+ ............................. 1,030,606
10,300 Conexant Systems, Inc.+ ...................... 172,525
103,700 Credence Systems Corporation+ ................ 1,918,450
29,300 DSP Group, Inc.+ ............................. 611,638
36,600 Electroglas, Inc.+ ........................... 430,050
47,600 FSI International, Inc.+ ..................... 493,850
59,200 Kulicke & Soffa Industries, Inc. ............. 1,050,800
124,100 Lam Research Corporation+ .................... 2,210,531
107,900 LSI Logic Corporation+ ....................... 1,739,887
55,000 Mentor Graphics Corporation .................. 467,500
25,600 Silicon Valley Group, Inc.+ .................. 326,400
101,200 Vishay Intertechnology, Inc.+ ................ 1,467,400
37,200 Watkins- Johnson Company ..................... 757,950
------------
18,908,801
------------
Retail -- 7.9%
77,600 Bon- Ton Stores, Inc.+ ....................... 591,700
13,600 Borders Group, Inc.+ ......................... 339,150
99,500 Brown Group, Inc. ............................ 1,747,469
101,300 Burlington Coat Factory
Warehouse Corporation ........................ 1,652,456
58,900 Claire's Stores, Inc ......................... 1,207,450
69,800 Elder- Beerman Stores
Corporation+ ................................. 807,062
71,600 Finish Line, Inc., Class A+ .................. 572,800
46,100 Finlay Enterprises, Inc.+ .................... 466,762
11,600 Great Atlantic & Pacific
Tea Company, Inc. ............................ 343,650
51,700 Micro Warehouse, Inc.+ ....................... 1,748,106
121,100 OfficeMax, Inc.+ ............................. 1,468,337
96,800 Pacific Sunwear of California, Inc.+ ......... 1,585,100
------------
12,530,042
------------
Computers -- 6.6%
44,700 CompUSA, Inc.+ ............................... 583,894
91,300 HMT Technology Corporation+ .................. 1,169,781
66,000 LTX Corporation+ ............................. 169,125
127,700 Maxtor Corporation+ .......................... 1,787,800
26,100 RadiSys Corporation+ ......................... 783,000
59,700 Sequent Computer Systems, Inc.+ .............. 720,131
51,800 Splash Technology Holdings, Inc.+ ............ 385,262
81,900 Technology Solutions Company+ ................ 877,866
143,800 Wang Laboratories, Inc.+ ..................... 3,990,450
------------
10,467,309
------------
Computer Service and Software -- 5.6%
101,500 GT Interactive Software
Corporation+ ................................. 507,500
108,500 In Focus Systems, Inc.+ ...................... 962,938
102,900 Learning Company, Inc.+ ...................... 2,668,969
162,100 Sybase, Inc.+ ................................ 1,200,553
163,800 Symantec Corporation+ ........................ 3,562,650
------------
8,902,610
------------
Medical Supplies -- 5.3%
19,300 Beckman Coulter, Inc. ........................ 1,047,025
38,600 CONMED Corporation+ .......................... 1,273,800
176,400 ESC Medical Systems, Ltd.+ ................... 1,852,200
134,000 Quest Diagnostics, Inc.+ ..................... 2,386,875
35,000 Spacelabs Medical, Inc.+ ..................... 805,000
38,800 St. Jude Medical, Inc. ....................... 1,074,275
------------
8,439,175
------------
Health Care -- 5.1%
4,500 AmeriPath, Inc.+ ............................. 40,219
74,100 Foundation Health Systems, Inc.+ ............. 884,569
12,700 Herbalife International, Inc., Class B ....... 145,256
89,200 Integrated Health Services, Inc. ............. 1,259,950
141,000 Rexall Sundown, Inc.+ ........................ 1,974,000
70,700 Total Renal Care Holdings, Inc.+ ............. 2,090,069
128,700 Twinlab Corporation+ ......................... 1,689,188
------------
8,083,251
------------
Financial Services -- 5.0%
31,700 ARM Financial Group, Inc., Class A ........... 703,344
45,958 Astoria Financial Corporation ................ 2,102,578
32,700 Bay View Capital Corporation ................. 709,181
155,400 Golden State Bancorp, Inc. ................... 2,583,525
90,900 PFF Bancorp, Inc.+ ........................... 1,454,400
43,700 Seacoast Financial Services
Corporation+ ................................. 447,925
------------
8,000,953
------------
Oil and Gas -- 5.0%
39,000 BJ Services Company+ ......................... 609,375
83,600 EEX Corporation .............................. 585,200
63,500 Forcenergy, Inc. ............................. 166,687
67,200 Houston Exploration Company+ ................. 1,335,600
184,000 Newpark Resources, Inc.+ ..................... 1,253,500
25,800 Petsec Energy Ltd.,
Sponsored ADR+ ............................... 43,537
156,000 R&B Falcon Corporation+ ...................... 1,189,500
160,500 Range Resources Corporation .................. 551,719
214,800 Santa Fe Energy Resources, Inc. .............. 1,584,150
36,600 Titan Exploration, Inc.+ ..................... 240,187
39,100 Vintage Petroleum, Inc. ...................... 337,238
------------
7,896,693
------------
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Auto Parts and Equipment -- 4.6%
43,900 Discount Auto Parts, Inc.+ ................... $ 963,056
35,000 Dura Automotive Systems, Inc.+ ............... 1,194,375
167,200 Miller Industries, Inc.+ ..................... 752,400
76,300 Pep Boys -Manny Moe & Jack ................... 1,196,956
42,400 Snap-On, Inc. ................................ 1,476,050
83,800 Wabash National Corporation .................. 1,702,188
------------
7,285,025
------------
Transportation -- 4.2%
36,400 American Freightways
Corporation+ ................................. 419,737
102,800 Arkansas Best Corporation .................... 600,738
71,600 Kitty Hawk, Inc.+ ............................ 787,600
17,400 Knightsbridge Tankers, Ltd. .................. 362,138
29,500 USFreightways Corporation .................... 859,188
41,000 Wisconsin Central Transportation
Corporation+ ................................. 704,688
153,400 Yellow Corporation ........................... 2,933,775
------------
6,667,864
------------
Textiles and Apparel -- 4.0%
73,800 Maxwell Shoe Company, Inc.,
Class A+ ..................................... 807,187
58,200 Nautica Enterprises, Inc.+ ................... 873,000
107,400 Phillips- Van Heusen Corporation ............. 771,937
17,700 St. John Knits, Inc .......................... 460,200
41,600 Tommy Hilfiger Corporation+ .................. 2,496,000
77,200 Wolverine World Wide, Inc. ................... 1,022,900
------------
6,431,224
------------
Insurance -- 4.0%
74,000 Allmerica Financial Corporation .............. 4,282,750
19,600 Guarantee Life Companies, Inc. ............... 362,600
25,500 MONY Group, Inc.+ ............................ 798,469
28,900 SCPIE Holdings, Inc. ......................... 876,031
------------
6,319,850
------------
Restaurants -- 3.1%
76,400 Buffets, Inc.+ ............................... 912,025
36,700 CEC Entertainment, Inc.+ ..................... 1,018,425
61,710 CKE Restaurants, Inc ......................... 1,816,588
50,700 Wendy's International, Inc. .................. 1,105,894
------------
4,852,932
------------
Containers -- 2.9%
28,900 Ball Corporation ............................. 1,322,175
164,600 Gaylord Container
Corporation, Class A+ ........................ 1,008,175
146,861 Smurfit- Stone Container
Corporation+ ................................. 2,322,239
------------
4,652,589
------------
Manufacturing -- 2.8%
53,500 Intermet Corporation ......................... 698,844
23,700 KEMET Corporation+ ........................... 266,625
9,200 Lancaster Colony Corporation ................. 295,550
62,000 Millipore Corporation ........................ 1,763,125
57,700 OmniQuip International, Inc. ................. 865,500
20,500 Toro Company ................................. 584,250
400 U.S. Industries, Inc ......................... 7,450
------------
4,481,344
------------
Aerospace and Defense -- 2.5%
78,400 BE Aerospace, Inc.+ .......................... 1,646,400
72,100 DONCASTERS Plc,
Sponsored ADR+ ............................... 1,167,119
25,600 Fairchild Corporation (The),
Class A+ ..................................... 403,200
103,900 TriStar Aerospace Company+ ................... 727,300
------------
3,944,019
------------
Waste Disposal -- 2.4%
273,025 Safety- Kleen Corporation .................... 3,856,478
------------
Pharmaceuticals and Services -- 2.1%
65,100 Dura Pharmaceuticals, Inc.+ .................. 988,706
40,100 King Pharmaceuticals, Inc.+ .................. 1,057,638
203,500 PharMerica, Inc.+ ............................ 1,221,000
------------
3,267,344
------------
Services -- 1.8%
38,900 Aviall, Inc .................................. 457,075
12,300 Deluxe Corporation ........................... 449,719
65,400 Information Resources, Inc.+ ................. 666,262
9,400 NFO Worldwide, Inc.+ ......................... 108,100
138,600 Renaissance Worldwide, Inc.+ ................. 848,925
8,500 West Company, Inc. ........................... 303,344
------------
2,833,425
------------
Food Production -- 1.8%
60,000 International Home Foods, Inc.+ .............. 1,012,500
67,800 Interstate Bakeries Corporation .............. 1,792,462
------------
2,804,962
------------
Media and Communications -- 1.7%
40,500 Emmis Communications
Corporation, Class A+ ........................ 1,756,688
73,400 Paxson Communications
Corporation+ ................................. 674,363
11,000 True North Communications, Inc ............... 295,625
------------
2,726,676
------------
Water Treatment Systems -- 1.7%
117,500 U.S. Filter Corporation+ ..................... 2,687,813
------------
See Notes to Financial Statements.
26
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Publishing -- 1.2%
40,900 Houghton Mifflin Company ..................... $ 1,932,525
-------------
Paper and Paper Products -- 1.2%
42,100 Rock- Tenn Company ........................... 713,069
167,500 Unisource Worldwide, Inc. .................... 1,214,375
-------------
1,927,444
-------------
Chemicals -- 1.2%
53,500 Geon Company ................................. 1,230,500
18,400 Lawter International, Inc. ................... 213,900
13,600 Nalco Chemical Company ....................... 421,600
-------------
1,866,000
-------------
Entertainment and Leisure -- 0.8%
137,700 Boyd Gaming Corporation+ ..................... 456,131
66,600 Metro- Goldwyn- Mayer, Inc.+ ................. 878,287
-------------
1,334,418
-------------
Building and Construction -- 0.6%
74,000 Chicago Bridge & Iron
Company N.V., NY Shares ...................... 911,125
-------------
Networking Products -- 0.4%
64,400 Hypercom Corporation+ ........................ 635,950
-------------
Total Common Stock
(Cost $162,839,639) .......................... 154,647,84
-------------
Principal
Amount
------
COMMERCIAL PAPER -- 1.6% (Cost $2,474,000)
$2,474,000 General Electric Capital Corporation,
5.000% due 01/04/1999......................... 2,474,000
-------------
TOTAL INVESTMENTS
(Cost $165,313,639*)................................... 99.0% 157,121,841
OTHER ASSETS AND LIABILITIES (Net)...................... 1.0% 1,540,157
------ -------------
NET ASSETS 100.0% $ 158,661,998
====== =============
NET ASSETS consist of:
Accumulated net realized gain on investments sold.............. $ 14,393,513
Net unrealized depreciation of investments..................... (8,191,798)
Paid-in capital................................................ 152,460,283
-------------
Total Net Assets............................................... $ 158,661,998
=============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding............ $ 14.14
=============
Number of Portfolio shares outstanding......................... 11,220,934
=============
- ----------------------
* Aggregate cost for federal tax purposes was $167,141,152.
+ Non-income producing security.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
27
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
U.S. TREASURY OBLIGATIONS -- 27.5%
U.S. Treasury Notes -- 27.5%
$ 3,000,000 6.875% due 08/31/1999 .................. $ 3,042,656
2,000,000 6.250% due 08/31/2000 .................. 2,050,620
2,000,000 6.125% due 12/31/2001 .................. 2,081,240
10,000,000 6.375% due 08/15/2002 .................. 10,548,400
1,000,000 5.500% due 02/28/2003 .................. 1,030,160
2,000,000 4.750% due 11/15/2008 .................. 2,015,620
2,000,000 5.250% due 11/15/2028 .................. 2,047,500
-------------
22,816,196
-------------
U.S. Treasury Inflation Index Notes -- 0.0%#
6,960 3.625% due 04/15/2028 .................. 6,751
-------------
Total U.S. Treasury Obligations
(Cost $22,506,552) ..................... 22,822,947
-------------
MORTGAGE-BACKED SECURITIES -- 19.4%
Federal National Mortgage
Association (FNMA) -- 19.4%
FNMA:
7,000,000 5.100% due 09/25/2000 .................. 7,013,090
2,000,000 5.625% due 03/15/2001 .................. 2,029,380
108,377 7.000% due 08/01/2003 .................. 109,465
161,207 7.500% due 06/01/2009 .................. 165,842
713,353 6.500% due 02/01/2013 .................. 723,383
468,875 6.500% due 03/01/2013 .................. 475,468
774,754 6.000% due 08/01/2013 .................. 768,731
3,317,964 6.000% due 11/01/2013 .................. 3,292,173
932,409 6.000% due 12/01/2013 .................. 925,161
49,639 7.000% due 07/01/2022 .................. 50,673
132,358 7.000% due 07/01/2023 .................. 135,046
214,741 6.500% due 02/01/2026 .................. 216,216
168,100 7.000% due 09/01/2026 .................. 171,514
-------------
16,076,142
-------------
Total Mortgage-Backed Securities
(Cost $16,086,089) ..................... 16,076,142
-------------
AGENCY SECURITIES -- 27.9%
Federal Home Loan Bank (FHLB) -- 6.9%
FHLB:
550,000 5.590% due 01/05/2001 .................. 556,276
5,000,000 5.910% due 03/09/2005 .................. 5,166,400
-------------
5,722,676
-------------
Federal Home Loan Mortgage
Corporation (FHLMC) -- 0.4%
FHLMC Gold:
138,925 9.500% due 07/25/2022 .................. 149,153
170,153 9.500% due 12/01/2022 .................. 183,337
-------------
332,490
-------------
FICO -- 2.0%
1,876,000 FICO Debentures,
Zero Coupon due 11/11/2001+ ............ 1,633,771
-------------
Government National Mortgage
Association (GNMA) -- 8.7%
GNMA:
196,907 8.000% due 07/15/2017 .................. 206,559
146,155 8.500% due 12/15/2021 .................. 155,810
222,835 9.000% due 12/15/2021 .................. 239,477
203,566 7.000% due 11/15/2023 .................. 208,335
333,795 7.500% due 12/15/2023 .................. 344,433
306,058 8.000% due 06/15/2027 .................. 318,107
321,217 8.000% due 07/15/2027 .................. 333,863
1,284,258 8.000% due 08/15/2027 .................. 1,334,819
4,000,000 6.500% due 02/01/2029 .................. 4,038,750
-------------
7,180,153
-------------
Small Business Administration (SBA) -- 5.4%
SBA:
1,000,000 7.300% due 05/01/2017 .................. 1,076,600
900,000 6.300% due 05/01/2018 .................. 929,709
1,000,000 5.500% due 10/01/2018 .................. 984,630
1,500,000 5.800% due 12/01/2018 .................. 1,504,335
-------------
4,495,274
-------------
Student Loan Marketing
Association (SLMA) -- 3.7%
12,360,000 SLMA,
Zero Coupon due 10/03/2022+ ............ 3,095,809
-------------
Tennessee Valley Authority (TVA) -- 0.8%
625,000 TVA Debentures,
8.375% due 10/01/1999 .................. 640,525
-------------
Total Agency Securities
(Cost $22,712,924) ................... 23,100,698
-------------
CORPORATE FIXED INCOME SECURITIES -- 16.8%
Communications -- 15.0%
2,000,000 AllTel Corporation, Senior Notes,
7.500% due 03/01/2006 .................. 2,199,400
2,500,000 Cable & Wireless Communications,
6.750% due 12/01/2008 .................. 2,544,900
2,500,000 ComCast Cable Communications,
6.200% due 11/15/2008 .................. 2,545,950
2,000,000 Motorola, Inc., Debentures,
6.500% due 11/15/2028 .................. 2,020,460
3,000,000 Qwest Communications, Senior Notes,
7.500% due 11/01/2008++ ................ 3,116,250
-------------
12,426,960
-------------
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Financial Services -- 1.8%
$ 1,500,000 TransAmerica Financial Corporation,
Senior Notes,
6.125% due 11/01/2001.................. $ 1,514,070
------------
Oil and Gas -- 0.0%#
30,000 Norcen Energy Resources, Debentures,
7.375% due 05/15/2006.................. 30,935
------------
Total Corporate Fixed Income Securities
(Cost $13,784,031)..................... 13,971,965
------------
ASSET-BACKED SECURITY -- 6.0% (Cost $4,964,550)
5,000,000 New Century Financial,
8.000% due 12/25/2000 4,968,750
------------
REPURCHASE AGREEMENT -- 5.8% (Cost $4,809,000)
4,809,000 Agreement with UBS,
4.700% to be repurchased at $4,811,511
on 01/04/1999, collateralized by
$3,027,216 U.S. Treasury Note, 10.625%
due 08/15/2015, market value
$4,905,903.............................. 4,809,000
------------
Shares
------
PREFERRED STOCK -- 0.4% (Cost $270,832)
2,000,000 Centaur Funding Corporation,
Zero Coupon due 04/21/2020+............. 302,000
------------
OPTIONS -- 0.3% (Cost $207,188)
850 10 Year U.S. Treasury note calls........ 207,188
------------
TOTAL INVESTMENTS
(Cost $85,341,166*).............................. 104.1% 86,258,690
OTHER ASSETS AND LIABILITIES (Net).................. (4.1)% (3,369,731)
------------
NET ASSETS.......................................... 100.0% $ 82,888,959
============
NET ASSETS consist of:
Undistributed net investment income......................... $ 3,356,679
Accumulated net realized gain on investments sold,
futures contracts, and foreign currencies
and net other assets....................................... 1,480,481
Net unrealized appreciation of investments, futures
contracts, foreign currencies and net other assets......... 976,729
Paid-in capital............................................. 77,075,070
------------
Total Net Assets............................................ $ 82,888,959
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding......... $ 12.32
============
Number of Portfolio shares outstanding...................... 6,726,487
============
- -----------------
* Aggregate cost for federal tax purposes was $85,387,202.
+ 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.
# Amount represents less than 0.1%.
Abbreviation:
Gold -- Payments are on an accelerated 45-day payment cycle instead of a
75-day payment cycle.
See Notes to Financial Statements.
29
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 99.7%
Technology -- 17.9%
3,300 3Com Corporation+ ............................ $ 147,881
1,300 Advanced Micro Devices, Inc.+ ................ 37,619
400 Autodesk, Inc. ............................... 17,075
2,000 BMC Software, Inc.+ .......................... 89,125
15,300 Cisco Systems, Inc.+ ......................... 1,420,031
16,999 Compaq Computer Corporation .................. 712,917
1,500 CompUSA, Inc.+ ............................... 19,593
5,200 Computer Associates
International, Inc. ......................... 221,650
500 Electronic Arts, Inc.+ ....................... 28,063
5,000 EMC Corporation+ ............................. 425,000
4,100 First Data Corporation ....................... 129,919
2,000 Frontier Corporation ......................... 68,000
1,700 Harris Corporation ........................... 62,262
15,900 Intel Corporation ............................ 1,885,144
8,600 International Business Machines
Corporation ................................. 1,588,850
12,300 Lucent Technologies, Inc. .................... 1,353,000
11,100 Microsoft Corporation+ ....................... 1,539,431
5,500 Motorola, Inc. ............................... 335,844
1,400 National Semiconductor
Corporation+ ................................ 18,900
1,200 Network Associates, Inc.+ .................... 79,500
200 Northern Telecom, Ltd. ....................... 10,025
7,300 Oracle Corporation+ .......................... 314,812
1,300 Parametric Technology
Corporation+ ................................ 21,287
2,100 PeopleSoft, Inc.+ ............................ 39,769
2,800 Rockwell International Corporation ........... 135,975
2,200 Seagate Technology, Inc.+ .................... 66,549
3,800 Sun Microsystems, Inc.+ ...................... 325,375
400 Symantec Corporation ......................... 8,700
3,900 Texas Instruments, Inc. ...................... 333,694
700 Xilinx, Inc.+ ................................ 45,587
------------
11,481,577
------------
Financial Services -- 11.8%
3,800 American Express Company ..................... 388,550
200 AMRESCO, Inc. ................................ 1,750
600 Associated Banc Corporation .................. 20,512
5,800 Associates First Capital
Corporation, Class A ........................ 245,775
1,150 Astoria Financial Corporation ................ 52,612
16,800 BankAmerica Corporation ...................... 1,010,100
2,800 BankBoston Corporation ....................... 109,025
1,999 Bank One Corporation ......................... 102,074
900 Bankers Trust Corporation .................... 76,894
1,100 Bear Stearns Companies, Inc. ................. 41,112
600 Capital One Financial Corporation ............ 69,000
1,499 Charter One Financial, Inc. .................. 41,599
7,100 Chase Manhattan Corporation .................. 483,244
800 CIT Group, Inc., Class A ..................... 25,450
22,000 Citigroup, Inc. .............................. 1,089,000
400 Colonial BancGroup, Inc. ..................... 4,800
400 Commercial Federal Corporation ............... 9,275
700 Compass Bancshares, Inc. ..................... 26,644
1,000 Crestar Financial Corporation ................ 73,375
1,600 Dime Bancorp, Inc. ........................... 42,300
2,500 Fannie Mae ................................... 185,000
300 Financial Security Assurance
Holdings, Ltd. .............................. 16,275
500 FINOVA Group, Inc. ........................... 26,969
800 First American Corporation ................... 35,500
8,400 First Union Corporation ...................... 510,825
400 First Virginia Banks, Inc. ................... 18,800
600 Golden West Financial Corporation ............ 55,012
900 GreenPoint Financial Corporation ............. 31,612
1,300 Hibernia Corporation, Class A ................ 22,587
4,600 Household International, Inc. ................ 182,275
200 Huntington Bancshares, Inc ................... 6,012
4,200 KeyCorp ...................................... 134,400
1,000 Lehman Brothers Holdings, Inc. ............... 44,062
1,600 Marshall & Ilsley Corporation ................ 93,500
2,000 Mellon Bank Corporation ...................... 137,500
1,900 Mercantile Bancorporation, Inc ............... 87,637
3,000 Merrill Lynch & Company, Inc. ................ 200,250
4,900 Morgan Stanley Dean Witter
& Company .................................. 347,900
2,400 National Commerce Bancorporation ............. 45,150
1,100 North Fork Bancorporation, Inc. .............. 26,331
300 Ocwen Financial Corporation+ ................. 3,694
800 Pacific Century Financial
Corporation ................................. 19,500
1,200 Paine Webber Group, Inc. ..................... 46,350
600 Peoples Heritage Financial
Group, Inc. ................................ 12,000
1,600 PNC Bank Corporation ......................... 86,600
306 Provident Financial Group, Inc. .............. 11,551
1,000 Republic New York Corporation ................ 45,562
1,900 SouthTrust Corporation ....................... 70,181
3,800 Sovereign Bancorp, Inc. ...................... 54,150
900 TCF Financial Corporation .................... 21,769
1,300 Union Planters Corporation ................... 58,906
5,800 U.S. Bancorp ................................. 205,900
96 Waddell & Reed Financial, Inc. ............... 2,274
141 Washington Federal, Inc. ..................... 3,763
5,700 Washington Mutual, Inc. ...................... 217,669
14,800 Wells Fargo Company .......................... 591,075
-----------
7,571,632
-----------
Drugs -- 11.0%
11,100 ALZA Corporation+ ............................ 579,975
19,600 American Home Products
Corporation ................................. 1,103,724
3,800 Amgen, Inc.+ ................................. 397,337
11,100 Bristol-Myers Squibb Company ................. 1,485,319
5,500 Chiron Corporation+ .......................... 144,031
6,300 Forest Laboratories, Inc.+ ................... 335,081
5,100 Genzyme Corporation
(General Division)+ ......................... 253,725
See Notes to Financial Statements.
30
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Drugs (Continued)
1,700 Immunex Corporation+ ......................... $ 213,880
1,400 Johnson & Johnson ............................ 117,425
200 Lilly (Eli) and Company ...................... 17,775
2,000 MedImmune, Inc.+ ............................. 198,875
3,400 Merck & Company, Inc. ........................ 502,137
18,400 Monsanto Company ............................. 874,000
2,800 Pfizer, Inc. ................................. 351,225
4,300 Warner-Lambert Company ....................... 323,306
2,100 Watson Pharmaceuticals, Inc.+ ................ 132,037
-----------
7,029,852
-----------
Consumer Staples -- 8.9%
700 Anheuser-Busch Companies, Inc. ............... 45,937
2,600 Bestfoods .................................... 138,450
4,000 Campbell Soup Company ........................ 220,000
8,500 Coca-Cola Company ............................ 568,437
600 Colgate-Palmolive Company .................... 55,725
43 Corn Products International, Inc. ............ 1,306
1,400 General Mills, Inc. .......................... 108,850
7,900 Gillette Company ............................. 381,669
1,400 Hershey Foods Corporation .................... 87,062
5,600 Kimberly-Clark Corporation ................... 305,200
400 Nabisco Holdings Corporation, Class A ........ 16,600
14,100 PepsiCo, Inc. ................................ 577,219
26,400 Philip Morris Companies, Inc. ................ 1,412,400
10,300 Procter & Gamble Company ..................... 940,519
3,200 Ralston-Ralston Purina Group ................. 103,600
9,000 Sara Lee Corporation ......................... 253,687
6,200 Unilever NV, NY Shares ....................... 514,212
----------
5,730,873
----------
Telephone -- 8.2%
3,700 Airtouch Communications, Inc.+ ............... 266,862
4,300 Ameritech Corporation ........................ 272,512
18,000 AT&T Corporation ............................. 1,354,500
5,600 Bell Atlantic Corporation .................... 296,800
2,200 Cincinnati Bell, Inc. ........................ 83,187
18,500 GTE Corporation .............................. 1,202,500
18,988 MCI WorldCom, Inc.+ .......................... 1,362,374
3,200 SBC Communications, Inc. ..................... 171,600
4,700 Tele-Communications, Inc., Class A+ .......... 259,969
----------
5,270,304
----------
Diversified -- 7.8%
11,700 AlliedSignal, Inc. ........................... 518,456
3,600 Browning-Ferris Industries, Inc. ............. 102,375
856 Coltec Industries, Inc.+ ..................... 16,692
6,800 Eastman Kodak Company ........................ 489,600
1,000 Fruit of the Loom, Inc., Class A+ ............ 13,812
14,300 General Electric Company ..................... 1,459,494
1,600 General Motors Corporation ................... 114,600
1,100 General Motors Corporation, Class H .......... 43,656
2,200 ITT Industries, Inc. ......................... 87,450
1,800 Johnson Controls, Inc. ....................... 106,200
600 National Services Industries, Inc. ........... 22,800
6,900 Raytheon Company, Class A .................... 356,644
311 Sensormatic Electronics Corporation+ ......... 2,157
3,600 Tenneco, Inc. ................................ 122,625
12,400 Tyco International, Ltd. ..................... 935,395
700 Unifi, Inc. .................................. 13,694
12,200 Waste Management, Inc. ....................... 568,825
----------
4,974,475
----------
Retail -- 6.5%
9,400 American Stores Company ...................... 347,213
3,800 AutoZone, Inc.+ .............................. 125,163
2,600 Circuit City Stores--Circuit City Group ...... 129,838
900 Corporate Express, Inc.+ ..................... 4,669
3,700 Costco Companies, Inc.+ ...................... 267,094
7,400 Dayton Hudson Corporation .................... 401,450
2,600 Dillards, Inc., Class A ...................... 73,775
5,400 Federated Department Stores, Inc.+ ........... 235,238
1,800 Gap, Inc. .................................... 101,250
1,200 General Nutrition Companies, Inc.+ ........... 19,500
1,100 Hannaford Brothers Company ................... 58,300
12,700 Kmart Corporation ............................ 194,469
1,600 Lowe's Companies, Inc ........................ 81,900
4,100 May Department Stores Company ................ 247,538
98 Nine West Group, Inc.+ ....................... 1,525
600 Nordstrom, Inc. .............................. 20,813
4,900 Penney (J.C.) Company, Inc. .................. 229,688
600 Safeway, Inc.+ ............................... 36,563
7,200 Sears Roebuck & Company ...................... 306,000
8,000 TJX Companies, Inc. .......................... 232,000
6,300 Toys "R" Us, Inc.+ ........................... 106,313
11,900 Wal-Mart Stores, Inc. ........................ 969,106
----------
4,189,405
----------
Energy -- 6.2%
2,600 Atlantic Richfield Company (ARCO) ............ 169,650
700 Diamond Offshore Drilling, Inc. .............. 16,581
17,100 Exxon Corporation ............................ 1,250,437
3,000 Global Marine, Inc. .......................... 27,563
92 Input/Output, Inc.+ .......................... 673
9,400 Mobil Corporation ............................ 818,975
3,900 Occidental Petroleum Corporation ............. 65,812
4,200 Phillips Petroleum Company ................... 179,025
25,100 Royal Dutch Petroleum Company, NY Shares ..... 1,201,662
3,500 R & B Falcon Corporation+ .................... 26,688
500 Smith International, Inc. .................... 12,594
200 Texaco, Inc. ................................. 10,575
See Notes to Financial Statements.
31
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Energy -- (Continued)
3,700 Tosco Corporation ............................ $ 95,737
2,800 Unocal Corporation ........................... 81,725
500 Valero Energy Corporation .................... 10,625
----------
3,968,322
----------
Services -- 6.2%
3,500 America Online, Inc.+ ........................ 560,000
24,800 Cendant Corporation+ ......................... 472,750
1,000 Circus Circus Enterprises, Inc.+ ............. 11,437
7,800 Comcast Corporation, Class A ................. 457,763
3,400 Donnelley (R.R.) & Sons Company .............. 148,963
4,300 Equifax, Inc. ................................ 147,006
254 Extended Stay America, Inc.+ ................. 2,667
2,600 Gannett Company, Inc. ........................ 167,700
7,600 Hilton Hotels Corporation .................... 145,350
2,700 International Game Technology ................ 65,644
1,000 Knight Ridder, Inc. .......................... 51,125
1,900 McDonald's Corporation ....................... 145,588
713 MGM Grand, Inc.+ ............................. 19,340
5,200 Mirage Resorts, Inc.+ ........................ 77,675
3,300 New York Times Company ....................... 114,469
11,500 Seagram Company, Ltd. ........................ 437,000
7,500 Service Corporation International ............ 285,469
11,000 Tele-Communications TCI
Ventures Group, Class A+ ..................... 259,188
600 Time Warner, Inc. ............................ 37,238
700 Times Mirror Company, Class A ................ 39,200
2,800 Tribune Company .............................. 184,800
200 Washington Post Company, Class B ............. 115,588
----------
3,945,960
----------
Insurance -- 3.6%
2,000 Aetna, Inc. .................................. 157,250
15,000 Allstate Corporation ......................... 579,375
1,200 AMBAC Financial Group, Inc. .................. 72,225
1,600 American International Group, Inc. ........... 154,600
2,200 Aon Corporation .............................. 121,825
1,500 Chubb Corporation ............................ 97,313
1,700 Equitable Companies, Inc ..................... 98,387
800 Fremont General Corporation .................. 19,800
4,400 Marsh & McLennan Companies,
Inc. ......................................... 257,125
1,800 MBIA, Inc. ................................... 118,013
1,000 Mercury General Corporation .................. 43,813
300 PMI Group, Inc. .............................. 14,813
2,300 SAFECO Corporation ........................... 98,756
4,000 St. Paul Companies, Inc. ..................... 139,000
1,000 Torchmark Corporation ........................ 35,313
1,100 Transamerica Corporation ..................... 127,050
1,100 Travelers Property Casualty
Corporation, Class A ......................... 34,100
2,500 UNUM Corporation ............................. 145,938
----------
2,314,696
----------
Utilities -- 3.0%
1,600 Allegheny Energy, Inc. ....................... 55,200
1,600 Ameren Corporation ........................... 68,300
991 American Electric Power
Company, Inc. ................................ 46,639
1,900 Baltimore Gas and Electric
Company ...................................... 58,425
5,200 Central & South West Corporation ............. 142,675
2,000 Cinergy Corporation .......................... 68,750
1,300 CMS Energy Corporation ....................... 62,969
1,100 Columbia Energy Group ........................ 63,525
1,200 Consolidated Natural Gas
Company ...................................... 64,800
4,500 Edison International ......................... 125,437
1,500 El Paso Energy Corporation ................... 52,219
4,300 Enron Corporation ............................ 245,369
2,500 ENSCO International, Inc. .................... 26,719
3,100 Entergy Corporation .......................... 96,488
1,300 GPU, Inc. .................................... 57,444
900 Illinova Corporation ......................... 22,500
500 K N Energy, Inc. ............................. 18,187
800 New England Electric System .................. 38,500
1,700 Northeast Utilities .......................... 27,200
1,900 Northern States Power Company ................ 52,725
1,100 Pinnacle West Capital Corporation ............ 46,612
3,700 PG&E Corporation ............................. 116,550
2,000 PP&L Resources, Inc. ......................... 55,750
1,700 TECO Energy, Inc. ............................ 47,813
3,100 Texas Utilities Company ...................... 144,731
1,300 USEC, Inc. ................................... 18,038
800 Western Resources, Inc. ...................... 26,600
1,400 Wisconsin Energy Corporation ................. 44,013
----------
1,894,178
----------
Basic Industry -- 2.8%
3,700 Alcan Aluminum, Ltd. ......................... 100,131
3,700 Allegheny Teledyne, Inc. ..................... 75,619
1,700 Aluminum Company of America .................. 126,756
600 Boise Cascade Corporation .................... 18,600
700 Bowater, Inc. ................................ 29,050
500 Crompton & Knowles Corporation ............... 10,344
300 Cytec Industries, Inc.+ ...................... 6,375
4,500 Dow Chemical Company ......................... 409,219
2,300 du Pont (E.I.) de Nemours
and Company .................................. 129,519
2,600 Fort James Corporation ....................... 104,000
2,600 Freeport-McMoRan Copper
& Gold Inc., Class A+ ........................ 25,188
1,200 Georgia-Pacific Group ........................ 70,275
200 IMC Global, Inc. ............................. 4,275
1,500 Louisiana-Pacific Corporation ................ 27,469
1,400 Lyondell Chemical Company .................... 25,200
200 Mead Corporation ............................. 5,862
1,700 Pioneer Hi-Bred International, Inc. .......... 45,900
3,300 Praxair, Inc ................................. 116,325
1,000 Reynolds Metals Company ...................... 52,688
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Basic Industry -- (Continued)
3,400 Rohm and Haas Company ...................... $ 102,425
4,356 Smurfit-Stone Container
Corporation+ .............................. 68,879
2,200 Solutia, Inc. .............................. 49,225
700 Temple-Inland, Inc. ........................ 41,519
300 Union Camp Corporation ..................... 20,250
2,700 Union Carbide Corporation .................. 114,750
----------
1,779,843
----------
Cyclical -- 2.3%
1,500 Cooper Tire & Rubber Company ............... 30,656
3,700 Dana Corporation ........................... 151,238
4,400 Ford Motor Company ......................... 258,225
1,000 Furniture Brands International, Inc.+ ...... 27,250
3,400 Genuine Parts Company ...................... 113,688
3,500 Goodyear Tire & Rubber Company ............. 176,531
2,900 Hasbro, Inc. ............................... 104,763
1,600 Lear Corporation+ .......................... 61,600
4,400 Leggett & Platt, Inc. ...................... 96,800
6,400 Mattel, Inc. ............................... 146,000
400 Nike, Inc. ................................. 16,225
1,200 Owens Corning, Inc ......................... 42,525
800 Reebok International, Ltd .................. 11,900
3,800 Sherwin-Williams Company ................... 111,625
1,700 Whirlpool Corporation ...................... 94,138
----------
1,443,164
----------
Health Services -- 1.6%
800 Bausch & Lomb, Inc. ........................ 48,000
5,500 Boston Scientific Corporation+ ............. 147,469
8,700 Columbia/HCA Healthcare
Corporation ............................... 215,325
1,500 HCR Manor Care, Inc.+ ...................... 44,063
3,500 Health Management
Associates, Inc.+ .......................... 75,688
4,700 HEALTHSOUTH Corporation+ ................... 72,556
3,200 Humana, Inc. ............................... 57,000
700 Medtronic, Inc. ............................ 51,975
700 Perkin-Elmer Corporation ................... 68,294
400 Stryker Corporation ........................ 22,025
4,300 Tenet Healthcare Corporation+ .............. 112,875
2,600 United HealthCare Corporation .............. 111,963
----------
1,027,233
----------
Capital Goods -- 1.0%
3,200 Caterpillar, Inc. .......................... 147,200
2,100 Cooper Industries, Inc ..................... 100,143
4,300 Deere & Company ............................ 142,438
1,300 Eaton Corporation .......................... 91,894
166 Foster Wheeler Corporation ................. 2,189
1,700 Grainger (W.W.), Inc. ...................... 70,763
600 Illinois Tool Works, Inc. .................. 34,800
1,900 Parker-Hannifin Corporation ................ 62,225
----------
651,652
----------
Transportation -- 0.9%
1,900 AMR Corporation ............................ 112,812
2,600 Burlington Northern Santa Fe
Corporation ............................... 87,750
400 CNF Transportation, Inc. ................... 15,025
2,200 CSX Corporation ............................ 91,300
3,800 Norfolk Southern Corporation ............... 120,413
700 Ryder System, Inc. ......................... 18,200
2,500 Union Pacific Corporation .................. 112,656
155 Wisconsin Central Transportation
Corporation+ .............................. 2,664
----------
560,820
----------
Total Common Stock
(Cost $55,894,462) ......................... 63,833,986
----------
Principal
Amount
------
U.S. TREASURY OBLIGATIONS -- 2.3%
U.S. Treasury Bill:
$ 1,416,000 4.400% due 01/21/1999# ..................... 1,412,501
------------
U.S. Treasury Bond:
75,000 6.000% due 06/30/1999 ...................... 75,515
------------
Total U.S. Treasury Obligations
(Cost $1,487,944) ........................ 1,488,016
------------
TOTAL INVESTMENTS
(Cost $57,382,406*) .............................. 102.0% 65,322,002
OTHER ASSETS AND LIABILITIES (Net) .................. (2.0)% (1,264,294)
----- ------------
NET ASSETS .......................................... 100.0% $ 64,057,708
===== ============
NET ASSETS consist of:
Undistributed net investment income .......................... $ 185,177
Accumulated net realized gain on investments sold
and futures contracts ....................................... 3,974,313
Net unrealized appreciation of investments
and futures contracts ....................................... 7,936,037
Paid-in capital .............................................. 51,962,181
------------
Total Net Assets ............................................. $ 64,057,708
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding ........... $ 16.08
============
Number of Portfolio shares outstanding ....................... 3,983,565
============
- ---------------------
* Aggregate cost for federal tax purposes was $57,480,030.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
33
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 84.5%
Banking -- 13.6%
25,000 BankBoston Corporation ....................... $ 973,437
43,750 Citigroup, Inc. .............................. 2,165,625
1,900 M & T Bank Corporation ....................... 985,981
52,000 Wells Fargo Company .......................... 2,076,750
----------
6,201,793
----------
Diversified Chemicals -- 8.9%
7,500 Dow Chemical Company ......................... 682,031
32,600 DuPont (E.I.) de Nemours & Company ........... 1,835,787
6,800 Hercules, Inc. ............................... 186,150
13,900 Monsanto Company ............................. 660,249
30,000 Solutia, Inc. ................................ 671,250
----------
4,035,467
----------
Financial Services -- 6.4%
45,000 Freddie Mac .................................. 2,899,687
----------
Manufacturing and Engineering -- 6.1%
5,100 AlliedSignal, Inc. ........................... 225,994
19,100 Caterpillar, Inc. ............................ 878,600
14,000 Computer Associates International, Inc. ...... 596,750
15,000 Minnesota Mining & Manufacturing Company ..... 1,095,000
----------
2,796,344
----------
Entertainment -- 5.9%
43,000 Time Warner, Inc. ............................ 2,668,688
----------
Restaurants -- 5.8%
34,500 McDonald's Corporation ....................... 2,643,562
----------
Insurance -- 5.3%
24,200 Ace, Ltd. .................................... 833,388
21,300 EXEL Ltd., Class A ........................... 1,597,500
----------
2,430,888
----------
Telecommunications -- 4.8%
14,500 Sprint Corporation ........................... 1,219,813
15,000 US WEST, Inc. ................................ 969,375
----------
2,189,188
----------
Food and Beverages -- 3.6%
36,000 Diageo Plc, Sponsored ADR .................... 1,665,000
----------
Consumer Non-Durables -- 3.3%
28,000 Philip Morris Companies, Inc. ................ 1,498,000
----------
Consumer Durables -- 3.0%
34,000 ITT Industries, Inc. ......................... 1,351,500
----------
Aerospace and Defense -- 2.8%
38,900 Boeing Company ............................... 1,269,113
----------
Printing and Graphic Design -- 2.3%
24,000 Donnelley (R.R.) & Sons Company .............. 1,051,500
----------
Media -- 2.0%
37,000 News Corporation (The), Ltd., Sponsored ADR... 913,438
----------
Paper and Paper Products -- 1.9%
20,800 Champion International Corporation ........... 842,400
----------
Air Transportation -- 1.8%
14,000 UAL Corporation .............................. 835,625
----------
Diversified -- 1.8%
8,500 Tenneco, Inc. ................................ 289,530
7,000 Textron, Inc. ................................ 531,563
----------
821,093
----------
Toys, Games and Hobbies -- 1.4%
27,500 Mattel, Inc. ................................. 627,344
----------
Energy -- 1.2%
18,000 Unocal Corporation ........................... 525,375
----------
Health Care -- 1.1%
20,000 Tenet Healthcare Corporation+ ................ 525,000
----------
Electronics -- 0.8%
10,000 Varian Associates, Inc. ...................... 378,750
----------
Drugs and Medical Products -- 0.7%
7,000 Becton, Dickinson & Company .................. 298,813
----------
Total Common Stock
(Cost $36,709,098) ......................... 38,468,568
----------
See Notes to Financial Statements.
34
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
COMMERCIAL PAPER - 10.4%
$ 2,000,000 Ford Motor Credit Corporation,
5.180% due 01/26/1999#...................... $ 1,992,806
530,000 General Electric Capital Corporation,
5.350% due 01/07/1999#...................... 529,527
204,000 General Electric Capital Services,
5.330% due 01/13/1999#...................... 203,638
2,000,000 Household Finance Corporation,
5.380% due 01/19/1999#...................... 1,994,620
------------
Total Commercial Paper
(Cost $4,720,591)........................... 4,720,591
------------
AGENCY SECURITY - 5.0% (Cost $2,274,185)
Federal Home Loan Bank (FHLB)
2,275,000 FHLB, Discount Notes,
5.218% due 01/04/1999#...................... 2,274,185
------------
TOTAL INVESTMENTS
(Cost $43,703,874*)..................................... 99.9% 45,463,344
OTHER ASSETS AND LIABILITIES (Net)........................ 0.1% 42,943
----- ------------
NET ASSETS................................................ 100.0% $ 45,506,287
===== ============
NET ASSETS consist of:
Undistributed net investment income............................... $ 467,076
Accumulated net realized gain on investments sold................. 418,980
Net unrealized appreciation of investments........................ 1,759,470
Paid-in capital................................................... 42,860,761
------------
Total Net Assets.................................................. $ 45,506,287
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding................ $ 12.22
============
Number of Portfolio shares outstanding............................ 3,723,147
============
- ------------------
* Aggregate cost for federal tax purposes was $43,703,874.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
35
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Value Equity Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 96.9%
Insurance -- 22.2%
330,000 Ace, Ltd. .................................... $11,364,375
100,000 AFLAC, Inc. .................................. 4,400,000
30,450 American International Group, Inc. ........... 2,942,230
2,940 Berkshire Hathaway, Inc., Class B ............ 6,909,000
202,000 Everest Reinsurance Holdings, Inc. ........... 7,865,375
197,890 EXEL Ltd., Class A ........................... 14,841,750
20,000 Markel Corporation+ .......................... 3,620,000
75,000 RenaissanceRe Holdings, Ltd. ................. 2,746,875
------------
54,689,605
------------
Financial Services -- 11.5%
159,000 Citigroup, Inc. .............................. 7,870,500
220,795 Conseco, Inc. ................................ 6,748,047
120,000 Countrywide Credit Industries, Inc. .......... 6,022,500
119,000 Freddie Mac .................................. 7,668,062
------------
28,309,109
------------
Aerospace and Defense -- 7.3%
176,000 AlliedSignal, Inc. ........................... 7,799,000
58,000 General Dynamics Corporation ................. 3,400,250
78,000 Lockheed Martin Corporation .................. 6,610,500
------------
17,809,750
------------
Diversified -- 5.9%
87,000 Minnesota Mining
& Manufacturing Company ...................... 6,351,000
107,000 Textron, Inc ................................. 8,125,313
------------
14,476,313
------------
Electronics -- 5.1%
71,000 Avnet, Inc. .................................. 4,251,125
173,000 Rockwell International Corporation ........... 8,401,313
------------
12,652,438
------------
Consumer Non-Durables -- 3.7%
168,000 Philip Morris Companies, Inc. ................ 8,988,000
------------
Entertainment and Leisure -- 3.5%
106,000 Carnival Corporation ......................... 5,088,000
80,000 SABRE Group Holdings, Inc.+ .................. 3,560,000
------------
8,648,000
------------
Machinery -- 3.4%
228,000 Dover Corporation ............................ 8,350,500
------------
Banking -- 3.4%
80,000 BankBoston Corporation ....................... 3,115,000
130,000 Wells Fargo Company .......................... 5,191,875
------------
8,306,875
------------
Transportation -- 2.9%
82,000 AMR Corporation .............................. 4,868,750
122,000 Canadian Pacific, Ltd. ....................... 2,302,750
------------
7,171,500
------------
Restaurants -- 2.9%
92,000 McDonald's Corporation ....................... 7,049,500
------------
Retail -- 2.3%
95,500 May Department Stores Company ................ 5,765,813
------------
Diversified Chemicals -- 2.3%
80,000 duPont (E.I.) de Nemours
& Company .................................... 4,505,000
44,000 Hercules, Inc. ............................... 1,204,500
------------
5,709,500
------------
Manufacturing and Engineering -- 2.2%
120,000 Caterpillar, Inc. ............................ 5,520,000
------------
Automotive Manufacturing -- 2.1%
150,600 LucasVarity Plc, ADR ......................... 5,045,100
------------
Drugs and Medical Products -- 2.0%
118,000 Becton, Dickinson & Company .................. 5,037,125
------------
Office Supplies and Forms -- 2.0%
110,000 Avery Dennison Corporation ................... 4,956,875
------------
Health Care -- 1.9%
180,000 Tenet Healthcare Corporation+ ................ 4,725,000
------------
Communications -- 1.7%
43,000 Sprint Corporation ........................... 3,617,375
21,500 Sprint PCS Group+ ............................ 497,188
------------
4,114,563
------------
Cosmetics and Toiletries -- 1.6%
90,000 International Flavors
& Fragrances, Inc. ........................... 3,976,875
------------
Advertising -- 1.6%
68,200 Omnicom Group, Inc. .......................... 3,955,600
------------
Food and Beverages -- 1.4%
74,800 Diageo Plc, Sponsored ADR .................... 3,459,500
------------
Paper and Related Products -- 1.2%
70,000 Champion International Corporation ........... 2,835,000
------------
Photo Equipment and Supplies -- 0.7%
90,000 Polaroid Corporation ......................... 1,681,875
------------
See Notes to Financial Statements.
36
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Value Equity Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK (Continued)
Publishing -- 0.6%
50,000 Reed International Plc,
Sponsored ADR ............................... $ 1,575,000
------------
Toys, Games and Hobbies -- 0.6%
59,375 Mattel, Inc. ................................ 1,354,492
------------
Networking -- 0.5%
46,000 Arrow Electronics, Inc. ..................... 1,227,625
------------
Textiles and Apparel -- 0.4%
50,000 Unifi, Inc. ................................. 978,125
------------
Total Common Stock
(Cost $177,078,407) ......................... 238,369,658
------------
Principal
Amount
COMMERCIAL PAPER -- 2.7% (Cost $6,744,222)
$6,756,000 John Deere Capital Corporation,
5.230% due 01/13/1999# ..................... 6,744,222
------------
AGENCY SECURITY -- 0.5% (Cost $1,199,570)
1,200,000 Federal Home Loan Bank (FHLB),
4.300% due 01/04/1999# ...................... 1,199,570
------------
TOTAL INVESTMENTS
(Cost $185,022,199*). ........................... 100.1% 246,313,450
OTHER ASSETS AND LIABILITIES (Net). .................. (0.1)% (211,586)
----- -------------
NET ASSETS. .......................................... 100.0% $ 246,101,864
===== =============
NET ASSETS consist of:
Undistributed net investment income. ......................... $ 2,612,240
Accumulated net realized gain on investments sold ............ 9,490,546
Net unrealized appreciation of investments,
foreign currencies and net other assets ..................... 61,291,401
Paid-in capital ............................................... 172,707,677
------------
Total Net Assets .............................................. $ 246,101,864
=============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding .......... $ 21.68
=============
Number of Portfolio shares outstanding ........................ 11,351,092
=============
- -------------------
* Aggregate cost for federal tax purposes was $185,022,199.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
37
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 67.0%
Technology -- 10.5%
66,275 Cisco Systems, Inc.+ ......................... $6,151,148
18,900 Eastman Kodak Company ........................ 1,360,800
59,100 Intel Corporation ............................ 7,007,044
72,800 Microsoft Corporation+ ....................... 10,096,450
112,300 United Technologies Corporation .............. 12,212,625
------------
36,828,067
------------
Diversified Operations -- 8.5%
83 Berkshire Hathaway Inc., Class A+ ............ 5,810,000
1,008 Berkshire Hathaway, Inc., Class B ............ 2,352,000
68,200 General Electric Company ..................... 6,960,663
32,900 Textron, Inc. ................................ 2,498,344
161,000 Tyco International, Ltd. ..................... 12,145,437
------------
29,766,444
------------
Medical Services and Supplies -- 7.4%
34,000 Amgen, Inc.+ ................................. 3,555,125
46,300 Bausch & Lomb, Inc. .......................... 2,778,000
51,500 Genzyme Corporation (General Division)+ ...... 2,562,125
1 Genzyme Molecular Oncology+ .................. 2
16,300 Johnson & Johnson ............................ 1,367,163
34,700 Lilly (Eli) & Company ........................ 3,083,963
46,300 Merck & Co., Inc. ............................ 6,837,931
45,700 Pfizer, Inc. ................................. 5,732,494
------------
25,916,803
------------
Telecommunications -- 6.4%
76,900 AT&T Corporation ............................. 5,786,725
20,600 Comcast Corporation, Class A ................. 1,183,213
33,500 Comcast Corporation, Special Class A ......... 1,966,031
5,000 Lucent Technologies, Inc. .................... 550,000
55,300 MCI WorldCom, Inc.+ .......................... 3,967,775
44,300 Motorola, Inc. ............................... 2,705,069
81,300 Tele-Communications
Liberty Media Group, Class A+ ................ 3,744,881
36,200 Tele-Communications, Inc.+ ................... 2,002,312
6,600 Uniphase Corporation+ ........................ 457,875
------------
22,363,881
------------
Media and Entertainment -- 5.4%
57,600 Chancellor Media Corporation+ ................ 2,757,600
226,500 Clear Channel Communications, Inc.+ .......... 12,344,250
63,000 Time Warner, Inc. ............................ 3,909,937
------------
19,011,787
------------
Insurance -- 4.6%
44,400 Ace, Ltd. .................................... 1,529,025
37,300 Allstate Corporation ......................... 1,440,713
10,700 American Bankers Insurance Group, Inc. ....... 517,613
108,400 Loews Corporation ............................ 10,650,300
35,000 Reinsurance Group of America, Inc. ........... 2,126,250
------------
16,263,901
------------
Computer Services and Software -- 4.1%
22,500 America Online, Inc.+ ........................ 3,600,000
74,400 Compaq Computer Corporation .................. 3,120,150
29,300 Dell Computer Corporation+ ................... 2,144,394
17,400 International Business Machines Corporation .. 3,214,650
57,700 Novell, Inc.+ ................................ 1,045,812
30,100 Oracle Corporation+ .......................... 1,298,062
------------
14,423,068
------------
Banking and Financial Services -- 3.8%
55,700 American Express Company ..................... 5,695,325
52,450 Citigroup, Inc. .............................. 2,596,275
17,900 First Union Corporation ...................... 1,088,544
28,100 Fleet Financial Group, Inc. .................. 1,255,719
21,400 Merrill Lynch & Company, Inc. ................ 1,428,450
40,700 PIMCO Advisors Holdings, LP .................. 1,266,787
------------
13,331,100
------------
Retail -- 3.7%
16,900 CostCo Companies, Inc.+ ...................... 1,219,969
70,650 Gap, Inc. .................................... 3,974,063
79,898 Home Depot, Inc. ............................. 4,888,759
30,300 Staples, Inc.+ ............................... 1,323,731
105,500 Toys "R" Us, Inc.+ ........................... 1,780,312
------------
13,186,834
------------
Aerospace and Defense -- 3.3%
38,700 Cordant Technologies, Inc. ................... 1,451,250
92,500 Gulfstream Aerospace Corporation+ ............ 4,925,625
79,600 Litton Industries, Inc. ...................... 5,193,900
------------
11,570,775
------------
Food and Beverages -- 2.6%
31,200 Coca-Cola Company ............................ 2,086,500
95,200 Coca-Cola Enterprises, Inc. .................. 3,403,400
27,000 Quaker Oats Company .......................... 1,606,500
72,700 Ralston-Ralston Purina Group ................. 2,353,662
------------
9,450,062
------------
Office Automation and Equipment-- 2.0%
103,400 Knoll, Inc.+ ................................. 3,063,225
60,600 Pitney Bowes, Inc. ........................... 4,003,387
------------
7,066,612
------------
Consumer Non-Durables -- 1.8%
119,100 Philip Morris Companies, Inc. ................ 6,371,850
------------
See Notes to Financial Statements.
38
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Transportation -- 1.6%
69,700 Continental Airlines, Inc.+ .................. $2,334,950
85,200 General Motors Corporation, Class H .......... 3,381,375
------------
5,716,325
------------
Printing & Publishing -- 1.0%
35,900 News Corporation (The), Ltd.,
Sponsored ADR ................................ 886,281
73,266 Nielsen Media Research, Inc. ................. 1,318,788
16,600 Pulitzer Publishing Company .................. 1,437,975
------------
3,643,044
------------
Oil and Gas -- 0.3%
16,200 Exxon Corporation ............................ 1,184,625
------------
Total Common Stock
(Cost $192,200,379) .......................... 236,095,178
------------
Principal
Amount
------
MORTGAGE-BACKED SECURITIES -- 22.4%
Federal Home Loan Mortgage
Corporation (FHLMC) -- 4.0%
FHLMC:
$ 819,103 11.500% due 05/01/2020 ....................... 916,691
417,467 6.138% due 06/15/2020# ....................... 447,211
258,651 6.130% due 12/15/2021# ....................... 261,155
275,735 5.985% due 10/15/2026# ....................... 275,928
449,063 6.156% due 02/15/2028# ....................... 451,025
709,616 9.500% due 07/01/2028 ........................ 758,174
5,775,000 6.000% due 12/15/2028 ........................ 5,701,658
2,275,000 6.000% due 01/15/2029# ....................... 2,246,108
3,200,000 6.000% due 01/15/2029 ........................ 3,159,680
------------
14,217,630
------------
Federal National Mortgage
Association (FNMA) -- 14.6%
FNMA:
1,760,000 6.400% due 09/27/2005 ........................ 1,865,882
2,020,000 6.340% due 02/04/2008 ........................ 2,069,874
758,499 10.000% due 11/01/2018 ....................... 828,963
768,940 11.000% due 09/01/2019 ....................... 848,648
286,924 5.544% due 03/25/2024# ....................... 287,461
71,257 5.794% due 03/25/2024# ....................... 71,902
689,046 9.000% due 07/01/2025 ........................ 734,592
796,177 9.000% due 04/01/2026 ........................ 847,674
241,583 6.188% due 07/18/2027# ....................... 242,912
680,371 5.808% due 04/18/2028# ....................... 681,188
684,196 5.952% due 06/17/2028# ....................... 685,222
11,700,000 6.000% due 12/15/2028 ........................ 11,544,390
28,825,000 6.000% due 01/25/2029 ........................ 28,441,628
2,500,000 6.000% due 02/15/2029 ........................ 2,465,000
------------
51,615,336
------------
Government National Mortgage
Association (GNMA) -- 3.8%
GNMA:
$ 235,376 10.500% due 12/15/2014 ....................... $ 257,045
148,168 9.500% due 04/15/2017 ........................ 159,150
126,182 9.500% due 05/15/2017 ........................ 135,534
228,499 9.500% due 08/15/2017 ........................ 245,436
773,055 10.000% due 08/15/2017 ....................... 836,971
117,146 9.500% due 10/15/2017 ........................ 125,829
71,122 9.500% due 11/15/2017 ........................ 76,394
204,390 9.500% due 07/15/2018 ........................ 219,488
247,774 9.500% due 09/15/2019 ........................ 266,015
497,835 9.000% due 12/15/2019 ........................ 531,987
781,079 9.500% due 06/15/2020 ........................ 838,582
789,531 10.000% due 12/15/2020 ....................... 855,402
801,266 9.500% due 12/15/2021 ........................ 860,455
982,474 6.875% due 01/20/2025 ........................ 997,516
408,042 10.000% due 02/15/2025 ....................... 442,085
244,935 6.875% due 02/20/2025 ........................ 248,648
775,209 6.875% due 03/20/2025 ........................ 787,326
804,622 6.875% due 04/20/2025 ........................ 818,589
110,907 6.875% due 05/20/2025 ........................ 112,183
1,265,631 6.875% due 06/20/2025 ........................ 1,279,793
469,427 7.000% due 07/20/2025 ........................ 476,613
434,157 6.063% due 09/16/2027# ....................... 436,718
564,884 6.625% due 09/20/2027 ........................ 571,854
269,147 6.500% due 10/20/2027 ........................ 272,258
729,651 6.500% due 11/20/2027 ........................ 738,085
239,726 6.500% due 12/20/2027 ........................ 242,461
655,441 10.000% due 07/15/2022 ....................... 710,124
------------
13,542,541
------------
Total Mortgage-Backed Securities
(Cost $79,295,985) .......................... 79,375,507
CORPORATE BONDS -- 7.9%
Associates Corporation of
North America, Senior Notes:
150,000 5.250% due 03/30/2000 ........................ 149,726
350,000 6.000% due 06/15/2000 ........................ 352,943
190,000 6.000% due 07/15/2005 ........................ 194,104
100,000 BankAmerica Capital II,
Company Guarantee,
8.000% due 12/15/2026 ........................ 110,315
375,000 BankAmerica Institutional Capital,
Company Guarantee,
8.070% due 12/31/2026++ ...................... 421,838
435,000 Becton Dickinson, Debentures,
6.700% due 08/01/2028 ........................ 461,705
135,000 BT Capital Trust, Company Guarantee,
7.900% due 01/15/2027 ........................ 134,360
395,000 BT Institutional Capital Trust,
8.090% due 12/01/2026++ ...................... 405,981
See Notes to Financial Statements.
39
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
CORPORATE BONDS -- (Continued)
$450,000 Burlington Northern Santa Fe,
Debentures,
6.700% due 08/01/2028 ..................... 461,700
230,000 Chase Manhattan Corporation,
Senior Subordinate Notes,
6.000% due 11/01/2005 ..................... 232,843
505,000 Chrysler Corporation, Debentures,
7.450% due 03/01/2027 ..................... 579,674
495,000 CIT Group, Inc., Senior Notes,
5.910% due 11/23/2005 ..................... 498,811
340,000 CitiCorp,
6.375% due 11/15/2008 349,775
Comcast Cable Communications, Inc.:
265,000 8.375% due 05/01/2007 ..................... 307,456
110,000 6.200% due 11/15/2008 ..................... 112,022
Comdisco Inc.:
600,000 6.500% due 04/30/1999 ..................... 600,810
350,000 6.375% due 11/30/2001 ..................... 351,516
490,000 Continental Airlines, Inc.,
Pass Through Certificates,
6.648% due 03/15/2019 ..................... 482,219
185,000 Cox Communications, Inc.,
Debentures,
6.800% due 08/01/2028 ..................... 193,689
225,000 Dayton-Hudson Corporation,
Debentures,
6.650% due 08/01/2028 ..................... 228,143
375,000 Enron Corporation,
6.950% due 07/15/2028 ..................... 375,900
EOP Operating LLP:
215,000 6.763% due 06/15/2007 ..................... 214,592
115,000 7.250% due 06/15/2028++ ................... 105,377
285,000 Equifax, Inc.,
6.300% due 07/01/2005 ..................... 294,149
240,000 Equitable Companies, Inc.,
6.500% due 04/01/2008 ..................... 250,121
250,000 Equitable Life Assurance,
6.950% due 12/01/2005++ ................... 262,525
640,000 Farmers Exchange Capital Insurance,
7.050% due 07/15/2028++ ................... 641,536
Federal Express Corporation,
Pass Through Certificates:
120,000 7.020% due 01/15/2016 ..................... 119,100
315,000 6.845% due 01/15/2019 ..................... 317,993
306,473 Fifty Seventh Street Association,
7.125% due 06/01/2017 ..................... 319,498
410,000 First Chicago Bank, NBD,
7.950% due 12/01/2026 ..................... 449,791
395,000 First Union Institutional Capital,
8.040% due 12/01/2026 ..................... 435,041
275,000 Florida Windstorm,
6.700% due 08/25/2004++ ................... 283,525
Ford Motor Company,
435,000 6.500% due 08/01/2018 ..................... 452,139
645,000 General Motors Corporation,
Debentures,
6.750% due 05/01/2028 ..................... 667,143
665,000 GTE Corporation,
6.940% due 04/15/2028 ..................... 722,223
335,000 Hartford Life Insurance Company,
Debentures,
7.650% due 06/15/2027 ..................... 373,250
600,000 Household Finance Corporation,
6.375% due 08/01/2010 ..................... 616,500
300,000 J. Seagram & Sons,
Company Guarantee,
7.600% due 12/15/2028 ..................... 301,966
615,000 Kroger Company,
6.800% due 12/15/2018 ..................... 621,642
Lafarge Corporation, Senior Notes,
305,000 6.375% due 07/15/2005 ..................... 312,277
105,000 6.500% due 07/15/2008 ..................... 108,759
350,000 Lehman Brothers, Inc.,
Senior Subordinate Notes,
7.125% due 07/15/2002 ..................... 357,346
220,000 Liberty Financial Company,
Debentures,
7.625% due 11/15/2028 ..................... 235,873
400,000 Lockheed Martin Corporation,
Company Guarantee,
7.250% due 05/15/2006 ..................... 432,764
340,000 Lowe's Companies, Inc., Debentures,
6.875% due 02/15/2028 ..................... 356,901
15,000 May Department Stores Company,
Debentures,
9.750% due 02/15/2021 ..................... 19,783
Metropolitan Life Insurance Company:
250,000 7.450% due 11/01/2023++ ................... 256,250
250,000 7.800% due 11/01/2025++ ................... 282,975
475,000 Monsanto Company,
6.600% due 12/01/2028++ ................... 476,188
250,000 Nationwide Mutual Insurance,
7.500% due 02/15/2024++ ................... 254,470
435,000 Neiman Marcus Group, Inc.,
Senior Notes,
6.650% due 06/01/2008 ..................... 436,479
300,000 News America Holdings, Inc.,
Senior Notes,
8.500% due 02/15/2005 ..................... 336,681
460,000 News America, Inc., Debentures,
7.280% due 06/30/2028 ..................... 474,214
350,000 Norwest Corporation,
Medium Term Note,
6.125% due 10/15/2000 ..................... 354,599
180,000 Oxymar, Company Guarantee,
7.500% due 02/15/2016++ ................... 183,715
250,000 Praxair, Inc., Debentures,
8.700% due 07/15/2022 ..................... 260,470
425,000 Prime Property Funding II,
6.800% due 08/15/2002++ ................... 423,342
See Notes to Financial Statements.
40
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
CORPORATE BONDS -- (Continued)
425,000 Prudential Insurance Company,
8.300% due 07/01/2025++ ................... $ 474,925
535,000 Scotia Pacific Company, LLC,
Collateralized Notes,
7.710% due 01/20/2028++ .................... 477,434
1,000,000 Southwest Airlines Company,
Debentures,
7.375% due 03/01/2027 ...................... 1,053,100
460,000 TCI Communications, Inc.,
Debentures,
7.875% due 02/15/2026 ...................... 544,612
290,000 Tennessee Gas Pipeline, Debentures,
7.000% due 10/15/2028 ...................... 298,062
350,000 Texas Utilities Electric Company,
First Mortgage Bond,
7.875% due 03/01/2023 ..................... 377,755
800,000 Time Warner Entertainment,
Debentures,
8.375% due 03/15/2023 ..................... 971,184
535,000 United Technologies Corporation,
6.700% due 08/01/2028 ..................... 572,504
265,000 US Airways Inc.,
Pass Through Certificates,
6.850% due 07/30/2019 ..................... 267,226
590,000 USA Waste Services, Inc.,
Senior Notes,
7.000% due 07/15/2028 ..................... 606,402
345,000 Washington Mutual, Inc.,
Company Guarantee,
8.375% due 06/01/2027 ..................... 378,406
315,000 Williams Companies, Inc.,
6.200% due 08/01/2002 ..................... 316,764
625,000 WorldCom, Inc., Senior Notes,
6.950% due 08/15/2028 ..................... 671,025
885,000 World Financial Properties, Inc.,
Pass Through Certificates,
6.950% due 09/01/2013++ ................... 915,709
------------
Total Corporate Bonds
(Cost $27,280,084) ..................... 27,941,835
------------
ASSET-BACKED SECURITIES -- 4.6%
425,000 Advanta Mortgage Loan Trust,
6.530% due 09/25/2012 ..................... 424,872
525,000 Americredit Automobile
Receivables Trust,
5.425% due 06/12/2001# .................... 523,845
Arcadia Automobile
Receivables Trust:
750,000 5.900% due 11/15/2002 ..................... 751,725
750,000 6.375% due 01/15/2003 ..................... 757,800
775,000 6.200% due 05/15/2003 ..................... 780,193
450,000 BankBoston Home Equity Loan Trust,
6.280% due 11/25/2010 ..................... 449,865
750,000 Citibank Credit Card Master Trust,
5.651% due 05/15/2002# ................... 747,975
600,000 Comed Transitional Funding Trust,
5.380% due 03/25/2002 ..................... 599,640
525,000 ContiMortgage Home Equity
Loan Trust,
5.565% due 03/15/2013# .................... 523,110
550,000 Daimler-Benz Vehicle Trust,
5.230% due 12/20/2001 ..................... 549,230
373,476 Empire Funding Home Loan
Owner Trust,
5.650% due 04/25/2028# .................... 372,767
First Plus Home Loan Trust:
489,705 5.460% due 03/10/2008# .................... 487,453
493,796 5.450% due 10/12/2009# .................... 490,982
550,000 5.450% due 11/10/2010# .................... 547,855
First Security Auto Grantor Trust:
650,000 5.182% due 06/15/2001 ..................... 648,115
490,094 6.100% due 04/15/2003 ..................... 494,049
423,868 5.970% due 04/15/2004 ..................... 426,030
525,000 First USA Credit Card Master Trust,
5.684% due 09/17/2003# .................... 523,850
Ford Credit Auto Owner Trust:
575,000 6.050% due 04/15/2001 ..................... 577,185
215,000 6.625% due 10/01/2028 ..................... 220,790
515,118 Green Tree Financial Corporation,
5.850% due 11/01/2029 ..................... 514,242
519,979 Green Tree Home Equity Loan Trust,
5.950% due 07/15/2029 ..................... 519,823
1,075,000 IMC Home Equity Loan Trust,
6.310% due 12/20/2012 ..................... 1,071,990
466,832 Nissan Auto
Receivables Grantor Trust,
6.150% due 02/15/2003 ..................... 468,582
400,000 Rental Car Finance Corporation,
6.450% due 08/25/2005++ ................... 399,320
451,218 Residential Funding Mortgage
Securities,
5.259% due 02/25/2010# .................... 448,375
625,000 Team Fleet Financing Corporation,
6.130% due 10/25/2004 ...................... 616,875
WFS Financial Owner
Trust:
661,310 5.783% due 11/20/2000 ..................... 661,112
513,392 6.100% due 03/20/2002 ..................... 514,367
399,778 World Omni Automobile
Lease Securitization,
6.080% due 11/25/2003 ..................... 401,149
------------
Total Asset-Backed Securities
(Cost $16,540,410) ..................... 16,513,166
------------
See Notes to Financial Statements.
41
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
AGENCY SECURITIES -- 10.9%
$ 6,390,000 Federal Home Loan Bank (FHLB),
4.500% due 01/04/1999# $ 6,387,604
-------------
Federal Home Loan Mortgage
Corporation (FHLMC):
12,121,000 4.500% due 01/04/1999# 12,116,455
10,000,000 5.110% due 01/08/1999# 9,990,064
10,000,000 5.060% due 01/14/1999# 9,981,220
-------------
32,087,739
-------------
Total Agency Securities
(Cost $38,475,343) 38,475,343
-------------
U.S. TREASURY OBLIGATIONS -- 2.6%
U.S. Treasury Inflation Index Notes:
254,955 3.625% due 07/15/2002 253,043
7,029,362 3.375% due 01/15/2007 6,791,769
2,105,754 3.625% due 01/15/2008 2,065,618
-------------
Total U.S. Treasury Obligations
(Cost $9,151,250) 9,110,430
-------------
Shares
------
PREFERRED STOCK -- 0.4% (Cost $981,385)
69,500 Loral Space & Communications, Ltd.,
Convertible Series C, 6.000% 1,237,969
-------------
TOTAL INVESTMENTS
(Cost $363,924,836*) 115.8% 408,749,428
OTHER ASSETS AND LIABILITIES (Net) (15.8)% (55,748,617)
------ -------------
NET ASSETS 100.0% $ 353,000,811
====== =============
NET ASSETS consist of:
Undistributed net investment income $ 6,126,905
Accumulated net realized gain on investments sold
and futures contracts 80,487,761
Net unrealized appreciation of investments and
futures contracts 44,820,625
Paid-in capital 221,565,520
-------------
Total Net Assets $ 353,000,811
=============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding $ 23.89
=============
Number of Portfolio shares outstanding 14,778,847
=============
- -------------------------------
* Aggregate cost for federal tax purposes was $364,883,531.
+ 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.
# Variable rate security. The interest rate shown reflects the rate in
effect at December 31, 1998.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
42
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Money Market Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
COMMERCIAL PAPER -- 48.0%
$3,000,000 Associates Corporation
of North America,
5.010% due 02/12/1999# ...................... $ 2,982,465
2,000,000 Bank of America Corporation,
5.340% due 03/22/1999# ...................... 2,000,000
3,000,000 BellSouth Telecommunications, Inc.,
5.200% due 02/23/1999# ...................... 2,977,033
3,000,000 Cargill, Inc.,
4.880% due 05/20/1999# ...................... 2,943,473
2,000,000 Clorox Company,
5.130% due 02/17/1999# ...................... 1,986,605
2,000,000 Daimler Benz,
5.000% due 03/26/1999# ...................... 1,976,667
3,000,000 Ford Motor Credit Corporation,
5.050% due 01/20/1999# ...................... 2,992,004
3,000,000 General Electric Capital Corporation,
5.060% due 02/12/1999# ...................... 2,982,290
2,000,000 Goldman Sachs Group,
4.900% due 05/28/1999# ...................... 1,959,983
2,000,000 ING US Funding,
4.660% due 05/20/1999# ...................... 1,962,470
2,000,000 Kellogg Company,
5.030% due 03/15/1999# ...................... 1,979,601
Merrill Lynch & Company, Inc.,
1,000,000 5.260% due 03/12/1999# ...................... 989,772
2,000,000 5.470% due 04/30/1999# ...................... 1,963,837
3,000,000 National Rural Utilities,
5.230% due 02/09/1999# ...................... 2,983,002
2,000,000 Pitney Bowes, Inc.,
5.900% due 01/14/1999# ...................... 1,995,739
2,000,000 Prudential Funding Corporation,
5.210% due 02/09/1999# ...................... 1,988,712
3,000,000 Royal Bank of Scotland,
4.830% due 06/11/1999# ...................... 2,935,197
1,997,000 Southern California Edison,
5.200% due 02/12/1999# ...................... 1,984,885
3,000,000 USAA Capital Corporation,
4.910% due 02/24/1999# ...................... 2,977,905
1,000,000 Westdeutsche Landesbank,
5.210% due 02/08/1999# ...................... 994,672
3,000,000 Xerox Corporation,
5.100% due 03/19/1999# ...................... 2,967,275
------------
Total Commercial Paper
(Cost $48,523,587)........................... 48,523,587
------------
CORPORATE NOTES -- 24.0%
2,000,000 Abbey National Treasury Service,
5.370% due 06/15/1999+....................... 1,999,027
2,000,000 Banc One Corporation,
4.720% due 06/14/1999+ ...................... 1,999,402
2,000,000 Chase Manhattan Bank, USA, NA
5.875% due 08/04/1999........................ 2,004,194
2,000,000 Citicorp,
5.480% due 09/17/1999+....................... 2,000,000
2,000,000 Deutsche Bank AG,
5.740% due 04/23/1999........................ 2,000,061
1,250,000 First Union National Bank,
North Carolina,
4.980% due 05/17/1999+....................... 1,250,000
2,000,000 General Motors Acceptance Corporation,
5.160% due 08/26/1999+ ...................... 1,999,486
2,000,000 Morgan Guaranty Trust Company,
5.540% due 09/27/1999+ ...................... 1,999,207
2,000,000 Norwest Corporation,
5.550% due 08/31/1999........................ 1,999,364
2,000,000 PepsiCo, Inc.,
5.209% due 08/19/1999+....................... 1,998,578
3,000,000 Suntrust Corporation,
5.035% due 03/16/1999 ....................... 2,968,951
2,000,000 Toyota Motor Credit Corporation,
5.545% due 09/23/1999+ ...................... 2,000,000
------------
Total Corporate Notes
(Cost $24,218,270)........................... 24,218,270
------------
CERTIFICATES OF DEPOSIT (Yankee) -- 13.4%
Bank of Austria, New York,
1,000,000 5.720% due 04/18/1999........................ 1,000,727
1,000,000 5.670% due 07/23/1999 ....................... 999,733
2,000,000 Bank of Nova Scotia,
5.690% due 03/30/1999 ....................... 2,000,000
2,000,000 Bayerische Landesbank, New York,
4.913% due 06/29/1999+....................... 1,999,277
2,000,000 Canadian Imperial
Bank of Commerce, New York,
5.700% due 06/14/1999 ....................... 1,999,491
2,000,000 National Westminster Bank,
5.738% due 05/07/1999 ....................... 1,999,967
2,000,000 Royal Bank of Canada, New York,
5.494% due 06/29/1999+....................... 1,999,325
1,500,000 Societe Generale, New York,
5.476% due 05/20/1999+ ...................... 1,499,635
------------
Total Certificates of Deposit
(Cost $13,498,155) .......................... 13,498,155
------------
REPURCHASE AGREEMENT -- 10.8% (Cost $10,835,000)
10,835,000 Agreement with J.P. Morgan
Securities, Inc., 4.850% to be repurchased
at $10,840,839 on 01/04/1999, collateralized
by $7,684,578 U.S. Treasury Note 8.875%
due 08/15/2017, market value
$11,052,478 ................................. 10,835,000
------------
See Notes to Financial Statements.
43
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Money Market Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
U.S. GOVERNMENT AGENCY SECURITIES -- 3.2%
Federal National Mortgage
Association (FNMA):
$ 1,800,000 5.028%, due 01/21/1999+........................ $ 1,799,951
1,466,000 5.410% due 02/23/1999.......................... 1,465,582
------------
Total U.S. Government
Agency Securities
(Cost $3,265,533)............................ 3,265,533
------------
TOTAL INVESTMENTS
(Cost $100,340,545*)................................... 99.4% 100,340,545
OTHER ASSETS AND LIABILITIES (Net)...................... 0.6% 591,278
------ ------------
NET ASSETS.............................................. 100.0% $100,931,823
====== ============
NET ASSETS consist of:
Undistributed net investment income............................. $ 41
Accumulated net realized loss on investments.................... (104)
Paid-in capital................................................. 100,931,886
------------
Total Net Assets................................................ $100,931,823
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding.............. $ 1.00
============
Number of Portfolio shares outstanding.......................... 100,931,823
============
- ---------------------
* Aggregate cost for federal tax purposes was $100,340,545.
# Rate represents annualized discount yield at date of purchase.
+ Variable rate security. The interest rate shown reflects the rate in effect
at December 31, 1998.
See Notes to Financial Statements.
44
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 94.5%
Petroleum -- International -- 10.0%
39,000 Amerada Hess Corporation ..................... $ 1,940,250
65,800 Amoco Corporation ............................ 3,882,200
13,800 British Petroleum Company Plc,
Sponsored ADR+ ............................... 1,311,000
36,000 Chevron Corporation .......................... 2,985,750
54,600 Exxon Corporation ............................ 3,992,625
34,700 Mobil Corporation ............................ 3,023,237
50,200 Occidental Petroleum Corporation ............. 847,125
27,900 Phillips Petroleum Company ................... 1,189,237
45,400 Royal Dutch Petroleum Company,
NY Shares .................................... 2,173,525
53,600 Texaco, Inc. ................................. 2,834,100
68,200 Unocal Corporation ........................... 1,990,587
------------
26,169,636
------------
Telecommunications -- 9.2%
81,800 ALLTEL Corporation ........................... 4,892,662
35,400 AT&T Corporation ............................. 2,663,850
38,000 BCE, Inc. .................................... 1,441,625
46,800 Bell Atlantic Corporation .................... 2,480,400
24,400 BellSouth Corporation ........................ 1,216,950
7,500 Frontier Corporation ......................... 255,000
56,200 GTE Corporation .............................. 3,653,000
110,874 SBC Communications, Inc. ..................... 5,945,618
25,800 US West, Inc. ................................ 1,667,325
------------
24,216,430
------------
Banking and Finance -- 7.6%
19,000 BankAmerica Corporation ...................... 1,142,374
33,400 BankBoston Corporation ....................... 1,300,512
43,182 Bank One Corporation ......................... 2,204,981
29,664 Chase Manhattan Corporation .................. 2,019,006
54,149 Citigroup, Inc. .............................. 2,680,375
33,360 First Union Corporation ...................... 2,028,705
39,000 Mercantile Bankshares Corporation ............ 1,501,500
23,800 Morgan (J.P.) & Company, Inc. ................ 2,500,487
21,100 National City Corporation .................... 1,519,200
20,900 PNC Bank Corporation ......................... 1,131,213
46,330 Wells Fargo Company .......................... 1,850,304
------------
19,878,657
------------
Food and Beverages -- 6.5%
55,900 Anheuser-Busch Companies, Inc. ............... 3,668,437
26,700 Brown-Forman Corporation,
Class B ...................................... 2,020,856
47,100 General Mills, Inc. .......................... 3,662,025
32,000 Heinz (H.J.) Company ......................... 1,812,000
46,500 Kellogg Company .............................. 1,586,812
56,200 McCormick & Company, Inc. .................... 1,900,262
38,700 Quaker Oats Company .......................... 2,302,650
------------
16,953,042
------------
Utilities -- 5.7%
76,100 Baker Hughes, Inc. ........................... $ 1,346,019
18,600 Baltimore Gas & Electric Company ............. 571,950
18,600 Central & South West Corporation ............. 510,337
18,800 Dominion Resources, Inc. ..................... 878,900
33,400 DQE, Inc. .................................... 1,467,512
35,600 Entergy Corporation .......................... 1,108,050
58,950 FirstEnergy Corporation ...................... 1,919,559
14,900 GPU, Inc. .................................... 658,393
58,750 PacifiCorp ................................... 1,237,422
17,100 PECO Energy Company .......................... 711,787
65,100 Southern Company ............................. 1,891,969
28,600 TECO Energy, Inc. ............................ 804,375
44,900 Unicom Corporation ........................... 1,731,456
------------
14,837,729
------------
Consumer Products -- 5.1%
22,600 Corning, Inc ................................. 1,017,000
63,600 Pall Corporation ............................. 1,609,875
71,700 Philip Morris Companies, Inc. ................ 3,835,950
57,000 RJR Nabisco Holdings Corporation ............. 1,692,187
14,900 Stanley Works ................................ 413,475
32,900 Tupperware Corporation ....................... 540,794
75,100 UST, Inc. .................................... 2,619,113
28,800 Whirlpool Corporation ........................ 1,594,800
------------
13,323,194
------------
Financial Services -- 5.0%
38,300 American General Corporation ................. 2,987,400
37,800 Block (H&R), Inc. ............................ 1,701,000
42,800 Fannie Mae ................................... 3,167,200
51,500 Fleet Financial Group, Inc. .................. 2,301,406
81,074 St. Paul Companies, Inc. ..................... 2,817,322
------------
12,974,328
------------
Electrical Equipment -- 4.1%
44,572 AMP, Inc. .................................... 2,320,530
37,800 Boeing Company ............................... 1,233,225
25,007 Cooper Industries, Inc. ...................... 1,192,521
29,900 General Electric Company ..................... 3,051,669
28,200 Hewlett-Packard Company ...................... 1,926,413
27,100 Hubbell, Inc., Class B ....................... 1,029,800
------------
10,754,158
------------
Specialty Chemicals -- 3.6%
43,400 Great Lakes Chemical Corporation ............. 1,736,000
65,200 Hercules, Inc. ............................... 1,784,850
22,900 Imperial Chemical Industries Plc,
Sponsored ADR ................................ 800,069
29,000 Lubrizol Corporation ......................... 744,937
33,200 Minnesota Mining
& Manufacturing Company ...................... 2,423,600
35,800 Nalco Chemical Company ....................... 1,109,800
53,200 Witco Corporation ............................ 847,875
------------
9,447,131
------------
See Notes to Financial Statements.
45
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK (Continued)
Pharmaceuticals -- 3.5%
21,700 Abbott Laboratories .......................... $ 1,063,300
76,200 American Home Products
Corporation .................................. 4,291,013
68,390 Pharmacia & Upjohn, Inc. ..................... 3,872,584
-----------
9,226,897
-----------
Diversified -- 3.0%
14,200 Deere & Company .............................. 470,375
6,700 Eaton Corporation ............................ 473,606
46,300 Fortune Brands, Inc. ......................... 1,464,238
40,800 Olin Corporation ............................. 1,155,150
28,900 PPG Industries, Inc. ......................... 1,683,425
308,200 Tomkins Plc .................................. 1,452,737
16,961 Tyco International, Ltd. ..................... 1,279,495
-----------
7,979,026
-----------
Insurance -- 2.9%
7,900 Chubb Corporation ............................ 512,513
24,900 EXEL, Ltd., Class A .......................... 1,867,500
15,400 Lincoln National Corporation ................. 1,259,913
54,900 SAFECO Corporation ........................... 2,357,269
13,500 Transamerica Corporation ..................... 1,559,250
-----------
7,556,445
-----------
Paper and Paper Products -- 2.5%
49,500 Consolidated Papers, Inc. .................... 1,361,250
19,300 Georgia-Pacific Group ........................ 1,130,256
28,300 International Paper Company .................. 1,268,194
41,000 Union Camp Corporation ....................... 2,767,500
-----------
6,527,200
-----------
Railroads -- 2.3%
104,600 Norfolk Southern Corporation ................. 3,314,513
59,400 Union Pacific Corporation .................... 2,676,713
-----------
5,991,226
-----------
Cosmetics and Toiletries -- 2.1%
62,900 International Flavors & Fragrances, Inc. ..... 2,779,394
50,800 Kimberly-Clark Corporation ................... 2,768,600
-----------
5,547,994
-----------
Diversified Chemicals -- 2.1%
34,200 Dow Chemical Company ......................... 3,110,063
41,800 du Pont (E.I.) de Nemours & Company .......... 2,353,863
-----------
5,463,926
-----------
Real Estate -- 1.7%
31,000 Archstone Communities Trust .................. 627,750
43,900 Crescent Real Estate Equities Company ........ 1,009,700
12,400 Rouse Company ................................ 341,000
68,532 Simon Property Group, Inc. ................... 1,953,162
12,700 Weingarten Realty Investors .................. 566,738
-----------
4,498,350
-----------
Media and Communications -- 1.7%
43,600 Dun & Bradstreet Corporation ................. 1,376,125
39,400 Knight-Ridder, Inc. .......................... 2,014,325
38,900 Readers Digest Association, Inc., Class A .... 979,794
-----------
4,370,244
-----------
Petroleum -- Domestic -- 1.6%
44,200 Atlantic Richfield Company (ARCO) ............ 2,884,050
39,900 USX-Marathon Group ........................... 1,201,988
-----------
4,086,038
-----------
Automotives -- 1.6%
32,000 General Motors Corporation ................... 2,292,000
60,650 Genuine Parts Company ........................ 2,027,984
-----------
4,319,984
-----------
Metals and Mining -- 1.5%
54,000 Inco, Ltd. ................................... 570,375
57,836 Newmont Mining Corporation ................... 1,044,663
25,800 Phelps Dodge Corporation ..................... 1,312,575
21,000 Reynolds Metals Company ...................... 1,106,438
-----------
4,034,051
-----------
Retail -- 1.4%
19,500 May Department Stores Company ................ 1,177,312
33,600 Penney (J.C.) Company, Inc. .................. 1,575,000
56,700 Toys "R" Us, Inc.+ ........................... 956,813
-----------
3,709,125
-----------
Aerospace and Defense -- 1.3%
37,300 AlliedSignal, Inc. ........................... 1,652,856
32,800 TRW, Inc. .................................... 1,842,950
-----------
3,495,806
-----------
Energy Services -- 1.3%
28,000 Duke Energy Corporation ...................... 1,793,750
51,200 Houston Industries, Inc. ..................... 1,644,800
-----------
3,438,550
-----------
Waste Disposal -- 1.3%
52,200 Browning-Ferris Industries, Inc. ............. 1,484,438
39,962 Waste Management, Inc. ....................... 1,863,228
-----------
3,347,666
-----------
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK (Continued)
Transportation Services -- 1.1%
16,200 Alexander & Baldwin, Inc. .................... $ 376,650
44,700 Burlington Northern Santa Fe Corporation ..... 1,508,625
24,100 GATX Corporation ............................. 912,788
-----------
2,798,063
-----------
Printing and Publishing -- 1.0%
32,600 Donnelley (R.R.) & Sons Company .............. 1,428,288
26,800 Dow Jones & Company, Inc. .................... 1,289,750
-----------
2,718,038
-----------
Lodging -- 1.0%
53,300 Hilton Hotels Corporation .................... 1,019,363
73,526 Starwood Hotels & Resorts Worldwide, Inc.+ ... 1,668,121
-----------
2,687,484
-----------
Medical Supplies and Equipment -- 0.9%
24,100 Bausch & Lomb, Inc. .......................... 1,446,000
317,700 Smith & Nephew Plc ........................... 961,368
-----------
2,407,368
-----------
Photography Equipment and Supplies -- 0.9%
32,600 Eastman Kodak Company ........................ 2,347,200
-----------
Building and Construction -- 0.8%
36,300 Armstrong World Industries, Inc. ............. 2,189,344
-----------
Steel -- 0.2%
27,000 USX-U.S. Steel Group ......................... 621,000
-----------
Total Common Stock
(Cost $216,491,749) .......................... 247,915,330
-----------
Principal
Amount
------
COMMERCIAL PAPER -- 5.0%
$ 1,654,000 Bayerische Landesbank, New York,
6.150% due 01/04/1999# ....................... 1,653,152
2,250,000 Ciesco L.P.,
5.400% due 01/12/1999# ++ .................... 2,246,288
341,000 Jefferson-Pilot Corporation,
5.000% due 01/04/1999# ++ .................... 340,858
5,050,000 MetLife Funding, Inc.,
5.260% due 01/15/1999# ....................... 5,039,670
2,000,000 Schering Corporation,
5.300% due 01/15/1999# ....................... 1,995,878
1,755,000 Statoil Den Norske A/S,
5.150% due 01/21/1999# ++ .................... 1,749,979
-----------
Total Commercial Paper
(Cost $13,025,825) ........................... 13,025,825
-----------
U.S. TREASURY OBLIGATIONS -- 0.8%
U.S. Treasury Notes -- 0.6%
U.S. Treasury Notes:
300,000 5.875% due 11/15/1999 ........................ 303,093
100,000 7.125% due 02/29/2000 ........................ 102,687
300,000 6.500% due 05/31/2001 ........................ 312,516
400,000 5.750% due 08/15/2003 ........................ 417,688
50,000 7.500% due 02/15/2005 ........................ 57,250
180,000 5.625% due 02/15/2006 ........................ 189,844
300,000 7.000% due 07/15/2006 ........................ 341,577
-----------
1,724,655
-----------
U.S. Treasury Bonds -- 0.2%
400,000 U.S. Treasury Bond,
6.000% due 02/15/2026 ........................ 436,312
-----------
Total U.S. Treasury Obligations
(Cost $1,961,989) ............................ 2,160,967
-----------
Shares
PREFERRED STOCK -- 0.4% (Cost $1,212,730)
15,600 Telecomunicacoes Brasileiras S.A.,
Sponsored ADR. .............................. 1,133,925
-------------
TOTAL INVESTMENTS
(Cost $232,692,293*).................................... 100.7% 264,236,047
OTHER ASSETS AND LIABILITIES (Net)...................... (0.7)% (1,907,837)
------ -------------
NET ASSETS ............................................. 100.0% $ 262,328,210
====== =============
See Notes to Financial Statements.
47
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
December 31, 1998
NET ASSETS consist of:
Undistributed net investment income ........................... $ 5,103,379
Accumulated net realized gain on investments sold,
forward foreign exchange contracts, foreign
currencies and net other assets .............................. 11,837,876
Net unrealized appreciation of investments,
foreign currencies and net other assets ...................... 31,543,941
Paid-in capital ............................................... 213,843,014
------------
Total Net Assets .............................................. $262,328,210
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding ........... $ 20.04
============
Number of Portfolio shares outstanding .................. 13,088,883
============
- -------------------
* Aggregate cost for federal tax purposes was $232,604,324.
+ 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.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
48
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 94.1%
Computer Services and Software -- 13.9%
9,100 America Online, Inc.+ ........................ $ 1,456,000
16,400 Ascend Communications, Inc.+ ................. 1,078,300
16,500 Automatic Data Processing, Inc. .............. 1,323,094
47,300 BMC Software, Inc.+........................... 2,107,806
20,500 Cisco Systems, Inc.+ ......................... 1,902,656
14,800 Computer Associates International, Inc. ...... 630,850
12,300 Compuware Corporation+ ....................... 960,938
15,500 Dell Computer Corporation+ ................... 1,134,406
18,700 EMC Corporation+ ............................. 1,589,500
16,266 Getronics NV ................................. 805,205
25,300 HBO & Company ................................ 725,794
20,900 Intel Corporation ............................ 2,477,956
28,700 Microsoft Corporation+ ....................... 3,980,331
48,050 Network Associates, Inc.+ .................... 3,183,312
103,400 Parametric Technology Corporation+ ........... 1,693,175
34,400 PLATINUM Technology International, Inc.+ ..... 657,900
26,200 Sterling Commerce, Inc. ...................... 1,179,000
3,800 Xilinx, Inc.+ ................................ 247,475
-----------
27,133,698
-----------
Banking and Finance -- 12.7%
37,000 Associates First Capital Corporation ......... 1,567,875
29,530 BankAmerica Corporation ...................... 1,775,491
51,800 Bank of New York Company, Inc. ............... 2,084,950
59,199 Citigroup, Inc ............................... 2,930,351
35,200 First Union Corporation ...................... 2,140,600
38,000 Fannie Mae ................................... 2,812,000
91,000 Freddie Mac .................................. 5,863,813
17,000 HSBC Holdings Plc ............................ 423,486
14,800 Toronto-Dominion Bank ........................ 521,700
1,700 UBS AG, Registered+ .......................... 522,315
100,900 Wells Fargo Company .......................... 4,029,694
-----------
24,672,275
-----------
Diversified -- 8.5%
33 Berkshire Hathaway Inc., Class A+ ............ 2,310,000
46,800 General Electric Company ..................... 4,776,525
172,100 Hutchison Whampoa, Ltd. ...................... 1,216,180
139,800 Rentokil Initial Plc ......................... 1,052,947
28,700 Teleflex, Inc. ............................... 1,309,438
474,700 Tomkins Plc .................................. 2,237,554
47,422 Tyco International, Ltd. ..................... 3,577,397
-----------
16,480,041
-----------
Pharmaceuticals -- 7.3%
16,000 Biogen, Inc. + ............................... 1,328,000
9,800 Gehe AG ...................................... 676,329
20,300 Genentech, Inc. + ............................ 1,617,656
19,200 Merck & Company, Inc. ........................ 2,835,600
770 Novartis AG, Registered ...................... 1,513,651
19,100 Pfizer, Inc. ................................. 2,395,856
38 Roche Holding AG, Genuscheine ................ 463,691
22,600 Schering-Plough Corporation .................. 1,248,650
27,300 Warner-Lambert Company ....................... 2,052,619
-----------
14,132,052
-----------
Health Care Services -- 6.4%
20,400 American Home Products Corporation ........... 1,148,775
20,500 Bristol-Myers Squibb Company ................. 2,743,156
59,200 HEALTHSOUTH Corporation+ ..................... 913,900
17,800 Johnson & Johnson ............................ 1,492,975
24,600 Lilly (Eli) & Company ........................ 2,186,325
11,000 McKesson HBOC, Inc.+ ......................... 869,687
47,700 United HealthCare Corporation ................ 2,054,081
22,100 Zeneca Group Plc ............................. 961,606
-----------
12,370,505
-----------
Telecommunications -- 6.0%
23,300 AirTouch Communications, Inc.+ ............... 1,680,513
56,400 CBS Corporation+ ............................. 1,847,100
9,400 GTE Corporation .............................. 611,000
65,287 MCI WorldCom, Inc.+ .......................... 4,684,342
4,600 Nokia Corporation, Sponsored ADR ............. 554,013
22,400 SBC Communications, Inc. ..................... 1,201,200
124,800 Telecom Italia S.p.A. ........................ 1,064,247
-----------
11,642,415
-----------
Insurance -- 5.8%
58,400 Ace Ltd. ..................................... 2,011,150
10,800 Aetna, Inc ................................... 849,150
9,800 EXEL Ltd., Class A ........................... 735,000
3,700 Fairfax Financial Holdings, Ltd.+ ............ 1,304,348
400 Fairfax Financial Holdings, Ltd.++ ........... 141,011
43,232 Mutual Risk Management, Ltd. ................. 1,691,452
42,100 PartnerRe Ltd. ............................... 1,926,075
16,600 Travelers Property Casualty Corporation,
Class A ...................................... 514,600
37,700 UNUM Corporation ............................. 2,200,737
-----------
11,373,523
-----------
Retail -- 4.9%
16,918 CVS Corporation .............................. 930,490
26,500 Fred Meyer, Inc.+ ............................ 1,596,625
34,600 Home Depot, Inc.+ ............................ 2,117,087
9,600 McDonald's Corporation ....................... 735,600
19,900 Rite Aid Corporation ......................... 986,294
37,800 Saks, Inc.+ .................................. 1,193,063
23,800 Wal-Mart Stores, Inc. ........................ 1,938,213
-----------
9,497,372
-----------
Consumer Products -- 3.9%
3,300 Corning, Inc ................................. 148,500
15,100 Gillette Company ............................. 729,519
18,900 Hasbro, Inc. ................................. 682,763
See Notes to Financial Statements.
49
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Consumer Products -- (Continued)
51,900 Masco Corporation ............................ $1,492,125
5,500 Newell Company ............................... 226,875
46,300 Philip Morris Companies, Inc. ................ 2,477,050
9,400 Procter & Gamble Company ..................... 858,337
60,600 TAG Heuer International SA,
Sponsored ADR ................................ 431,775
5,700 Unilever NV, NY Shares ....................... 472,744
-----------
7,519,688
-----------
Food and Beverages -- 3.9%
12,900 Coca-Cola Company ............................ 862,687
12,500 Koninklijke Ahold NV ......................... 461,755
49,900 PepsiCo, Inc. ................................ 2,042,781
49,100 Safeway, Inc. + .............................. 2,992,031
40,200 Sara Lee Corporation ......................... 1,133,137
-----------
7,492,391
-----------
Media and Communications -- 3.0%
17,900 Clear Channel Communications, Inc.+ .......... 975,550
13,300 Cox Communications Inc., Class A + ........... 919,362
36,900 Infinity Broadcasting Corporation+ ........... 1,010,137
1,600 Jacor Communications, Inc.+ .................. 103,000
32,900 Omnicom Group, Inc. .......................... 1,908,200
15,200 Time Warner, Inc. ............................ 943,350
-----------
5,859,599
-----------
Petroleum -- International -- 2.9%
17,100 Chevron Corporation .......................... 1,418,231
20,200 Mobil Corporation ............................ 1,759,925
51,300 Royal Dutch Petroleum Company, NY Shares ..... 2,455,988
-----------
5,634,144
-----------
Entertainment and Leisure -- 2.5%
17,600 Carnival Corporation ......................... 844,800
17,207 Disney (Walt) Company ........................ 516,210
65,600 Fox Entertainment Group, Inc.,
Class A+ ..................................... 1,652,300
50,200 Mirage Resorts, Inc.+ ........................ 749,863
54,000 Starwood Hotels & Resorts
Worldwide, Inc.+ ............................. 1,225,125
-----------
4,988,298
-----------
Electronic Components -- 2.1%
17,600 Hewlett-Packard Company ...................... 1,202,300
45,700 Maxim Integrated Products, Inc.+ ............. 1,996,519
9,400 Texas Instruments, Inc. ...................... 804,288
-----------
4,003,107
-----------
Publishing -- 2.0%
19,900 Tribune Company .............................. 1,313,400
38,000 Ver Ned Uitgevers ............................ $1,432,054
5,000 Wolters Kluwer NV ............................ 1,069,356
-----------
3,814,810
-----------
Machinery -- 1.4%
49,300 Danaher Corporation .......................... 2,662,200
-----------
Waste Disposal -- 1.3%
53,700 Waste Management, Inc. ....................... 2,503,763
-----------
Aerospace and Defense -- 1.2%
51,400 AlliedSignal, Inc. ........................... 2,277,663
-----------
Paper and Paper Products -- 1.1%
30,528 Kimberly-Clark Corporation ................... 1,663,776
166,500 Kimberly-Clark de Mexico, S.A. de C.V ........ 528,665
-----------
2,192,441
-----------
Real Estate -- 0.9%
36,300 Crescent Real Estate Equities Company ........ 834,900
97,000 Security Capital U.S. Realty + ............... 960,300
-----------
1,795,200
-----------
Financial Services -- 0.8%
14,800 AMBAC Financial Group, Inc ................... 890,775
9,200 Morgan Stanley Dean Witter & Company ......... 653,200
-----------
1,543,975
-----------
Business Services -- 0.7%
29,100 Cendant Corporation + ........................ 554,719
38,300 Gartner Group Inc., Class A + ................ 813,875
-----------
1,368,594
-----------
Energy Services -- 0.5%
30,400 Halliburton Company .......................... 900,600
-----------
Medical Supplies -- 0.4%
8,400 Guidant Corporation .......................... 926,100
-----------
Total Common Stock
(Cost $136,034,612) .......................... 182,784,454
-----------
Principal
Amount
------
COMMERCIAL PAPER -- 5.9%
$2,139,000 Bayerische Landesbank, New York
6.150% due 01/04/1999#........................ 2,137,904
4,335,000 Commerzbank
5.900% due 01/14/1999#........................ 4,325,764
See Notes to Financial Statements.
50
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
COMMERCIAL PAPER -- (Continued)
$ 1,034,000 Jefferson-Pilot Corporation
5.000% due 01/04/1999#++ .................... $ 1,033,569
2,774,000 MetLife Funding, Inc.
5.350% due 01/22/1999 ....................... 2,765,342
1,255,000 National Australia Funding
5.320% due 01/08/1999# ...................... 1,253,702
-------------
Total Commercial Paper
(Cost $11,516,281) .......................... 11,516,281
-------------
Shares
------
PREFERRED STOCK -- 0.7% (Cost $1,552,138)
17,900 Telecomunicacoes Brasileiras S.A.,
Sponsored ADR+ .............................. 1,301,106
-------------
RIGHTS -- 0.2% (Cost $455,433)
1,400 Fairfax Financial Holdings, Ltd.+* .......... 468,860
-------------
TOTAL INVESTMENTS
(Cost $149,558,464*) ............................ 100.9% 196,070,701
OTHER ASSETS AND LIABILITIES (Net) ................... (0.9)% (1,769,372)
------- -------------
NET ASSETS ........................................... 100.0% $ 194,301,329
======= =============
NET ASSETS consist of:
Undistributed net investment income ........................... $ 507,841
Accumulated net realized gain on investments sold,
forward foreign exchange contracts, foreign
currencies and net other assets ............................... 16,460,593
Net unrealized appreciation of investments, forward
foreign exchange contracts, foreign currencies
and net other assets .......................................... 46,511,438
Paid-in capital ............................................... 130,821,457
-------------
Total Net Assets .............................................. $ 194,301,329
=============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding ............ $ 25.60
=============
Number of Portfolio shares outstanding ........................ 7,590,722
=============
- ---------------------
* Aggregate cost for federal tax purposes was $149,912,360.
+ 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.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
51
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 93.9%
United Kingdom -- 18.6%
52,000 Abbey National Plc ........................... $ 1,112,713
207,000 ASDA Group Plc ............................... 554,972
57,353 B G Plc ...................................... 361,645
56,000 British Petroleum Ord. Shares ................ 835,649
119,000 Cable & Wireless Plc ......................... 1,462,152
82,768 Cadbury Schweppes Plc ........................ 1,410,547
162,200 Caradon Plc .................................. 275,076
44,000 Centrica Plc.+ ............................... 88,520
84,000 Compass Group Plc ............................ 961,578
227,464 Diageo Plc ................................... 2,586,842
45,000 Electrocomponents Plc ........................ 300,025
14,000 GKN Plc ...................................... 185,635
89,000 Glaxo Wellcome Plc ........................... 3,060,143
11,000 Heywood Williams Group Plc ................... 39,687
16,500 Hillsdown Holdings Plc ....................... 20,850
253,000 Kingfisher Plc ............................... 2,736,333
96,000 Ladbroke Group Plc ........................... 385,469
28,000 Laing (John), Plc., Class A .................. 115,455
237,000 National Westminster Bank Plc ................ 4,567,021
45,000 Rank Group Plc ............................... 173,207
212,000 Reed International Plc ....................... 1,656,666
61,000 Rio Tinto Plc ................................ 708,938
29,518 Rolls-Royce Plc .............................. 122,205
116,000 Safeway, Inc. ................................ 582,460
437,000 Shell Transport & Trading Company ............ 2,682,892
58,000 Smith (David S.) Holdings Plc ................ 102,220
288,200 SmithKline Beecham Plc ....................... 4,025,079
288,000 Tesco Plc .................................... 820,020
250,000 Tomkins Plc .................................. 1,178,404
36,000 Unilever Plc ................................. 403,426
89,000 United News & Media Plc ...................... 779,833
------------
34,295,662
------------
Japan -- 15.9%
2,662 Advantest Corporation ........................ 168,664
16,000 Alps Electric Company Ltd. ................... 293,792
37,000 Amada Company Ltd. ........................... 179,098
65,000 Canon, Inc. .................................. 1,389,098
23,000 Citizen Watch Company ........................ 138,401
37,000 Dai Nippon Screen Manufacturing
Company Ltd. ................................. 92,332
33,000 Daichi Pharmaceutical Company ................ 557,471
40,000 Daiwa House Industry Company ................. 425,822
74 DDI Corporation .............................. 275,032
71,000 Denso Corporation ............................ 1,313,128
94 East Japan Railway Company ................... 524,879
8,800 Fanuc Ltd. ................................... 301,367
16,000 Fujitsu Ltd. ................................. 213,088
90,000 Hitachi Ltd. ................................. 557,497
4,000 Honda Motor Company Ltd. ..................... 131,322
14,000 Ito-Yokado Company Ltd. ...................... 978,718
34,000 Kao Corporation .............................. 767,223
21,000 Kokuyo Company Ltd. .......................... 282,651
42,000 Komatsu Ltd. ................................. 220,397
17,000 Komori Corporation ........................... 358,037
48,000 Kuraray Company Ltd. ......................... 529,676
17,000 Kyocera Corporation .......................... 898,102
31,000 Makita Corporation ........................... 345,374
55,000 Marui Company Ltd. ........................... 1,058,581
78,000 Matsushita Electric Industrial
Company ...................................... 1,379,780
44,000 Mitsubishi Corporation ....................... 253,086
236,000 Mitsubishi Heavy Industries Ltd. ............. 918,897
105,000 Mitsui Fudosan Company Ltd. .................. 794,434
21,000 Murata Manufacturing
Company Ltd. ................................. 871,554
116,000 NEC Corporation .............................. 1,067,563
87 Nippon Telegraph & Telephone
Corporation .................................. 671,333
75,000 Nomura Securities Company Ltd. ............... 653,732
14 NTT Mobile Communications
Network Shares ............................... 576,081
14,000 Pioneer Electronics Corporation .............. 234,768
4,000 Sangetsu Company Ltd. ........................ 59,820
49,000 Sankyo Company Ltd. .......................... 1,071,015
58,000 Sekisui Chemical Company Ltd. ................ 390,071
41,000 Sekisui House Ltd. ........................... 433,565
5,620 Seven-Eleven Japan Company Ltd. .............. 452,564
42,000 Shin-Etsu Chemical Company Ltd. .............. 1,010,929
27,000 Shiseido Company Ltd ......................... 346,923
17,800 Sony Corporation ............................. 1,296,350
78,000 Sumitomo Corporation ......................... 379,629
109,000 Sumitomo Electric Industries Ltd. ............ 1,225,955
20,000 Sumitomo Forestry Company Ltd. ............... 143,356
16,000 TDK Corporation .............................. 1,462,590
17,000 Tokio Marine & Fire Insurance
Company ...................................... 203,088
9,700 Tokyo Electron Ltd. .......................... 368,240
17,000 Tokyo Steel Manufacturing
Company Ltd. ................................. 85,147
45,000 Toppan Printing Company Ltd. ................. 549,533
22,000 UNY Company Ltd. ............................. 402,018
717 Yurtec Corporation ........................... 4,061
------------
29,305,832
------------
France -- 10.8%
5,966 Alcatel ...................................... 729,877
10,720 Axa Company+ ................................. 1,553,067
1,330 Carrefour S.A ................................ 1,003,625
6,809 Credit Commercial de France .................. 632,064
2,540 Danone ....................................... 726,882
2,808 Dexia France ................................. 432,425
5,070 Elf Aquitaine S.A ............................ 585,802
1,630 Groupe GTM ................................... 169,093
2,816 Lafarge S.A. Bearer Shares ................... 267,447
2,820 Lapeyre Bearer Shares ........................ 201,248
1,523 Legrand S.A .................................. 403,427
572 L'OREAL ...................................... 413,321
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
France -- (Continued)
845 Pathe ........................................ $ 235,772
9,670 Pinault-Printemps-Redoute S.A. ............... 1,847,176
1,504 Primagaz (Cie
Des Gaz Petrole) Shares ...................... 142,572
5,010 Saint Gobain Shares .......................... 707,009
8,189 Sanofi S.A ................................... 1,347,501
16,902 Schneider S.A ................................ 1,024,822
3,657 Societe Generale, Class A .................... 591,949
6,802 Sodexho Alliance S.A ......................... 1,520,748
5,360 STMicroelectronics+ .......................... 421,821
3,290 Television Francaise Shares .................. 585,503
15,268 Total "B" Bearer Shares ...................... 1,545,643
11,290 Vevendi Shares ............................... 2,928,009
------------
20,016,803
------------
Netherlands -- 10.2%
41,310 ABN Amro Holdings NV ......................... 868,550
35,989 Ahold NV ..................................... 1,329,449
3,976 Akzo Nobel NV ................................ 180,949
20,240 ASM Lithography Holding NV+ .................. 618,394
15,187 CSM CVA Non-Exchange Shares .................. 876,282
89,890 Elsevier NV .................................. 1,258,374
17,415 Fortis Amev NV. CVA Shares ................... 1,442,367
46,140 ING Group NV. CVA Shares ..................... 2,812,067
4,254 Koninklijke KPN NV ........................... 212,847
15,210 Numico (Koninklijke) NV. Shares
(Part-Exchange) .............................. 724,594
12,990 Philips Electronics Shares ................... 871,209
32,860 Royal Dutch Petroleum Company ................ 1,635,391
4,254 TNT Post Groep NV Shares ..................... 136,992
21,650 Unilever NV .................................. 1,849,590
18,665 Wolters Kluwer NV ............................ 3,991,908
------------
18,808,963
------------
Switzerland -- 7.2%
561 ABB AG ....................................... 657,597
2,705 Adecco S.A ................................... 1,234,827
4,680 Credit Suisse Group .......................... 732,581
1,526 Nestle S.A ................................... 3,321,980
1,439 Novartis AG .................................. 2,828,759
176 Roche Holding AG ............................. 2,147,623
795 Swisscom AG+ ................................. 332,818
6,407 UBS AG+ ...................................... 1,968,514
------------
13,224,699
------------
Germany -- 7.0%
2,930 Allianz AG ................................... 1,074,342
16,083 Bayer AG ..................................... 671,271
19,432 Bayerische HypoVereinsbank ................... 1,521,815
232 Buderus AG ................................... 84,510
14,914 Deutsche Bank AG ............................. 877,557
24,887 Deutsche Telekom AG .......................... 818,440
20,316 Dresdner Bank AG ............................. 853,434
21,470 Gehe AG ...................................... 1,481,712
5,430 Hoechst AG ................................... 225,171
700 Hornbach Baumarkt AG ......................... 25,205
13,980 Mannesmann AG ................................ 1,602,412
2,922 Rhoen-Klinikum AG ............................ 290,210
2,450 SAP AG ....................................... 1,058,601
1,243 SAP AG - Vorzug .............................. 593,173
5,558 Siemens AG ................................... 358,559
19,201 VEBA AG ...................................... 1,148,822
3,960 Volkswagen AG ................................ 316,068
------------
13,001,302
------------
Italy -- 5.9%
19,840 Assicurazioni Generali S.p.A. Shares ......... 827,942
34,000 Banca Commerciale Italiana ................... 234,419
345,000 Banca di Roma ................................ 584,233
174,772 Ente Nazionale Idrocarburi ................... 1,141,575
5,106 Gucci Group NV, NY Shares .................... 248,279
6,140 Industrie Natuzzi S.p.A ...................... 152,733
58,834 Instituto Bancario
San Paolo de Torino .......................... 1,039,011
244,000 Instituto Nazional
Assicurazioni Shares ......................... 644,144
34,740 Italgas (Societe Italiana II Gas)
S.p.A. Shares ................................ 187,940
83,765 Mediolanum Shares ............................ 620,594
8,000 Rinascente (La) Shares ....................... 82,228
276,315 Telecom Italia S.p.A ......................... 2,356,310
216,353 Tim S.p.A .................................... 1,596,363
196,553 UniCredito Italiano S.p.A .................... 1,164,375
------------
10,880,146
------------
Sweden -- 3.5%
36,220 ABB AB, Series A ............................. 385,616
83,060 Astra AB, Series B ........................... 1,686,809
18,610 Atlas Copco AB, Series B ..................... 403,134
57,500 Electrolux Company AB, Series B .............. 987,261
4,870 Esselte AB, Series B ......................... 79,721
4,355 Granges AB ................................... 62,714
18,540 Hennes & Mauritz AB, Series B ................ 1,510,629
155,462 Nordbanken Holding AB ........................ 994,987
2,480 Sandvik AB, Series A ......................... 43,039
15,380 Sandvik AB, Series B ......................... 265,017
3,330 Scribona AB, Series B ........................ 12,009
------------
6,430,936
------------
Spain -- 2.9%
14,808 Argentaria S.A., Registered Shares ........... 382,912
20,970 Banco Bilbao Vizcaya+ ........................ 328,302
47,886 Banco Santander S.A .......................... 950,173
28,988 Empresa Nacional de Electricidad
(Endesa) ..................................... 766,921
4,589 Gas Natural S.D.G., S.A ...................... 498,875
29,786 Iberdrola S.A ................................ 556,444
6,832 Repsol S.A ................................... 363,905
See Notes to Financial Statements.
53
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Spain -- (Continued)
34,178 Telefonica S.A................................ $ 1,517,472
------------
5,365,004
------------
Belgium -- 2.1%
1,295 Credit Communal de Belgique S.A.+ ............ 215,396
3,052 Fortis AG .................................... 1,099,144
24,570 KBC Bancassurance Holding .................... 1,933,191
1,100 Societe Europeene Satel + .................... 176,439
72 UCB S.A.+ .................................... 441,539
------------
3,865,709
------------
Australia -- 2.0%
35,742 Australian Gas Light Company ................. 257,444
13,000 Brambles Industries Ltd. ..................... 316,664
105,044 Colonial Ltd.+ ............................... 360,477
31,435 Commonwealth Bank of Australia ............... 446,197
17,000 Fairfax (John) Holdings Ltd .................. 34,899
166,000 Goodman Fielder Wattie Ltd. Shares ........... 167,846
17,080 Lend Lease Corporation Ord.................... 230,266
56,000 Publishing & Broadcasting Ltd. ............... 244,679
46,000 Tabcorp Holdings Ltd. ........................ 281,888
122,049 Telstra Corporation Ltd.+ .................... 570,660
53,340 The News Corporation Ord...................... 352,363
71,129 Westpac Banking Corporation .................. 475,979
------------
3,739,362
------------
Hong Kong -- 1.5%
17,000 Cheung Kong Holdings Ltd. .................... 122,328
88,000 China Telecom ................................ 152,202
56,000 CLP Holdings Ltd. ............................ 279,003
20,000 Hang Seng Bank Ltd.+ ......................... 178,765
68,000 Henderson Land Development
Company ...................................... 351,954
140,000 Hong Kong Telecom ............................ 244,850
11,200 HSBC Holdings Shares ......................... 279,003
149,000 Hutchison Whampoa Ltd. ....................... 1,052,939
17,000 Sun Hung Kai Properties Ltd. ................. 123,974
------------
2,785,018
------------
Mexico -- 1.3%
40,310 Cemex S.A., Sponsored ADR .................... 175,683
497 Cemex S.A., Class A+ ......................... 1,071
16,590 Cemex S.A., Class B+ ......................... 40,952
68,340 FEMSA (Fomento Economico
Mex S.A.), Units ............................. 185,253
8,078 Gruma S.A. de CV, Series B,
Sponsored ADR++ .............................. 78,056
34,244 Gruma S.A. de CV, Series B ................... 86,431
84,790 Grupo Industrial Maseca S.A.,
Class B ...................................... 68,483
75,944 Grupo Modelo S.A. de CV, Series C ............ 160,245
7,585 Grupo Televisa-GDR
(2 Part Cert)(DTC) ........................... 187,255
69,076 Kimberly-Clark de Mexico, Class A ............ 219,328
11,000 Panamerican Beverages
"A" Common Stock++ ........................... 239,938
17,364 Telefonos de Mexicano - S.A
de CV ADS .................................... 845,410
10,200 TV Azteca S.A. de CV,
Sponsored ADR+ ............................... 68,213
------------
2,356,318
------------
Norway -- 1.2%
2,170 Bergesen DY AS, Class A ...................... 25,988
30,500 Norsk Hydro AS ............................... 1,025,571
75,720 Orkla Booregaard AS .......................... 1,131,049
4,670 Saga Petroleum, Series B ..................... 42,715
------------
2,225,323
------------
Argentina -- 0.8%
6,753 Banco de Galicia y Buenos Aires
S.A. de C.V. ................................. 119,033
4,858 Banco Frances del Rio de la Plata S.A.,
Sponsored ADR ................................ 100,804
24,000 Telefonos de Argentina S.A.,
Sponsored ADR ................................ 670,500
21,962 YPF S.A., Sponsored ADR ...................... 613,563
------------
1,503,900
------------
Finland -- 0.7%
11,200 Nokia AB, Class A ............................ 1,361,849
------------
Portugal -- 0.6%
19,540 Estabelec Jeronimo Martins & Filho ........... 1,069,430
------------
Denmark -- 0.3%
2,080 Den Danske Bank .............................. 279,436
650 Tele Danmark AS, Series B .................... 87,732
1,950 UniDanmark AS, Series A ...................... 176,179
------------
543,347
------------
Canada -- 0.2%
9,090 Alcan Aluminum, Ltd. ......................... 246,269
3,920 Royal Bank of Canada ......................... 195,898
------------
442,167
------------
Brazil -- 0.2%
9,895 Cemig-CIA Energetica Min Gerais,
Sponsored ADR ................................ 185,531
6,030 Pao De Acucar ADS ............................ 93,465
55,559 Telesp ON Shares ............................. 4,782
7,073 Unibanco-Uniao De Bancos
Brasiliers, GDR .............................. 102,116
------------
385,894
------------
See Notes to Financial Statements.
54
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
New Zealand -- 0.2%
65,000 Telecom Corporation
of New Zealand, Ltd.+ ........................ $ 282,175
38,000 Telecom Corporation
of New Zealand, Ltd.+,
Installment Receipts ......................... 82,982
------------
365,157
------------
China -- 0.2%
23,100 Huaneng Power International, Inc.
ADR+,++ ...................................... 334,950
------------
Korea -- 0.2%
4,751 Samsung Electronics Company .................. 318,708
------------
Ireland -- 0.1%
14,409 CBT Group Plc., Sponsored ADR ................ 214,334
------------
Singapore -- 0.1%
904 Singapore Press Holdings (F), Ltd. ........... 9,578
18,000 Singapore Press Holdings (F), Ltd. ........... 196,245
------------
205,823
------------
India -- 0.1%
16,000 Mahanagar Telephone Niagam Ltd. .............. 195,200
------------
Chile -- 0.1%
4,775 Chilectra S.A., Sponsored ADR++ .............. 105,741
2,241 CIA Cerveceria Unidas,
Sponsored ADR ................................ 43,139
------------
148,880
------------
Czechoslovakia -- 0.0%#
5,800 SPT Telecom+ ................................. 88,495
------------
Russia -- 0.0%#
7,240 Gazprom (Rao), ADS+ .......................... 61,359
1,170 LUKoil Holding, Sponsored ADR ................ 18,428
------------
79,787
------------
Total Common Stock
(Cost $133,523,223) .......................... 173,558,998
------------
PREFERRED STOCK -- 1.9%
Brazil -- 1.4%
23,967,906 Banco Bradesco S.A ........................... 132,907
5,860,036 Cemig-CIA
Energetica Minas Gerais ...................... 111,551
240,000 Ciment Itau+ ................................. 27,312
265,000 Itaubanco S.A ................................ 129,400
2,896,549 Petroleo Brasiliero-Petrobras ................ 328,431
22,159 Telebras - Sponsored ADR+ .................... 1,610,682
1,766,117 Telesp ....................................... 240,744
1,684,346 Telesp Celular S.A., Class B+ ................ 74,023
------------
2,655,050
------------
Australia -- 0.3%
47,951 The News Corporation Ltd. .................... 291,787
169,600 Star City Holdings Ltd.+ ..................... 149,972
------------
441,759
------------
Germany -- 0.2%
2,042 Fielmann AG .................................. 98,035
870 Fresenius AG ................................. 183,257
1,820 Hornbach AG .................................. 108,129
------------
389,421
------------
Total Preferred Stock
(Cost $2,235,371) ............................ 3,486,230
------------
WARRANTS -- 0.1% (Cost $176,258)
Germany -- 0.1%
10,020 Dresdner Bank AG,
Expire 04/30/2002+ .......................... 171,375
------------
RIGHTS -- 0.0%#
Brazil -- 0.0%#
993,446 Banco Bradesco S.A.
Rights to PN 12/21 - 02/08/1999+ ............ 576
------------
Spain -- 0.0%#
34,178 Telefonica S.A.
Rights 12/30 - 01/30/1999+ .................. 30,302
------------
Total Rights (Cost $0) ....................... 30,878
------------
TOTAL INVESTMENTS
(Cost $135,934,852*). ................................. 95.9% 177,247,481
OTHER ASSETS AND LIABILITIES (Net) .................... 4.1% 7,608,869
------ ------------
NET ASSETS ............................................ 100.0% $184,856,350
====== ============
NET ASSETS consist of:
Undistributed net investment income. .......................... $ 1,612,898
Accumulated net realized gain on investments sold,
forward foreign exchange contracts, foreign currencies
and net other assets .......................................... 714,958
Net unrealized appreciation of investments, forward
foreign exchange contracts, foreign currencies and net
other assets .................................................. 41,306,759
Paid-in capital ............................................... 141,221,735
------------
Total Net Assets .............................................. $184,856,350
============
See Notes to Financial Statements.
55
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding........... $ 16.19
=============
Number of Portfolio shares outstanding........................ 11,416,738
=============
- -----------------
* Aggregate cost for federal tax purposes was $138,225,032.
+ 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.
# Amount represents less than 0.1%.
Abbreviations:
ADR -- American Depositary Receipt
ADS -- American Depositary Shares
(F) -- Foreign or Alien Shares
GDR -- Global Depositary Receipt
Ord.-- Ordinary
At December 31, 1998, sector diversification of the Portfolio was as follows:
% of Value
Sector Diversification Net Assets (Note 1)
- ---------------------- ---------- --------
COMMON STOCK:
Health and Personal Care ................... 14.7% $ 27,219,545
Banking .................................... 12.3 22,745,542
Telecommunications ......................... 8.2 15,135,562
Electronics and Instruments ................ 7.5 13,815,076
Retail Trade ............................... 6.8 12,707,956
Energy ..................................... 5.5 10,203,398
Food and Grocery Products .................. 5.2 9,694,209
Broadcasting and Publishing ................ 5.1 9,365,515
Insurance .................................. 4.1 7,633,352
Financial Services ......................... 4.0 7,372,092
Multi-Industry ............................. 3.0 5,605,441
Machinery and
Engineering Services ..................... 2.8 5,143,231
Diversified Industrial
Manufacturing ............................ 2.0 3,658,565
Household Products ......................... 1.9 3,585,651
Entertainment and Leisure .................. 1.8 3,385,454
Construction and Building
Materials ................................ 1.7 3,170,631
Utilities .................................. 1.7 3,147,732
Automotive ................................. 1.1 1,946,153
Computers and Communication ................ 1.0 1,864,862
Chemicals .................................. 0.8 1,467,461
Real Estate ................................ 0.8 1,392,690
Metals and Mining .......................... 0.6 1,103,068
Textiles and Apparel ....................... 0.4 777,955
Transport and Storage ...................... 0.4 687,859
Forestry and Paper Products ................ 0.3 464,904
Wholesale Trade ............................ 0.2 265,094
------- ------------
TOTAL COMMON STOCK ......................... 93.9 173,558,998
TOTAL PREFERRED STOCK ...................... 1.9 3,486,230
TOTAL WARRANTS ............................. 0.1 171,375
TOTAL RIGHTS ............................... 0.0# 30,878
------- ------------
TOTAL INVESTMENTS .......................... 95.9 177,247,481
OTHER ASSETS AND
LIABILITIES (Net) ........................ 4.1 7,608,869
------- ------------
NET ASSETS ................................. 100% $184,856,350
======= ============
- ------------------
# Amount represents less than 0.1%.
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Select 50 Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- 95.7%
Telecommunications -- 16.8%
34,400 Aspect Telecommunications
Corporation+ ................................. $ 593,400
13,400 Ericsson (LM), Sponsored ADR ................. 320,762
7,500 Global TeleSystems Group, Inc.+ .............. 418,125
19,255 Hellenic Telecommunication
Organization S.A ............................. 512,540
8,000 Hellenic Telecommunication
Organization S.A., ADR+ ...................... 106,000
65,950 Magyar Tavkozlesi Rt ......................... 377,155
2,000 Magyar Tavkozlesi Rt,
Sponsored ADR ................................ 59,625
21,100 MetroNet Communications
Corporation+ ................................. 706,850
4,640 Nokia Corporation, Sponsored ADR ............. 558,829
45,300 Orange Plc+ .................................. 526,097
----------
4,179,383
----------
Banking and Finance -- 13.2%
114,000 Bank Leumi Le-Israel ......................... 161,018
6,090 Bayerische HypoVereinsbank ................... 476,938
8,500 First Union Corporation ...................... 516,906
6,000 Household International, Inc ................. 237,750
7,500 National City Corporation .................... 540,000
196,000 Overseas Union Bank, Ltd. .................... 854,755
64,900 Shinhan Bank ................................. 496,326
----------
3,283,693
----------
Retail -- 9.6%
524 Carrefour S.A ................................ 395,413
20,400 Duane Reade, Inc.+ ........................... 785,400
19,400 Linens `n Things, Inc.+ ...................... 768,725
12,800 Nordstrom, Inc. .............................. 444,000
----------
2,393,538
----------
Machinery -- 5.7%
9,600 Elevadores Atlas, S.A ........................ 103,290
16,600 Manitowoc Company, Inc. ...................... 736,625
5,140 Mannesmann AG ................................ 589,156
----------
1,429,071
----------
Diversified Chemicals -- 4.6%
8,050 Dow Chemical Company ......................... 732,047
7,500 DuPont (E.I) de Nemours
& Company .................................... 422,344
----------
1,154,391
----------
Electrical Equipment -- 4.3%
7,000 Emerson Electric Company ..................... 423,500
9,600 Pitney Bowes, Inc. ........................... 634,200
----------
1,057,700
----------
Advertising -- 4.2%
17,300 HA-LO Industries, Inc.+ ...................... $ 650,912
11,700 Snyder Communications, Inc. .................. 394,875
----------
1,045,787
----------
Drugs -- 4.1%
7,100 Glaxo Wellcome Plc,
Sponsored ADR ................................ 493,450
3,500 Merck & Company, Inc. ........................ 516,906
----------
1,010,356
----------
Petroleum -- International -- 3.4%
10,200 Amerada Hess Corporation ..................... 507,450
11,200 Halliburton Company .......................... 331,800
----------
839,250
----------
Real Estate -- 3.3%
275,000 DBS Land, Ltd. ............................... 404,755
356,000 Hongkong Land Holdings, Ltd. ................. 420,080
----------
824,835
----------
Other -- 3.1%
13,300 Azkoyen S.A .................................. 477,273
7,200 Moog Inc., Class A ........................... 281,700
----------
758,973
----------
Business Services -- 3.0%
7,000 Adminstaff, Inc. + ........................... 175,000
16,400 On Assignment, Inc.+ ......................... 565,800
----------
740,800
----------
Automobiles -- 2.9%
10,100 General Motors Corporation ................... 723,413
----------
Paper and Paper Products -- 2.7%
6,000 Georgia-Pacific Company ...................... 351,375
7,400 International Paper Company .................. 331,613
----------
682,988
----------
Computer Service and Software -- 2.3%
6,700 Comverse Technology, Inc.+ ................... 475,700
3,000 MICROS Systems, Inc.+ ........................ 98,625
----------
574,325
----------
Consumer Products -- 2.3%
19,500 Masco Corporation ............................ 560,625
----------
Engineering and Construction -- 2.1%
8,900 Brisa-Auto Estradas
de Portugal, S.A ............................. 524,128
----------
See Notes to Financial Statements.
57
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Select 50 Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
COMMON STOCK -- (Continued)
Media and Communications -- 2.0%
21,200 Avid Technology, Inc.+ . ..................... $ 495,550
------------
Transportation -- 2.0%
17,600 Swift Transportation
Company, Inc.+ . ............................ 493,350
------------
Building and Construction -- 1.9%
14,800 Elcor Corporation. ........................... 478,225
------------
Metals and Mining -- 1.8%
11,800 AngloGold, Ltd. . ............................ 459,159
------------
Healthcare Services -- 0.4%
5,600 Healthcare COMPARE
Corporation+ ................................ 92,750
------------
Total Common Stock
(Cost $21,073,242) .......................... 23,802,290
------------
Principal
Amount
------
REPURCHASE AGREEMENT -- 4.0% (Cost $994,000)
$994,000 Agreement with UBS,
4.700% to be repurchased at
$ 994,519 on 01/04/1999,
collateralized by $815,077
U.S. Treasury Note, 7.500%
due 11/15/2016, market value
$1,014,675 .................................. 994,000
------------
TOTAL INVESTMENTS
(Cost $22,067,242*) ................................. 99.7% 24,796,290
OTHER ASSETS AND LIABILITIES (Net) .................... 0.3% 68,495
------ ------------
NET ASSETS ............................................ 100.0% $ 24,864,785
====== ============
NET ASSETS consist of:
Accumulated net realized loss on investments sold,
forward foreign exchange contracts, foreign
currencies and net other assets........................ $ (1,832,716)
Net unrealized appreciation of investments,
foreign currencies and net other assets................ 2,835,962
Paid-in capital........................................ 23,861,539
------------
Total Net Assets....................................... $ 24,864,785
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding.... $ 10.66
============
Number of Portfolio shares outstanding................. 2,331,807
============
- -------------
* Aggregate cost for federal tax purposes was $22,085,392.
+ Non-income producing security.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
58
<PAGE>
- -------------------------------------------------------
Statement of Net Assets
- -------------------------------------------------------
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
CORPORATE FIXED INCOME SECURITIES -- 91.7%
Telephone and Communications -- 24.7%
$ 100,000 Albritton Communication, Inc.,
Senior Subordinate Notes,
8.875% due 02/01/2008. ..................... $ 100,750
Allegiance Telecom, Inc.,
Senior Discount Notes,
40,000 11.750% due 02/15/2008/\.................... 18,800
60,000 12.875% due 05/15/2008 ..................... 59,400
100,000 American Cellular Corporation
Senior Notes,
10.500% due 05/15/2008++. .................. 97,000
50,000 Avalon Cable Holdings, LLP,
Senior Discount Notes,
11.875% due 12/01/2008/\++ ................. 27,813
25,000 Avalon Cable of Michigan,
Senior Subordinate Notes,
9.375% due 12/01/2008++ .................... 25,563
30,000 Centennial Cellular,
Senior Subordinate Notes,
10.750% due 12/15/2008++. .................. 30,225
125,000 Colt Telecom Group Plc,
Senior Discount Notes,
12.000% due 12/15/2006/\ ................... 105,000
125,000 Dolphin Telecom Plc,
Senior Discount Notes,
11.500% due 06/01/2008/\++................. 50,000
40,000 Esat Telecom Group Plc,
Senior Notes,
11.875% due 12/01/2008++ ................... 40,000
65,000 Esprit Telecom Group Plc,
Senior Notes,
10.875% due 06/15/2008++.................... 65,650
50,000 Exodus Communications,
Senior Notes,
11.250% due 07/01/2008++. .................. 49,688
25,000 Hermes Europe Railtel BV,
Senior Notes,
10.375% due 01/15/2009++ ................... 25,374
135,000 Intermedia Communication
Corporation, Senior Discount Notes,
11.250% due 07/15/2007/\.................... 91,799
50,000 ITC Deltacom, Inc., Senior Notes,
9.750% due 11/15/2008++. .................. 51,750
150,000 Jacor Communications Company,
Senior Subordinate Notes,
8.000% due 02/15/2010. ..................... 156,750
105,000 L-3 Communications Corporation,
Senior Subordinate Notes,
10.375% due 05/01/2007 ..................... 115,237
50,000 LenFest Communications,
Senior Subordinate Notes,
8.250% due 02/15/2008. ..................... 52,125
70,000 Level 3 Communications, Inc.,
Senior Notes,
9.125% due 05/01/2008. ..................... 69,388
90,000 Metromedia Fiber Network,
Senior Notes,
10.000% due 11/15/2008++. .................. 92,250
Metronet Communications, Inc.,
Senior Discount Notes,
150,000 10.750% due 11/01/2007/\.................... 99,000
35,000 9.950% due 06/15/2008/\..................... 21,438
125,000 Millicom International Cellular, Inc.,
Senior Discount Notes,
13.500% due 06/01/2006/\ ................... 87,500
150,000 Nextel International, Inc.,
Senior Discount Notes,
9.950% due 02/15/2008/\++................... 90,187
25,000 Northeast Optic Network,
Senior Notes,
12.750% due 08/15/2008. .................... 24,500
NTL, Inc., Senior Notes,
65,000 9.750% due 04/01/2008/\++.................. 40,625
100,000 12.375% due 10/01/2008/\++.................. 62,625
150,000 Pagemart Wireless, Inc.,
Senior Discount Notes,
11.250% due 02/01/2008/\.................... 69,000
40,000 PSI Net, Inc., Senior Notes,
11.500% due 11/01/2008++. .................. 41,800
Qwest Communications,
Senior Notes,
100,000 7.500% due 11/01/2008++. .................. 103,875
50,000 7.250% due 11/01/2008++. .................. 51,250
50,000 Rural Cellular Corporation,
Senior Subordinate Notes,
9.625% due 05/15/2008. ..................... 50,125
65,000 TeleWest Communications,
Debentures,
9.625% due 10/01/2006. ..................... 66,299
90,000 Triton Communications LLC,
Company Guarantee,
11.000% due 05/01/2008/\.................... 42,075
Verio, Inc., Senior Notes,
25,000 10.375% due 04/01/2005 ..................... 24,500
20,000 11.250% due 12/01/2008++. .................. 20,100
100,000 Versatel Telecom BV, Senior Notes,
13.250% due 05/15/2008++ ................... 99,000
130,000 Viatel, Inc., Senior Discount Notes,
12.500% due 04/15/2008/\.................... 76,700
30,000 Western Wireless, Inc.,
Senior Subordinate Notes,
10.500% due 02/01/2007 ..................... 31,350
------------
2,426,511
------------
Broadcasting and Media -- 12.3%
150,000 Adelphia Communications,
8.375% due 02/01/2008++ ..................... 154,500
100,000 Chancellor Media Corporation,
Company Guarantee,
8.750% due 06/15/2007. ...................... 102,500
See Notes to Financial Statements.
59
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Broadcasting and Media -- (Continued)
$ 50,000 Chancellor Media Corporation,
Senior Notes,
8.000% due 11/01/2008++ ................... $ 51,125
70,000 Classic Cable, Inc.,
Senior Subordinate Notes,
9.875% due 08/01/2008++ ................... 73,150
75,000 Cumulus Media, Inc.,
Company Guarantee,
10.375% due 07/01/2008..................... 79,875
100,000 Fox/Liberty Networks LLC,
Senior Notes,
8.875% due 08/15/2007. .................... 102,000
50,000 Frontiervision LP, Senior Notes,
11.000% due 10/15/2006..................... 55,500
Granite Broadcasting Corporation,
Senior Subordinate Notes:
25,000 10.375% due 05/15/2005..................... 25,250
100,000 8.875% due 05/15/2008...................... 95,000
50,000 Hollinger International Publishing,
Company Guarantee,
9.250% due 03/15/2007 ..................... 52,500
100,000 Lin Television Corporation,
Company Guarantee,
8.375% due 03/01/2008 ..................... 99,000
125,000 Satelites Mexicanos S.A., Senior Notes,
10.125% due 11/01/2004++................... 97,500
125,000 Telemundo Holdings, Inc.,
Senior Discount Notes,
11.500% due 08/15/2008/\++................. 68,750
25,000 Time Warner Telecom LLC,
Senior Notes,
9.750% due 07/15/2008. .................... 26,250
195,000 United International Holdings Inc.,
Senior Discount Notes,
10.750% due 02/15/2008/\................... 103,350
20,000 World Color Press, Inc.,
Senior Subordinate Notes,
8.375% due 11/15/2008++.................... 20,000
----------
1,206,250
----------
Entertainment and Leisure -- 9.5%
100,000 AMC Entertainment, Inc.,
Senior Subordinate Notes,
9.500% due 03/15/2009 ..................... 102,000
100,000 Big Flower Press Holdings,
Senior Subordinate Notes,
8.625% due 12/01/2008++.................... 101,000
100,000 Boyd Gaming Corporation,
Senior Subordinate Notes,
9.500% due 07/15/2007 ..................... 99,000
75,000 Casino America, Inc., Senior Notes,
12.500% due 08/01/2003 .................... 82,875
100,000 Cinemark USA, Inc.,
Senior Subordinate Notes,
9.625% due 08/01/2008 ..................... 104,750
40,000 Circus Circus Enterprises,
Senior Notes,
6.450% due 02/01/2006 ..................... 35,947
25,000 Eldorado Resorts LLC,
Senior Subordinate Notes,
10.500% due 08/15/2006 .................... 26,500
100,000 Grand Casinos, Inc., First Mortgage,
10.125% due 12/01/2003 .................... 109,000
50,000 Lady Luck Gaming, First Mortgage,
11.875% due 03/01/2001 .................... 50,500
40,000 Red Roof Inns, Senior Notes,
9.625% due 12/15/2003 ..................... 40,400
75,000 Regal Cinemas, Inc.,
Senior Subordinate Notes,
9.500% due 06/01/2008 ..................... 77,250
100,000 Station Casinos,
Senior Subordinate Notes,
8.875% due 12/01/2008++ ................... 101,500
----------
930,722
----------
Industrial -- 9.3%
50,000 Allied Waste North America,
Senior Notes,
7.875% due 01/01/2009++. .................. 50,625
American Standard Companies, Inc.,
Company Guarantee,
75,000 7.375% due 02/01/2008 ..................... 75,000
25,000 7.625% due 02/15/2010 ..................... 25,250
50,000 Dialog Corporation Plc,
Senior Subordinate Notes,
11.000% due 11/15/2007 .................... 49,750
75,000 International Knife & Saw, Inc.,
Senior Notes,
11.375% due 11/15/2006 .................... 76,875
75,000 K & F Industries,
Senior Subordinate Notes,
9.250% due 10/15/2007. .................... 75,750
100,000 Mark IV Industries, Inc.,
Senior Subordinate Notes,
7.750% due 04/01/2006. .................... 99,020
25,000 Metal Management, Inc.,
Company Guarantee,
10.000% due 05/15/2008 .................... 15,000
60,000 Numatics, Inc., Company Guarantee,
9.625% due 04/01/2008 ..................... 56,100
50,000 Polymer Group, Inc.,
Company Guarantee,
9.000% due 07/01/2007 ..................... 49,500
100,000 Repap New Brunswick, Inc.,
Senior Notes,
9.000% due 06/01/2004++ ................... 91,000
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Industrial -- (Continued)
$ 35,000 Simonds Industries, Senior
Subordinate Notes,
10.250% due 07/01/2008++ .................... $ 35,700
75,000 Spectrasite Holdings, Inc.,
Senior Discount Notes,
12.000% due 07/15/2008/\++ .................. 38,250
85,000 Thermadyne Holdings Corporation,
Debentures,
12.500% due 06/01/2008/\ .................... 40,375
50,000 Thermadyne Holdings Corporation,
Company Guarantee,
9.875% due 06/01/2008 ....................... 47,000
85,000 US Timberlands, Senior Notes,
9.625% due 11/15/2007 ....................... 85,425
----------
910,620
----------
Retail -- 5.8%
100,000 Cole National Group, Inc.,
Senior Subordinate Notes,
8.625% due 08/15/2007 ....................... 98,000
75,000 Friendly Ice Cream Corporation,
Company Guarantee,
10.500% due 12/01/2007 ...................... 75,938
95,000 J Crew Operating Corporation,
Senior Subordinate Notes,
10.375% due 10/15/2007 ...................... 80,750
45,000 Jitney-Jungle Stores of America, Inc.,
Company Guarantee,
12.000% due 03/01/2006 ...................... 49,950
100,000 Musicland Group,
Senior Subordinate Notes,
9.000% due 06/15/2003 ....................... 95,500
Pathmark Stores,
Senior Subordinate Notes,
45,000 11.625% due 06/15/2002 ...................... 42,975
25,000 9.625% due 05/01/2003 ....................... 24,250
45,000 Samsonite Corporation,
Senior Subordinate Notes,
10.750% due 06/15/2008 ...................... 38,700
75,000 Southland Corporation,
Senior Subordinate Debentures,
5.000% due 12/15/2003 ....................... 66,000
----------
572,063
----------
Engineering and Technology -- 5.2%
25,000 Applied Extrusion Technology,
Senior Notes,
11.500% due 04/01/2002 .................... 25,875
100,000 Argo--Tech Corporation,
Company Guarantee,
8.625% due 10/01/2007 ..................... 95,000
150,000 Building Materials Corporation,
Senior Notes,
8.625% due 12/15/2006 ..................... 151,125
50,000 CSC Holdings, Inc.,
Senior Subordinate Notes,
9.250% due 11/01/2005 ..................... 53,750
100,000 General Binding Corporation,
Company Guarantee,
9.375% due 06/01/2008 ...................... 99,000
75,000 Unisys Corporation, Senior Notes,
12.000% due 04/15/2003 ..................... 84,000
----------
508,750
----------
Oil and Gas -- 4.4%
75,000 Anacomp, Inc.,
10.875% due 04/01/2004 .................... 77,250
100,000 Chesapeake Energy Corporation,
Company Guarantee,
9.625% due 05/01/2005++ ................... 77,000
25,000 Clark R&M, Inc., Senior Notes,
8.625% due 08/15/2008++ ................... 24,656
50,000 International Utility Structures, Inc.,
Senior Subordinate Notes,
10.750% due 02/01/2008++ .................. 47,500
75,000 P&L Coal Holdings Corporation,
Company Guarantee,
9.625% due 05/15/2008 ..................... 75,750
100,000 Pool Energy Services Company,
Company Guarantee,
8.375% due 04/01/2008 ..................... 85,000
50,000 Pride International, Inc., Senior Notes,
9.375% due 05/01/2007 ..................... 45,500
----------
432,656
----------
Medical Services and Supplies -- 3.5%
25,000 Alaris Medical, Inc.,
Senior Discount Notes,
11.125% due 08/01/2008/\++ ................ 13,625
Buckeye Technologies, Inc.,
Senior Subordinate Notes:
35,000 8.500% due 12/15/2005 ..................... 35,350
100,000 8.000% due 10/15/2010 ..................... 96,000
100,000 Prime Medical Services, Inc.,
Company Guarantee,
8.750% due 04/01/2008 ..................... 96,250
105,000 Tenet Healthcare Corporation,
Senior Subordinate Notes,
8.625% due 01/15/2007 ..................... 109,725
----------
350,950
----------
Commercial Services -- 2.9%
30,000 Continental Resources, Senior Subordinate Notes,
10.250% due 08/01/2008++ ................... 25,725
See Notes to Financial Statements.
61
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1998
Principal Value
Amount (Note 1)
------ --------
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Commercial Services -- (Continued)
$ 50,000 HS Resources, Inc.,
Senior Subordinate Notes,
9.250% due 11/15/2006 .......................... $ 47,500
100,000 Iron Mountain, Inc.,
Company Guarantee,
8.750% due 09/30/2009 .......................... 103,000
100,000 Pierce Leahy Corporation,
Senior Subordinate Notes,
9.125% due 07/15/2007 .......................... 104,500
-----------
280,725
-----------
Specialty Chemicals -- 2.5%
80,000 NL Industries, Senior Notes,
11.750% due 10/15/2003 ......................... 84,800
125,000 PCI Chemicals Canada, Inc.,
Company Guarantee,
9.250% due 10/15/2007 .......................... 97,500
75,000 Sterling Chemicals, Inc.,
Senior Subordinate Notes,
11.250% due 04/01/2007 ......................... 62,250
-----------
244,550
-----------
Automotive -- 2.4%
100,000 Hayes Lemmerz International, Inc.,
Company Guarantee,
9.125% due 07/15/2007 .......................... 104,500
75,000 Oxford Automotive, Inc.,
Company Guarantee,
10.125% due 06/15/2007 ......................... 77,063
50,000 Williams Scotsman, Inc.,
Company Guarantee,
9.875% due 06/01/2007 .......................... 51,000
-----------
232,563
-----------
Capital Goods -- 2.0%
100,000 Grove Holdings LLC, Debentures,
11.625%, due 05/01/2009/\ ..................... 42,000
50,000 Johnstown America Industries, Inc.,
Senior Subordinate Notes,
11.750% due 08/15/2005 ......................... 52,750
100,000 Nortek, Inc., Senior Notes,
9.250% due 03/15/2007 .......................... 102,500
-----------
197,250
-----------
Containers -- 1.9%
60,000 Ball Corporation,
Senior Subordinate Notes,
8.250% due 08/01/2008++ ........................ 63,000
100,000 Gaylord Container Corporation,
Senior Notes,
9.750% due 06/15/2007 .......................... 86,000
35,000 Silgan Holdings, Inc.,
Senior Subordinate Debentures,
9.000% due 06/01/2009 .......................... 35,438
-----------
184,438
-----------
Steel -- 1.7%
50,000 AK Steel Corporation, Senior Notes,
9.125% due 12/15/2006 .......................... 52,375
65,000 Kaiser Aluminum
& Chemical Corporation,
Senior Notes,
9.875% due 02/15/2002 .......................... 64,350
50,000 WCI Steel, Inc., Senior Notes,
10.000% due 12/01/2004 ......................... 49,500
-----------
166,225
-----------
Educational -- 1.0%
100,000 KinderCare Learning Centers,
Senior Subordinate Notes,
9.500% due 02/15/2009 ......................... 99,500
-----------
Aerospace and Defense -- 1.0%
100,000 BE Aerospace, Senior Subordinate Notes,
8.000% due 03/01/2008 ......................... 98,000
-----------
Cosmetics -- 0.9%
Revlon Consumer Products, Inc.,
Senior Subordinate Notes,
50,000 8.125% due 02/01/2006 .......................... 47,750
50,000 8.625% due 02/01/2008 .......................... 45,500
-----------
93,250
-----------
Specialty Foods/Candy -- 0.7%
75,000 Specialty Foods Acquisition,
Senior Notes,
10.250% due 08/15/2001 ......................... 69,000
-----------
Total Corporate
Fixed Income Securities
(Cost $9,260,752) .............................. 9,004,023
-----------
AGENCY SECURITY -- 5.2% (Cost $509,800)
510,000 FMC, Discount Note,
4.700% due 01/04/1999# ......................... 509,800
-----------
Shares
------
PREFERRED STOCK -- 1.4%
500 Crown Castle International Corporation,
Convertible,
12.750% due 12/15/2010++ ....................... 50,313
34,000 CSC Holdings, Inc.,
11.125% due 04/01/2008 ......................... 37,570
50,000 Global Crossing Holdings Ltd.,
10.500% due 12/01/2008++ ....................... 49,000
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1998
Value
Shares (Note 1)
------ --------
PREFERRED STOCK -- (Continued)
65 Viatel Inc., Convertible,
10.000% due 04/15/2010 .......................... $ 72
-----------
Total Preferred Stock (Cost $138,632) 136,955
-----------
WARRANTS -- 0.0% ## (Cost $0)
100 VersaTel Telecom BV,
Expire 05/15/2008~++ ............................ 1,000
-----------
TOTAL INVESTMENTS
(Cost $9,909,184*) .................................... 98.3% 9,651,778
OTHER ASSETS AND LIABILITIES (Net) ..................... 1.7% 167,543
------- -----------
NET ASSETS ............................................. 100.0% $ 9,819,321
======= ===========
NET ASSETS consist of:
Undistributed net investment income ............................... $ 252,079
Accumulated net realized loss on investments sold,
forward foreign exchange contracts, foreign
currencies and net other assets .................................. (84,712)
Net unrealized depreciation of investments ........................ (257,406)
Paid-in capital ................................................... 9,909,360
----------
Total Net Assets .................................................. $ 9,819,321
===========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding ............... $ 9.69
===========
Number of Portfolio shares outstanding ............................ 1,013,492
===========
- --------------
* Aggregate cost for federal tax purposes was $9,909,283.
~ Non-income producing security.
# Rate represents annualized yield at date of purchase.
## Amount represents less than 0.1%.
/\ Zero coupon security as of December 31, 1998. The coupon shown is the
step-up rate.
++ 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.
63
<PAGE>
- --------------------------------------------------------------------------------
Statements of Operations
- --------------------------------------------------------------------------------
Endeavor Series Trust
For the Period Ended December 31, 1998
<TABLE>
<CAPTION>
Dreyfus
Dreyfus U.S. Endeavor Endeavor Endeavor
Small Cap Government Enhanced Opportunity Value
Value Securities Index Value Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................................... $ 781,887 $ -- $ 545,539 $ 451,436 $ 3,104,841
Interest ........................................... 168,527 3,861,269 54,865 384,244 1,510,274
Foreign taxes withheld ............................. -- -- -- -- (1,558)
------------ ------------ ------------ ------------ ------------
Total Investment Income ......................... 950,414 3,861,269 600,404 835,680 4,613,557
------------ ------------ ------------ ------------ ------------
EXPENSES:
Investment management fee (Note 2) ................. 1,207,117 419,748 284,833 303,103 1,901,572
Administration fees (Note 2) ....................... -- -- -- -- --
Custodian fees (Note 2) ............................ 38,263 17,263 36,171 7,686 28,366
Transfer agent fees ................................ 701 598 565 577 883
Marketing fees paid indirectly (Note 2) ............ 112,862 -- -- 4,829 28,753
Professional fees .................................. 35,292 16,633 16,636 17,054 41,278
Amortization of organization costs
(Note 5) ........................................ 1,044 4,357 5,000 5,200 1,044
Trustees' fees and expenses (Note 2) ............... 10,741 4,497 3,419 5,961 16,930
Printing fees ...................................... 3,401 2,403 7,670 15,973 860
Insurance fees ..................................... 1,467 421 -- 68 2,206
Other .............................................. 7,126 8,564 65,337 18,651 --
------------ ------------ ------------ ------------ ------------
Subtotal ........................................ 1,418,014 474,484 419,631 379,102 2,021,892
------------ ------------ ------------ ------------ ------------
Waiver/reimbursement (Note 2) ...................... -- -- -- -- --
Fees paid indirectly (Note 2) ...................... (112,862) -- -- (4,829) (28,753)
Credits allowed by the custodian (Note 2) .......... (2,054) (5,708) (428) (1,214) (2,405)
------------ ------------ ------------ ------------ ------------
Total expenses .................................. 1,303,098 468,776 419,203 373,059 1,990,734
------------ ------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) ....................... (352,684) 3,392,493 181,201 462,621 2,622,823
------------ ------------ ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY (Notes 1 and 3):
Net realized gain/(loss) on:
Securities ........................................ 14,911,403 2,435,767 3,789,233 418,980 9,505,824
Futures contracts ................................. -- (989,317) 186,209 -- --
Forward foreign exchange contracts ................ -- -- -- -- --
Foreign currencies and net other assets ........... -- 7,638 -- -- --
------------ ------------ ------------ ------------ ------------
Net realized gain/(loss) on investments
and foreign currency during the period ............ 14,911,403 1,454,088 3,975,442 418,980 9,505,824
------------ ------------ ------------ ------------ ------------
Net change in unrealized appreciation/depreciation
of:
Securities ........................................ (18,149,967) (318,992) 6,699,033 547,081 4,084,657
Futures contracts ................................. -- 59,205 (3,559) -- --
Forward foreign exchange contracts ................ -- -- -- -- --
Foreign currencies and net other assets ........... -- -- -- -- 120
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation/(depreciation)
of investments and foreign currency
during the period ................................. (18,149,967) (259,787) 6,695,474 547,081 4,084,777
------------ ------------ ------------ ------------ ------------
Net realized and unrealized gain/(loss) on
investments and foreign currency
during the period ................................. (3,238,564) 1,194,301 10,670,916 966,061 13,590,601
------------ ------------ ------------ ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS .................................. $ (3,591,248) $ 4,586,794 $ 10,852,117 $ 1,428,682 $ 16,213,424
============ ============ ============ ============ ============
</TABLE>
- ------------------------
* 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.
64
<PAGE>
- --------------------------------------------------------------------------------
Statements of Operations
- --------------------------------------------------------------------------------
Endeavor Series Trust
For the Period Ended December 31, 1998
<TABLE>
<CAPTION>
T. Rowe T. Rowe
Endeavor Endeavor Price Price
Asset Money Equity Growth
Allocation Market Income Stock
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .................................................. $ 2,044,493 $ -- $ 6,149,136 $ 1,613,400
Interest ................................................... 6,926,733 4,277,948 918,248 455,145
Foreign taxes withheld ..................................... -- -- (8,175) (24,145)
------------ ------------ ------------ ------------
Total Investment Income ................................. 8,971,226 4,277,948 7,059,209 2,044,400
------------ ------------ ------------ ------------
EXPENSES:
Investment management fee (Note 2) ......................... 2,449,659 387,793 1,866,844 1,255,157
Administration fees (Note 2) ............................... -- -- -- --
Custodian fees (Note 2) .................................... 54,040 13,489 37,240 47,939
Transfer agent fees ........................................ 977 668 844 755
Marketing fees paid indirectly (Note 2) .................... 78,788 -- 1,483 3,056
Professional fees .......................................... 12,023 27,087 42,453 38,334
Amortization of organization costs
(Note 5) .................................................. -- -- 2,423 2,423
Trustees' fees and expenses (Note 2) ....................... 23,334 5,363 16,388 10,957
Printing fees .............................................. 4,079 11,475 4,306 2,127
Insurance fees ............................................. 3,848 674 1,519 1,057
Other ...................................................... 16 18,973 1,845 6,283
------------ ------------ ------------ ------------
Subtotal .................................................. 2,626,764 465,522 1,975,345 1,368,088
------------ ------------ ------------ ------------
Waiver/reimbursement (Note 2) .............................. -- -- -- --
Fees paid indirectly (Note 2) .............................. (78,788) -- (1,483) (3,056)
Credits allowed by the custodian (Note 2) .................. (8,465) (2,156) (1,761) (925)
------------ ------------ ------------ ------------
Total expenses ..................................... 2,539,511 463,366 1,972,101 1,364,107
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) ............................... 6,431,715 3,814,582 5,087,108 680,293
------------ ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY (Notes 1 and 3):
Net realized gain/(loss) on:
Securities ................................................ 80,092,827 1,020 11,849,694 16,516,670
Futures contracts ......................................... 110,176 -- -- --
Forward foreign exchange contracts ........................ -- -- (16,327) (108,495)
Foreign currencies and net other assets ................... -- -- 6,356 (63,612)
------------ ------------ ------------ ------------
Net realized gain/(loss) on investments
and foreign currency during the period .................... 80,203,003 1,020 11,839,723 16,344,563
------------ ------------ ------------ ------------
Net change in unrealized appreciation/depreciation
of:
Securities ................................................ (31,770,752) -- 2,101,781 22,324,818
Futures contracts ......................................... (3,967) -- -- --
Forward foreign exchange contracts ........................ -- -- -- (186)
Foreign currencies and net other assets ................... -- -- 146 (645)
------------ ------------ ------------ ------------
Net unrealized appreciation/(depreciation)
of investments and foreign currency
during the period ......................................... (31,774,719) -- 2,101,927 22,323,987
------------ ------------ ------------ ------------
Net realized and unrealized gain/(loss) on
investments and foreign currency
during the period ......................................... 48,428,284 1,020 13,941,650 38,668,550
------------ ------------ ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS ................................................ 54,859,999 $ 3,815,602 $ 19,028,758 $ 39,348,843
============ ============ ============ ============
<CAPTION>
T. Rowe
Price
International Endeavor Endeavor
Stock Select 50 High Yield
Portfolio Portfolio* Portfolio*
--------- ---------- ----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ........................................................ $ 3,519,065 $ 280,291 $ --
Interest ......................................................... 35,823 130,229 299,887
Foreign taxes withheld ........................................... (443,175) (8,414) --
------------ ------------ ------------
Total Investment Income ....................................... 3,111,713 402,106 299,887
EXPENSES:
------------ ------------ ------------
Investment management fee (Note 2) ............................... 1,603,389 197,853 29,230
Administration fees (Note 2) ..................................... -- 36,666 23,333
Custodian fees (Note 2) .......................................... 196,890 23,764 5,079
Transfer agent fees .............................................. 767 482 184
Marketing fees paid indirectly (Note 2) .......................... -- -- --
Professional fees ................................................ 33,354 4,607 564
Amortization of organization costs
(Note 5) ........................................................ -- 7,125 2,629
Trustees' fees and expenses (Note 2) ............................. 12,630 1,073 255
Printing fees .................................................... 21,025 719 130
Insurance fees ................................................... 2,162 -- --
Other ............................................................ 81,389 5,735 8
------------ ------------ ------------
Subtotal ........................................................ 1,951,606 278,024 61,412
------------ ------------ ------------
Waiver/reimbursement (Note 2) .................................... -- (9,166) (5,833)
Fees paid indirectly (Note 2) .................................... -- -- --
Credits allowed by the custodian (Note 2) ........................ (196,795) (1,352) (5,079)
------------ ------------ ------------
Total expenses .................................................. 1,754,811 267,506 50,500
------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) ..................................... 1,356,902 134,600 249,387
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY (Notes 1 and 3):
Net realized gain/(loss) on:
Securities ...................................................... 1,308,800 (1,832,716) (84,682)
Futures contracts ............................................... -- -- --
Forward foreign exchange contracts .............................. 5,368 (65,488) 980
Foreign currencies and net other assets ......................... 310,868 (387,675) (947)
------------ ------------ ------------
Net realized gain/(loss) on investments
and foreign currency during the period .......................... 1,625,036 (2,285,879) (84,649)
------------ ------------ ------------
Net change in unrealized appreciation/depreciation
of:
Securities ...................................................... 21,840,568 2,729,048 (257,406)
Futures contracts ............................................... -- -- --
Forward foreign exchange contracts .............................. -- -- --
Foreign currencies and net other assets ......................... 11,674 106,914 --
------------ ------------ ------------
Net unrealized appreciation/(depreciation)
of investments and foreign currency
during the period ............................................... 21,852,242 2,835,962 (257,406)
------------ ------------ ------------
Net realized and unrealized gain/(loss) on
investments and foreign currency
during the period ............................................... 23,477,278 550,083 (342,055)
------------ ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .. $ 24,834,180 $ 684,683 $ (92,668)
============ ============ ============
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
For the Period Ended December 31, 1998
<TABLE>
<CAPTION>
Dreyfus
Dreyfus U.S. Endeavor Endeavor Endeavor
Small Cap Government Enhanced Opportunity Value
Value Securities Index Value Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net investment income /(loss) ................. $ (352,684) $ 3,392,493 $ 181,201 $ 462,621 $ 2,622,823
Net realized gain/(loss) on
investments sold, futures contracts,
forward foreign exchange contracts,
foreign currencies and net other
assets during the period ..................... 14,911,403 1,454,088 3,975,442 418,980 9,505,824
Net unrealized appreciation/depreciation of
investments, futures contracts, forward
foreign exchange contracts, foreign
currencies and net other assets
during the period ............................ (18,149,967) (259,787) 6,695,474 547,081 4,084,777
------------- ------------- ------------- ------------- -------------
Net increase/(decrease) in net assets
resulting from operations .................... (3,591,248) 4,586,794 10,852,117 1,428,682 16,213,424
Distributions to shareholders from
net investment income ........................ (227,013) (1,993,080) (41,306) (168,154) (2,379,221)
Distributions to shareholders
from net realized gains ...................... (19,963,527) (14,764) (94,085) (273,333) (4,227,268)
Net increase/(decrease) in net assets
from Portfolio share transactions
(Note 4) ..................................... 36,248,665 33,768,028 33,529,696 17,717,122 20,456,351
------------- ------------- ------------- ------------- -------------
Net increase in net assets .................... 12,466,877 36,346,978 44,246,422 18,704,317 30,063,286
NET ASSETS:
Beginning of period ........................... 146,195,121 46,541,981 19,811,286 26,801,970 216,038,578
------------- ------------- ------------- ------------- -------------
End of period ................................. $ 158,661,998 $ 82,888,959 $ 64,057,708 $ 45,506,287 $ 246,101,864
============= ============= ============= ============= =============
Undistributed net investment
income ...................................... $ -- $ 3,356,679 $ 185,177 $ 467,076 $ 2,612,240
============= ============= ============= ============= =============
</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.
66
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
For the Period Ended December 31, 1998
<TABLE>
<CAPTION>
T. Rowe T. Rowe
Endeavor Endeavor Price Price
Asset Money Equity Growth
Allocation Market Income Stock
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net investment income /(loss) .......................... $ 6,431,715 $ 3,814,582 $ 5,087,108 $ 680,293
Net realized gain/(loss) on
investments sold, futures contracts,
forward foreign exchange contracts,
foreign currencies and net other
assets during the period .............................. 80,203,003 1,020 11,839,723 16,344,563
Net unrealized appreciation/depreciation of
investments, futures contracts, forward foreign
exchange contracts, foreign
currencies and net other assets
during the period...................................... (31,774,719) -- 2,101,927 22,323,987
------------- ------------- ------------- -------------
Net increase/(decrease) in net assets
resulting from operations
Distributions to shareholders from ..................... 54,859,999 3,815,602 19,028,758 39,348,843
net investment income
Distributions to shareholders .......................... (4,399,126) (3,814,561) (3,237,538) (304,122)
from net realized gains
Net increase/(decrease) in net assets .................. (28,024,060) -- (8,216,569) (6,475,158)
from Portfolio share transactions
(Note 4) 27,461,850 49,769,152 57,525,460 38,502,251
------------- ------------- ------------- -------------
Net increase in net assets 49,898,663 49,770,193 65,100,111 71,071,814
NET ASSETS:
Beginning of period 303,102,148 51,161,630 197,228,099 123,229,515
------------- ------------- ------------- -------------
End of period
$ 353,000,811 $ 100,931,823 $ 262,328,210 $ 194,301,329
============= ============= ============= =============
Undistributed net investment
income
$ 6,409,743 $ 41 $ 5,103,379 $ 507,841
============= ============= ============= =============
<CAPTION>
T. Rowe
Price
International Endeavor Endeavor
Stock Select 50 High Yield
Portfolio Portfolio* Portfolio*
--------- ---------- ----------
<S> <C> <C> <C>
Net investment income /(loss) ................................. $ 1,356,902 $ 134,600 $ 249,387
Net realized gain/(loss) on
investments sold, futures contracts,
forward foreign exchange contracts,
foreign currencies and net other
assets during the period ..................................... 1,625,036 (2,285,879) (84,649)
Net unrealized appreciation/depreciation of
investments, futures contracts, forward foreign
exchange contracts, foreign
currencies and net other assets
during the period............................................. 21,852,242 2,835,962 (257,406)
------------- ------------- -------------
Net increase/(decrease) in net assets
resulting from operations
Distributions to shareholders from ............................ 24,834,180 684,683 (92,668)
net investment income
Distributions to shareholders ................................. (1,283,067) -- --
from net realized gains
Net increase/(decrease) in net assets ......................... (1,306,396) -- --
from Portfolio share transactions
(Note 4) (1,948,591) 24,180,102 9,911,989
------------- ------------- -------------
Net increase in net assets 20,296,126 24,864,785 9,819,321
NET ASSETS:
Beginning of period 164,560,224 -- --
------------- ------------- -------------
End of period $ 184,856,350 $ 24,864,785 $ 9,819,321
============= ============= =============
Undistributed net investment
income $ 1,612,898 $ -- $ 252,079
============= ============= =============
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
For the Period Ended December 31, 1997
<TABLE>
<CAPTION>
Dreyfus
Dreyfus U.S. Endeavor Endeavor Endeavor
Small Cap Government Enhanced Opportunity Value
Value Securities Index Value Equity
Portfolio Portfolio Portfolio* Portfolio Portfolio
--------- --------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net investment income .......................... $ 228,043 $ 2,004,298 $ 36,949 $ 163,568 $ 2,371,321
Net realized gain/(loss) on
investments sold, forward foreign
exchange contracts, foreign currencies
and net other assets
during the period ........................... 19,822,899 275,682 92,956 273,333 4,215,649
Net unrealized appreciation/depreciation
of investments, forward foreign
exchange contracts, foreign
currencies and net other assets
during the period ........................... 3,374,069 1,065,295 1,240,563 1,212,229 30,856,935
------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ................... 23,425,011 3,345,275 1,370,468 1,649,130 37,443,905
Distributions to shareholders from
net investment income ....................... (635,811) (1,063,251) -- (851) (1,246,683)
Distributions to shareholders
from net realized gains ..................... (11,059,249) -- -- -- (4,562,514)
Net increase in net assets from
Portfolio share transactions
(Note 4) ................................... 48,661,722 19,532,755 18,440,818 24,452,566 56,476,575
------------- ------------- ------------- ------------- -------------
Net increase in net assets ..................... 60,391,673 21,814,779 19,811,286 26,100,845 88,111,283
NET ASSETS:
Beginning of period ............................ 85,803,448 24,727,202 -- 701,125 127,927,295
------------- ------------- ------------- ------------- -------------
End of period .................................. $ 146,195,121 $ 46,541,981 $ 19,811,286 $ 26,801,970 $ 216,038,578
============= ============= ============= ============= =============
Undistributed net investment
income ...................................... $ 227,013 $ 1,990,775 $ 40,282 $ 167,809 $ 2,368,638
============= ============= ============= ============= =============
</TABLE>
- -----------------
* The Endeavor Enhanced Index Portfolio commenced operations on May 2, 1997.
See Notes to Financial Statements.
68
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Endeavor Series Trust
For the Period Ended December 31, 1997
<TABLE>
<CAPTION>
T. Rowe T. Rowe T. Rowe
Endeavor Endeavor Price Price Price
Asset Money Equity Growth International
Allocation Market Income Stock Stock
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net investment income ......................... $ 4,415,112 $ 2,583,968 $ 3,313,129 $ 333,645 $ 1,162,416
Net realized gain/(loss) on
investments sold, forward foreign
exchange contracts, foreign currencies
and net other assets
during the period .......................... 34,569,832 (146) 8,157,837 6,355,972 3,713,928
Net unrealized appreciation/depreciation
of investments, forward foreign
exchange contracts, foreign
currencies and net other assets
during the period .......................... 10,307,208 -- 21,564,992 15,152,190 (1,972,757)
------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations .................. 49,292,152 2,583,822 33,035,958 21,841,807 2,903,587
Distributions to shareholders from
net investment income ...................... (3,471,255) (2,583,948) (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) ................................... 17,071,624 9,616,484 89,195,889 42,294,928 28,267,957
------------- ------------- ------------- ------------- -------------
Net increase in net assets .................... 62,892,521 9,616,358 118,977,243 63,497,122 30,124,977
NET ASSETS:
Beginning of period ........................... 240,209,627 41,545,272 78,250,856 59,732,393 134,435,247
------------- ------------- ------------- ------------- -------------
End of period ................................. $ 303,102,148 $ 51,161,630 $ 197,228,099 $ 123,229,515 $ 164,560,224
============= ============= ============= ============= =============
Undistributed net investment
income ..................................... $ 4,396,467 $ 20 $ 3,262,979 $ 301,437 $ 697,873
============= ============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/98 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 year .......................... $ 16.41 $ 14.69 $ 12.22 $ 10.98 $ 11.18
-------- ---------- --------- --------- --------
Net investment income/(loss) ................................ (0.03) 0.02 0.12 0.15 0.10
Net realized and unrealized gain/(loss) on investments ...... (0.13) 3.52 2.95 1.36 (0.30)
-------- ---------- --------- --------- --------
Net increase/(decrease) in net assets resulting
from investment operations .......................... (0.16) 3.54 3.07 1.51 (0.20)
-------- ---------- --------- --------- --------
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 year ................................ $ 14.14 $ 16.41 $ 14.69 $ 12.22 $ 10.9
======== ========== ========= ========= ========
Total return+ ............................................... (2.18)% 25.56% 25.63% 14.05% (1.79)%
======== ========== ========= ========= ========
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's) .......................... $158,662 $ 146,195 $ 85,803 $ 52,597 $ 35,966
Ratio of net investment income/(loss) to average net assets . (0.23)% 0.20% 0.95% 1.56% 0.89%
Ratio of operating expenses to average net assets ........... 0.86% 0.91% 0.92% 0.87% 1.03%
Ratio of operating expenses to average net assets before fees
paid indirectly and credits allowed by the custodian 0.94% 0.91% 0.92% 0.87% 1.03%
Portfolio turnover rate ..................................... 183% 127% 171% 75% 77%
</TABLE>
- ---------------------
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the average share method which
more appropriately presents the per share data for the year since use of
the undistributed method did not accord with results of operations.
# The Dreyfus Corporation became the Portfolio's Adviser effective September
16, 1996.
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Year Year Period
Ended Ended Ended Ended Ended
12/31/98 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 ................................... 0.40 0.39 0.62 0.30 0.24#
Net realized and unrealized gain/(loss) on investments .. 0.46 0.61 (0.44) 1.25 (0.28)
--------- ---------- ----------- ---------- -----------
Net increase/(decrease) in net assets resulting
from investment operations ............................ 0.86 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 .......................... $ 12.32 $ 11.87 $ 11.23 $ 11.39 $ 9.96
========= ========== =========== ========== ===========
Total return++ .......................................... 7.38% 9.15% 1.81% 15.64% (0.40)%
========= ========== =========== ========== ===========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) .................... $ 82,889 $ 46,542 $ 24,727 $ 12,718 $ 3,505
Ratio of net investment income to average net assets .... 5.21% 5.74% 5.68% 5.58% 4.14%+
Ratio of operating expenses to average net assets ....... 0.72% 0.80% 0.82% 0.84% 0.78%+
Ratio of operating expenses to average net assets
before waivers/reimbursement and credits
allowed by the custodian ............................... 0.73% 0.80% 0.82% 0.84% 1.83%+
Portfolio turnover rate ................................. 615% 185% 222% 161% 100%
</TABLE>
- ----------------
* The Portfolio commenced operations on May 13, 1994.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the average share method which
more appropriately presents the per share data for the period since use of
the undistributed method did not accord with results of operations.
# Net investment income before fees waived and reimbursement of expenses by
investment manager for the period ended December 31, 1994 was $0.18.
## Amount represents less than $(0.01).
See Notes to Financial Statements.
71
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Period
Ended Ended
12/31/98 12/31/97*
--------- ---------
<S> <C> <C>
Operating performance:
Net asset value, beginning of period ....................................................... $ 12.29 $ 10.00
--------- ---------
Net investment income ...................................................................... 0.04 0.02#
Net realized and unrealized gain on investments ............................................ 3.81 2.27
--------- ---------
Net increase in net assets resulting from investment operations ............................ 3.85 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 ............................................................. $ 16.08 $ 12.29
========= =========
Total return++ ............................................................................ 31.39% 22.90%
========= =========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) ....................................................... $ 64,058 $ 19,811
Ratio of net investment income to average net assets ....................................... 0.48% 0.55%+
Ratio of operating expenses to average net assets .......................................... 1.10% 1.30%+
Ratio of operating expenses to average net assets before waivers/reimbursement
and credits allowed by the custodian ............................................... 1.10% 1.56%+
Portfolio turnover rate .................................................................... 78% 6%
</TABLE>
- -------------------------------------------------------
* The Portfolio commenced operations on May 2, 1997.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Net investment income before waiver/reimbursement of expenses by investment
manager for the period ended December 31, 1997 was $0.01.
See Notes to Financial Statements.
72
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Period
Ended Ended Ended
12/31/98 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)# ............................................................ 0.11 0.07 (0.00)##
Net realized and unrealized gain on investments .......................................... 0.50 1.62 0.06
-------- -------- --------
Net increase in net assets resulting from investment operations .......................... 0.61 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 ........................................................... $ 12.22 $ 11.75 $ 10.06
======== ======== ========
Total return++ .......................................................................... 5.18% 16.81% 0.60%
======== ======== ========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) ..................................................... $ 45,506 $ 26,802 $ 701
Ratio of net investment income/(loss) to average net assets .............................. 1.22% 1.34% (1.09)%+
Ratio of operating expenses to average net assets ........................................ 0.98% 1.15% 1.30%+
Ratio of operating expenses to average net assets before waivers/reimbursement, fees paid
indirectly and credits allowed by the custodian ......................................... 1.00% 1.16% 12.69%+
Portfolio turnover rate .................................................................. 43% 44% 0%
</TABLE>
- ------------------
* The Portfolio commenced operations on November 18, 1996.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Net investment loss before waiver/reimbursement of expenses by investment
manager for the period ended December 31, 1996 was ($0.04).
## Amount represents less than $(0.01) per share.
See Notes to Financial Statements.
73
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Value Equity Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/98 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 year .......................... $ 20.70 $ 17.21 $ 14.23 $ 10.69 $ 10.28
-------- -------- -------- -------- --------
Net investment income ....................................... 0.22 0.20 0.20 0.15 0.09
Net realized and unrealized gain on investments ............. 1.36 3.96 3.15 3.52 0.33
-------- -------- -------- -------- --------
Net increase in net assets resulting from
investment operations ............................... 1.58 4.16 3.35 3.67 0.42
-------- -------- -------- -------- --------
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)
-------- -------- -------- -------- --------
Net asset value, end of year ................................ $ 21.68 $ 20.70 $ 17.21 $ 14.23 $ 10.69
======== ======== ======== ======== ========
Total return+ .............................................. 7.56% 24.81% 23.84% 34.59% 4.09%
======== ======== ======== ======== ========
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's) ......................... $246,102 $216,039 $127,927 $ 68,630 $ 32,776
Ratio of net investment income to average net assets ........ 1.10% 1.39% 1.29% 1.56% 1.31%
Ratio of operating expenses to average net assets ........... 0.84% 0.89% 0.91% 0.86% 1.02%
Ratio of operating expenses to average net assets before fees
paid indirectly and credits allowed by the custodian. 0.85% 0.89% 0.91% 0.86% 1.02%
Portfolio turnover rate ..................................... 19% 16% 27% 28% 56%
</TABLE>
- -------------------------------------------
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the average share method which
more appropriately presents the per share data for the year since use of
the undistributed method did not accord with results of operations.
See Notes to Financial Statements.
74
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/98# 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 year .......................... $ 22.34 $ 18.84 $ 16.28 $ 13.48 $ 14.30
--------- -------- -------- -------- ---------
Net investment income ....................................... 0.43 0.32 0.27 0.33 0.28
Net realized and unrealized gain/(loss) on investments ...... 3.50 3.45 2.61 2.72 (1.03)
--------- -------- -------- -------- ---------
Net increase/(decrease) in net assets resulting from
investment operations ............................... 3.93 3.77 2.88 3.05 (0.75)
--------- -------- -------- -------- ---------
Distributions:
Dividends from net investment income ........................ (0.32) (0.27) (0.32) (0.25) (0.07)
Distributions from net realized gains ....................... (2.06) -- -- -- --
--------- -------- -------- -------- ---------
Total distributions ......................................... (2.38) (0.27) (0.32) (0.25) (0.07)
--------- -------- -------- -------- ---------
Net asset value, end of year ................................ $ 23.89 $ 22.34 $ 18.84 $ 16.28 $ 13.48
========= ======== ======== ======== =========
Total return+ ............................................... 18.39% 20.14% 17.82% 22.91% (5.28)%
========= ======== ======== ======== =========
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's) .......................... $ 353,001 $303,102 $240,210 $198,876 $ 172,449
Ratio of net investment income to average net assets ........ 1.97% 1.61% 1.59% 2.12% 2.03%
Ratio of operating expenses to average net assets ........... 0.78% 0.84% 0.85% 0.84% 0.90%
Ratio of operating expenses to average net assets before fees
paid indirectly and credits allowed by the custodian. 0.80% 0.84% 0.85% 0.84% 0.90%
Portfolio turnover rate ..................................... 262% 67% 58% 93% 67%
</TABLE>
- ---------------------------------------------
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the average share method which
more appropriately presents the per share data for the year since use of
the undistributed method did not accord with results of operations.
# Morgan Stanley Asset Management became the Portfolio's Adviser effective
April 1, 1998.
See Notes to Financial Statements.
75
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Money Market Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/98# 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 year ..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- -------- ---------- ---------- -----------
Net investment income .................................. 0.0485 0.0498 0.0479 0.0540 0.0337
--------- -------- ---------- ---------- -----------
Distributions:
Dividends from net investment income ................... (0.0485) (0.0498) (0.0479) (0.0540) (0.0336)
Distributions from net realized gains .................. -- -- -- -- (0.0001)
--------- -------- ---------- ---------- -----------
Total distributions .................................... (0.0485) (0.0498) (0.0479) (0.0540) (0.0337)
--------- -------- ---------- ---------- -----------
Net asset value, end of year ........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ======== ========== ========== ===========
Total return+ ......................................... 4.96% 5.07% 4.91% 5.54% 3.41%
========= ======== ========== ========== ===========
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's) ..................... $ 100,932 $ 51,162 $ 41,545 $ 27,551 $ 20,766
Ratio of net investment income to average net assets ... 4.92% 4.99% 4.81% 5.37% 3.58%
Ratio of operating expenses to average net assets ...... 0.60% 0.60% 0.60% 0.60% 0.85%
Ratio of operating expenses to average net assets before
credits allowed by the custodian ...................... 0.60% 0.60% 0.60% 0.60% 0.85%
</TABLE>
- ---------------
+ Total return represents aggregate total return for the years indicated.
# Morgan Stanley Asset Management became the Portfolio's Adviser effective
April 1, 1998.
See Notes to Financial Statements.
76
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Year Period
Ended Ended Ended Ended
12/31/98 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 ............................................ 0.35 0.25 0.41 0.34
Net realized and unrealized gain on investments .................. 1.33 4.06 2.17 2.71
------- ------- ------- -------
Net increase in net assets resulting from investment operations .. 1.68 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 ................................... $ 20.04 $ 19.34 $ 15.49 $ 13.05
======= ======= ======= =======
Total return++ ................................................... 8.81% 28.27% 19.88% 30.50%
======= ======= ======= =======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) ............................. $ 262,328 $197,228 $78,251 $ 21,910
Ratio of net investment income to average net assets ............. 2.18% 2.47% 2.89% 3.24%+
Ratio of operating expenses to average net assets ................ 0.85% 0.94% 0.96% 1.15%+
Ratio of operating expenses to average net assets before fees
paid indirectly and credits allowed by the custodian............ 0.85% 0.94% 0.96% 1.15%+
Portfolio turnover rate .......................................... 20% 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 average share method which
more appropriately presents the per share data for the periods since use of
the undistributed method did not accord with results of operations.
See Notes to Financial Statements.
77
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Year Period
Ended Ended Ended Ended
12/31/98 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 ....................................... 0.06 0.04 0.11 0.08
Net realized and unrealized gain on investments ............. 5.76 4.59 2.71 3.64
--------- --------- --------- --------
Net increase in net assets resulting from
investment operations ..................................... 5.82 4.63 2.82 3.72
--------- --------- --------- --------
Distributions:
Dividends from net investment income ........................ (0.05) (0.03) (0.01) --
Distributions from net realized gains ....................... (0.95) (0.11) (0.24) --
--------- --------- --------- --------
Total distributions ......................................... (1.00) (0.14) (0.25) --
--------- --------- --------- --------
Net asset value, end of period .............................. $ 25.60 $ 20.78 $ 16.29 $ 13.72
========= ========= ========= ========
Total return++ .............................................. 28.67% 28.57% 20.77% 37.20%
========= ========= ========= ========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) ........................ $ 194,301 $ 123,230 $ 59,732 $ 21,651
Ratio of net investment income to average net assets ........ 0.43% 0.38% 0.75% 0.69%+
Ratio of operating expenses to average net assets ........... 0.87% 0.96% 1.01% 1.26%+
Ratio of operating expenses to average net assets before fees
paid indirectly and credits allowed by the custodian ...... 0.87% 0.96% 1.01% 1.26%+
Portfolio turnover rate ..................................... 58% 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 average share method which
more appropriately presents the per share data for the periods since use of
the undistributed method did not accord with results of operations.
See Notes to Financial Statements.
78
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended* Ended
12/31/98++ 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 year ...................... $ 14.21 $ 13.95 $ 12.19 $ 11.31 $ 11.99
-------- -------- -------- -------- --------
Net investment income/(loss) ............................ 0.12 0.10 0.09 0.09 (0.02)
Net realized and unrealized gain/(loss) on investments .. 2.08 0.26 1.76 1.06 (0.66)
-------- -------- -------- -------- --------
Net increase/(decrease) in net assets resulting from
investment operations ........................... 2.20 0.36 1.85 1.15 (0.68)
-------- -------- -------- -------- --------
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 year ............................ $ 16.19 $ 14.21 $ 13.95 $ 12.19 $ 11.31
======== ======== ======== ======== ========
Total return+ .......................................... 15.44% 2.54% 15.23% 10.37% (5.67)%
======== ======== ======== ======== ========
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's) ...................... $184,856 $164,560 $134,435 $ 92,352 $ 84,102
Ratio of net investment income/(loss) to average
net assets.............................................. 0.76% 0.74% 0.73% 0.81% (0.16)%
Ratio of operating expenses to average net assets ....... 0.98% 1.07% 1.18% 1.15% 1.16%
Ratio of operating expenses to average net assets
before credits allowed by the custodian ........ 1.10% 1.12% 1.18% 1.15% 1.16%
Portfolio turnover rate ................................. 21% 19% 11% 111% 88%
</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).
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the average share method
which more appropriately presents the per share data for the year 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.
79
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor Select 50 Portfolio
For a Portfolio share outstanding throughout the period
<TABLE>
<CAPTION>
Period
Ended
12/31/98*+++
--------------
<S> <C>
Operating performance:
Net asset value, beginning of period ............................. $ 10.00
-------------
Net investment income ............................................ 0.07
Net realized and unrealized gain on investments .................. 0.59
-------------
Net increase in net assets resulting from investment operations .. 0.66
-------------
Net asset value, end of period ................................... $ 10.66
=============
Total return++ ................................................... 6.60%
=============
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) ............................. $ 24,865
Ratio of net investment income to average net assets ............. 0.75%+
Ratio of operating expenses to average net assets ................ 1.49%+
Ratio of operating expenses to average net assets before
waivers/reimbursement and credits allowed by the custodian ..... 1.55%+
Portfolio turnover rate .......................................... 128%
</TABLE>
- -------------------------------------------------------
* The Portfolio commenced operations on February 3, 1998.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Per share amounts have been calculated using the 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.
80
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Endeavor Series Trust
Endeavor High Yield Portfolio
For a Portfolio share outstanding throughout the period
<TABLE>
<CAPTION>
Period
Ended
12/31/98*
------------
<S> <C>
Operating performance:
Net asset value, beginning of period .............................. $ 10.00
------------
Net investment income ............................................. 0.25
Net realized and unrealized loss on investments ................... (0.56)
------------
Net decrease in net assets resulting from investment operations ... (0.31)
------------
Net asset value, end of period .................................... $ 9.69
============
Total return++ .................................................... (3.10)%
============
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) .............................. $ 9,819
Ratio of net investment income to average net assets .............. 6.43%+
Ratio of operating expenses to average net assets ................. 1.30%+
Ratio of operating expenses to average net assets before
waivers/reimbursement and credits allowed by the custodian...... 1.58%+
Portfolio turnover rate ........................................... 26%
</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.
81
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
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.
82
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
Futures Contracts:
Certain of the Portfolios may engage in futures contracts for the purpose of
hedging against the value of the portfolio securities held and in the value of
the securities a Portfolio intends to purchase, in order to maintain liquidity.
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 a 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.
Financial futures contracts open at December 31, 1998 were as follows:
<TABLE>
<CAPTION>
Notional Expiration Unrealized
Contracts Cost Amount Date Gain/(Loss)
--------------------------------------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Dreyfus U.S. Government
Securities Portfolio............... (32)30 Year U. S. Treasury bond contracts $ 4,171,000 March 1999 $ 59,205
Endeavor Enhanced Index Portfolio.... 4 S&P 500 contracts 1,199,587 March 1999 (3,559)
Endeavor Asset Allocation Portfolio.. (124) 5 Year U. S. Treasury note contracts (14,055,053) March 1999 (774)
(14) 10 Year U.S. Treasury note contracts (1,664,236) March 1999 (1,506)
90 30 Year U. S. Treasury bond contract 11,502,355 March 1999 (1,687)
</TABLE>
Options:
Certain of the Portfolios may purchase or write options which are exchange
traded to hedge fluctuation risks in the prices of certain securities. When a
Portfolio writes a call or put option, an amount equal to the premium received
is reflected as a liability. The liability is subsequently "marked-to-market" to
reflect the current market value of the option written. The premium paid by a
Portfolio for the purchase of a call or put option is recorded as an investment
and subsequently "marked-to-market" to reflect the current market value of the
option purchased. A Portfolio is subject to the risk of an imperfect correlation
between movement in the price of the instrument and the price of the underlying
security or transaction. Risks may also arise due to illiquid secondary markets
for the instruments. Written call options open as of December 31, 1998, are as
follows:
<TABLE>
<CAPTION>
Dreyfus U.S. Government Securities Portfolio Number of Exercise Expiration
Name of Issuer contracts Price Date Value
- -------------------------------------------- --------- ----------- ------------- ----------
<C> <C> <C> <C> <C>
10 Year U.S. Treasury note Call ............ 850 $101.78125 December 1999 $ (90,313)
10 Year U.S. Treasury note Put ............. 850 95.125 December 1999 (116,875)
<CAPTION>
Dreyfus U.S. Government Securities Portfolio Par Amount Premiums Received
- -------------------------------------------- ---------- -----------------
<S> <C> <C>
Options outstanding at January 1, 1998 ..... $ -- $ --
Options written ............................ 1,760 441,738
Options exercised .......................... (850) (207,188)
Options expired ............................ -- --
Options closed ............................. (60) (27,362)
---------- ----------
Options outstanding at December 31, 1998 ... $ 850 $ 207,188
========== ==========
</TABLE>
Forward Foreign Currency Contracts:
Dreyfus U.S. Government Securities Portfolio, Endeavor Opportunity Value
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 may engage in forward foreign
currency exchange contracts. A 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 a
Portfolio as an unrealized gain or loss. When the contract is closed, a
83
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
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, a Portfolio could
be exposed to risks if the counterparties to the contracts are unable to meet
the terms of their contracts.
<TABLE>
<CAPTION>
T. Rowe Price Growth Stock Portfolio Value of Contract Settlement Unrealized
Contract to Receive In Exchange for at 12/31/98 Date Depreciation
------------------------------------- --------------- ----------------- ---------- ------------
<S> <C> <C> <C> <C>
997,500 Hong Kong Dollars............ $ 128,934 $ 128,748 01/04/99 $ (186)
</TABLE>
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.
Repurchase Agreements:
The Portfolios may enter into repurchase agreements with a bank, broker-dealer
or other financial institution, which are secured by obligations of the U.S.
government. Each repurchase agreement is at least 100% collateralized. However,
in the event of default or bankruptcy by the counterparty to the agreement,
realization of the collateral may be subject to certain costs, losses or delays.
Dividends and Distributions to Shareholders:
Dividends from net investment income of all Portfolios except Endeavor Money
Market 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.
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.
84
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
Permanent differences incurred during the year ended December 31, 1998,
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 ................. $ (484) $ 352,684 $(352,200)
Dreyfus U.S. Government Securities Portfolio....... -- (33,509) 33,509
Endeavor Enhanced Index Portfolio ................. (5,000) 5,000 --
Endeavor Opportunity Value Portfolio .............. (4,800) 4,800 --
Endeavor Value Equity Portfolio ................... -- -- --
Endeavor Asset Allocation Portfolio ............... -- (302,151) 302,151
T. Rowe Price Equity Income Portfolio ............. (2,340) (9,170) 11,510
T. Rowe Price Growth Stock Portfolio .............. (2,340) (169,767) 172,107
T. Rowe Price International Stock Portfolio........ -- 841,190
Endeavor Select 50 Portfolio ...................... (318,563) (134,600) 453,163
Endeavor High Yield Portfolio ..................... (2,629) 2,692 (63)
</TABLE>
2. Investment Management Fee, Administrative Fee, Investment Advisory Fee and
Other Related Party Transactions
The Fund is managed by Endeavor Management Co. (the "Investment Manager")
pursuant to a management agreement. 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 Endeavor Select 50
Portfolio and 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 $730,000 per
annum, $40,000 of which Endeavor Select 50 Portfolio and Endeavor High Yield
Portfolio reimburse the Investment Manager. For the first year of operations of
the Endeavor Select 50 Portfolio and Endeavor High Yield Portfolio, Investor
Services Group has agreed to waive $10,000 for each Portfolio. In addition, 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. Investor Services Group also serves as
the Fund's transfer agent.
The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank,
N.A., which is a wholly-owned subsidiary of Mellon Bank Corporation, serves as
the Adviser to Dreyfus Small Cap Value Portfolio and Dreyfus U.S. Government
Securities Portfolio. As compensation for its services as investment adviser,
the Investment Manager pays Dreyfus a monthly fee based on a percentage of the
average daily net assets of each Portfolio at the following annual rates:
Dreyfus Small Cap Value Portfolio - .375% and Dreyfus U.S. Government Securities
Portfolio - .15%.
J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary of
J.P. Morgan and Co. Incorporated, serves as the Adviser to 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 Endeavor Opportunity Value Portfolio and Endeavor Value Equity
Portfolio pursuant to separate investment advisory agreements between
85
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
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.
Morgan Stanley Asset Management ("Morgan Stanley"), a subsidiary of Morgan
Stanley Dean Witter & Co., serves as the Adviser to Endeavor Asset Allocation
Portfolio and 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 - .375% and Endeavor Money Market Portfolio - .25%.
T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to T.
Rowe Price Equity Income Portfolio and 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 T. Rowe Price International Stock Portfolio. As compensation for its services
as investment adviser, the Investment Manager pays Price-Fleming a monthly fee
at the annual rate of .75% of the average daily net assets of the Portfolio up
to $20 million, .60% of the average daily net assets of the Portfolio in excess
of $20 million up to $50 million and .50% of the average daily net assets of the
Portfolio in excess of $50 million. At such time as the average daily net assets
of the Portfolio exceed $200 million, the fee shall be .50% of total average
daily net assets.
Montgomery Asset Management, LLC ("Montgomery"), a wholly owned subsidiary of
Commerzbank AG, serves as the Adviser to 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"), an indirect subsidiary of Sun
Life Assurance Company of Canada (U.S.), serves as the Adviser to 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 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%.
Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of
Mellon Bank Corporation, serves as 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 year ended December
31, 1998, the Fund's custodial expenses were reduced by $228,342.
For the year ended December 31, 1998, the Fund incurred total brokerage
commissions of $2,539,971 of which $56,389 was paid to CIBC Oppenheimer Corp, a
former affiliate of OpCap, $733 was paid to Jardine Fleming Group Ltd., $53,797
was paid to Montgomery Securities, Inc., $88,877 was paid to Morgan Stanley &
Co., Inc., $1,003 was paid to Ord Minnett Securities, Ltd., Australia and
$26,509 was paid to Robert Fleming Holdings Ltd., brokers affiliated with
certain of the Portfolios' Advisers. The Fund has asked the Advisers to direct
certain portfolio trades, subject to obtaining the best price and execution, to
brokers who have agreed to share the brokerage commissions with the Fund's
distributor. The recaptured commissions are used solely to promote the marketing
of the Fund's shares. For the year ended December 31, 1998, the recaptured
commissions amount to as follows: Dreyfus Small Cap Value Portfolio - $112,862,
Endeavor Opportunity Value Portfolio - $4,829, Endeavor Value Equity Portfolio -
$28,753, Endeavor Asset Allocation Portfolio - $78,788, T. Rowe Price Equity
Income Portfolio - $1,483; and T. Rowe Price Growth Stock Portfolio - $3,056.
86
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
No director, officer or employee of the Investment Manager, 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, 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 period ended December 31, 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 ............ $ -- $288,071,334 $ -- $268,752,276
Dreyfus U.S. Government Securities Portfolio.. 299,238,592 137,452,578 277,070,323 124,524,385
Endeavor Enhanced Index Portfolio ............ -- 62,648,206 -- 29,016,386
Endeavor Opportunity Value Portfolio ......... -- 32,114,402 -- 13,294,427
Endeavor Value Equity Portfolio .............. -- 86,942,459 -- 40,156,753
Endeavor Asset Allocation Portfolio .......... 465,684,684 422,186,331 449,464,481 410,421,846
T. Rowe Price Equity Income Portfolio ........ -- 98,288,897 100,000 42,530,457
T. Rowe Price Growth Stock Portfolio ......... -- 115,970,920 -- 85,764,814
T. Rowe Price International Stock Portfolio .. -- 35,119,019 -- 37,185,326
Endeavor Select 50 Portfolio ................. -- 46,138,298 -- 23,232,340
Endeavor High Yield Portfolio ................ -- 11,166,844 -- 1,682,778
</TABLE>
At December 31, 1998, the Dreyfus U.S. Government Securities Portfolio and the
Endeavor Asset Allocation Portfolio had liabilities for securities purchased of
$4,260,382 and $64,673,170, respectively.
At December 31, 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
Unrealized Unrealized Net Unrealized
Appreciation Depreciation Appreciation/(Depreciation)
------------ ------------ ---------------------------
<S> <C> <C> <C>
Dreyfus Small Cap Value Portfolio ............ $ 16,760,966 $ 26,780,277 $(10,019,311)
Dreyfus U.S. Government Securities Portfolio.. 1,138,603 267,115 871,488
Endeavor Enhanced Index Portfolio ............ 10,212,991 2,371,019 7,841,972
Endeavor Opportunity Value Portfolio ......... 5,272,890 3,513,420 1,759,470
Endeavor Value Equity Portfolio .............. 73,842,317 12,551,066 61,291,251
Endeavor Asset Allocation Portfolio .......... 49,289,772 5,423,875 43,865,897
T. Rowe Price Equity Income Portfolio ........ 46,231,562 14,599,839 31,631,723
T. Rowe Price Growth Stock Portfolio ......... 52,384,262 6,225,921 46,158,341
T. Rowe Price International Stock Portfolio... 53,203,857 14,181,408 39,022,449
Endeavor Select 50 Portfolio.................. 3,792,491 1,081,593 2,710,898
Endeavor High Yield Portfolio................. 109,568 147,937 (257,505)
</TABLE>
87
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
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>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Dreyfus Small Cap Value Portfolio:
Sold ........................................ 2,899,864 $ 42,743,796 2,854,599 $ 46,267,300
Issued as reinvestment of dividends.......... 1,295,096 20,190,540 796,124 11,695,060
Redeemed .................................... (1,883,943) (26,685,671) (579,781) (9,300,638)
----------- ------------ ----------- ------------
Net increase ................................ 2,311,017 $ 36,248,665 3,070,942 $ 48,661,722
=========== ============ =========== ============
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Dreyfus U.S. Government Securities Portfolio:
Sold ........................................ 3,690,177 $ 44,539,243 2,054,139 $ 23,404,469
Issued as reinvestment of dividends ......... 170,284 2,007,843 96,135 1,063,251
Redeemed .................................... (1,053,685) (12,779,058) (432,109) (4,934,965)
----------- ------------ ----------- ------------
Net increase ................................ 2,806,776 $ 33,768,028 1,718,165 $ 19,532,755
=========== ============ =========== ============
<CAPTION>
Year Ended Period Ended
12/31/98 12/31/97#
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Endeavor Enhanced Index Portfolio:
Sold ........................................ 4,215,132 $ 59,485,332 1,676,961 $ 19,232,288
Issued as reinvestment of dividends.......... 9,636 135,390 -- --
Redeemed .................................... (1,853,116) (26,091,026) (65,048) (791,470)
----------- ------------ ----------- ------------
Net increase ................................ 2,371,652 $ 33,529,696 1,611,913 $ 18,440,818
=========== ============ =========== ============
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Endeavor Opportunity Value Portfolio:
Sold ........................................ 1,806,222 $ 22,044,219 2,313,198 $ 25,586,520
Issued as reinvestment of dividends ......... 35,206 441,487 80 852
Redeemed .................................... (398,330) (4,768,584) (102,942) (1,134,806)
----------- ------------ ----------- ------------
Net increase ................................ 1,443,098 $ 17,717,122 2,210,336 $ 24,452,566
=========== ============ =========== ============
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Endeavor Value Equity Portfolio:
Sold ........................................ 1,927,902 $ 41,464,781 3,232,180 $ 61,464,872
Issued as reinvestment of dividends.......... 297,346 6,606,489 325,993 5,809,197
Redeemed .................................... (1,309,035) (27,614,919) (557,099) (10,797,494)
----------- ------------ ----------- ------------
Net increase................................. 916,213 $ 20,456,351 3,001,074 $ 56,476,575
=========== ============ =========== ============
</TABLE>
88
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
<TABLE>
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
Endeavor Asset Allocation Portfolio:
Sold ........................................ 1,760,590 $ 40,360,655 1,736,406 $ 36,394,153
Issued as reinvestment of dividends.......... 1,453,955 32,423,186 170,745 3,471,255
Redeemed .................................... (2,003,298) (45,321,991) (1,086,805) (22,793,784)
------------ ------------ ------------ ------------
Net increase ................................ 1,211,247 $ 27,461,850 820,346 $ 17,071,624
============ ============ ============ ============
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares and Amount Shares and Amount
------------------- -------------------
<S> <C> <C>
Endeavor Money Market Portfolio:
Sold ........................................ $ 125,313,555 $ 60,627,400
Issued as reinvestment of dividends.......... 3,172,335 2,583,983
Redeemed .................................... (78,716,738) (53,594,899)
------------- -------------
Net increase ................................ $ 49,769,152 $ 9,616,484
============= =============
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
T. Rowe Price Equity Income Portfolio:
Sold ........................................ 3,467,152 $ 68,060,919 5,318,386 $ 92,122,352
Issued as reinvestment of dividends ......... 584,990 11,454,107 195,942 3,254,603
Redeemed .................................... (1,163,019) (21,989,566) (367,672) (6,181,066)
------------ ------------ ------------ ------------
Net increase ................................ 2,889,123 $ 57,525,460 5,146,656 $ 89,195,889
============ ============ ============ ============
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
T. Rowe Price Growth Stock Portfolio:
Sold ........................................ 2,192,769 $ 50,311,764 2,718,480 $ 50,798,964
Issued as reinvestment of dividends ......... 301,037 6,779,279 35,593 639,613
Redeemed .................................... (833,503) (18,588,792) (490,826) (9,143,649)
----------- ------------ ----------- ------------
Net increase ................................ 1,660,303 $ 38,502,251 2,263,247 $ 42,294,928
=========== ============ =========== ============
<CAPTION>
Year Ended Year Ended
12/31/98 12/31/97
--------------------------- ---------------------------
Shares Amount Shares Amount
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
T. Rowe Price International Stock Portfolio:
Sold ........................................ 1,639,660 $ 25,500,438 2,814,522 $ 40,791,148
Issued as reinvestment of dividends ......... 162,553 2,589,463 70,239 1,046,567
Redeemed .................................... (1,968,079) (30,038,492) (941,417) (13,569,758)
----------- ------------ ----------- ------------
Net increase/(decrease) ..................... (165,866) $ (1,948,591) 1,943,344 $ 28,267,957
=========== ============ =========== ============
<CAPTION>
Period Ended
12/31/98##
---------------------------
Shares Amount
----------- ------------
<S> <C> <C>
Endeavor Select 50 Portfolio:
Sold ........................................ 2,611,380 $ 27,024,440
Issued as reinvestment of dividends.......... -- --
Redeemed .................................... (279,573) (2,844,338)
----------- ------------
Net increase ................................ 2,331,807 $ 24,180,102
=========== ============
</TABLE>
89
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
Period Ended
12/31/98###
----------------------------
Shares Amount
------------ -------------
Endeavor High Yield Portfolio:
Sold .............................. 1,070,942 $ 10,468,162
Issued as reinvestment of dividends -- --
Redeemed .......................... (57,450) (556,173)
----------- ------------
Net increase ...................... 1,013,492 $ 9,911,989
=========== ============
- --------------------
# The Endeavor Enhanced Index Portfolio commenced operations on May 2, 1997.
## 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. The Endeavor Select 50 Portfolio and Endeavor High Yield Portfolio
capitalized organization costs of $39,156 and $22,408, respectively, during the
period ended December 31, 1998. As of December 31, 1998, all such costs for the
Dreyfus Small Cap Value Portfolio, Endeavor Value Equity Portfolio, Endeavor
Asset Allocation Portfolio, Endeavor Money Market Portfolio and T. Rowe Price
International Stock Portfolio have been fully amortized.
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.
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.
90
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
7. Capital Loss Carryforward
As of December 31, 1998, the Fund had available for federal tax purposes unused
capital loss carryforwards as follows:
Expiring in 2005 Expiring in 2006
---------------- ----------------
Endeavor Money Market Portfolio $ 104 --
Endeavor Select 50 Portfolio $ -- $ 1,814,566
Endeavor High Yield Portfolio $ -- 84,613
91
<PAGE>
- --------------------------------------------------------------------------------
Report of Ernst & Young LLP, Independent Auditors
- --------------------------------------------------------------------------------
Endeavor Series Trust
December 31, 1998
To the Shareholders and Board of Trustees
Endeavor Series Trust
We have audited the accompanying statements of net assets of Endeavor Series
Trust (comprising, respectively, the Dreyfus Small Cap Value, Dreyfus U.S.
Government Securities, Endeavor Enhanced Index, Endeavor Opportunity Value,
Endeavor Value Equity, Endeavor Asset Allocation, Endeavor Money Market, T. Rowe
Price Equity Income, T. Rowe Price Growth Stock, T. Rowe Price International
Stock, Endeavor Select 50, and Endeavor High Yield Portfolios) (the "Fund") as
of December 31, 1998, and the related statements of operations, statements of
changes in net assets and financial highlights for each of the periods indicated
therein. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1998, by correspondence with the custodian
and brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting Endeavor Series Trust at December 31,
1998, and the results of their operations, changes in their net assets and their
financial highlights for each of the periods indicated therein, in conformity
with generally accepted accounting principles.
/s/ Ernst & Young LLP
Philadelphia, Pennsylvania
February 15, 1999
92
