<PAGE>
ENDEAVOR
SERIES TRUST
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
ENDEAVOR HIGH YIELD PORTFOLIO
ENDEAVOR JANUS GROWTH PORTFOLIO
SEMI -- ANNUAL REPORT
---------------------
JUNE 30, 1999
<PAGE>
Dear Shareholder:
I am pleased to report the performance, commentary and portfolio holdings for
Endeavor Series Trust for the six month period ended June 30, 1999. It was a
historical time to be an investor as the Dow Jones Industrial Average(SM) (the
"DJIA") surged past the 10,000 point mark.
I mentioned in my last report that it is our philosophy to offer you
"well-balanced, diversified investment portfolios, utilizing different
investment styles, managed by specialized investment firms." This philosophy
paid off during the last six months as large cap growth stocks continued to be
the market leaders through the first quarter. Then the market seemed to question
the sanity of the ever-rising valuations in the growth sectors and began to
shift into other segments of the market. For the first time in many quarters,
value stocks, small cap stocks and emerging markets stocks outperformed growth
stocks during the second quarter. This shift is reflected in the improved
performance numbers for T. Rowe Price Equity Income, Dreyfus Small Cap Value and
Endeavor Select 50 Portfolios for the period.
The six month period ended June 30, 1999 was an up market for all stock indices:
DJIA +19.5%; S&P 500 +11.7%; NASDAQ Comp +22.5%; Russell 2000 +8.5%; MSCI EAFE
+3.3%. It was a flat or negative period for fixed income investments, as
interest rates rose and bond prices declined.
Looking forward -- what do we see?
We do not believe that growth stocks are finished, but a "breather" would be
healthy. The "reversion to the mean" theme that you are hearing about in the
press is descriptive of what happened during the second quarter. It would say
that, over the long term, value and growth stocks will each have their day as
well as domestic and international stocks. It would also suggest that we should
not expect the US market to keep up the pace it has set for itself. The
long-term annual return for stocks has historically been in the 10-12% range. We
have experienced 20% plus returns for an unprecedented four consecutive years.
As illustrated in the chart, passing a DJIA thousand-point milestone has become
increasingly frequent news.
- --------------------------------------------------------------------------------
DOW MILESTONES
- --------------------------------------------------------------------------------
1,000-2,000 --------------------------------------------------------- 15 years
---------------------------------------------------------
2,000-3,000 -------------------- 4 years
--------------------
3,000-4,000 -------------------- 4 years
--------------------
4,000-5,000 --- 9 months
---
5,000-6,000 ----- 12 months
-----
6,000-7,000 -- 3 months
--
7,000-8,000 -- 5 months
--
8,000-9,000 --- 9 months
---
9,000-10,000 ----- 12 months
-----
10,000-11,000 - 1 month
- --------------------------------------------------------------------------------
Source: Bloomberg Financial, Inc.
Our conclusion is that we are living in a very special time in financial markets
history. Interest rates and inflation are low; corporate profits are strong;
exciting, new technology is being created daily that is reshaping our world; and
demographic trends support continued growth. We suggest that investing should be
approached as a journey and not a race. It takes time and it takes a plan-time
to ride out the swells along the way and a plan to keep your course fixed in
ever-changing conditions. As was evidenced during the second quarter,
diversification is your friend when the winds change quickly.
We are very proud to report the addition of the Endeavor Janus Growth Portfolio
to Endeavor Series Trust. Both Janus and its portfolio managers, Scott
Schoelzel and Ed Keely, are icons in the domestic, large cap growth arena.
I would also like to take this opportunity to talk to you about Y2K. By the
time you read the annual report in late February 2000, it will be behind us. I
want to personally assure you that we are confidently expecting "business as
usual" next January. The officers and Board of Trustees of Endeavor Series
Trust have been monitoring and evaluating the Y2K readiness of our management
sub-advisers, custodian, administrator and all other members of the Endeavor
Series Trust team. We are confident that we are ready for the new millenium.
Thank you for your confidence in us and your continued support.
Sincerely,
/s/ Vincent (VJ) McGuinness, Jr.
Vincent (VJ) McGuinness, Jr.
President
Endeavor Series Trust
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 96.4%
Aerospace and Defense -- 0.8%
81,500 DONCASTERS Plc, Sponsored ADR+...................... $ 1,426,250
1,400 TriStar Aerospace Company+.......................... 11,550
------------
1,437,800
------------
Auto Parts and Equipment -- 2.9%
38,800 Arvin Industries, Inc. ............................. 1,469,550
45,200 Discount Auto Parts, Inc.+.......................... 1,090,450
36,500 Dura Automotive Systems, Inc.+...................... 1,213,625
74,700 Wabash National Corporation......................... 1,447,312
------------
5,220,937
------------
Building and Construction -- 0.5%
64,800 Chicago Bridge & Iron Company N.V., NY Shares....... 903,150
------------
Chemicals -- 4.2%
88,800 Arch Chemicals, Inc.+............................... 2,158,950
81,000 Geon Company........................................ 2,612,250
61,000 M. A. Hanna Company................................. 1,002,687
119,900 RPM, Inc. .......................................... 1,701,081
24,300 Wellman, Inc. ...................................... 387,281
------------
7,862,249
------------
Computers -- 2.6%
168,700 HMT Technology Corporation+......................... 421,750
325,300 Maxtor Corporation+................................. 1,636,666
94,200 Sequent Computer Systems, Inc.+..................... 1,672,050
105,600 Technology Solutions Company+....................... 1,141,800
------------
4,872,266
------------
Computer Service and Software -- 13.7%
90,400 Ardent Software, Inc.+.............................. 1,921,000
79,300 Autodesk, Inc. ..................................... 2,344,306
34,600 Avid Technology, Inc.+.............................. 557,925
48,000 BARRA, Inc.+........................................ 1,212,000
111,100 Cadence Design Systems, Inc.+....................... 1,416,525
85,300 Cambridge Technology Partners, Inc.+................ 1,498,081
427,100 Corel Corporation+.................................. 1,655,012
56,500 GT Interactive Software Corporation+................ 197,750
86,200 Harbinger Corporation+.............................. 1,077,500
123,400 Hyperion Solutions Corporation+..................... 2,198,062
181,900 In Focus Systems, Inc.+............................. 2,728,500
13,200 InaCom Corporation+................................. 166,650
96,100 JDA Software Group, Inc.+........................... 894,931
109,900 Parametric Technology Corporation+.................. 1,524,863
39,200 Project Software & Development, Inc.+............... 1,225,000
48,700 SAGA Systems, Inc.+................................. 620,925
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
27,500 Sterling Software, Inc.+............................ $ 733,906
260,100 Sybase, Inc.+....................................... 2,861,100
------------
24,834,036
------------
Containers -- 0.8%
181,800 Gaylord Container Corporation, Class A+............. 1,443,037
------------
Electronics -- 12.7%
71,200 Alliance Semiconductor Corporation+................. 707,550
12,300 Amkor Technology, Inc.+............................. 126,075
30,000 Cohu, Inc. ......................................... 1,061,250
196,600 Cypress Semiconductor Corporation+.................. 3,243,900
53,200 Electroglas, Inc.+.................................. 1,064,000
59,600 Etec Systems, Inc.+................................. 1,981,700
57,200 FSI International, Inc.+............................ 475,475
17,800 Harman International Industries, Inc. .............. 783,200
190,500 Integrated Device Technology, Inc.+................. 2,071,687
230,000 International Rectifier Corporation+................ 3,061,875
67,800 Lam Research Corporation+........................... 3,165,412
19,100 Sensormatic Electronics Corporation+................ 266,206
54,400 Silicon Valley Group, Inc.+......................... 914,600
61,800 Sterling Commerce, Inc.+............................ 2,255,700
23,300 Trimble Navigation, Ltd.+........................... 299,987
100,400 Varian Semiconductor Equipment Associates, Inc.+.... 1,706,800
------------
23,185,417
------------
Entertainment and Leisure -- 2.7%
111,000 Boyd Gaming Corporation+............................ 777,000
135,500 Callaway Golf Company............................... 1,981,687
233,200 Park Place Entertainment Corporation+............... 2,259,125
------------
5,017,812
------------
Financial Services -- 1.6%
26,600 Affiliated Managers Group, Inc.+.................... 802,987
111,300 ARM Financial Group, Inc., Class A.................. 946,050
43,200 Heller Financial, Inc. ............................. 1,201,500
------------
2,950,537
------------
Food Production -- 0.9%
85,500 International Home Foods, Inc.+..................... 1,576,406
------------
Health Care -- 0.5%
78,800 AmeriPath, Inc.+.................................... 679,650
24,500 Herbalife International, Inc., Class B.............. 211,312
------------
890,962
------------
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Insurance -- 2.8%
75,000 Everest Reinsurance Holdings, Inc. ................. $ 2,446,875
56,200 MONY Group, Inc.+................................... 1,833,525
28,600 SCPIE Holdings, Inc. ............................... 933,075
------------
5,213,475
------------
Manufacturing -- 5.1%
47,000 Intermet Corporation................................ 710,875
72,200 Millipore Corporation............................... 2,928,612
16,000 Nordson Corporation................................. 980,000
47,400 OmniQuip International, Inc. ....................... 373,275
38,600 Polaris Industries, Inc. ........................... 1,679,100
24,100 Toro Company........................................ 948,938
35,800 UCAR International, Inc.+........................... 903,950
400 U.S. Industries, Inc. .............................. 6,800
38,600 Wolverine Tube, Inc.+............................... 969,825
------------
9,501,375
------------
Media and Communications -- 2.2%
252,800 Paging Network, Inc.+............................... 1,216,600
47,000 Snyder Communications, Inc. ........................ 1,539,250
200 StarMedia Network, Inc.+............................ 12,825
42,000 True North Communications, Inc. .................... 1,260,000
------------
4,028,675
------------
Medical and Scientific Supplies -- 5.5%
101,200 Bergen Brunswig Corporation, Class A................ 1,745,700
13,000 ESC Medical Systems, Ltd.+.......................... 82,875
52,700 Ocular Sciences, Inc.+.............................. 915,662
98,200 Quest Diagnostics, Inc.+............................ 2,688,225
76,400 Spacelabs Medical, Inc.+............................ 1,442,050
110,800 Varian, Inc.+....................................... 1,495,800
41,400 West Pharmaceutical Services, Inc. ................. 1,624,950
------------
9,995,262
------------
Oil and Gas -- 8.8%
40,900 BJ Services Company+................................ 1,203,994
82,700 EEX Corporation..................................... 573,731
90,200 Houston Exploration Company+........................ 1,708,163
113,700 Newpark Resources, Inc.+............................ 1,009,088
60,600 Noble Affiliates, Inc. ............................. 1,708,163
268,800 Ocean Energy, Inc.+................................. 2,587,200
143,800 Range Resources Corporation......................... 880,775
65,400 Santa Fe International.............................. 1,504,200
342,600 Santa Fe Snyder Corporation+........................ 2,612,325
80,200 Tesoro Petroleum Corporation+....................... 1,278,188
18,900 Titan Exploration, Inc.+............................ 94,500
32,500 Transocean Offshore, Inc. .......................... 853,125
------------
16,013,452
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Other -- 0.8%
47,500 Applied Industrial Technologies, Inc. .............. $ 902,500
30,300 Watsco, Inc. ....................................... 496,162
------------
1,398,662
------------
Paper and Paper Products -- 1.4%
38,300 Chesapeake Corporation.............................. 1,433,856
32,000 Jefferson Smurfit Group, Plc, Sponsored ADR......... 754,000
17,000 Rock-Tenn Company, Class A.......................... 283,688
------------
2,471,544
------------
Publishing -- 3.7%
89,300 Bowne & Company, Inc. .............................. 1,160,900
21,600 Harcourt General, Inc. ............................. 1,113,750
36,800 Houghton Mifflin Company............................ 1,731,900
187,700 Ziff-Davis, Inc. - ZD+.............................. 2,897,619
------------
6,904,169
------------
Restaurants -- 0.3%
27,200 Bob Evans Farms, Inc. .............................. 540,600
------------
Retail -- 12.3%
43,800 Bon-Ton Stores, Inc.+............................... 281,963
100,800 Brown Shoe Company, Inc. ........................... 2,192,400
123,900 Burlington Coat Factory Warehouse Corporation....... 2,392,819
75,500 Elder-Beerman Stores Corporation+................... 552,094
64,800 Finlay Enterprises, Inc.+........................... 866,700
75,600 General Nutrition Companies, Inc.+.................. 1,762,425
90,700 Micro Warehouse, Inc.+.............................. 1,621,263
193,800 Musicland Stores Corporation+....................... 1,719,975
49,400 Neiman Marcus Group, Inc. .......................... 1,268,963
154,800 OfficeMax, Inc.+.................................... 1,857,600
225,300 Pier 1 Imports, Inc. ............................... 2,534,625
65,400 Saks, Inc.+......................................... 1,888,425
333,700 Venator Group, Inc. ................................ 3,482,994
------------
22,422,246
------------
Services -- 1.5%
50,200 NFO Worldwide, Inc.+................................ 702,800
57,400 Renaissance Worldwide, Inc.+........................ 457,406
26,800 StaffMark, Inc.+.................................... 268,838
93,400 Stewart Enterprises, Inc., Class A.................. 1,360,138
------------
2,789,182
------------
Steel Production -- 1.3%
174,800 Armco, Inc.+........................................ 1,158,050
160,200 Bethlehem Steel Corporation+........................ 1,231,538
------------
2,389,588
------------
Technology -- 1.4%
64,600 Tech Data Corporation+.............................. 2,470,950
------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Textiles and Apparel -- 2.1%
48,300 Burlington Industries, Inc.+........................ $ 437,719
42,900 Maxwell Shoe Company, Inc., Class A+................ 388,781
93,100 Nautica Enterprises, Inc.+.......................... 1,571,063
10,800 Unifi, Inc.+........................................ 229,500
87,300 Wolverine World Wide, Inc. ......................... 1,222,200
------------
3,849,263
------------
Transportation -- 2.4%
99,000 Arkansas Best Corporation........................... 983,813
70,800 Kitty Hawk, Inc.+................................... 557,550
17,200 Knightsbridge Tankers, Ltd. ........................ 301,000
144,400 Yellow Corporation.................................. 2,563,100
------------
4,405,463
------------
Waste Disposal -- 0.9%
92,925 Safety-Kleen Corporation............................ 1,684,266
------------
Total Common Stock
(Cost $160,287,797)................................ 176,272,781
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $160,287,797*)...................................... 96.4% 176,272,781
OTHER ASSETS AND LIABILITIES (Net)......................... 3.6% 2,464,464
------ ------------
NET ASSETS................................................. 100.0% $178,737,245
====== ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
4
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- -----------
<C> <S> <C>
AGENCY SECURITIES -- 27.5%
Federal Home Loan Bank (FHLB) -- 6.2%
FHLB:
$ 550,000 5.590% due 01/05/2001................................ $ 548,537
5,000,000 5.910% due 03/09/2005................................ 4,899,200
-----------
5,447,737
-----------
Federal Home Loan Mortgage Corporation (FHLMC) -- 0.3%
FHLMC Gold:
110,387 9.500% due 07/25/2022................................ 118,423
135,775 9.500% due 12/01/2022................................ 145,787
-----------
264,210
-----------
Financing Corporation (FICO) -- 1.8%
1,876,000 FICO Debentures, Zero Coupon due 11/11/2001+......... 1,614,279
-----------
Government National Mortgage Association (GNMA) -- 8.5%
GNMA:
166,006 8.000% due 07/15/2017................................ 172,334
113,075 8.500% due 12/15/2021................................ 118,855
172,000 9.000% due 12/15/2021................................ 183,287
184,878 7.000% due 11/15/2023................................ 183,549
282,469 7.500% due 12/15/2023................................ 286,175
265,260 8.000% due 06/15/2027................................ 273,218
264,915 8.000% due 07/15/2027................................ 272,863
1,158,113 8.000% due 08/15/2027................................ 1,192,856
5,000,000 6.500% due 07/01/2029................................ 4,808,600
-----------
7,491,737
-----------
Small Business Administration (SBA) -- 4.7%
SBA:
955,388 7.300% due 05/01/2017................................ 968,824
877,272 6.300% due 05/01/2018................................ 846,019
984,063 5.500% due 10/01/2018................................ 903,800
1,476,176 5.800% due 12/01/2018................................ 1,376,996
-----------
4,095,639
-----------
Student Loan Marketing Association (SLMA) -- 3.1%
SLMA,
12,360,000 Zero Coupon due 10/03/2022+.......................... 2,694,109
-----------
Tennessee Valley Authority (TVA) -- 2.9%
TVA, Debentures:
625,000 8.375 % due 10/01/1999............................... 629,394
2,082,660 3.375 % due 01/15/2007............................... 1,938,165
-----------
2,567,559
-----------
Total Agency Securities
(Cost $25,163,234).................................. 24,175,270
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- -----------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- 22.3%
Chemicals -- 2.3%
$ 2,000,000 ICI Wilmington, Company Guarantee,
6.950% due 09/15/2004.............................. $ 1,995,246
-----------
Communications -- 6.5%
3,000,000 British Sky Broadcasting, Company Guarantee, Yankee,
6.875% due 02/23/2009.............................. 2,736,930
3,000,000 Qwest Communications International, Senior Notes,
7.500% due 11/01/2008.............................. 2,999,640
-----------
5,736,570
-----------
Financial Services -- 2.6%
2,500,000 National Rural Utilities, Collateral Trust,
5.700% due 01/15/2010.............................. 2,283,550
-----------
Forestry -- 0.3%
250,000 Tembec Industries, Inc., Company Guarantee, Yankee,
8.625% due 06/30/2009.............................. 248,750
-----------
Insurance -- 1.9%
1,625,000 Marsh & McLennan Companies, Inc., Senior Notes,
7.125% due 06/15/2009.............................. 1,632,816
-----------
Manufacturing -- 1.1%
1,000,000 Tyco International Group S.A., Company Guarantee,
Yankee, 7.000% due 06/15/2028...................... 928,570
-----------
Oil and Gas -- 5.5%
800,000 CMS Panhandle Holding Company, Senior Notes,
7.000% due 07/15/2029++............................ 739,310
1,200,000 Conoco, Inc., Senior Notes,
6.950% due 04/15/2029.............................. 1,123,464
30,000 Norcen Energy Resources, Debentures,
7.375% due 05/15/2006.............................. 29,337
2,000,000 Occidental Petroleum, Senior Notes,
8.450% due 02/15/2029.............................. 2,092,880
1,000,000 Petro Geo-Services ASA, Senior Notes, Yankee,
7.125% due 03/30/2028.............................. 895,550
-----------
4,880,541
-----------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- -----------
<S> <C>
CORPORATE FIXED INCOME SECURITIES (Continued)
Paper and Paper Related Products -- 2.1%
$ 2,000,000 International Paper Company, Debentures,
6.875% due 04/15/2029.............................. $ 1,838,820
-----------
Total Corporate Fixed Income Securities
(Cost $20,162,135)................................. 19,544,863
-----------
MORTGAGE-BACKED SECURITIES -- 12.6%
Federal National Mortgage Association (FNMA) -- 12.6%
FNMA:
2,500,000 5.100% due 09/25/2000............................... 2,483,975
2,000,000 5.625% due 03/15/2001............................... 1,996,560
82,043 7.000% due 08/01/2003............................... 82,575
131,020 7.500% due 06/01/2009............................... 133,517
640,945 6.500% due 02/01/2013............................... 632,529
429,269 6.500% due 03/01/2013............................... 423,633
748,776 6.000% due 08/01/2013............................... 724,673
3,192,131 6.000% due 11/01/2013............................... 3,089,376
910,031 6.000% due 12/01/2013............................... 880,737
43,434 7.000% due 07/01/2022............................... 43,145
115,283 7.000% due 07/01/2023............................... 114,419
179,914 6.500% due 02/01/2026............................... 174,234
147,215 7.000% due 09/01/2026............................... 145,880
-----------
10,925,253
-----------
Total Mortgage-Backed Securities (Cost
$11,140,205)....................................... 10,925,253
-----------
<CAPTION>
Shares
------
<S> <C>
OPTIONS -- 0.0%# (Cost $207,188)
850 10 Year U.S. Treasury note calls.................... 5,610
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- -----------
<S> <C>
U.S. TREASURY OBLIGATIONS -- 42.7%
Strip -- 0.8%
$ 1,300,000 11.750% due 11/15/2009/\+............................. $ 683,172
-----------
U.S. Treasury Bond -- 4.0%
2,500,000 12.000% due 08/15/2013............................... 3,510,150
-----------
U.S. Treasury Notes -- 37.9%
500,000 6.375% due 08/15/2002................................ 510,080
5,000,000 5.250% due 05/15/2004................................ 4,913,300
2,200,000 6.875% due 05/15/2006................................ 2,316,182
26,200,000 5.500% due 05/15/2009................................ 25,593,994
-----------
33,333,556
-----------
Total U.S. Treasury Obligations
(Cost $37,710,827).................................. 37,526,878
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $94,383,589*)........................................ 105.1% 92,177,874
OTHER ASSETS & LIABILITIES (Net)............................ (5.1)% (4,156,396)
------ -----------
NET ASSETS.................................................. 100.0% $88,021,478
====== ===========
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
/\ Zero coupon security as of June 30, 1999. The coupon shown is the step-up
rate.
+ Non-income producing securities.
++ 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:
Gold -- Payments are on an accelerated 45-day payment cycle instead of 75-day
payment cycle.
See Notes to Financial Statements.
6
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 97.4%
Basic Industry -- 3.1%
2,900 Alcan Aluminum, Ltd. ............................... $ 92,619
7,500 Alcoa, Inc. ........................................ 464,063
5,700 Allegheny Teledyne, Inc. ........................... 128,963
800 Bowater, Inc. ...................................... 37,800
6,600 Dow Chemical Company................................ 837,375
3,700 Fort James Corporation.............................. 140,137
2,600 Freeport-McMoRan Copper & Gold Inc., Class A+....... 43,550
5,600 Freeport-McMoRan Copper & Gold Inc., Class B+....... 100,450
4,100 IMC Global, Inc. ................................... 72,263
6,700 International Paper Company......................... 338,350
4,100 Lyondell Chemical Company........................... 84,563
4,800 PPG Industries, Inc. ............................... 283,500
7,700 Rohm and Haas Company............................... 330,137
4,400 Smurfit-Stone Container Corporation+................ 90,475
3,300 Solutia, Inc. ...................................... 70,331
900 Temple-Inland, Inc. ................................ 61,425
3,900 Union Carbide Corporation........................... 190,125
800 USG Corporation..................................... 44,800
------------
3,410,926
------------
Capital Goods -- 1.3%
2,400 Cooper Industries, Inc. ............................ 124,800
5,200 Deere & Company..................................... 206,050
1,900 Dover Corporation................................... 66,500
1,600 Eaton Corporation................................... 147,200
9,400 Emerson Electric Company............................ 591,025
2,100 Grainger (W.W.), Inc. .............................. 113,006
1,100 Hubbell, Inc., Class B.............................. 49,912
1,700 PACCAR, Inc. ....................................... 90,737
1,000 Parker-Hannifin Corporation......................... 45,750
------------
1,434,980
------------
Consumer Staples -- 7.2%
4,300 Bestfoods........................................... 212,850
700 Clorox Company...................................... 74,769
21,100 Coca-Cola Company................................... 1,318,750
100 General Mills, Inc. ................................ 8,038
10,000 Gillette Company.................................... 410,000
5,500 Heinz (H.J.) Company................................ 275,688
1,700 Hershey Foods Corporation........................... 100,938
7,300 Kimberly-Clark Corporation.......................... 416,100
2,400 Pepsi Bottling Group, Inc. ......................... 55,350
22,600 PepsiCo, Inc. ...................................... 874,338
35,700 Philip Morris Companies, Inc. ...................... 1,434,694
18,800 Proctor & Gamble Company............................ 1,677,900
4,900 Ralston-Ralston Purina Group........................ 149,144
10,900 Sara Lee Corporation................................ 247,294
8,900 Unilever NV, NY Shares.............................. 620,815
------------
7,876,668
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Cyclical -- 2.4%
1,500 Cooper Tire & Rubber Company........................ $ 35,437
4,400 Dana Corporation.................................... 202,675
13,500 Delphi Automotive Systems Corporation+.............. 250,600
5,900 Ford Motor Company.................................. 332,981
1,000 Furniture Brands International, Inc.+............... 27,875
9,000 General Motors Corporation.......................... 594,000
4,600 Genuine Parts Company............................... 161,000
4,100 Goodyear Tire & Rubber Company...................... 241,131
2,800 Jones Apparel Group, Inc.+.......................... 96,079
1,700 Lear Corporation+................................... 84,575
5,200 Leggett & Platt, Inc. .............................. 144,625
10,100 Mattel, Inc. ....................................... 267,019
1,300 Owens Corning, Inc. ................................ 44,688
800 Reebok International, Ltd. ........................ 14,900
4,400 Sherwin-Williams Company............................ 122,100
------------
2,619,685
------------
Diversified -- 7.5%
10,600 AlliedSignal, Inc. ................................. 667,800
19,100 Boeing Company...................................... 843,981
900 Coltec Industries, Inc.+............................ 19,519
8,700 Eastman Kodak Company............................... 589,425
1,000 Fruit of the Loom, Inc.+............................ 9,750
20,800 General Electric Company............................ 2,350,400
2,500 Harris Corporation.................................. 97,969
2,300 ITT Industries, Inc. ............................... 87,688
9,600 Lockheed Martin Corporation......................... 357,600
600 National Services Industries, Inc. ................. 21,600
3,500 Raytheon Company, Class A........................... 241,062
300 Sensormatic Electronics Corporation+................ 4,181
2,900 Symbolic Technologies, Inc. ........................ 106,938
5,400 Tenneco, Inc. ...................................... 128,925
13,499 Tyco International, Ltd. ........................... 1,279,030
700 Unifi, Inc. ........................................ 14,875
15,200 Waste Management, Inc. ............................. 817,000
9,700 Xerox Corporation................................... 572,906
------------
8,210,649
------------
Drugs -- 9.2%
11,100 ALZA Corporation+................................... 564,712
28,700 American Home Products Corporation.................. 1,650,250
8,700 Amgen, Inc.+........................................ 529,612
30,400 Bristol-Myers Squibb Company........................ 2,141,300
1,900 Chiron Corporation+................................. 39,425
6,300 Forest Laboratories, Inc.+.......................... 291,375
5,100 Genzyme Corporation (General Division)+............. 247,350
1,300 Johnson & Johnson................................... 127,400
21,000 Lilly (Eli) and Company............................. 1,504,125
2,900 MedImmune, Inc.+.................................... 196,475
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Drugs -- (Continued)
7,100 Merck & Company, Inc. ............................... $ 525,400
17,900 Monsanto Company..................................... 705,931
2,400 Pfizer, Inc. ........................................ 263,400
18,000 Warner-Lambert Company............................... 1,248,750
2,600 Watson Pharmaceuticals, Inc.+........................ 91,163
------------
10,126,668
------------
Energy -- 5.8%
2,800 Chevron Corporation.................................. 266,525
2,300 Conoco, Inc., Class A................................ 64,112
600 Cooper Cameron Corporation+.......................... 22,238
900 Diamond Offshore Drilling, Inc. ..................... 25,537
2,500 ENSCO International, Inc. ........................... 49,844
28,500 Exxon Corporation.................................... 2,198,062
3,000 Global Marine, Inc. ................................. 46,312
100 Input/Output, Inc.+.................................. 756
12,300 Mobil Corporation.................................... 1,217,700
3,400 Phillips Petroleum Company........................... 171,062
3,500 R & B Falcon Corporation+............................ 32,812
27,500 Royal Dutch Petroleum Company, NY Shares............. 1,656,875
700 Smith International, Inc. ........................... 30,406
7,300 Texaco, Inc. ........................................ 456,250
3,700 Tosco Corporation.................................... 95,969
1,200 Ultramar Diamond Shamrock Corporation................ 26,175
500 Valero Energy Corporation............................ 10,719
------------
6,371,354
------------
Financial Services -- 12.0%
4,000 American Express Company............................. 520,500
200 AMRESCO, Inc. ....................................... 1,288
900 Associated Banc Corporation.......................... 37,350
10,500 Associates First Capital Corporation, Class A........ 465,281
1,200 Astoria Financial Corporation........................ 52,725
600 BancWest Corporation................................. 22,275
10,400 BankBoston Corporation............................... 531,700
26,700 Bank of America Corporation.......................... 1,957,444
100 Bank One Corporation................................. 5,956
1,600 Bear Stearns Companies, Inc. ........................ 74,800
2,600 Charter One Financial, Inc. ......................... 72,312
1,100 CIT Group, Inc., Class A............................. 31,763
48,400 Citigroup, Inc. ..................................... 2,299,000
400 Colonial BancGroup, Inc. ............................ 5,575
800 Commerce Bancshares, Inc. ........................... 32,200
400 Commercial Federal Corporation....................... 9,275
1,600 Compass Bancshares, Inc. ............................ 43,600
1,600 Dime Bancorp, Inc. .................................. 32,200
11,500 Federal National Mortgage Association................ 786,313
900 FINOVA Group, Inc. .................................. 47,362
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
3,400 First American Corporation........................... $ 141,313
1,200 First Merit Corporation.............................. 33,675
14,200 First Union Corporation.............................. 667,400
2,900 Franklin Resources, Inc. ............................ 117,812
900 Golden West Financial Corporation.................... 88,200
6,200 Goldman Sachs Group, Inc.+........................... 447,950
1,500 GreenPoint Financial Corporation..................... 49,219
2,100 Hibernia Corporation, Class A........................ 32,944
6,800 Household International, Inc. ....................... 322,150
2,600 Huntington Bancshares, Inc. ......................... 91,000
6,700 KeyCorp.............................................. 215,238
1,100 Lehman Brothers Holdings, Inc. ...................... 68,475
4,100 Mellon Bank Corporation.............................. 149,137
1,000 Mercantile Bankshares Corporation.................... 35,375
5,400 Merrill Lynch & Company.............................. 431,663
2,000 Morgan Stanley Dean Witter & Company................. 205,000
100 M & T Bank Corporation............................... 55,000
300 National City Corporation............................ 19,650
400 National Commerce Bancorporation..................... 8,750
2,000 North Fork Bancorporation, Inc. ..................... 42,625
300 Ocwen Financial Corporation+......................... 2,662
800 Pacific Century Financial Corporation................ 17,250
2,100 Paine Webber Group, Inc. ............................ 98,175
1,200 Peoples Heritage Financial Group, Inc. .............. 22,575
4,400 PNC Bank Corporation................................. 253,550
300 Provident Financial Group, Inc. ..................... 13,125
3,000 Regions Financial Corporation........................ 115,312
2,300 SouthTrust Corporation............................... 88,262
3,800 Sovereign Bancorp, Inc. ............................. 46,075
2,400 Summit Bancorp....................................... 100,350
4,600 SunTrust Banks, Inc. ................................ 319,412
1,300 TCF Financial Corporation............................ 36,237
2,000 Union Planters Corporation........................... 89,375
10,600 U.S. Bancorp......................................... 360,400
100 Waddell & Reed Financial, Inc. ...................... 2,744
200 Washington Federal, Inc. ............................ 4,487
8,600 Washington Mutual, Inc. ............................. 304,225
23,700 Wells Fargo Company.................................. 1,013,175
400 Wilmington Trust Corporation......................... 22,950
------------
13,161,836
------------
Health Services -- 1.9%
3,300 Aetna, Inc. ......................................... 295,144
4,700 CIGNA Corporation.................................... 418,300
12,700 Columbia/HCA Healthcare Corporation.................. 289,719
913 Genzyme Surgical Products+........................... 4,023
2,600 HCR Manor Care, Inc.+................................ 62,888
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Health Services -- (Continued)
5,800 Health Management Associates, Inc.+.................. $ 65,250
9,500 HEALTHSOUTH Corporation+............................. 141,906
3,600 Humana, Inc. ........................................ 46,575
1 LifePoint Hospitals, Inc.+........................... 7
1,400 Medtronic, Inc. ..................................... 109,025
600 PacifiCare Health Systems, Inc.+..................... 43,162
1,200 PE Corporation-PE Biosystems Group................... 137,700
7,100 Tenet Healthcare Corporation+........................ 131,794
1 Triad Hospitals, Inc.+............................... 7
3,200 United HealthCare Corporation........................ 200,400
1,500 Wellpoint Health Networks, Inc.+..................... 127,312
------------
2,073,212
------------
Insurance -- 3.0%
21,100 Allstate Corporation................................. 756,963
1,800 AMBAC Financial Group, Inc. ......................... 102,825
2,700 American International Group, Inc. .................. 316,069
6,600 Aon Corporation...................................... 272,250
3,800 Chubb Corporation.................................... 264,100
2,400 Equitable Companies, Inc. ........................... 160,800
300 Financial Security Assurance Holdings, Ltd. ......... 15,600
800 Fremont General Corporation.......................... 15,100
6,900 Marsh & McLennan Companies, Inc. .................... 520,950
2,600 MBIA, Inc. .......................................... 168,350
1,300 Mercury General Corporation.......................... 44,200
3,100 Provident Companies, Inc. ........................... 124,000
5,800 St. Paul Companies, Inc. ............................ 184,513
3,400 Torchmark Corporation................................ 116,025
1,600 Travelers Property Casualty Corporation, Class A..... 62,600
3,900 UNUM Corporation..................................... 213,525
------------
3,337,870
------------
Retail -- 6.2%
2,400 Abercrombie & Fitch Company, Class A+................ 115,200
2,859 Albertson's, Inc. ................................... 147,417
3,800 AutoZone, Inc.+...................................... 114,475
1,000 Circuit City Stores - Circuit City Group............. 93,000
900 Corporate Express, Inc.+............................. 6,300
500 Costco Companies, Inc.+.............................. 40,031
8,100 Dayton Hudson Corporation............................ 526,500
2,600 Dillards, Inc., Class A.............................. 91,325
5,400 Federated Department Stores, Inc.+................... 285,862
3,600 Gap, Inc. ........................................... 181,350
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
1,200 General Nutrition Companies, Inc.+................... $ 27,975
1,100 Hannaford Brothers Company........................... 58,850
9,100 Home Depot, Inc. .................................... 586,381
12,700 Kmart Corporation.................................... 208,756
1,100 Kroger Company....................................... 30,731
8,350 May Department Stores Company........................ 341,306
2,600 Nordstrom, Inc. ..................................... 87,100
6,500 Penney (J.C.) Company, Inc. ......................... 315,656
9,300 Safeway, Inc.+....................................... 460,350
8,500 Sears Roebuck & Company.............................. 378,781
8,100 TJX Companies, Inc. ................................. 269,831
6,300 Toys "R" Us, Inc.+................................... 130,331
48,100 Wal-Mart Stores, Inc. ............................... 2,320,825
------------
6,818,333
------------
Services -- 6.3%
12,900 America Online, Inc.+................................ 1,425,450
4,208 AT&T Corporation - Liberty Media Group+.............. 154,644
32,600 Cendant Corporation+................................. 668,300
10,600 Comcast Corporation, Class A......................... 407,438
4,900 Donnelley (R.R.) & Sons Company...................... 181,606
5,800 Equifax, Inc. ....................................... 206,988
300 Extended Stay America, Inc.+......................... 3,600
4,600 Gannett Company, Inc. ............................... 328,325
10,400 Hilton Hotels Corporation............................ 147,550
2,500 International Game Technology........................ 46,250
2,800 Knight Ridder, Inc. ................................. 153,825
3,100 Mandalay Resort Group+............................... 65,488
15,200 MediaOne Group, Inc.+................................ 1,130,500
7,900 Mirage Resorts, Inc.+................................ 132,325
6,400 New York Times Company............................... 235,600
17,300 Seagram Company, Ltd. ............................... 871,488
11,200 Service Corporation International.................... 215,600
7,100 Starwood Hotels & Resorts Worldwide, Inc. ........... 216,994
2,800 Times Mirror Company, Class A........................ 165,900
300 Washington Post Company, Class B..................... 161,325
------------
6,919,196
------------
Technology -- 19.2%
5,000 3Com Corporation+.................................... 133,438
2,200 Apple Computer, Inc.+................................ 101,888
5,100 Applied Materials, Inc.+............................. 376,763
7,700 Automatic Data Processing, Inc. ..................... 338,800
500 BMC Software, Inc.+.................................. 27,000
42,600 Cisco Systems, Inc.+................................. 2,747,700
1,500 CompUSA, Inc.+....................................... 11,156
25,500 Dell Computer Corporation+........................... 943,500
500 DoubleClick, Inc.+................................... 45,875
800 Electronic Arts, Inc.+............................... 43,400
6,700 Electronic Data Systems Corporation.................. 378,969
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Technology -- (Continued)
12,800 EMC Corporation+..................................... $ 704,000
500 Exodus Communications, Inc.+......................... 59,969
5,400 First Data Corporation............................... 264,263
2,100 Gateway 2000, Inc.+.................................. 123,900
44,500 Intel Corporation.................................... 2,647,750
25,000 International Business Machines Corporation.......... 3,231,250
38,100 Lucent Technologies, Inc. ........................... 2,569,369
37,500 Microsoft Corporation+............................... 3,382,031
7,900 Motorola, Inc. ...................................... 748,525
2,200 National Semiconductor Corporation+.................. 55,688
11,000 Oracle Corporation+.................................. 408,375
2,000 Quantum Corporation+................................. 48,250
3,200 Seagate Technology, Inc.+............................ 82,000
10,700 Sun Microsystems, Inc.+.............................. 736,963
400 Symantec Corporation+................................ 10,200
5,400 Texas Instruments, Inc. ............................. 783,000
1,300 Xilinx, Inc.+........................................ 74,425
------------
21,078,447
------------
Telephone -- 8.9%
17,700 Ameritech Corporation................................ 1,300,950
12,400 AT&T Corporation..................................... 692,075
24,700 Bell Atlantic Corporation............................ 1,614,762
500 Frontier Corporation................................. 29,500
16,000 GTE Corporation...................................... 1,212,000
5,400 Level 3 Communications, Inc.+........................ 324,337
28,700 MCI WorldCom, Inc.+.................................. 2,469,994
29,000 SBC Communications, Inc. ............................ 1,682,000
7,000 U S West, Inc. ...................................... 411,250
------------
9,736,868
------------
Transportation -- 0.9%
2,300 AMR Corporation...................................... 156,975
6,200 Burlington Northern Santa Fe Corporation............. 192,200
600 CNF Transportation, Inc. ............................ 23,025
2,800 CSX Corporation...................................... 126,875
5,100 Norfolk Southern Corporation......................... 153,637
900 Ryder System, Inc. .................................. 23,400
3,800 Southwest Airlines Company........................... 118,275
3,300 Union Pacific Corporation............................ 192,431
200 Wisconsin Central Transportation Corporation+........ 3,775
------------
990,593
------------
Utilities -- 2.5%
2,600 Allegheny Energy, Inc. .............................. 83,363
2,500 Ameren Corporation................................... 95,938
1,000 American Electric Power Company, Inc. ............... 37,562
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
9,600 Central & South West Corporation.................... $ 224,400
2,900 Cinergy Corporation................................. 92,800
2,500 CMS Energy Corporation.............................. 104,687
1,700 Columbia Energy Group............................... 106,569
1,700 Consolidated Natural Gas Company.................... 103,275
3,200 Constellation Energy Group.......................... 94,800
4,100 Dominion Resources, Inc. ........................... 177,581
1,800 Edison International................................ 48,150
2,600 El Paso Energy Corporation.......................... 91,488
5,200 Entergy Corporation................................. 162,500
900 FPL Group, Inc. .................................... 49,162
800 K N Energy, Inc. ................................... 10,700
2,700 Nisource, Inc. ..................................... 69,694
2,800 Northeast Utilities................................. 49,525
3,200 Northern States Power Company....................... 77,400
1,800 Pinnacle West Capital Corporation................... 72,450
6,900 PG&E Corporation.................................... 224,250
3,300 PP&L Resources, Inc. ............................... 101,475
6,000 Reliant Energy, Inc. ............................... 165,750
7,500 Southern Company.................................... 198,750
2,800 TECO Energy, Inc. .................................. 63,700
5,900 Texas Utilities Company............................. 243,375
1,300 USEC, Inc. ......................................... 19,337
2,400 Wisconsin Energy Corporation........................ 60,150
------------
2,828,831
------------
Total Common Stock (Cost $92,362,883)............... 106,996,116
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 4.6%
U.S. TREASURY BILLS:
$ 1,167,000 5.844% due 07/15/1999#.............................. 1,165,296
3,669,000 5.119% due 07/22/1999#.............................. 3,660,227
209,000 4.233% due 08/05/1999#.............................. 208,157
------------
Total U.S. Treasury Obligations
(Cost $5,033,680).................................. 5,033,680
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $97,396,563*)...................... 102.0% 112,029,796
OTHER ASSETS AND LIABILITIES (Net)......................... (2.0)% (2,182,324)
------ ------------
NET ASSETS................................................. 100.0% $109,847,472
====== ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
10
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- 82.7%
Aerospace and Defense -- 3.1%
33,250 Boeing Company........................................ $ 1,469,234
-----------
Air Transportation -- 1.8%
14,000 UAL Corporation....................................... 910,000
-----------
Banking -- 16.2%
16,800 BankBoston Corporation................................ 858,900
68,625 Citigroup, Inc. ...................................... 3,259,688
2,100 M & T Bank Corporation................................ 1,155,000
57,000 Wells Fargo Company................................... 2,436,750
-----------
7,710,338
-----------
Computer Services and Software -- 6.5%
18,500 Cadence Design Systems, Inc.+......................... 235,875
27,500 Compaq Computer Corporation........................... 651,406
39,500 Computer Associates International, Inc. .............. 2,172,500
-----------
3,059,781
-----------
Consumer Durables -- 2.7%
34,000 ITT Industries, Inc. ................................. 1,296,250
-----------
Diversified -- 1.6%
9,000 Textron, Inc. ........................................ 740,812
-----------
Diversified Chemicals -- 6.0%
28,000 duPont (E.I.) de Nemours & Company.................... 1,912,750
24,600 Monsanto Company...................................... 970,163
-----------
2,882,913
-----------
Drugs and Medical Products -- 2.1%
17,000 American Home Products Corporation.................... 977,500
-----------
Entertainment -- 2.5%
16,300 Time Warner, Inc. .................................... 1,198,050
-----------
Financial Services -- 7.5%
45,000 Freddie Mac........................................... 2,610,000
19,600 Household International, Inc. ........................ 928,550
-----------
3,538,550
-----------
Food and Beverages -- 3.2%
35,500 Diageo Plc, Sponsored ADR............................. 1,526,500
-----------
Insurance -- 4.3%
24,200 Ace, Ltd. ............................................ 683,650
24,111 XL Capital Ltd., Class A.............................. 1,362,272
-----------
2,045,922
-----------
Manufacturing and Engineering -- 6.2%
21,100 Caterpillar, Inc. .................................... 1,266,000
19,000 Minnesota Mining & Manufacturing Company.............. 1,651,813
-----------
2,917,813
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
Media -- 4.4%
9,600 Chancellor Media Corporation+........................ $ 529,200
49,000 News Corporation (The), Ltd., Sponsored ADR.......... 1,546,563
-----------
2,075,763
-----------
Paper and Paper Products -- 1.7%
16,400 Champion International Corporation................... 785,150
-----------
Printing and Graphic Design -- 1.7%
21,792 Donnelley (R.R.) & Sons Company...................... 807,666
-----------
Restaurants -- 6.0%
69,000 McDonald's Corporation............................... 2,850,562
-----------
Telecommunications -- 5.2%
11,000 Motorola, Inc. ...................................... 1,042,250
27,000 Sprint Corporation................................... 1,425,937
-----------
2,468,187
-----------
Total Common Stock
(Cost $34,526,170).................................. 39,260,991
-----------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
COMMERCIAL PAPER -- 8.8%
$ 2,000,000 American Express Centurion,
4.940% due 07/15/1999#.............................. 1,996,158
2,200,000 Ford Motor Credit Corporation,
5.150% due 08/04/1999#.............................. 2,189,299
-----------
Total Commercial Paper
(Cost $4,185,457)................................... 4,185,457
-----------
AGENCY SECURITIES -- 8.4%
Federal Home Loan Bank (FHLB) -- 4.2%
1,985,000 FHLB, Discount Notes,
4.600% due 07/01/1999#............................... 1,985,000
-----------
Federal National Mortgage Association (FNMA) -- 4.2%
1,985,000 FNMA,
4.830% due 07/19/1999#............................... 1,980,206
-----------
Total Agency Securities
(Cost $3,965,206)................................... 3,965,206
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $42,676,833*)........................................ 99.9% 47,411,654
OTHER ASSETS AND LIABILITIES (Net).......................... 0.1% 127,935
------ -----------
NET ASSETS.................................................. 100.0% $47,539,589
====== ===========
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
11
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Value Equity Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 92.9%
Advertising -- 2.2%
68,200 Omnicom Group, Inc. ................................. $ 5,456,000
------------
Aerospace and Defense -- 3.2%
73,000 General Dynamics Corporation......................... 5,000,500
40,000 Raytheon Company, Class B............................ 2,815,000
------------
7,815,500
------------
Banking -- 4.8%
115,000 BankBoston Corporation............................... 5,879,375
140,000 Wells Fargo Company.................................. 5,985,000
------------
11,864,375
------------
Communications -- 3.1%
56,000 Chancellor Media Corporation+........................ 3,087,000
86,000 Sprint Corporation................................... 4,541,875
------------
7,628,875
------------
Diversified -- 6.4%
87,000 Minnesota Mining & Manufacturing Company............. 7,563,562
100,000 Textron, Inc. ....................................... 8,231,250
------------
15,794,812
------------
Diversified Chemicals -- 3.3%
95,000 duPont (E.I.) de Nemours & Company................... 6,489,687
44,000 Hercules, Inc. ...................................... 1,729,750
------------
8,219,437
------------
Drugs and Medical Products -- 1.6%
128,000 Becton, Dickinson & Company.......................... 3,840,000
------------
Electronics -- 4.7%
66,000 Avnet, Inc. ......................................... 3,069,000
55,000 Emerson Electric Company............................. 3,458,125
83,000 Rockwell International Corporation................... 5,042,250
------------
11,569,375
------------
Entertainment and Leisure -- 3.9%
98,000 Carnival Corporation................................. 4,753,000
70,000 SABRE Group Holdings, Inc.+.......................... 4,812,500
------------
9,565,500
------------
Financial Services -- 12.0%
148,500 Citigroup, Inc. ..................................... 7,053,750
220,795 Conseco, Inc. ....................................... 6,720,448
130,000 Countrywide Credit Industries, Inc. ................. 5,557,500
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
119,000 Freddie Mac.......................................... $ 6,902,000
70,000 Household International, Inc. ....................... 3,316,250
------------
29,549,948
------------
Food and Beverages -- 3.5%
84,800 Diageo Plc, Sponsored ADR............................ 3,646,400
100,000 Heinz (H.J.) Company................................. 5,012,500
------------
8,658,900
------------
Insurance -- 17.2%
330,000 Ace, Ltd. ........................................... 9,322,500
110,000 AFLAC, Inc. ......................................... 5,266,250
30,450 American International Group, Inc. .................. 3,564,553
202,000 Everest Reinsurance Holdings, Inc. .................. 6,590,250
20,000 Markel Corporation+.................................. 3,740,000
75,000 RenaissanceRe Holdings, Ltd. ........................ 2,775,000
197,890 XL Capital Limited Class............................. 11,180,785
------------
42,439,338
------------
Machinery -- 3.2%
228,000 Dover Corporation.................................... 7,980,000
------------
Manufacturing and Engineering -- 2.9%
120,000 Caterpillar, Inc. ................................... 7,200,000
------------
Office Supplies and Forms -- 2.0%
80,000 Avery Dennison Corporation........................... 4,830,000
------------
Printing & Publishing -- 1.5%
100,000 Donnelley (R.R.) & Sons Company...................... 3,706,250
------------
Restaurants -- 2.8%
169,000 McDonald's Corporation............................... 6,981,813
------------
Retail -- 2.7%
165,750 May Department Stores Company........................ 6,775,031
------------
Technology -- 6.0%
165,000 Compaq Computer Corporation.......................... 3,908,438
198,000 Computer Association International, Inc. ............ 10,890,000
------------
14,798,438
------------
Transportation -- 3.5%
82,000 AMR Corporation...................................... 5,596,500
122,000 Canadian Pacific, Ltd. .............................. 2,905,125
------------
8,501,625
------------
Waste Treatment Systems -- 2.4%
109,000 Waste Management, Inc. .............................. 5,858,750
------------
Total Common Stock
(Cost $163,129,959)................................. 229,033,967
------------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Value Equity Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
AGENCY SECURITIES -- 3.2%
$ 205,000 Federal Home Loan Bank (FHLB), 4.600% due
07/01/1999#........................................ $ 205,000
7,780,000 Federal National Mortgage Association (FNMA),
4.950 % due 07/21/1999#............................ 7,759,124
------------
Total Agency Securities
(Cost $7,964,124).................................. 7,964,124
------------
COMMERCIAL PAPER -- 4.2%
4,854,000 American Express Credit Corporation
4.940% due 07/15/1999#............................. 4,844,675
5,500,000 Ford Motor Credit Corporation 5.150% due
08/04/1999#........................................ 5,473,248
------------
Total Commercial Paper
(Cost $10,317,923)................................. 10,317,923
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $181,412,006*)..................................... 100.3% 247,316,014
OTHER ASSETS AND LIABILITIES (Net)........................ (0.3)% (803,323)
------- ------------
NET ASSETS................................................ 100.0% $246,512,691
======= ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
13
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 69.4%
Aerospace and Defense -- 1.9%
79,800 Gulfstream Aerospace Corporation+................... $ 5,391,488
25,700 Litton Industries, Inc. ............................ 1,843,975
------------
7,235,463
------------
Banking and Financial Services -- 3.2%
36,400 American Express Company............................ 4,736,550
83,000 Bank of New York Company, Inc. ..................... 3,045,062
89,625 Citigroup, Inc. .................................... 4,257,187
------------
12,038,799
------------
Computer Services and Software -- 7.3%
28,800 America Online, Inc.+............................... 3,182,400
12,200 At Home Corporation, Series A+...................... 658,038
19,800 BMC Software, Inc.+................................. 1,069,200
36,900 Compuware Corporation+.............................. 1,173,881
7,100 Juniper Networks, Inc.+............................. 1,057,900
147,300 Microsoft Corporation+.............................. 13,284,619
22,500 New Era of Networks, Inc.+.......................... 988,594
63,800 Novell, Inc.+....................................... 1,690,700
18,450 Oracle Corporation+................................. 684,956
47,600 Quantum Corporation+................................ 1,148,350
15,300 Sun Microsystems, Inc.+............................. 1,053,788
------------
25,992,426
------------
Consumer Non-Durables -- 1.5%
72,300 Philip Morris Companies, Inc. ...................... 2,905,556
34,900 Procter & Gamble Company............................ 3,114,825
------------
6,020,381
------------
Diversified Operations -- 12.8%
45 Berkshire Hathaway, Inc., Class A+.................. 3,100,500
310 Berkshire Hathaway, Inc., Class B+.................. 694,400
101,300 General Electric Company............................ 11,446,900
36,600 Omnicom Group, Inc. ................................ 2,928,000
41,300 Textron, Inc. ...................................... 3,399,506
173,000 Tyco International, Ltd. ........................... 16,391,750
141,700 United Technologies Corporation..................... 10,158,119
------------
48,119,175
------------
Electronics -- 1.2%
20,400 General Motors Corporation, Class H................. 1,147,500
12,100 L-3 Communications Holdings, Inc.+.................. 584,581
12,600 Texas Instruments, Inc. ............................ 1,827,000
23,700 WESCO International, Inc.+.......................... 485,850
------------
4,044,931
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Finance -- 0.1%
400 E-LOAN, Inc.+...................................... $ 15,425
------------
Food and Beverages -- 1.0%
21,600 Anheuser-Busch Companies, Inc. .................... 1,532,250
43,800 Coca-Cola Enterprises, Inc. ....................... 1,303,050
39,400 Keebler Foods Company+............................. 1,196,775
------------
4,032,075
------------
Media and Entertainment -- 6.1%
128,900 AT & T Corporation - Liberty Media Group, Class
A+................................................ 4,737,075
47,600 Chancellor Media Corporation+...................... 2,623,950
121,100 Clear Channel Communications, Inc.+................ 8,348,331
1,800 MediaOne Group, Inc.+.............................. 133,875
93,600 Time Warner, Inc. ................................. 6,879,600
------------
22,722,831
------------
Medical Services and Supplies -- 9.5%
20,700 American Home Products Corporation................. 1,190,250
54,700 Amgen, Inc.+....................................... 3,329,862
87,700 Bristol-Myers Squibb Company....................... 6,177,369
25,600 Johnson & Johnson.................................. 2,508,800
17,900 Lilly (Eli) & Company.............................. 1,282,088
89,000 Merck & Company, Inc. ............................. 6,586,000
41,600 Pfizer, Inc. ...................................... 4,565,600
19,800 Pharmacia & Upjohn, Inc. .......................... 1,124,887
55,900 Schering-Plough Corporation........................ 2,962,700
78,800 Warner-Lambert Company............................. 5,466,750
------------
35,194,306
------------
Office Automation and Equipment -- 1.5%
89,300 Pitney Bowes, Inc. ................................ 5,737,525
------------
Oil and Gas -- 0.3%
13,500 Exxon Corporation.................................. 1,041,187
------------
Printing and Publishing -- 0.3%
35,066 Nielsen Media Research, Inc. ...................... 1,025,680
------------
Retail -- 7.9%
70,100 Abercrombie & Fitch Company, Class A+.............. 3,364,800
7,300 Best Buy Company, Inc.+............................ 492,750
26,100 Brinker International, Inc.+....................... 709,594
66,000 CostCo Companies, Inc.+............................ 5,284,125
81,975 Gap, Inc. ......................................... 4,129,491
108,698 Home Depot, Inc. .................................. 7,004,227
34,450 Intimate Brands, Inc. ............................. 1,632,069
87,550 Office Depot, Inc.+................................ 1,931,572
109,600 Wal-Mart Stores, Inc. ............................. 5,288,200
------------
29,836,828
------------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Technology -- 5.4%
36,300 Applied Materials, Inc.+............................ $ 2,681,663
8,300 CIENA Corporation+.................................. 250,556
160,350 Cisco Systems, Inc.+................................ 10,342,575
118,600 Intel Corporation................................... 7,056,700
------------
20,331,494
------------
Telecommunications -- 9.2%
71,000 American Tower Corporation, Class A+................ 1,704,000
77,164 AT&T Corporation.................................... 4,306,741
59,900 Bell Atlantic Corporation........................... 3,915,963
22,200 Comcast Corporation, Class A+....................... 795,038
108,200 Comcast Corporation, Special Class A+............... 4,158,937
61,900 Crown Castle International Corporation+............. 1,288,294
36,300 Lucent Technologies, Inc. .......................... 2,447,981
98,900 MCI WorldCom, Inc.+................................. 8,511,581
47,500 Motorola, Inc. ..................................... 4,500,625
9,000 Uniphase Corporation+............................... 1,494,000
------------
33,123,160
------------
Transportation -- 0.0%
1,800 Harley-Davidson, Inc. .............................. 97,875
------------
Utilities -- 0.2%
12,600 Montana Power Company............................... 888,300
------------
Total Common Stock (Cost $191,832,684).............. 257,497,861
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
MORTGAGE BACKED SECURITIES -- 19.7%
Federal Home Loan Mortgage Corporation (FHLMC) -- 2.2%
FHLMC:
$ 644,347 11.500% due 05/01/2020.............................. 714,362
284,319 6.138% due 06/15/2020#.............................. 283,964
229,735 5.500% due 12/15/2021#.............................. 233,036
559,626 9.500% due 01/01/2017............................... 599,953
6,375,000 6.000% due 07/01/2029............................... 5,995,496
------------
7,826,811
------------
Federal National Mortgage Association (FNMA) -- 14.6%
FNMA:
1,760,000 6.400% due 09/27/2005............................... 1,763,027
2,020,000 6.340% due 02/04/2008............................... 1,949,623
601,304 10.000% due 11/01/2018.............................. 652,806
637,474 11.000% due 09/01/2019.............................. 696,351
53,996 5.794% due 03/25/2024#.............................. 54,704
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- -------------
<C> <S> <C>
$ 578,141 9.000% due 07/01/2025.............................. $ 614,621
640,184 9.000% due 04/01/2026.............................. 677,942
160,111 5.531% due 07/18/2027#............................. 161,412
502,436 5.420% due 04/18/2028#............................. 505,155
19,289,957 6.000% due 05/01/2029.............................. 18,171,445
12,775,000 6.000% due 07/01/2029.............................. 12,034,050
15,200,000 6.000% due 08/01/2029.............................. 14,303,200
3,000,000 6.500% due 08/01/2029.............................. 2,898,000
------------
54,482,336
------------
Government National Mortgage Association (GNMA) -- 2.9%
GNMA:
163,459 10.500% due 12/15/2014............................. 175,668
105,869 9.500% due 04/15/2017.............................. 113,663
122,224 9.500% due 05/15/2017.............................. 131,222
185,944 9.500% due 08/15/2017.............................. 199,633
625,719 10.000% due 08/15/2017............................. 666,973
97,639 9.500% due 10/15/2017.............................. 104,827
70,207 9.500% due 11/15/2017.............................. 75,375
474,127 9.500% due 12/15/2017.............................. 511,442
122,324 9.500% due 07/15/2018.............................. 131,314
468,192 9.500% due 10/15/2018.............................. 502,660
233,537 9.500% due 09/15/2019.............................. 250,672
416,199 9.000% due 12/15/2019.............................. 443,901
634,602 9.500% due 06/15/2020.............................. 681,163
637,488 10.000% due 12/15/2020............................. 680,283
617,691 9.500% due 12/15/2021.............................. 663,011
521,964 10.000% due 07/15/2022............................. 556,711
812,832 6.375% due 01/20/2025.............................. 824,773
333,600 10.000% due 02/15/2025............................. 355,994
198,624 6.375% due 02/20/2025.............................. 201,541
616,453 6.875% due 03/20/2025.............................. 625,121
640,583 6.875% due 04/20/2025.............................. 651,220
87,143 6.875% due 05/20/2025.............................. 88,679
1,005,001 6.875% due 06/20/2025.............................. 1,012,808
382,380 6.625% due 07/20/2025.............................. 386,922
401,677 6.625% due 09/20/2027.............................. 405,569
209,552 6.125% due 10/20/2027.............................. 212,565
537,504 6.125% due 11/20/2027.............................. 545,233
181,267 6.125% due 12/20/2027.............................. 183,873
------------
11,382,816
------------
Total Mortgage-Backed Securities (Cost
$74,455,256)...................................... 73,691,963
------------
CORPORATE FIXED INCOME SECURITIES -- 7.2%
Associates Corporation of North America, Senior
Notes:
150,000 5.250% due 03/30/2000.............................. 149,349
350,000 6.000% due 06/15/2000.............................. 350,175
190,000 6.000% due 07/15/2005.............................. 183,559
615,000 AT&T Corporation,
6.500% due 03/15/2029............................. 553,122
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME
SECURITIES -- (Continued)
$ 200,000 BankAmerica Corporation, 6.800% due 03/15/2028..... $ 181,263
375,000 BankAmerica Institutional Capital, Company
Guarantee, 8.070% due 12/31/2026++................ 378,292
435,000 Becton Dickinson, Debentures, 6.700% due
08/01/2028........................................ 400,713
135,000 BT Capital Trust, Company Guarantee,
7.900% due 01/15/2027............................. 129,299
395,000 BT Institutional Capital Trust, 8.090% due
12/01/2026++...................................... 390,592
450,000 Burlington Northern Santa Fe, Debentures,
6.700% due 08/01/2028............................. 406,557
300,000 Chase Manhattan Corporation, Subordinate Notes,
6.000% due 02/15/2009............................. 277,788
505,000 Chrysler Corporation, Debentures,
7.450% due 03/01/2027............................. 508,146
495,000 CIT Group, Inc., Senior Notes, 5.910% due
11/23/2005........................................ 471,621
580,000 CitiCorp,
6.375% due 11/15/2008............................. 552,450
450,000 CMS Panhandle Holding Company,
7.000% due 07/15/2029++........................... 415,862
265,000 Comcast Cable Communications, Inc.,
8.375% due 05/01/2007............................. 283,810
350,000 Comdisco, Inc.,
6.375% due 11/30/2001............................. 349,073
525,000 Conoco, Inc., Senior Notes, 6.950% due 04/15/2029.. 491,516
Continental Airlines, Inc., Pass Through
Certificates:
484,976 6.648% due 09/15/2017.............................. 463,579
175,000 6.545% due 02/02/2019.............................. 164,997
55,000 Cox Communications, Inc., Debentures,
6.800% due 08/01/2028............................. 49,131
300,000 Dayton-Hudson Corporation, Debentures,
6.650% due 08/01/2028............................. 273,693
575,000 Delphi Auto Systems Corporation, Debentures, 7.125%
due 05/01/2029.................................... 531,413
Edison Mission Energy Funding, Senior Notes:
160,000 7.330% due 09/15/2008++............................ 159,494
160,000 7.730% due 06/15/2009++............................ 162,976
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
$ 175,000 El Paso Energy Corporation, Senior Notes,
6.750% due 05/15/2009............................. $ 167,441
460,000 Enron Corporation,
6.950% due 07/15/2028............................. 420,017
EOP Operating LP:
240,000 7.250% due 06/15/2028++............................ 216,523
155,000 7.500% due 04/19/2029.............................. 142,581
285,000 Equifax, Inc.,
6.300% due 07/01/2005............................. 280,012
390,000 Equitable Companies Inc.,
6.500% due 04/01/2008............................. 376,194
250,000 Equitable Life Assurance,
6.950% due 12/01/2005++........................... 249,520
640,000 Farmers Exchange Capital Insurance,
7.050% due 07/15/2028++........................... 587,501
300,000 Federated Department Stores, 6.900% due
04/01/2029++...................................... 276,375
303,191 Fifty Seventh Street Association, 7.125% due
06/01/2017........................................ 282,968
410,000 First Chicago Bank, NBD, Company Guarantee,
7.950% due 12/01/2026++........................... 410,902
395,000 First Union Institutional Capital, 8.040% due
12/01/2026........................................ 397,615
Florida Windstorm:
275,000 6.700% due 08/25/2004++............................ 273,759
570,000 7.125% due 02/25/2019++............................ 546,857
670,000 FPL Group Capital, Inc., Company Guarantee,
7.375% due 06/01/2009............................. 680,988
415,000 General Motors Corporation, Debentures,
6.750% due 05/01/2028............................. 379,090
225,000 Goldman Sachs Group,
6.500% due 02/25/2009++........................... 213,454
665,000 GTE Corporation,
6.940% due 04/15/2028............................. 629,482
435,000 Hartford Life Insurance Company, Debentures,
7.650% due 06/15/2027............................. 438,084
600,000 Household Finance Corporation, 6.375% due
08/01/2010........................................ 560,376
570,000 IBM Corporation, Debentures,
6.500% due 01/15/2028............................. 527,079
350,000 Lehman Brothers, Inc., Senior Subordinate Notes,
7.125% due 07/15/2002............................. 351,851
340,000 Lowe's Companies, Inc., Debentures,
6.875% due 02/15/2028............................. 317,560
180,000 Lowe's Companies, Inc.,
6.500% due 03/15/2029++........................... 160,524
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME
SECURITIES -- (Continued)
$ 645,000 Lucent Technologies, Inc., Debentures,
6.450% due 03/15/2029............................. $ 583,473
15,000 May Department Stores Company, Debentures,
9.750% due 02/15/2021............................. 18,185
Metropolitan Life Insurance Company:
250,000 7.450% due 11/01/2023++............................ 239,700
250,000 7.800% due 11/01/2025++............................ 258,080
475,000 Monsanto Company,
6.600% due 12/01/2028++........................... 427,785
250,000 Nationwide Mutual Insurance, 7.500% due
02/15/2024++...................................... 238,275
390,000 Neiman Marcus Group, Inc., Senior Notes,
6.650% due 06/01/2008............................. 369,778
300,000 News America Holdings, Inc., Senior Notes,
8.500% due 02/15/2005............................. 315,663
460,000 News America, Inc., Debentures, 7.280% due
06/30/2028........................................ 424,741
555,000 Norfolk Southern Corporation, Senior Notes,
6.200% due 04/15/2009............................. 522,699
350,000 Norwest Corporation, Medium Term Note,
6.125% due 10/15/2000............................. 350,928
190,000 Norwest Financial, Inc., Senior Notes,
5.625% due 02/03/2009............................. 173,082
390,000 PNC Funding Corporation, Company Guarantee,
6.125% due 02/15/2009............................. 362,887
425,000 Prime Property Funding II, 6.800% due
08/15/2002++...................................... 423,098
425,000 Prudential Insurance Company, 8.300% due
07/01/2025++...................................... 469,965
430,000 Republic Services, Inc.,
7.125% due 05/15/2009............................. 420,251
535,000 Scotia Pacific Company LLC, Collateralized Notes,
7.710% due 01/20/2014............................. 379,850
290,000 Tennessee Gas Pipeline, Debentures,
7.000% due 10/15/2028............................. 268,813
650,000 Time Warner, Inc., Company Guarantee,
6.625% due 05/15/2029............................. 573,430
340,000 Union Pacific Corporation, Debentures,
6.625% due 02/01/2029............................. 297,846
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
$ 535,000 United Technologies Corporation, 6.700% due
08/01/2028........................................ $ 500,621
535,000 US Airways, Inc., Pass Through Certificates,
6.850% due 01/30/2018............................. 523,262
590,000 USA Waste Services, Inc., Senior Notes,
7.000% due 07/15/2028............................. 544,048
545,000 Wachovia Corporation, Subordinate Notes,
6.150% due 03/15/2009............................. 514,654
345,000 Washington Mutual, Inc., Company Guarantee,
8.375% due 06/01/2027............................. 348,629
625,000 WorldCom, Inc., Senior Notes, 6.950% due
08/15/2028........................................ 592,469
885,000 World Financial Properties, Inc., Pass Through
Certificates, 6.950% due 09/01/2013++............. 871,008
------------
Total Corporate Fixed Income Securities
(Cost $29,939,853)................................ 28,178,443
------------
ASSET-BACKED SECURITIES -- 5.6%
281,807 Advanta Mortgage Loan Trust, 6.530% due
09/25/2012........................................ 281,550
335,462 Americredit Automobile Receivables Trust,
5.003% due 06/12/2001#............................ 335,294
Arcadia Automobile Receivables Trust:
750,000 5.900% due 11/15/2002.............................. 751,860
750,000 6.375% due 01/15/2003.............................. 755,303
308,368 BankBoston Home Equity Loan Trust,
6.280% due 11/25/2010............................. 307,933
Centex Home Equity:
486,818 6.070% due 03/25/2018.............................. 485,951
544,943 5.910% due 04/25/2019.............................. 542,491
750,000 Citibank Credit Card Master Trust,
5.651% due 05/15/2002#............................ 749,280
402,338 Comed Transitional Funding Trust,
5.380% due 03/25/2002............................. 402,209
ContiMortgage Home Equity Loan Trust:
260,858 5.030% due 03/15/2013#............................. 260,696
507,680 6.010% due 12/25/2013.............................. 506,563
550,000 Daimler-Benz Vehicle Trust, 5.230% due 12/20/2001.. 549,445
511,867 Daimler-Benz Auto Grantor Trust, 6.050% due
03/31/2005........................................ 513,746
329,712 EQCC Home Equity Loan Trust, 6.235% due
04/15/2008........................................ 329,702
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- (Continued)
First Security Auto Owner Trust:
$ 440,981 5.182% due 06/15/2001.............................. $ 440,950
550,000 5.492% due 04/15/2002.............................. 548,680
346,925 6.100% due 04/15/2003.............................. 348,236
318,017 5.970% due 04/15/2004.............................. 318,831
525,000 First USA Credit Card Master Trust,
5.090% due 09/17/2003#............................ 524,832
Ford Credit Auto Owner Trust:
415,543 6.050% due 04/15/2001.............................. 416,192
1,100,000 5.470% due 09/15/2001.............................. 1,096,700
640,000 6.625% due 10/01/2028.............................. 576,115
482,633 GreenPoint Manufactured Housing,
5.780% due 12/15/2009............................. 481,451
Green Tree Financial Corporation:
363,474 5.850% due 11/01/2029.............................. 363,717
715,779 5.600% due 12/01/2030.............................. 714,211
800,000 5.510% due 02/01/2031.............................. 798,080
Green Tree Home Equity Loan Trust:
550,000 6.040% due 06/15/2029.............................. 551,298
153,654 5.950% due 07/15/2029.............................. 153,736
850,000 5.990% due 07/15/2030.............................. 850,170
455,017 Honda Auto Receivables Grantor Trust,
5.850 due 02/15/2003.............................. 455,809
550,000 Honda Auto Receivables Owner Trust,
5.186% due 06/15/2001............................. 549,093
1,075,000 IMC Home Equity Loan Trust, 6.310% due 12/20/2012.. 1,071,969
550,000 Navistar Financial Corporation Owner Trust,
5.550% due 02/15/2002............................. 548,130
314,954 Nissan Auto Receivables Grantor Trust,
6.150% due 02/15/2003............................. 315,052
1,075,000 Premier Auto Trust,
5.820% due 02/08/2002............................. 1,075,000
400,000 Rental Car Finance Corporation, 6.450% due
08/25/2005++...................................... 395,560
235,471 Residential Funding Mortgage Securities,
5.133% due 02/25/2010#............................ 235,059
700,000 The Money Store Residential Trust,
6.480% due 06/15/2010............................. 702,051
WFS Financial Owner Trust:
18,160 5.783% due 11/20/2000.............................. 18,150
302,099 6.100% due 03/20/2002.............................. 302,881
380,615 6.250% due 03/20/2002.............................. 381,885
398,311 World Omni Automobile Lease Securitization,
6.080% due 11/25/2003............................. 398,434
------------
Total Asset-Backed Securities (Cost $21,515,436)... 21,404,295
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
AGENCY SECURITY -- 1.1% (Cost $4,258,000)
$ 4,258,000 Federal Home Loan Bank (FHLB), 4.490% due
07/01/1999#....................................... $ 4,258,000
------------
U.S. TREASURY OBLIGATIONS -- 3.5%
U.S. Treasury Inflation Index Notes:
256,450 3.625% due 07/15/2002.............................. 253,724
5,225,687 3.375% due 01/15/2007.............................. 5,010,128
18,140 3.625% due 01/15/2008.............................. 17,624
------------
5,281,476
------------
U.S. Treasury Bond:
3,175,000 8.750% due 08/15/2020.............................. 4,083,844
------------
U.S. Treasury Notes:
3,275,000 7.500% due 02/15/2005.............................. 3,525,734
100,000 6.625% due 05/15/2007.............................. 104,141
------------
3,629,875
------------
Total U.S. Treasury Obligations (Cost
$13,172,183)...................................... 12,995,195
------------
REPURCHASE AGREEMENT -- 1.8% (Cost $6,527,000)
6,527,000 Agreement with J.P. Morgan Securities, Inc., 4.650%
to be repurchased at $6,527,843 on 07/01/1999,
collateralized by $5,116,000 U.S. Treasury Note
11.750% due 02/15/2010, market value $6,657,553... 6,527,000
------------
<CAPTION>
Shares
------
<C> <S> <C>
PREFERRED STOCK -- 0.5% (Cost $1,658,542)
105,200 Loral Space & Communications, Ltd., Cvt. Series C,
6.000%+........................................... 1,893,600
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $343,358,954*).................... 108.8% 406,446,357
OTHER ASSETS AND LIABILITIES (Net)........................ (8.8)% (34,050,793)
------- ------------
NET ASSETS................................................ 100.0% $372,395,564
======= ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
# Variable rate security. The interest rate shown reflects the rate in
effect at June 30, 1999.
See Notes to Financial Statements.
18
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Money Market Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 24.9%
$ 3,000,000 Associates Corporation of North America,
5.150% due 08/30/1999#............................ $ 2,974,250
3,000,000 Campbell Soup Company,
5.100% due 07/22/1999#............................ 2,991,075
3,000,000 Ford Motor Credit Corporation, 4.740% due
07/13/1999#....................................... 2,995,260
3,000,000 General Electric Capital Corporation,
4.800% due 07/09/1999#............................ 2,996,800
3,200,000 General RE Corporation,
5.130% due 07/26/1999#............................ 3,188,600
3,200,000 Household Finance Corporation, 5.170% due
08/30/1999#....................................... 3,172,427
3,000,000 IBM Credit Corporation,
5.090% due 07/28/1999#............................ 2,988,548
3,200,000 International Lease Finance Corporation,
4.755% due 08/02/1999#............................ 1,991,547
3,200,000 USAA Capital Corporation, 5.160% due 08/25/1999#... 3,174,773
------------
Total Commercial Paper
(Cost $26,473,280)................................ 26,473,280
------------
CORPORATE NOTES -- 13.0%
2,000,000 Chase Manhattan Bank, USA, NA,
5.875% due 08/04/1999............................. 2,000,672
2,000,000 Citicorp,
5.135% due 09/17/1999+............................ 2,000,000
2,000,000 General Motors Acceptance Corporation,
4.958% due 08/26/1999+............................ 1,999,878
2,000,000 Morgan Guaranty Trust Company,
5.090% due 09/27/1999+............................ 1,999,207
2,000,000 Norwest Financial Corporation, 5.550% due
08/31/1999........................................ 1,999,840
2,000,000 PepsiCo, Inc.,
4.838% due 08/19/1999+............................ 1,999,697
2,000,000 Toyota Motor Credit Corporation, 5.011% due
09/23/1999+....................................... 2,000,000
------------
Total Corporate Notes
(Cost $13,999,294)................................ 13,999,294
------------
CERTIFICATES OF DEPOSIT (Yankee) -- 3.7%
Bank of Austria, New York,
1,000,000 5.670% due 07/23/1999.............................. 999,971
1,000,000 5.040% due 01/12/2000.............................. 999,845
2,000,000 Commerzbank AG, New York, 5.085% due 02/16/2000.... 1,999,818
------------
Total Certificates of Deposit
(Cost $3,999,634)................................. 3,999,634
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 4.9% (Cost $5,228,000)
$ 5,228,000 Agreement with J.P. Morgan Securities, Inc., 4.650%
to be repurchased at $5,228,675 on 07/01/1999,
collateralized by $4,098,000 U.S. Treasury Bond
11.750% due 02/15/2010, market value $5,332,563.... $ 5,228,000
------------
U.S. GOVERNMENT AGENCY SECURITIES -- 53.9%
Federal Home Loan Bank (FHLB),
5,000,000 4.670% due 07/21/1999.............................. 4,987,028
5,000,000 4.775% due 08/18/1999.............................. 4,968,167
------------
9,955,195
------------
Federal Home Loan Mortgage Corporation (FHLMC),
5,000,000 4.700% due 07/13/1999.............................. 4,992,167
3,500,000 4.860% due 07/23/1999#............................. 3,489,605
5,000,000 4.730% due 08/13/1999#............................. 4,971,751
------------
13,453,523
------------
Federal Maritime Commission (FMC),
5,000,000 4.770% due 07/09/1999.............................. 4,994,700
4,518,000 4.850% due 07/16/1999.............................. 4,507,802
5,000,000 4.810% due 07/19/1999.............................. 4,987,975
------------
14,490,477
------------
Federal National Mortgage Association (FNMA),
5,000,000 4.870% due 07/15/1999.............................. 4,990,861
5,000,000 4.870% due 07/19/1999.............................. 4,987,825
10,000,000 4.740% due 08/06/1999.............................. 9,952,250
------------
19,930,936
------------
Total U.S. Government
Agency Securities
(Cost $57,830,131)................................. 57,830,131
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $107,530,339*)..................... 100.4% 107,530,339
OTHER ASSETS AND LIABILITIES (Net)......................... (0.4)% (197,573)
------ ------------
NET ASSETS................................................. 100.0% $107,332,766
====== ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
# Rate represents annualized discount yield at date of purchase.
+ Variable rate security. The interest rate shown reflects the rate
currently in effect.
See Notes to Financial Statements.
19
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 94.4%
Aerospace and Defense -- 1.9%
35,200 AlliedSignal, Inc. .................................. $ 2,217,600
48,100 Lockheed Martin Corporation.......................... 1,791,725
25,100 TRW, Inc. ........................................... 1,377,362
------------
5,386,687
------------
Automotives -- 1.2%
6,982 Delphi Automotive Systems Corporation................ 129,611
16,000 General Motors Corporation........................... 1,056,000
60,650 Genuine Parts Company................................ 2,122,750
------------
3,308,361
------------
Banking and Finance -- 7.5%
33,400 BankBoston Corporation............................... 1,707,575
26,600 Bank of America Corporation.......................... 1,950,112
43,182 Bank One Corporation................................. 2,572,028
27,164 Chase Manhattan Corporation.......................... 2,353,081
78,374 Citigroup, Inc ...................................... 3,722,741
27,100 KeyCorp.............................................. 870,587
39,000 Mercantile Bankshares Corporation.................... 1,379,625
23,900 Morgan (J.P.) & Company, Inc. ....................... 3,357,950
21,100 National City Corporation............................ 1,382,050
52,030 Wells Fargo Company.................................. 2,224,282
------------
21,520,031
------------
Building and Construction -- 0.8%
41,000 Armstrong World Industries, Inc. .................... 2,370,312
------------
Computer Service and Software -- 0.3%
30,400 Compaq Computer Corporation.......................... 720,100
------------
Consumer Products -- 4.3%
85,300 Pall Corporation..................................... 1,892,594
75,300 Philip Morris Companies, Inc. ....................... 3,026,119
36,900 Stanley Works........................................ 1,187,719
42,400 Tupperware Corporation............................... 1,081,200
6,100 Unilever NV, CVA..................................... 410,734
81,200 UST, Inc. ........................................... 2,375,100
31,200 Whirlpool Corporation................................ 2,308,800
------------
12,282,266
------------
Cosmetics and Toiletries -- 2.3%
68,700 International Flavors & Fragrances, Inc. ............ 3,048,562
61,000 Kimberly-Clark Corporation........................... 3,477,000
------------
6,525,562
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Diversified -- 2.5%
24,300 Disney (Walt) Company................................ $ 748,744
36,200 Fortune Brands, Inc. ................................ 1,497,775
18,100 Honeywell, Inc. ..................................... 2,097,337
38,200 Olin Corporation..................................... 503,763
31,500 PPG Industries, Inc. ................................ 1,860,469
19,000 R.J. Reynolds Tobacco Holdings, Inc.+................ 598,500
------------
7,306,588
------------
Diversified Chemicals -- 2.6%
12,300 Arch Chemicals, Inc.+................................ 299,044
30,200 Dow Chemical Company................................. 3,831,625
50,000 du Pont (E.I.) de Nemours & Company.................. 3,415,625
------------
7,546,294
------------
Electrical Equipment -- 3.6%
44,200 Boeing Company....................................... 1,953,087
34,207 Cooper Industries, Inc. ............................. 1,778,764
18,300 General Electric Company............................. 2,067,900
31,700 Hewlett-Packard Company.............................. 3,185,850
33,000 Hubbell, Inc., Class B............................... 1,497,375
------------
10,482,976
------------
Energy Services -- 1.4%
18,600 Constellation Energy Group........................... 551,025
34,200 Duke Energy Corporation.............................. 1,859,625
42,900 Niagara Mohawk Holdings, Inc. ....................... 689,081
42,400 Reliant Energy, Inc. ................................ 1,171,300
------------
4,271,031
------------
Financial Services -- 4.3%
38,300 American General Corporation......................... 2,886,862
32,900 Block (H&R), Inc. ................................... 1,645,000
42,800 Fannie Mae........................................... 2,926,450
51,500 Fleet Financial Group, Inc. ......................... 2,285,312
81,074 St. Paul Companies, Inc. ............................ 2,579,167
------------
12,322,791
------------
Food and Beverages -- 7.6%
40,200 Anheuser-Busch Companies, Inc. ...................... 2,851,687
29,700 Brown-Forman Corporation, Class B.................... 1,936,069
38,500 Campbell Soup Company................................ 1,785,437
51,500 General Mills, Inc. ................................. 4,139,312
40,500 Heinz (H.J.) Company................................. 2,030,063
28,400 Hershey Foods Corporation............................ 1,686,250
44,700 Kellogg Company...................................... 1,475,100
60,200 McCormick & Company, Inc. ........................... 1,900,062
57,000 Nabisco Group Holdings Corporation................... 1,115,062
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Food and Beverages -- (Continued)
20,100 PepsiCo, Inc......................................... $ 777,619
33,800 Quaker Oats Company.................................. 2,243,475
------------
21,940,136
------------
Insurance -- 3.1%
22,400 Chubb Corporation.................................... 1,556,800
36,400 Lincoln National Corporation......................... 1,904,175
54,900 SAFECO Corporation................................... 2,422,462
27,000 Transamerica Corporation............................. 2,025,000
19,500 XL Capital Ltd., Class A............................. 1,101,750
------------
9,010,187
------------
Lodging -- 1.2%
53,300 Hilton Hotels Corporation............................ 756,194
84,926 Starwood Hotels & Resorts Worldwide, Inc. ........... 2,595,551
------------
3,351,745
------------
Media and Communications -- 1.8%
43,600 Dun & Bradstreet Corporation......................... 1,545,075
42,200 Knight-Ridder, Inc................................... 2,318,362
39,400 Readers Digest Association, Inc., Class A............ 1,566,150
------------
5,429,587
------------
Medical Supplies and Equipment -- 0.3%
317,700 Smith & Nephew Plc................................... 966,495
------------
Metals and Mining -- 1.9%
64,400 Inco, Ltd............................................ 1,159,200
57,836 Newmont Mining Corporation........................... 1,149,491
20,100 Phelps Dodge Corporation............................. 1,244,944
35,200 Reynolds Metals Company.............................. 2,076,800
------------
5,630,435
------------
Paper and Paper Products -- 2.5%
49,500 Consolidated Papers, Inc. ........................... 1,324,125
43,400 Fort James Corporation............................... 1,643,775
82,793 International Paper Company.......................... 4,181,047
------------
7,148,947
------------
Petroleum -- Domestic -- 2.0%
50,100 Atlantic Richfield Company (ARCO).................... 4,186,481
39,900 USX-Marathon Group................................... 1,299,244
------------
5,485,725
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Petroleum -- International -- 10.1%
44,100 Amerada Hess Corporation............................. $ 2,623,950
43,237 BP Amoco Plc, Sponsored ADR.......................... 4,691,215
39,400 Chevron Corporation.................................. 3,750,388
59,800 Exxon Corporation.................................... 4,612,075
38,300 Mobil Corporation.................................... 3,791,700
21,900 Phillips Petroleum Company........................... 1,101,844
50,400 Royal Dutch Petroleum Company, NY Shares............. 3,036,600
53,600 Texaco, Inc. ........................................ 3,350,000
52,800 Unocal Corporation................................... 2,092,200
------------
29,049,972
------------
Pharmaceuticals -- 3.9%
40,600 Abbott Laboratories.................................. 1,847,300
75,100 American Home Products Corporation................... 4,318,250
16,200 Merck & Company, Inc. ............................... 1,198,800
72,590 Pharmacia & Upjohn, Inc. ............................ 4,124,019
------------
11,488,369
------------
Photography Equipment and Supplies -- 1.1%
45,900 Eastman Kodak Company................................ 3,109,725
------------
Printing and Publishing -- 1.1%
42,200 Donnelley (R.R.) & Sons Company...................... 1,564,038
31,400 Dow Jones & Company, Inc. ........................... 1,666,163
------------
3,230,201
------------
Railroads -- 2.4%
101,400 Norfolk Southern Corporation......................... 3,054,675
65,800 Union Pacific Corporation............................ 3,836,963
------------
6,891,638
------------
Real Estate -- 1.2%
42,200 Crescent Real Estate Equities Company................ 1,002,250
29,700 Rouse Company........................................ 753,638
68,532 Simon Property Group, Inc. .......................... 1,739,000
------------
3,494,888
------------
Retail -- 1.6%
34,650 May Department Stores Company........................ 1,416,319
33,600 Penney (J.C.) Company, Inc. ......................... 1,631,700
65,700 Toys "R" Us, Inc.+................................... 1,359,169
------------
4,407,188
------------
Specialty Chemicals -- 4.5%
49,200 Great Lakes Chemical Corporation..................... 2,266,275
68,300 Hercules, Inc. ...................................... 2,685,044
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Specialty Chemicals -- (Continued)
28,500 Imperial Chemical Industries Plc, Sponsored ADR...... $ 1,132,875
36,000 Minnesota Mining & Manufacturing Company............. 3,129,750
47,200 Nalco Chemical Company............................... 2,448,500
53,200 Witco Corporation.................................... 1,064,000
------------
12,726,444
------------
Telecommunications -- 8.7%
71,800 ALLTEL Corporation................................... 5,133,700
21,750 AT&T Corporation..................................... 1,213,922
38,000 BCE, Inc. ........................................... 1,873,875
51,100 Bell Atlantic Corporation............................ 3,340,662
19,300 BellSouth Corporation................................ 904,688
56,200 GTE Corporation...................................... 4,257,150
108,474 SBC Communications, Inc. ............................ 6,291,492
17,800 Telecomunicacoes Brasileiras S.A., Sponsored ADR+.... 1,112
29,100 US West, Inc. ....................................... 1,709,625
------------
24,726,226
------------
Transportation Services -- 1.0%
22,100 Alexander & Baldwin, Inc. ........................... 491,725
50,800 Burlington Northern Santa Fe Corporation............. 1,574,800
24,100 GATX Corporation..................................... 917,306
------------
2,983,831
------------
Utilities -- 4.6%
80,600 Baker Hughes, Inc. .................................. 2,700,100
38,200 DQE, Inc. ........................................... 1,532,775
35,600 Entergy Corporation.................................. 1,112,500
61,650 FirstEnergy Corporation.............................. 1,911,150
62,950 PacifiCorp........................................... 1,156,706
73,600 Southern Company..................................... 1,950,400
34,600 TECO Energy, Inc. ................................... 787,150
49,300 Unicom Corporation................................... 1,901,131
------------
13,051,912
------------
Waste Disposal -- 1.1%
61,700 Browning-Ferris Industries, Inc. .................... 2,653,100
11,162 Waste Management, Inc. .............................. 599,958
------------
3,253,058
------------
Total Common Stock
(Cost $221,831,269)................................. 271,419,708
------------
PREFERRED STOCK -- 0.6% (Cost $1,368,234)
17,800 Telecomunicacoes Brasileiras S.A., Sponsored ADR+.... 1,605,338
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 4.1%
$ 3,000,000 Falcon Asset Securities,
4.950% due 07/07/1999#.................... $ 2,997,525
2,000,000 Merita North America,
4.830% due 07/13/1999#.................... 1,996,480
3,000,000 Park Avenue Receivables,
5.000% due 07/12/1999#.................... 2,995,417
1,879,000 Sand Dollar Funding LLC,
5.850% due 07/01/1999#.................... 1,879,000
2,000,000 Sand Dollar Funding LLC,
5.030% due 07/09/1999#.................... 1,997,764
------------
Total Commercial Paper
(Cost $11,866,486)........................ 11,866,186
------------
U.S. TREASURY OBLIGATIONS -- 0.7%
U.S. Treasury Notes -- 0.6%
U.S. Treasury Notes:
300,000 5.875% due 11/15/1999...................... 300,891
100,000 7.125% due 02/29/2000...................... 101,266
300,000 6.500% due 05/31/2001...................... 305,250
400,000 5.750% due 08/15/2003...................... 400,248
50,000 7.500% due 02/15/2005...................... 53,828
180,000 5.625% due 02/15/2006...................... 177,300
300,000 7.000% due 07/15/2006...................... 317,766
------------
1,656,549
------------
U.S. Treasury Bond -- 0.1%
400,000 U.S. Treasury Bond,
6.000% due 02/15/2026..................... 390,312
------------
Total U.S. Treasury Obligations (Cost
$1,961,989)............................... 2,046,861
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $237,027,978*)..................... 99.8% 286,938,093
OTHER ASSETS AND LIABILITIES (Net)......................... 0.2% 707,661
------ ------------
NET ASSETS................................................. 100.0% $287,645,754
====== ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
22
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 94.9%
Aerospace and Defense -- 1.1%
38,700 AlliedSignal, Inc. .................................. $ 2,438,100
------------
Banking and Finance -- 10.7%
37,430 Bank of America Corporation.......................... 2,744,087
66,800 Bank of New York Company, Inc. ...................... 2,450,725
102,148 Citigroup, Inc. ..................................... 4,852,054
35,900 Fannie Mae........................................... 2,454,662
103,600 Freddie Mac.......................................... 6,008,800
4,000 Goldman Sachs Group, Inc.+........................... 289,000
17,000 HSBC Holdings Plc.................................... 620,086
1,700 UBS AG, Registered+.................................. 507,104
88,000 Wells Fargo Company.................................. 3,762,000
------------
23,688,518
------------
Business Services -- 0.3%
35,100 Gartner Group, Inc., Class A+........................ 719,550
------------
Computer Service and Software -- 11.6%
13,700 America Online, Inc.+................................ 1,513,850
41,400 Automatic Data Processing, Inc. ..................... 1,821,600
53,200 BMC Software, Inc.+.................................. 2,872,800
40,600 Cisco Systems, Inc.+................................. 2,618,700
7,400 Citrix Systems, Inc.+................................ 418,100
41,500 Compuware Corporation+............................... 1,320,219
35,900 Dell Computer Corporation+........................... 1,328,300
19,300 EMC Corporation+..................................... 1,061,500
15,766 Getronics N.V.+...................................... 605,920
48,400 Intel Corporation.................................... 2,879,800
60,100 Microsoft Corporation+............................... 5,420,269
16,700 Oracle Corporation+.................................. 619,987
89,800 Parametric Technology Corporation+................... 1,245,975
20,400 Sterling Commerce, Inc.+............................. 744,600
12,300 Sun Microsystems, Inc.+.............................. 847,162
------------
25,318,782
------------
Consumer Products -- 4.3%
9,100 Colgate-Palmolive Company............................ 898,625
26,200 Corning, Inc. ....................................... 1,837,275
12,500 Gillette Company..................................... 512,500
12,400 Hasbro, Inc. ........................................ 346,425
47,300 Masco Corporation.................................... 1,365,787
21,000 Mattel, Inc. ........................................ 555,187
15,600 NIKE, Inc., Class B.................................. 987,675
51,500 Philip Morris Companies, Inc. ....................... 2,069,656
2,100 Procter & Gamble Company............................. 187,425
83,100 TAG Heuer International SA, Sponsored ADR............ 862,162
------------
9,622,717
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Diversified -- 9.9%
8,600 American Express Company............................. $ 1,119,075
32 Berkshire Hathaway Inc., Class A+.................... 2,204,800
30,800 First Data Corporation............................... 1,507,275
47,400 General Electric Company............................. 5,356,200
192,100 Hutchison Whampoa, Ltd. ............................. 1,739,363
176,200 Rentokil Initial Plc................................. 687,395
31,700 Teleflex, Inc. ...................................... 1,376,969
352,060 Tomkins Plc.......................................... 1,526,070
67,122 Tyco International, Ltd. ............................ 6,359,809
------------
21,876,956
------------
Electronic Components -- 4.6%
34,500 Altera Corporation+.................................. 1,270,031
24,500 Hewlett-Packard Company.............................. 2,462,250
36,800 Maxim Integrated Products, Inc.+..................... 2,447,200
6,200 Motorola, Inc. ...................................... 587,450
23,100 Solectron Corporation+............................... 1,540,481
12,900 Texas Instruments, Inc. ............................. 1,870,500
------------
10,177,912
------------
Energy Services -- 0.8%
37,600 Halliburton Company.................................. 1,701,400
------------
Entertainment and Leisure -- 1.8%
10,500 Carnival Corporation................................. 509,250
9,807 Disney (Walt) Company................................ 302,178
52,400 Fox Entertainment Group, Inc., Class A+.............. 1,411,525
47,200 Mirage Resorts, Inc.+................................ 790,600
37,300 Starwood Hotels & Resorts Worldwide, Inc. ........... 1,139,981
------------
4,153,534
------------
Financial Services -- 2.2%
12,000 AMBAC Financial Group, Inc. ......................... 685,500
54,400 Associates First Capital Corporation, Class A........ 2,410,600
13,400 Concord EFS, Inc.+................................... 566,987
9,200 Morgan Stanley Dean Witter & Company................. 943,000
4,400 TD Waterhouse Group, Inc.+........................... 110,275
------------
4,716,362
------------
Food and Beverages -- 3.6%
12,900 Coca-Cola Company.................................... 806,250
90,000 Compass Group Plc ................................... 892,315
51,600 PepsiCo, Inc. ....................................... 1,996,275
68,500 Safeway, Inc.+....................................... 3,390,750
35,200 Sara Lee Corporation................................. 798,600
------------
7,884,190
------------
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Health Care Services -- 7.7%
26,800 American Home Products Corporation................... $ 1,541,000
11,400 Amgen, Inc.+......................................... 693,975
60,700 Bristol-Myers Squibb Company......................... 4,275,556
23,100 Cardinal Health, Inc. ............................... 1,481,287
41,800 HEALTHSOUTH Corporation+............................. 624,387
41,200 IMS Health, Inc. .................................... 1,287,500
14,600 Johnson & Johnson.................................... 1,430,800
22,400 Lilly (Eli) & Company................................ 1,604,400
50,900 United HealthCare Corporation........................ 3,187,611
10,900 Wellpoint Health Networks, Inc.+..................... 925,138
------------
17,051,654
------------
Insurance -- 4.7%
65,100 Ace Ltd. ............................................ 1,839,075
24,000 Aetna, Inc. ......................................... 2,146,500
3,400 Fairfax Financial Holdings, Ltd.+.................... 911,435
400 Fairfax Financial Holdings, Ltd.++................... 107,228
52,732 Mutual Risk Management, Ltd. ........................ 1,759,930
28,900 PartnerRe Ltd. ...................................... 1,080,137
14,500 Travelers Property Casualty Corporation, Class A..... 567,313
24,800 UNUM Corporation..................................... 1,357,800
9,800 XL Capital, Ltd., Class A............................ 553,700
------------
10,323,118
------------
Machinery -- 1.6%
23,100 Applied Materials, Inc.+............................. 1,706,513
31,000 Danaher Corporation.................................. 1,801,875
------------
3,508,388
------------
Media and Communications -- 4.2%
21,600 Clear Channel Communications, Inc.+.................. 1,489,050
15,600 Comcast Corporation, Special Class A+................ 599,625
45,100 Infinity Broadcasting Corporation+................... 1,341,725
21,900 MediaOne Group, Inc.+................................ 1,628,813
30,500 Omnicom Group, Inc. ................................. 2,440,000
24,800 Time Warner, Inc. ................................... 1,822,800
------------
9,322,013
------------
Medical Products -- 0.7%
13,500 Baxter International, Inc. .......................... 818,438
14,000 Boston Scientific Corporation+....................... 615,125
------------
1,433,563
------------
Paper and Paper Products -- 0.4%
16,528 Kimberly-Clark Corporation........................... 942,096
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Petroleum -- International -- 2.7%
14,200 Chevron Corporation.................................. $ 1,351,663
23,200 Mobil Corporation.................................... 2,296,800
39,200 Royal Dutch Petroleum Company, NY Shares............. 2,361,800
------------
6,010,263
------------
Pharmaceuticals -- 5.4%
4,600 Gehe AG.............................................. 211,387
37,900 Merck & Company, Inc. ............................... 2,804,600
28,200 Pfizer, Inc. ........................................ 3,094,950
152 Roche Holding AG, Genuscheine........................ 1,561,530
31,500 Schering-Plough Corporation.......................... 1,669,500
35,500 Warner-Lambert Company............................... 2,462,813
------------
11,804,780
------------
Publishing -- 1.5%
13,400 Tribune Company...................................... 1,167,475
28,800 Ver Ned Uitgevers.................................... 1,149,871
28,000 Wolters Kluwer N.V................................... 1,113,602
------------
3,430,948
------------
Real Estate -- 0.9%
38,500 Crescent Real Estate Equities Company................ 914,375
57,350 Security Capital U.S. Realty+........................ 1,089,650
------------
2,004,025
------------
Retail -- 5.0%
13,800 Cifra S.A. de CV, ADR, V Shares+..................... 269,100
35,018 CVS Corporation...................................... 1,777,164
4,100 Dayton Hudson Corporation............................ 266,500
36,000 Home Depot, Inc.+.................................... 2,319,750
70,200 Kroger Company....................................... 1,961,213
23,000 McDonald's Corporation............................... 950,188
24,700 Saks, Inc.+.......................................... 713,213
58,400 Wal-Mart Stores, Inc. ............................... 2,817,800
------------
11,074,928
------------
Telecommunications -- 7.7%
51,400 CBS Corporation+..................................... 2,232,688
18,800 General Instrument Corporation+...................... 799,000
33,990 Lucent Technologies, Inc. ........................... 2,292,201
61,487 MCI WorldCom, Inc.+.................................. 5,291,725
20,600 Nextel Communications, Inc., Class A+................ 1,033,863
20,700 SBC Communications, Inc. ............................ 1,200,600
10,300 Sprint Corporation (FON Group)....................... 543,969
123,600 Telecom Italia S.p.A. ............................... 1,283,701
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Telecommunications -- (Continued)
116,000 Telecom Italia Mobile (TIM) S.p.A.+................. $ 426,689
9,450 Vodafone AirTouch Plc, Sponsored ADR................ 1,861,650
------------
16,966,086
------------
Waste Disposal -- 1.5%
60,200 Waste Management, Inc. ............................. 3,235,750
------------
Total Common Stock
(Cost $161,348,936)................................ 209,405,633
------------
PREFERRED STOCK -- 0.7% (Cost $1,425,710)
16,500 Telecomunicacoes Brasileiras S.A., Sponsored ADR+... 1,488,094
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
COMMERCIAL PAPER - 5.4%
$ 3,000,000 Falcon Asset Security Corporation,
5.037% due 07/07/1999#............................. 2,997,525
2,000,000 Knight-Ridder, Inc.,
5.020% due 07/19/1999#............................. 1,994,980
3,000,000 Park Avenue Receivables,
5.000% due 07/12/1999#............................. 2,995,417
4,012,000 Sand Dollar Funding LLC,
5.850% due 07/01/1999#............................. 4,012,000
------------
Total Commercial Paper
(Cost $11,999,922)................................. 11,999,922
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $174,774,568*)...................................... 101.0% 222,893,649
OTHER ASSETS AND LIABILITIES (Net)......................... (1.0)% (2,231,902)
------ ------------
NET ASSETS................................................. 100.0% $220,661,747
====== ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
25
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- 91.8%
Argentina -- 0.3%
6,753 Banco de Galicia y Buenos Aries S.A. de C.V., ADR.... $ 136,748
4,858 Banco Frances del Rio de la Plata S.A., Sponsored
ADR................................................. 92,302
10,700 Telefonos de Argentina S.A., Sponsored ADR........... 335,713
-----------
564,763
-----------
Australia -- 2.5%
35,742 Australian Gas Light Company......................... 217,134
13,000 Brambles Industries Ltd.............................. 342,027
33,520 Broken Hill Proprietary Company Ltd.................. 387,772
126,743 Colonial Ltd.+....................................... 448,241
34,064 Commonwealth Bank of Australia....................... 541,558
20,080 Lend Lease Corporation Ord........................... 275,340
1 National Australia Bank Ltd.......................... 17
53,406 News Corporation (The) Ord........................... 455,069
75,000 Publishing & Broadcasting Ltd........................ 494,300
46,000 Tabcorp Holdings Ltd................................. 309,556
122,049 Telstra Corporation Ltd.+............................ 698,451
86,395 Westpac Banking Corporation.......................... 559,692
-----------
4,729,157
-----------
Belgium -- 1.4%
1,295 Dexia Belgium (Credit Communal)...................... 192,673
24,298 Fortis (B)........................................... 762,329
24,570 KBC Bancassurance Holding............................ 1,455,653
4,840 UCB S.A. ............................................ 206,956
-----------
2,617,611
-----------
Brazil -- 0.3%
9,895 Cemig-CIA Energetica Minas Gerais, Sponsored ADR..... 200,374
10,959 Pao De Acucar ADS.................................... 204,796
24,305 Telebras Sponsored ADR............................... 1,519
55,559 Telesp SA ON Shares.................................. 4,613
7,073 Unibanco-Uniao De Bancos Brasileirs, GDR............. 170,194
-----------
581,496
-----------
Canada -- 0.3%
9,090 Alcan Aluminum Ltd................................... 288,400
3,920 Royal Bank of Canada................................. 172,922
-----------
461,322
-----------
Chile -- 0.1%
4,775 Chilectra S.A., Sponsored ADR++...................... 103,134
-----------
China -- 0.2%
23,100 Huaneng Power International, Inc. ADR+,++............ 395,588
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Denmark -- 0.3%
2,080 Den Danske Bank....................................... $ 224,803
4,980 Tele Danmark AS, Series B............................. 244,273
1,950 UniDanmark AS, Series A............................... 129,694
----------
598,770
----------
France -- 10.3%
5,966 Alcatel............................................... 839,075
10,720 Axa Company+.......................................... 1,306,665
5,230 Banque Nationale de Paris (BNP)....................... 435,409
9,180 Carrefour S.A. ....................................... 1,347,852
4,989 Credit Commercial de France........................... 538,716
2,230 Danone................................................ 574,420
995 Dexia France.......................................... 133,071
1,813 Dexia France FRF100................................... 242,470
5,070 Elf Aquitaine S.A..................................... 743,357
970 Equant NV+............................................ 89,350
2,816 Lafarge S.A. Bearer Shares............................ 267,515
2,133 Legrand S.A........................................... 433,833
572 L'OREAL............................................... 386,326
9,670 Pinault-Printemps-Redoute S.A......................... 1,657,924
4,280 Saint Gobain Shares................................... 681,329
32,756 Sanofi S.A............................................ 1,388,818
15,162 Schneider S.A......................................... 850,627
3,657 Societe Generale, Class A............................. 643,949
6,742 Sodexho Alliance S.A.................................. 1,160,085
9,320 STMicroelectronics+................................... 620,345
3,290 Television Francaise Shares........................... 766,106
13,018 Total Fina 'B' Bearer Shares.......................... 1,677,978
30,960 Vivendi............................................... 2,505,716
----------
19,290,936
----------
Finland -- 1.0%
20,590 Nokia AB, Class A..................................... 1,803,267
----------
Germany -- 5.8%
2,930 Allianz AG............................................ 812,091
16,083 Bayer AG.............................................. 669,473
21,542 Bayerische HypoVereinsbank............................ 1,398,335
13,374 Deutsche Bank AG+..................................... 815,081
1,657 Deutsche Bank AG, New+................................ 100,986
19,157 Deutsche Telekom AG................................... 803,353
18,696 Dresdner Bank AG...................................... 730,084
21,470 Gehe AG............................................... 986,624
5,430 Hoechst AG............................................ 245,612
12,580 Mannesmann AG......................................... 1,875,573
2,922 Rhon-Klinikum AG...................................... 290,531
2,180 SAP AG................................................ 736,741
5,558 Siemens AG............................................ 428,356
13,511 VEBA AG............................................... 793,500
3,960 Volkswagen AG......................................... 253,380
----------
10,939,720
----------
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- (Continued)
Hong Kong -- 2.7%
50,000 Cheung Kong Holdings Ltd. ............................ $ 444,668
210,000 China Telecom......................................... 583,288
92,000 CLP Holdings Ltd. .................................... 447,039
22,000 Dao Heng Bank Group Ltd. ............................. 98,678
82,000 Henderson Land Development Company.................... 471,374
114,000 Hong Kong Telecom..................................... 296,071
20,000 HSBC Holdings Plc Shares.............................. 729,513
131,000 Hutchison Whampoa Ltd................................. 1,186,135
97,000 New World Development Company Ltd..................... 290,677
43,000 Sun Hung Kai Properties Ltd. ......................... 392,113
-----------
4,939,556
-----------
India -- 0.1%
16,000 Mahanagar Telephone Niagam Ltd., GDR.................. 158,400
-----------
Ireland -- 0.1%
14,409 CBT Group Plc, Sponsored ADR.......................... 237,749
-----------
Italy -- 5.8%
19,840 Assicurazioni Generali S.p.A. Shares.................. 686,856
107,000 Banca di Roma......................................... 153,795
22,000 Banca Popolare di Brescia............................. 941,843
174,772 Ente Nazionale Idrocarburi............................ 1,042,642
7,980 Gucci Group NV, NY Shares............................. 558,600
323,000 Instituto Nazional Assicurazioni Shares............... 748,807
34,740 Italgas (Societe Italiana II Gas) S.p.A. Shares....... 145,683
59,765 Mediolanum Shares..................................... 458,763
52,384 San Paolo IMI......................................... 712,455
288,315 Telecom Italia S.p.A.................................. 2,994,419
240,353 Tim S.p.A............................................. 1,433,880
176,553 UniCredito Italiano S.p.A. ........................... 774,942
-----------
10,652,685
-----------
Japan -- 17.2%
61,000 Canon, Inc............................................ 1,755,105
23,000 Citizen Watch Company................................. 199,669
33,000 Daichi Pharmaceutical Company......................... 512,394
40,000 Daiwa House Industry Company.......................... 421,000
74 DDI Corporation....................................... 460,703
63,000 Denso Corporation..................................... 1,281,356
94 East Japan Railway Company............................ 505,167
8,800 Fanuc Ltd............................................. 472,923
31,000 Fujitsu Ltd........................................... 624,101
77,000 Hitachi Ltd........................................... 722,571
4,000 Honda Motor Company Ltd. ............................. 169,657
11,000 Ito-Yokado Company Ltd. .............................. 736,668
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
34,000 Kao Corporation....................................... $ 955,767
21,000 Kokuyo Company Ltd.................................... 338,570
17,000 Komori Corporation.................................... 306,408
48,000 Kuraray Company Ltd. ................................. 577,826
15,000 Kyocera Corporation................................... 880,529
24,000 Makita Corporation.................................... 271,650
49,000 Marui Company Ltd..................................... 810,252
74,000 Matsushita Electric Industrial Company................ 1,437,784
44,000 Mitsubishi Corporation................................ 298,305
203,000 Mitsubishi Heavy Industries Ltd....................... 824,084
94,000 Mitsui Fudosan Company Ltd. .......................... 761,637
21,000 Murata Manufacturing Company Ltd. .................... 1,382,059
116,000 NEC Corporation....................................... 1,443,406
142 Nippon Telegraph & Telephone Corporation.............. 1,655,395
75,000 Nomura Securities Company Ltd......................... 878,669
68 NTT Mobile Communications Network, Inc.+.............. 910,790
17 NTT Mobile Communications Network Shares.............. 230,508
49,000 Sankyo Company Ltd. .................................. 1,235,635
58,000 Sekisui Chemical Company Ltd. ........................ 336,635
41,000 Sekisui House Ltd. ................................... 442,712
5,620 Seven-Eleven Japan Company Ltd........................ 551,081
25,000 Shinetsu Chemical Company Ltd......................... 837,123
22,000 Shiseido Company Ltd. ................................ 329,955
16,600 Sony Corporation...................................... 1,791,071
78,000 Sumitomo Corporation.................................. 570,732
99,000 Sumitomo Electric Industries Ltd...................... 1,126,284
15,000 TDK Corporation....................................... 1,372,881
17,000 Tokio Marine & Fire Insurance Company................. 184,829
6,700 Tokyo Electron Ltd. .................................. 454,791
37,000 Toppan Printing Company Ltd........................... 413,287
26,000 Toshiba Corporation................................... 185,515
22,000 UNY Company Ltd. ..................................... 331,046
-----------
31,988,530
-----------
Korea -- 0.7%
14,000 Korea Telecom Corporation, Sponsored ADR+............. 560,000
5,421 Samsung Electronics Company........................... 594,788
138 SK Telecom Company Ltd. .............................. 184,795
-----------
1,339,583
-----------
Luxemborg -- 0.1%
1,100 Societe Europeene Satel+.............................. 163,207
-----------
Mexico -- 1.7%
40,310 Cemex S.A., Sponsored ADS............................. 396,800
16,590 Cemex S.A., Class B+.................................. 82,115
68,340 FEMSA (Fomento Economico Mex S.A.), Units............. 273,070
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- (Continued)
Mexico -- (Continued)
8,213 Gruma S.A. de CV, Series B, Sponsored ADR++........... $ 55,435
34,815 Gruma S.A. de CV, Series B............................ 58,302
84,790 Grupo Industrial Maseca S.A., Class B................. 50,326
75,944 Grupo Modelo S.A. de CV, Series C..................... 216,523
7,585 Grupo Televisa-GDR (2 Part Cert) (DTC)................ 339,903
69,076 Kimberly-Clark de Mexico, Class A..................... 284,065
16,364 Telefonos de Mexicano S.A. de CV, ADS................. 1,322,416
10,200 TV Aztec ADS.......................................... 52,913
-----------
3,131,868
-----------
Netherlands -- 8.5%
35,400 ABN Amro Holdings NV.................................. 765,962
29,999 Ahold NV.............................................. 1,032,376
3,976 Akzo Nobel NV......................................... 167,144
20,240 ASM Lithography Holding NV+........................... 1,169,925
13,477 CSM CVA Non-Exchange Shares........................... 672,778
66,460 Elsevier NV........................................... 770,367
34,830 Fortis (NL) NV........................................ 1,074,818
46,140 ING Groep NV, CVA Shares.............................. 2,495,868
4,254 Koninklijke KPN NV.................................... 199,431
11,140 Numico (Koninklijke) NV Shares (Part-Exchange)........ 394,273
13,478 Philips Electronics Shares............................ 1,328,297
22,350 Royal Dutch Petroleum Company......................... 1,308,009
4,254 TNT Post Groep NV Shares.............................. 101,469
11,982 Unilever NV........................................... 806,788
13,670 VNU NV................................................ 545,789
74,660 Wolters Kluwer NV..................................... 2,969,341
-----------
15,802,635
-----------
New Zealand -- 0.2%
103,000 Telecom Corporation of New Zealand, Ltd.+............. 441,720
-----------
Norway -- 0.8%
2,170 Bergesen d.y. ASA, A Shares........................... 31,941
15,620 Norsk Hydro ASA....................................... 588,664
59,030 Orkla ASA, A Shares................................... 917,569
-----------
1,538,174
-----------
Portugal -- 0.5%
30,423 Jeronimo Martins SGPS................................. 1,004,023
-----------
Russia -- 0.0%#
7,240 OAO Gazprom ADS....................................... 81,631
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
Singapore -- 0.5%
18,904 Singapore Press Holdings Ltd. (F)..................... $ 322,101
80,000 United Overseas Bank Ltd. (F)......................... 559,342
-----------
881,443
-----------
Spain -- 3.0%
14,808 Argentaria S.A........................................ 337,036
20,970 Banco Bilbao Vizcaya+................................. 302,706
3,180 Banco Popular Espanol S.A............................. 228,537
82,052 Banco Santander Central Hispano S.A. (Banesto)........ 853,877
28,988 Empresa Nacional de Electricidad (Endesa)............. 617,666
4,589 Gas Natural S.D.G., S.A............................... 333,343
44,776 Iberdrola S.A......................................... 681,413
20,496 Repsol S.A............................................ 418,137
37,116 Telefonica S.A........................................ 1,786,306
-----------
5,559,021
-----------
Sweden -- 3.6%
30,090 ABB AB, Series A...................................... 400,574
39,433 Astrazeneca Ordinary Shares........................... 1,537,693
18,610 Atlas Copco AB, Series B.............................. 499,877
50,740 Electrolux Company AB, Series B....................... 1,064,026
4,870 Esselte AB, Series B.................................. 50,489
4,355 Granges AB............................................ 73,881
69,880 Hennes & Mauritz AB, Series B......................... 1,728,837
139,872 Nordbanken Holding AB................................. 818,972
15,380 Sandvik AB, Series B.................................. 340,640
13,534 Securitas AB, Series B................................ 202,494
-----------
6,717,483
-----------
Switzerland -- 6.0%
511 ABB AG, Bearer Shares................................. 755,577
2,175 Adecco S.A............................................ 1,164,754
4,220 Credit Suisse Group, Registered Shares................ 729,785
1,526 Nestle S.A., Registered Shares........................ 2,747,879
1,469 Novartis AG, Registered Shares........................ 2,143,767
156 Roche Holding AG, Genusch............................. 1,602,623
795 Swisscom.............................................. 298,987
5,767 UBS AG, Registered Shares+............................ 1,720,275
-----------
11,163,647
-----------
United Kingdom -- 17.8%
52,000 Abbey National Plc.................................... 976,203
178,000 ASDA Group Plc........................................ 609,544
57,353 B G Plc............................................... 350,310
48,000 BP Amoco Common Stock................................. 860,254
119,000 Cable & Wireless Plc.................................. 1,516,534
197,536 Cadbury Schweppes Plc................................. 1,252,471
128,200 Caradon Plc........................................... 302,103
39,600 Centrica Plc+......................................... 93,161
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
United Kingdom -- (Continued)
133,000 Compass Group Plc.................................... $ 1,318,644
227,464 Diageo Plc........................................... 2,375,329
45,000 Electrocomponents Plc................................ 333,022
14,000 GKN Plc.............................................. 238,991
89,000 Glaxo Wellcome Plc................................... 2,473,247
16,000 Hays Plc............................................. 168,596
80,000 Hilton Group Plc..................................... 317,457
209,000 Kingfisher Plc....................................... 2,404,885
28,000 Laing (John), Plc, Class A........................... 139,246
204,000 National Westminster Bank Plc........................ 4,324,916
45,000 Rank Group Plc....................................... 178,924
232,000 Reed International Plc............................... 1,547,783
61,000 Rio Tinto Plc........................................ 1,022,569
29,518 Rolls-Royce Plc...................................... 124,927
116,000 Safeway, Inc......................................... 464,884
394,000 Shell Transport & Trading Company.................... 2,954,610
58,000 Smith (David S.) Holdings Plc........................ 135,762
251,200 SmithKline Beecham Plc............................... 3,264,642
288,000 Tesco Plc............................................ 741,090
240,364 Tomkins Plc.......................................... 1,041,903
92,857 Unilever Plc......................................... 825,504
79,000 United News & Media Plc.............................. 759,595
------------
33,117,106
------------
Total Common Stock (Cost $129,312,534)............... 171,004,225
------------
PREFERRED STOCK -- 2.5%
Australia -- 0.3%
48,107 News Corporation (The) Ltd........................... 366,031
169,600 Star City Holdings Ltd.+............................. 164,808
------------
530,839
------------
Brazil -- 1.8%
23,967,906 Banco Bradesco S.A................................... 121,836
265,000 Banco Itau SA PN Shares of NPV....................... 136,204
5,860,036 Cemig-CIA Energetica Minas Gerais.................... 122,496
240,000 Ciment Itau+......................................... 23,043
2,896,549 Petroleo Brasiliero S.A. Petrobras................... 449,902
23,305 Telebras DfD1 ADR.................................... 2,101,820
7,550 Telemig-Telec De Minas Gerais SA "B' PN Shs NP....... 188
1,766,117 Telesp S.A........................................... 209,480
1,684,346 Telesp Celular S.A., Class B+........................ 83,813
------------
3,248,782
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Germany -- 0.4%
2,042 Fielmann AG.......................................... $ 75,533
870 Fresenius AG......................................... 153,733
1,243 SAP AG Non Vtg. Pref. Shares......................... 496,281
------------
725,547
------------
Total Preferred Stock (Cost $4,016,439).............. 4,505,168
------------
RIGHTS -- 0.0%# (Cost $0)
Korea -- 0.0%
32 SK Telecom Company Ltd. Rights expire 07/30/1999+.... 16,223
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $133,328,973*)..................... 94.3% 175,525,616
OTHER ASSETS AND LIABILITIES (Net)......................... 5.7% 10,579,121
------ ------------
NET ASSETS................................................. 100.0% $186,104,737
====== ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
# Amount represents less than 0.1%
Abbreviations:
ADR -- American Depositary Receipt
ADS -- American Depositary Shares
(F) -- Foreign or Alien Shares
GDR -- Global Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
29
<PAGE>
Portfolio of Investments
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
June 30, 1999 (Unaudited)
At June 30, 1999, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% of Value
Sector Diversification Net Assets (Note 1)
- ---------------------- ---------- -------------
<S> <C> <C>
COMMON STOCK:
Banking............................................... 10.8% $ 20,187,586
Telecommunications.................................... 10.6 19,763,908
Health and Personal Care.............................. 10.0 18,584,522
Multi-Industry........................................ 8.5 15,814,640
Food and Grocery Products............................. 8.1 15,065,889
Electronics and Instruments........................... 7.1 13,235,636
Broadcasting and Publishing........................... 5.3 9,906,169
Financial Services.................................... 5.2 9,674,296
Energy................................................ 3.5 6,558,514
Diversified Industrial Manufacturing.................. 3.4 6,357,437
Retail Trade.......................................... 2.3 4,319,130
Household Products.................................... 2.3 4,308,827
Insurance............................................. 2.2 4,014,588
Transport and Storage................................. 2.1 3,911,557
Utilities............................................. 1.9 3,455,848
Computers and Communication........................... 1.7 3,231,673
Real Estate........................................... 1.6 2,748,241
Machinery and Engineering Services.................... 1.4 2,538,098
Construction and Building Materials................... 0.9 1,749,388
Chemicals............................................. 0.9 1,762,421
Metals and Mining..................................... 0.7 1,384,850
Forestry and Paper Products........................... 0.4 758,397
Entertainment and Leisure............................. 0.3 488,480
Textiles and Apparel.................................. 0.3 558,600
Automotive............................................ 0.2 423,036
Security Services..................................... 0.1 202,494
----- -------------
TOTAL COMMON STOCK.................................... 91.8 171,004,225
TOTAL PREFERRED STOCK................................. 2.5 4,505,168
TOTAL RIGHTS.......................................... 0.0# 16,223
----- -------------
TOTAL INVESTMENTS..................................... 94.3 175,525,616
OTHER ASSETS AND LIABILITIES.......................... 5.7 10,579,121
----- -------------
NET ASSETS............................................ 100.0% $ 186,104,737
===== =============
</TABLE>
- -----------
# Amount represents less than 0.1%
See Notes to Financial Statements.
30
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Select 50 Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- 90.6%
Advertising -- 1.9%
33,500 HA-LO Industries, Inc.+................................. $ 330,812
4,750 Snyder Communications, Inc. ............................ 155,563
-----------
486,375
-----------
Aerospace and Defense -- 3.3%
16,800 Lockheed Martin Corporation............................. 625,800
7,200 Moog Inc., Class A...................................... 247,500
-----------
873,300
-----------
Banking and Finance -- 5.6%
7,000 Bank of America Corporation............................. 513,187
11,000 Household International, Inc. .......................... 521,125
6,500 National City Corporation............................... 425,750
-----------
1,460,062
-----------
Building and Construction -- 4.6%
17,500 Elcor Corporation....................................... 764,531
15,500 Masco Corporation....................................... 447,562
-----------
1,212,093
-----------
Business Services -- 2.0%
20,400 On Assignment, Inc.+ C65................................ 532,950
-----------
Computer Service and Software -- 6.2%
5,450 Comverse Technology, Inc.+.............................. 411,475
4,600 Equant NV, NY Registered Shares+........................ 432,975
3,500 Hewlett-Packard Company................................. 351,750
5,800 MICROS Systems, Inc.+................................... 197,200
3,900 Pacific Internet, Ltd.+................................. 184,763
-----------
1,578,163
-----------
Diversified Chemicals -- 2.3%
4,700 Dow Chemical Company.................................... 596,312
-----------
Drugs -- 3.5%
5,100 Glaxo Wellcome Plc, Sponsored ADR....................... 288,787
37,300 Ranbaxy Laboratories, Ltd., GDR......................... 617,315
-----------
906,102
-----------
Food and Beverages -- 1.0%
13,000 Coca-Cola Femsa S.A., Sponsored ADR..................... 251,875
-----------
Healthcare Services -- 2.1%
25,000 First Health Group Corporation+......................... 539,063
-----------
Machinery -- 4.0%
9,400 Applied Power, Inc., Class A............................ 256,738
18,650 Manitowoc Company, Inc. ................................ 776,306
-----------
1,033,044
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
Manufacturing -- 2.7%
8,900 Coflexip S.A., Sponsored ADR............................ $ 387,150
19,469 Larsen & Toubro, Ltd., GDR.............................. 300,309
-----------
687,459
-----------
Media and Communications -- 3.8%
33,300 Avid Technology, Inc.+.................................. 536,963
1,550 Canal Plus.............................................. 434,555
-----------
971,518
-----------
Metals and Mining -- 3.0%
12,500 Alcoa, Inc. ............................................ 773,438
-----------
Paper and Paper Products -- 3.4%
10,500 International Paper Company............................. 530,250
6,300 Kimberly-Clark Corporation.............................. 359,100
-----------
889,350
-----------
Petroleum -- Domestic -- 3.6%
23,000 Coastal Corporation (The)............................... 920,000
-----------
Petroleum -- International -- 4.2%
10,200 Amerada Hess Corporation................................ 606,900
11,200 Halliburton Company..................................... 506,800
-----------
1,113,700
-----------
Real Estate -- 1.8%
234,000 DBS Land, Ltd. ......................................... 467,450
-----------
Retail -- 7.9%
9,500 Albertson's, Inc. ...................................... 489,844
25,200 Duane Reade, Inc.+...................................... 771,750
8,200 Linens 'n Things, Inc.+................................. 358,750
12,600 Nordstrom, Inc. ........................................ 422,100
-----------
2,042,444
-----------
Telecommunications -- 17.1%
16,100 AT&T Canada, Inc.+...................................... 1,031,406
21,600 COLT Telecom Group Plc, Sponsored ADR+.................. 453,166
5,500 Global TeleSystems Group, Inc.+......................... 445,500
15,955 Hellenic Telecommunication Organization S.A. ........... 341,568
8,000 Hellenic Telecommunication Organization S.A., ADR+...... 88,500
8,200 Korea Telecom Corporation............................... 544,069
4,720 Magyar Tavkozlesi Rt., Sponsored ADR.................... 129,800
41,700 Magyar Tavkozlesi Rt. .................................. 225,294
7,280 Nokia Corporation, Sponsored ADR, Class A............... 666,575
35,300 Orange Plc, ADR+........................................ 517,467
-----------
4,443,345
-----------
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Select 50 Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCK -- (Continued)
Textiles and Apparel -- 5.5%
109,000 Chaus (Bernard), Inc.+.................................. $ 313,375
6,000 Gucci Group NV, NY Shares............................... 420,000
62,400 Reliance Industries, Ltd., GDR.......................... 627,120
7,400 Reliance Industries, Ltd., Sponsored GDR+............... 74,370
-----------
1,434,865
-----------
Transportation -- 1.1%
13,300 Swift Transportation Company, Inc.+..................... 292,600
-----------
Total Common Stock (Cost $19,617,981)................... 23,505,508
-----------
PREFERRED STOCK -- 4.9%
10,200 Petroleo Brasileiro S.A., ADR........................... 158,430
310,000 Siam Commercial Bank Public Company, Ltd.+.............. 441,356
7,500 Telecomunicacoes Brasileiras S.A., Sponsored ADR+....... 676,406
-----------
Total Preferred Stock (Cost $979,201)................... 1,276,192
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- -----------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.7% (Cost $972,000)
$ 972,000 Agreement with UBS, 4.830% to be repurchased at
$972,130 on 07/01/1999, collateralized by $778,000
U.S. Treasury Bond, 10.375% due 11/15/2012, market
value $991,950........................................ $ 972,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $21,569,181*)........................................ 99.2% 25,753,699
OTHER ASSETS AND LIABILITIES (Net).......................... 0.8% 301,789
------ -----------
NET ASSETS.................................................. 100.0% $26,055,488
====== ===========
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
Abbreviations:
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
See Notes to Financial Statements.
32
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor High Yield Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- 91.1%
Aerospace and Defense -- 0.7%
$ 125,000 BE Aerospace,
Senior Subordinate Notes,
8.000% due 03/01/2008.............................. $ 116,875
------------
Automotive -- 3.3%
50,000 Dura Operating Corporation, Senior Subordinate
Notes, 9.000% due 05/01/2009++..................... 47,750
225,000 Federal-Mogul Corporation, 7.500% due 01/15/2009++.. 207,639
Hayes Lemmerz International, Inc., Company
Guarantee,
50,000 11.000% due 07/15/2006............................. 54,125
100,000 9.125% due 07/15/2007.............................. 100,500
75,000 Oxford Automotive, Inc., Company Guarantee,
10.125% due 06/15/2007............................. 75,187
50,000 Williams Scotsman, Inc., Company Guarantee,
9.875% due 06/01/2007.............................. 48,437
------------
533,638
------------
Broadcasting and Media -- 14.9%
150,000 Adelphia Communications, 8.375% due 02/01/2008...... 144,375
100,000 Chancellor Media Corporation, Company Guarantee,
8.750% due 06/15/2007.............................. 99,500
125,000 Chancellor Media Corporation, Senior Notes,
8.000% due 11/01/2008.............................. 122,500
175,000 Charter Community Holdings LLC, Senior Notes,
8.250% due 04/01/2007++............................ 167,562
110,000 Charter Community Holdings LLC, Senior Discount
Notes, 9.920% due 04/01/2011++..................... 68,200
70,000 Classic Cable, Inc., Senior Subordinate Notes,
9.875% due 08/01/2008++............................ 72,450
75,000 Cumulus Media, Inc.,
Company Guarantee,
10.375% due 07/01/2008............................. 79,500
200,000 Echostar DBS Corporation,
Senior Notes,
9.375% due 02/01/2009++............................ 204,000
100,000 Fox/Liberty Networks LLC, Senior Notes,
8.875% due 08/15/2007.............................. 104,000
175,000 Frontiervision LP, Senior Notes, 11.000% due
10/15/2006......................................... 190,750
50,000 Global Crossing Holdings Ltd., Company Guarantee,
9.625% due 05/15/2008.............................. 54,000
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
Granite Broadcasting Corporation, Senior Subordinate
Notes:
$ 25,000 10.375% due 05/15/2005............................. $ 25,250
100,000 8.875% due 05/15/2008.............................. 97,000
125,000 Hollinger International Publishing, Company
Guarantee,
9.250% due 03/15/2007.............................. 127,812
Lenfest Communications, Senior Subordinate Notes:
75,000 10.500% due 06/15/2006............................. 86,250
50,000 8.250% due 02/15/2008.............................. 50,812
100,000 Lin Television Corporation, Company Guarantee,
8.375% due 03/01/2008.............................. 96,000
75,000 Rogers Cablesystem,
Notes, Yankee,
9.625% due 08/01/2002.............................. 78,562
75,000 Satelites Mexicanos S.A.,
Senior Notes, 10.125% due 11/01/2004............... 59,719
125,000 Telemundo Holdings, Inc.,
Senior Discount Notes,
11.500% due 08/15/2008............................. 63,125
125,000 TeleWest Communications Plc, Senior Discount Notes,
9.250% due 04/15/2009/\++........................... 83,281
65,000 TeleWest Communications Plc, Debentures, Yankee,
9.625% due 10/01/2006.............................. 66,950
125,000 Time Warner Telecom LLC, Senior Notes,
9.750% due 07/15/2008.............................. 128,125
245,000 United International Holdings, Inc., Senior Discount
Notes, 10.750% due 02/15/2008/\..................... 161,700
------------
2,431,423
------------
Building and Construction -- 1.9%
100,000 Formica Corporation, Senior Subordinate Notes,
10.875% due 03/01/2009++........................... 97,000
80,000 MMI Products, Inc., Senior Subordinate Notes,
11.250% due 04/15/2007............................. 82,000
125,000 Synthetic Industries, Inc., Senior Subordinate
Notes,
9.250% due 02/15/2007.............................. 128,750
------------
307,750
------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor High Yield Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Capital Goods -- 1.2%
$ 85,000 Johnstown America Industries, Inc., Senior
Subordinate Notes, 11.750% due 08/15/2005.......... $ 90,100
25,000 Johnstown America Industries, Inc., Company
Guarantee, 11.750% due 08/15/2005.................. 26,500
100,000 Nortek, Inc., Senior Notes,
9.250% due 03/15/2007.............................. 100,000
------------
216,600
------------
Chemicals -- 2.5%
Lyondell Chemical Company:
55,000 9.625% due 05/01/2007++............................ 56,512
90,000 9.875% due 05/01/2007++............................ 92,025
50,000 NL Industries, Senior Notes, 11.750% due
10/15/2003......................................... 53,000
125,000 PCI Chemicals Canada, Inc., Company Guarantee,
9.250% due 10/15/2007.............................. 106,250
50,000 Sterling Chemicals, Inc., Senior Subordinate Notes,
11.250% due 04/01/2007............................. 37,000
50,000 ZSC Specialty Chemicals Plc, Senior Notes,
11.000% due 07/01/2009++........................... 50,437
------------
395,224
------------
Commercial Services -- 1.9%
30,000 Continental Resources, Senior Subordinate Notes,
10.250% due 08/01/2008............................. 21,975
Iron Mountain, Inc., Company Guarantee:
25,000 10.125% due 10/01/2006............................. 26,500
100,000 8.750% due 09/30/2009.............................. 98,750
100,000 Pierce Leahy Corporation, Senior Subordinate Notes,
9.125% due 07/15/2007.............................. 101,500
World Color Press, Inc., Senior Subordinate Notes:
75,000 8.375% due 11/15/2008.............................. 74,625
5,000 7.750% due 02/15/2009.............................. 4,612
------------
327,962
------------
Consumer Goods -- 0.6%
100,000 Simmons Company, Senior Subordinate Notes,
10.250% due 03/15/2009++........................... 101,500
------------
Containers -- 3.1%
110,000 Ball Corporation, Company Guarantee,
8.250% due 08/01/2008.............................. 108,350
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
$ 85,000 Gaylord Container Corporation, Senior Notes,
9.875% due 02/15/2008.............................. $ 75,650
175,000 Gaylord Container Corporation, Senior Notes,
9.750% due 06/15/2007.............................. 167,562
50,000 Packaging Corporation of America, Senior Subordinate
Notes,
9.625% due 04/01/2009++............................ 50,750
70,000 Riverwood International, Company Guarantee,
10.250% due 04/01/2006............................. 70,700
100,000 Silgan Holdings, Inc., Senior Subordinate
Debentures, 9.000% due 06/01/2009.................. 99,000
------------
572,012
------------
Cosmetics -- 0.6%
100,000 Revlon Consumer Products, Inc., Senior Subordinate
Notes, 8.125% due 02/01/2006....................... 97,500
------------
Educational -- 0.6%
100,000 KinderCare Learning Centers, Senior Subordinate
Notes, 9.500% due 02/15/2009....................... 94,750
------------
Engineering and Technology -- 4.3%
25,000 Applied Extrusion Technology, Senior Notes,
11.500% due 04/01/2002............................. 25,500
100,000 Argo-Tech Corporation, Company Guarantee,
8.625% due 10/01/2007.............................. 92,500
250,000 Building Materials Corporation, Senior Notes,
8.625% due 12/15/2006.............................. 249,062
50,000 CSC Holdings, Inc., Senior Subordinate Notes,
9.250% due 11/01/2005.............................. 52,250
100,000 General Binding Corporation, Company Guarantee,
9.375% due 06/01/2008.............................. 93,500
50,000 Moog, Inc., Senior
Subordinate Notes,
10.000% due 05/01/2006............................. 52,000
125,000 Unisys Corporation,
Senior Notes,
12.000% due 04/15/2003............................. 136,562
------------
701,374
------------
Entertainment and Leisure -- 5.1%
50,000 AMC Entertainment, Inc., Senior Subordinate Notes,
9.500% due 03/15/2009.............................. 48,000
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor High Yield Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Entertainment and Leisure -- (Continued)
$ 100,000 Big Flower Press Holdings, Senior Subordinate Notes,
8.625% due 12/01/2008.............................. $ 92,250
75,000 Boyd Gaming Corporation, Senior Subordinate Notes,
9.500% due 07/15/2007.............................. 74,250
100,000 Cinemark USA, Inc., Senior Subordinate Notes,
9.625% due 08/01/2008.............................. 98,500
150,000 Coast Hotels & Casino, Senior Subordinate Notes,
9.500% due 04/01/2009++............................ 144,375
25,000 Eldorado Resorts LLC, Senior Subordinate Notes,
10.500% due 08/15/2006............................. 26,594
50,000 Hollywood Park, Inc., Senior Subordinate Notes,
9.250% due 02/15/2007.............................. 49,625
35,000 Lady Luck Gaming, First Mortgage,
11.875% due 03/01/2001............................. 35,525
90,000 Red Roof Inns, Senior Notes, 9.625% due 12/15/2003.. 91,125
75,000 Regal Cinemas, Inc., Senior Subordinate Notes,
9.500% due 06/01/2008.............................. 70,500
100,000 Station Casinos, Senior Subordinate Notes,
8.875% due 12/01/2008.............................. 97,500
------------
828,244
------------
Financial -- 1.3%
95,000 Ono Finance Plc, 13.000% due 05/01/2009++........... 97,612
150,000 Willis Corroon Corporation, Senior Subordinate
Notes, 9.000% due 02/01/2009++..................... 144,563
------------
242,175
------------
Industrial -- 8.1%
125,000 American Standard Companies, Inc., Company
Guarantee, 7.375% due 02/01/2008................... 117,500
75,000 Completel Europe NV, Units, 14.000% due
02/15/2009/\++...................................... 39,750
45,000 Dialog Corporation Plc, Senior Subordinate Notes,
11.000% due 11/15/2007............................. 40,725
75,000 Fairfield Manufacturing Company, Inc., Senior
Subordinate Notes, 9.625% due 10/15/2008++......... 73,688
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
$ 75,000 Huntsman ICI Chemicals, Senior Subordinate Notes,
10.125% due 07/01/2009++........................... $ 75,750
75,000 International Knife & Saw, Inc., Senior Notes,
11.375% due 11/15/2006............................. 70,500
75,000 K & F Industries, Senior Subordinate Notes,
9.250% due 10/15/2007.............................. 73,875
75,000 Keystone Consolidated Industries, Senior Notes,
9.625% due 08/01/2007.............................. 72,750
75,000 Mark IV Industries, Inc., Senior Subordinate Notes,
7.750% due 04/01/2006.............................. 70,877
25,000 Metal Management, Inc., Company Guarantee,
10.000% due 05/15/2008............................. 19,750
60,000 Numatics, Inc., Company Guarantee,
9.625% due 04/01/2008.............................. 48,600
50,000 Polymer Group, Inc., Company Guarantee,
9.000% due 07/01/2007.............................. 48,500
90,000 Repap New Brunswick, Inc., Senior Notes,
9.000% due 06/01/2004.............................. 83,475
85,000 Simonds Industries, Company Guarantee,
10.250% due 07/01/2008............................. 83,512
Spectrasite Holdings, Inc., Senior Discount Notes:
55,000 12.000% due 07/15/2008/\/\++....................... 34,650
150,000 11.250% due 04/15/2009/\/\++....................... 84,000
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.............................. 44,000
85,000 US Timberlands, Senior Notes, 9.625% due
11/15/2007......................................... 85,425
125,000 Venture Holdings Trust, Senior Subordinate Notes,
9.750% due 04/01/2004.............................. 131,094
50,000 Vlasic Foods International, Inc., Senior Subordinate
Notes, 10.250% due 07/01/2009++.................... 49,250
------------
1,388,046
------------
Machinery/Material Handling -- 1.0%
85,000 Columbus McKinnon Corporation, Company Guarantee,
8.500% due 04/01/2008.............................. 84,363
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor High Yield Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Machinery/Material Handling -- (Continued)
$ 80,000 Motors and Gears, Inc.,
Senior Notes,
10.750% due 11/15/2006............................. $ 80,900
------------
165,263
------------
Medical Services and Supplies -- 1.9%
25,000 Alaris Medical, Inc.,
Senior Discount Notes,
11.125% due 08/01/2008/\/\ ........................ 13,563
Buckeye Technologies, Inc., Senior Subordinate
Notes:
35,000 8.500% due 12/15/2005.............................. 34,300
100,000 8.000% due 10/15/2010.............................. 95,500
100,000 Prime Medical Services, Inc., Company Guarantee,
8.750% due 04/01/2008.............................. 97,000
50,000 Quest Diagnostic, Inc., Senior Subordinate Notes,
9.875% due 07/01/2009++............................ 50,375
------------
290,738
------------
Oil and Gas -- 4.8%
75,000 Anacomp, Inc.,
10.875% due 04/01/2004............................. 78,188
80,000 Chesapeake Energy Corporation, Company Guarantee,
9.625% due 05/01/2005.............................. 73,600
25,000 Clark R&M, Inc., Senior Notes, 8.625% due
08/15/2008......................................... 23,250
100,000 Forest Oil Corporation,
Company Guarantee,
10.500% due 01/15/2006............................. 103,750
100,000 HS Resources, Inc.,
Company Guarantee,
9.250% due 11/15/2006.............................. 98,500
50,000 HS Resources, Inc.,
Senior Subordinate Notes,
9.250% due 11/15/2006.............................. 49,500
50,000 International Utility Structures, Inc., Senior
Subordinate Notes, 10.750% due 02/01/2008.......... 50,125
200,000 P&L Coal Holdings Corporation, Company Guarantee,
9.625% due 05/15/2008.............................. 198,500
90,000 Pool Energy Services Company, Company Guarantee,
8.625% due 04/01/2008.............................. 93,150
45,000 Pride International, Inc.,
Senior Notes,
10.000% due 06/01/2009............................. 45,675
------------
814,238
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
Restaurants and Lodging -- 0.9%
$ 50,000 Florida Panthers Holdings, Senior Subordinate Notes,
9.875% due 04/15/2009++............................ $ 48,000
110,000 Isle of Capri Casinos,
Senior Subordinate Notes,
8.750% due 04/15/2009++............................ 103,125
------------
151,125
------------
Retail -- 4.2%
60,000 Cole National Group, Inc.,
Senior Subordinate Notes,
8.625% due 08/15/2007.............................. 51,600
75,000 Finlay Enterprises, Inc.,
Company Guarantee,
9.000% due 05/01/2008.............................. 71,438
25,000 Friendly Ice Cream Corporation, Company Guarantee,
10.500% due 12/01/2007............................. 22,250
95,000 J Crew Operating Corporation, Senior Subordinate
Notes, 10.375% due 10/15/2007...................... 95,238
Jitney-Jungle Stores of America, Inc., Company
Guarantee:
120,000 12.000% due 03/01/2006............................. 98,400
10,000 10.375% due 09/15/2007............................. 3,500
100,000 Musicland Group, Senior Subordinate Notes,
9.000% due 06/15/2003.............................. 95,000
Pathmark Stores, Senior Subordinate Notes:
45,000 11.625% due 06/15/2002............................. 45,675
75,000 9.625% due 05/01/2003.............................. 76,500
45,000 Samsonite Corporation, Senior Subordinate Notes,
10.750% due 06/15/2008............................. 36,225
75,000 Southland Corporation, Senior Subordinate
Debentures, 5.000% due 12/15/2003.................. 64,875
------------
660,701
------------
Steel -- 3.0%
AK Steel Corporation, Senior Notes:
50,000 9.125% due 12/15/2006.............................. 51,250
25,000 7.875% due 02/15/2009++............................ 24,000
75,000 Algoma Steel, Inc., First Mortgage, Yankee,
12.375% due 07/15/2005............................. 72,750
100,000 Commonwealth Aluminum, Senior Subordinate Notes,
10.750% due 10/01/2006++........................... 102,000
65,000 Kaiser Aluminum & Chemical Corporation, Senior
Notes, 9.875% due 02/15/2002....................... 65,488
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor High Yield Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Steel -- (Continued)
$ 50,000 Russel Metals, Inc., Units, Yankee, 10.000% due
06/01/2009......................................... $ 50,125
90,000 WCI Steel, Inc., Senior Notes, 10.000% due
12/01/2004......................................... 91,575
50,000 Weirton Steel Corporation,
Senior Notes,
10.750% due 06/01/2005............................. 47,500
------------
504,688
------------
Telephone and Communications -- 25.2%
100,000 Albritton Communication, Inc., Senior Subordinate
Notes, 8.875% due 02/01/2008....................... 96,250
Allegiance Telecom, Inc., Senior Discount Notes:
40,000 11.750% due 02/15/2008/\/\......................... 25,000
60,000 12.875% due 05/15/2008............................. 64,800
100,000 American Cellular Corporation, Senior Notes,
10.500% due 05/15/2008/\++......................... 101,500
50,000 Avalon Cable Holdings, LLP, Senior Discount Notes,
11.875% due 12/01/2008++........................... 33,125
75,000 Avalon Cable of Michigan, Senior Subordinate Notes,
9.375% due 12/01/2008++............................ 76,219
50,000 Bresnan Communications,
Senior Discount Notes,
9.250% due 02/01/2009/\/\++........................ 32,500
110,000 Bresnan Communications,
Senior Notes,
8.000% due 02/01/2009++............................ 108,625
105,000 Centennial Cellular,
Senior Subordinate Notes,
10.750% due 12/15/2008++........................... 108,675
250,000 Colt Telecom Group Plc,
Senior Discount Notes,
12.000% due 12/15/2006/\/\......................... 207,500
125,000 Dolphin Telecom Plc,
Senior Discount Notes,
11.500% due 06/01/2008/\++......................... 62,500
125,000 Esat Telecom Group Plc,
Senior Notes,
11.875% due 12/01/2008++........................... 128,750
65,000 Esprit Telecom Group Plc,
Senior Notes,
10.875% due 06/15/2008............................. 66,950
50,000 Exodus Communications,
Senior Notes,
11.250% due 07/01/2008............................. 52,500
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
$ 75,000 GCI, Inc., Senior Notes,
9.750% due 08/01/2007.............................. $ 75,000
100,000 Hermes Europe Railtel BV,
Senior Notes,
10.375% due 01/15/2009............................. 101,250
150,000 Hyperion Telecommunications, Senior Subordinate
Notes, 12.000% due 11/01/2007++.................... 153,375
225,000 Intermedia Communication Corporation, Senior Notes,
8.875% due 11/01/2007.............................. 210,375
ITC Deltacom, Inc., Senior Notes:
25,000 11.000% due 06/01/2007............................. 26,875
110,000 9.750% due 11/15/2008++............................ 112,750
125,000 Jazztel Plc, Units,
14.000% due 04/01/2009++........................... 132,500
105,000 L-3 Communications Corporation, Senior Subordinate
Notes,
10.375% due 05/01/2007............................. 109,856
200,000 Level 3 Communications, Inc., Senior Notes,
9.125% due 05/01/2008.............................. 196,750
90,000 Metromedia Fiber Network, Senior Notes,
10.000% due 11/15/2008++........................... 92,475
Metronet Communications, Inc., Senior Discount
Notes:
150,000 10.750% due 11/01/2007/\/\......................... 117,000
35,000 9.950% due 06/15/2008/\/\.......................... 25,725
155,000 Millicom International Cellular, Inc., Senior
Discount Notes, 13.500% due 06/01/2006/\/\......... 115,475
85,000 MJD Communications, Inc., Senior Subordinate Notes,
9.500% due 05/01/2008.............................. 84,150
85,000 Mobile Telecommunication Technologies, Senior Notes,
13.500% due 12/15/2002............................. 96,050
275,000 Nextel International, Inc.,
Senior Discount Notes,
9.950% due 02/15/2008/\/\++........................ 188,375
200,000 Nextlink Communications,
Senior Notes,
10.750% due 06/01/2009............................. 205,500
25,000 Northeast Optic Network,
Senior Notes,
12.750% due 08/15/2008............................. 25,875
NTL, Inc., Senior Notes:
65,000 9.750% due 04/01/2008/\/\++........................ 43,550
250,000 12.375% due 10/01/2008/\/\......................... 167,500
115,000 Pagemart Wireless, Inc.,
Senior Discount Notes,
11.250% due 02/01/2008/\/\......................... 46,000
40,000 PSI Net, Inc., Senior Notes, 11.500% due
11/01/2008++....................................... 42,200
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor High Yield Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Telephone and Communications -- (Continued)
Qwest Communications, Senior Notes:
$ 75,000 7.500% due 11/01/2008++............................ $ 74,991
50,000 7.250% due 11/01/2008++............................ 49,003
50,000 Rural Cellular Corporation, Senior Subordinate
Notes, 9.625% due 05/15/2008....................... 50,250
140,000 Triton Communications LLC, Company Guarantee,
11.000% due 05/01/2008/\/\......................... 89,950
25,000 Verio, Inc., Senior Notes,
10.375% due 04/01/2005............................. 25,438
100,000 Versatel Telecom BV,
Senior Notes,
13.250% due 05/15/2008++........................... 103,500
130,000 Viatel, Inc., Senior
Discount Notes,
12.500% due 04/15/2008/\/\......................... 83,200
30,000 Western Wireless, Inc., Senior Subordinate Notes,
10.500% due 02/01/2007............................. 32,363
------------
4,042,195
------------
Total Corporate Fixed Income Securities (Cost
$15,307,389)....................................... 14,984,021
------------
AGENCY SECURITY -- 5.5% (Cost $900,000)
900,000 Federal Home Loan Mortgage Corporation (FHLMC):
4.600% due 07/01/1999.............................. 900,000
------------
<CAPTION>
Shares
------
<C> <S> <C>
PREFERRED STOCK -- 1.0%
516 Crown Castle International Corporation, Convertible,
12.750% due 12/15/2010++........................... 54,174
35,800 CSC Holdings, Inc.,
11.125% due 04/01/2008............................. 40,544
50,000 Global Crossing Holdings Ltd., 10.500% due
12/01/2008......................................... 53,000
537 Viatel Inc., Convertible,
10.000% due 04/15/2010............................. 30,139
------------
Total Preferred Stock
(Cost $138,729).................................... 177,857
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
WARRANTS -- 0.0% ## (Cost $0)
100 VersaTel Telecom BV,
Expire 05/15/2008~................................. $ 5,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $16,346,118*)........................................ 97.6% 16,066,878
OTHER ASSETS & LIABILITIES (Net)............................ 2.4% 251,261
------ -----------
NET ASSETS.................................................. 100.0% $16,318,139
====== ===========
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
~ Non-Income Producing Security.
# Rate represents annualized yield at date of purchase.
## Amount represents less than 0.1%.
/\/\Zero coupon security as of June 30, 1999. 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.
38
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Janus Growth Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCK -- 88.9%
Broadcasting and Media -- 1.9%
398,744 AT&T Corporation--Liberty Media Group, Class A+...... $ 14,653,842
------------
Computer Software and Services -- 15.4%
593,180 Cisco Systems, Inc.+................................. 38,260,110
422,411 Dell Computer Corporation+........................... 15,629,207
189,740 Fiserv, Inc.+........................................ 5,941,234
643,326 Microsoft Corporation+............................... 58,019,964
------------
117,850,515
------------
Consumer Staples -- 1.6%
90,941 Coca-Cola Company.................................... 5,683,812
274,971 Pepsi Bottling Group, Inc............................ 6,341,519
------------
12,025,331
------------
Diversified Operations -- 6.2%
262,135 General Electric Company............................. 29,621,255
187,639 Tyco International, Ltd. ............................ 17,778,795
------------
47,400,050
------------
Drugs and Medical
Products -- 5.9%
64,150 Boston Scientific Corporation........................ 2,818,591
165,024 Lilly (Eli) and Company.............................. 11,819,844
211,760 Medtronic, Inc....................................... 16,490,810
126,864 Pfizer, Inc. ........................................ 13,923,324
------------
45,052,569
------------
Electronics -- 6.7%
143,509 Lam Research Corporation+............................ 6,700,076
260,058 Texas Instruments, Inc............................... 37,708,410
115,116 Xilinx, Inc.+........................................ 6,590,391
------------
50,998,877
------------
Entertainment and Leisure -- 1.2%
217,187 Royal Caribbean Cruises, Ltd. ....................... 9,501,931
------------
Financial -- 4.4%
116,901 American Express Company............................. 15,211,743
211,588 Firstar Corporation.................................. 5,924,464
208,701 Freddie Mac.......................................... 12,104,658
------------
33,240,865
------------
Internet Services -- 11.8%
178,538 Amazon.com, Inc.+.................................... 22,339,567
525,522 America Online, Inc.+................................ 58,070,181
74,598 At Home Corporation,
Series A+........................................... 4,023,630
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
40,348 eBay, Inc.+......................................... $ 6,092,548
------------
90,525,926
------------
Oil and Gas -- 1.9%
176,342 Enron Corporation................................... 14,415,959
------------
Retail -- 8.9%
242,286 Costco Companies, Inc.+............................. 19,398,023
179,858 Home Depot, Inc..................................... 11,589,600
819,254 Kroger Company...................................... 22,887,909
288,605 Safeway, Inc.+...................................... 14,285,948
------------
68,161,480
------------
Telecommunications -- 23.0%
263,745 Chancellor Media Corporation+....................... 14,538,943
206,176 Comcast Corporation, Class A+....................... 7,924,890
366,406 Lucent Technologies, Inc............................ 24,709,505
277,416 MCI WorldCom, Inc.+................................. 23,875,114
61,600 Nextel Communications, Inc., Class A+............... 3,091,550
2,132 NEXTLINK Communications, Inc., Class A+............. 158,567
628,124 Nokia Corporation ADR............................... 57,512,604
110,480 NTL, Inc.+.......................................... 9,521,995
70,728 Tellabs, Inc.+...................................... 4,778,560
222,771 Time Warner, Inc.................................... 16,373,668
69,734 Vodafone Airtouch Plc, ADR.......................... 13,737,499
------------
176,222,895
------------
Total Common Stock
(Cost $653,452,007)................................ 680,050,240
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITY -- 0.5%
(Cost $3,630,788)
$3,543,000 Charter Commercial Holdings, LLC, Senior Notes,
8.625% due 04/01/2009+............................. 3,392,422
------------
AGENCY SECURITIES -- 3.8%
Federal Mortgage Corporation
(FMC) -- 2.5%
FMC:
9,546,000 4.760% due 08/05/1999#.............................. 9,502,770
10,000,000 4.930% due 09/23/1999#.............................. 9,882,100
------------
19,384,870
------------
Federal National Mortgage Association (FNMA) -- 1.3%
FNMA,
10,000,000 4.760% due 08/26/1999#.............................. 9,925,956
------------
Total Agency Securities
(Cost $29,313,693)................................. 29,310,826
------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Portfolio of Investments
Endeavor Series Trust
Endeavor Janus Growth Portfolio
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 5.4%
$30,000,000 Associates Corporation of North America,
5.250% due 07/01/1999#............................ $ 30,000,000
11,600,000 Prudential Funding Corporation, 5.550% due
07/01/1999#....................................... 11,600,000
------------
Total Commercial Paper
(Cost $41,600,000)................................ 41,600,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $727,996,488*)...................................... 98.6% 754,353,488
OTHER ASSETS AND LIABILITIES (Net)......................... 1.4% 11,010,889
------ ------------
NET ASSETS................................................. 100.0% $765,364,377
====== ============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR--American Depositary Receipt
See Notes to Financial Statements.
40
<PAGE>
(This page intentionally left blank)
41
<PAGE>
Statements of Assets and Liabilities
Endeavor Series Trust
June 30, 1999 (Unaudited)
<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>
ASSETS:
Investments, at value (Note
1)
See accompanying schedule.. $176,272,781 $ 92,177,874 $112,029,796 $ 47,411,654 $247,316,014
Repurchase agreements (Note
1)......................... -- -- -- -- --
Cash........................ 1,850,344 876,994 35,068 306,308 --
Foreign currency (Cost
$3,601 and $24,345,
$387,396, $21,
respectively).............. -- -- -- -- --
Receivable for investment
securities sold............ 4,566,495 8,428,206 412,625 1,885,000 4,350,842
Unamortized organization
costs (Note 6)............. -- -- 14,189 12,398 --
Dividends and/or interest
receivable................. 46,585 1,126,305 92,724 30,372 249,533
Prepaid expenses............ 2,726 1,676 1,651 870 4,586
Variation Margin (Note 1)... -- -- 43,750 -- --
Other Assets................ 15,181 -- -- -- 10,222
------------ ------------ ------------ ------------ ------------
Total Assets............... 182,754,112 102,611,055 112,629,803 49,646,602 251,931,197
------------ ------------ ------------ ------------ ------------
LIABILITIES:
Payable for investment
securities purchased....... 3,907,361 13,891,783 2,619,833 1,984,746 4,851,083
Distributions Payable....... -- -- -- -- --
Due to Custodian............ -- -- -- -- 405,989
Variation Margin (Note 1)... -- 257,046 -- -- --
Investment management fee
payable (Note 2)........... 109,506 47,082 62,150 30,471 161,434
Accrued expenses and other
payables................... -- 393,666 100,348 91,796 --
------------ ------------ ------------ ------------ ------------
Total Liabilities.......... 4,016,867 14,589,577 2,782,331 2,107,013 5,418,506
------------ ------------ ------------ ------------ ------------
NET ASSETS.................. $178,737,245 $ 88,021,478 $109,847,472 $ 47,539,589 $246,512,691
============ ============ ============ ============ ============
Investments, at Identified
Cost....................... $160,287,797 $ 94,383,589 $ 97,396,563 $ 42,676,833 $181,412,006
============ ============ ============ ============ ============
NET ASSETS consist of:
Undistributed net investment
income/(loss).............. $ (284,816) $ 2,215,943 $ 281,182 $ 254,445 $ 975,855
Accumulated net realized
gain/(loss) on investments
sold, futures contracts,
forward foreign exchange
contracts, foreign
currencies and net other
assets..................... 8,571,465 (310,248) 3,619,709 (70,560) 12,185,661
Net unrealized
appreciation/(depreciation)
of investments, futures
contracts, forward foreign
exchange contracts, foreign
currencies and net other
assets..................... 15,984,984 (2,503,573) 14,692,716 4,734,821 65,904,006
Paid-in capital............. 154,465,612 88,619,356 91,253,865 42,620,883 167,447,169
------------ ------------ ------------ ------------ ------------
Total Net Assets........... $178,737,245 $ 88,021,478 $109,847,472 $ 47,539,589 $246,512,691
============ ============ ============ ============ ============
NET ASSET VALUE, offering
price and redemption price
per share of beneficial
interest outstanding....... $ 15.84 $ 11.44 $ 17.40 $ 12.84 $ 22.21
============ ============ ============ ============ ============
Number of Portfolio shares
outstanding................ 11,286,611 7,694,292 6,313,453 3,702,161 11,097,590
============ ============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
<TABLE>
<CAPTION>
T.Rowe T.Rowe T.Rowe
Endeavor Endeavor Price Price Price Endeavor
Asset Money Equity Growth International Endeavor Endeavor Janus
Allocation Market Income Stock Stock Select 50 High Yield Growth
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$399,919,357 $102,302,339 $286,938,093 $222,893,649 $175,525,616 $24,781,699 $16,066,878 $754,353,488
6,527,000 5,228,000 -- -- -- 972,000 -- --
4,225,332 1,283 -- -- 8,696,186 926,550 271,099 663,305
-- -- 3,584 24,102 -- 464,501 21 --
27,141,888 -- 2,847,220 8,408,697 2,083,648 682,110 824,615 71,587,378
-- -- 1,237 1,237 -- 28,151 17,558 --
1,402,938 287,385 621,106 188,359 671,983 33,442 300,118 208,582
6,970 2,097 5,084 4,147 3,492 446 270 13,899
-- -- -- -- -- -- -- --
55,266 -- -- -- -- 12,290 -- --
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
439,278,751 107,821,104 290,416,324 231,520,191 186,980,925 27,901,189 17,480,559 826,826,652
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
66,594,994 -- 2,007,897 10,394,945 386,271 1,823,101 1,148,760 60,960,986
-- 404,793 -- -- -- -- -- --
-- -- 554,808 297,343 -- -- -- --
64,563 -- -- -- -- -- -- --
223,630 46,358 185,658 139,808 134,698 22,600 9,906 461,547
-- 37,187 22,207 26,348 355,219 -- 3,754 39,742
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
66,883,187 488,338 2,770,570 10,858,444 876,188 1,845,701 1,162,420 61,462,275
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
$372,395,564 $107,332,766 $287,645,754 $220,661,747 $186,104,737 $26,055,488 $16,318,139 $765,364,377
============ ============ ============ ============ ============ =========== =========== ============
$343,358,954 $107,530,339 $237,027,978 $174,774,568 $133,328,973 $21,569,181 $16,346,118 $727,996,488
============ ============ ============ ============ ============ =========== =========== ============
$ 2,942,479 $ -- $ 2,709,135 $ 309,086 $ 151,405 $ (8,186) $ 461,176 $ (194,626)
11,875,774 3,661 10,642,786 13,891,935 3,437,294 389,450 (142,663) (6,230,260)
63,146,516 -- 49,910,338 48,118,821 42,163,110 4,261,535 (279,240) 26,357,000
294,430,795 107,329,105 224,383,495 158,341,905 140,352,928 21,412,689 16,278,866 745,432,263
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
$372,395,564 $107,332,766 $287,645,754 $220,661,747 $186,104,737 $26,055,488 $16,318,139 $765,364,377
============ ============ ============ ============ ============ =========== =========== ============
$ 19.90 $ 1.00 $ 21.17 $ 25.41 $ 16.37 $ 12.39 $ 9.90 $ 71.74
============ ============ ============ ============ ============ =========== =========== ============
18,714,414 107,329,105 13,585,625 8,684,764 11,366,163 2,103,052 1,648,518 10,667,968
============ ============ ============ ============ ============ =========== =========== ============
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
Statements of Operations
Endeavor Series Trust
For the Six Months Ended June 30, 1999 (Unaudited)
<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................... $ 356,347 $ -- $ 580,604 $ 286,116 $ 1,661,609
Interest.................... 14,730 2,530,595 60,283 169,454 318,866
Foreign taxes withheld...... -- -- (305) -- --
----------- ----------- ----------- ----------- -----------
Total Investment Income.... 371,077 2,530,595 640,582 455,570 1,980,475
----------- ----------- ----------- ----------- -----------
EXPENSES:
Investment management fee
(Note 2)................... 608,677 278,509 309,288 180,132 955,091
Administration fees (Note
2)......................... -- -- -- -- --
Custodian fees (Note 2)..... 18,594 20,911 21,296 4,659 7,041
Transfer agent fees......... 313 183 162 96 506
Marketing fees paid
indirectly (Note 2)........ 209,311 -- -- 9,117 80,112
Professional fees........... 16,974 12,239 13,476 6,697 26,895
Amortization of organization
costs (Note 5)............. -- 1,593 2,478 2,576 --
Trustees' fees and expenses
(Note 2)................... 2,434 2,899 3,988 1,810 4,904
Printing fees............... 1,777 1,699 2,645 867 2,917
Insurance fees.............. 545 335 330 174 917
Other....................... 6,701 3,729 5,417 2,726 8,297
----------- ----------- ----------- ----------- -----------
Subtotal................... 865,326 322,097 359,080 208,854 1,086,680
Waiver/reimbursement (Note
2)......................... -- -- -- -- --
Fees paid indirectly (Note
2)......................... (209,311) -- -- (9,117) (80,112)
Credits allowed by the
custodian (Note 2)......... (122) (14,574) (120) (992) (2,204)
----------- ----------- ----------- ----------- -----------
Total expenses............. 655,893 307,523 358,960 198,745 1,004,364
----------- ----------- ----------- ----------- -----------
NET INVESTMENT
INCOME/(LOSS).............. (284,816) 2,223,072 281,622 256,825 976,111
----------- ----------- ----------- ----------- -----------
REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY
(Notes 1 and 3):
Net realized gain/(loss) on:
Securities................. 10,440,485 (1,651,944) 3,466,370 (69,874) 12,356,018
Futures contracts.......... -- 1,452,694 262,608 -- --
Foreign currencies and net
other assets.............. -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Net realized gain/(loss) on
investments and foreign
currency during the
period..................... 10,440,485 (199,250) 3,728,978 (69,874) 12,356,018
----------- ----------- ----------- ----------- -----------
Net change in unrealized
appreciation/(depreciation)
of:
Securities................. 24,176,782 (3,123,239) 6,693,637 2,975,351 4,612,607
Futures contracts.......... -- (177,536) 63,042 -- --
Written options............ -- (179,527) -- -- --
Forward foreign exchange
contracts................. -- -- -- -- --
Foreign currencies and net
other assets.............. -- -- -- -- (2)
----------- ----------- ----------- ----------- -----------
Net unrealized appreciation/
(depreciation) of
investments and foreign
currency during the
period..................... 24,176,782 (3,480,302) 6,756,679 2,975,351 4,612,605
----------- ----------- ----------- ----------- -----------
Net realized and unrealized
gain/(loss) on investments
and foreign currency during
the period................. 34,617,267 (3,679,552) 10,485,657 2,905,477 16,968,623
----------- ----------- ----------- ----------- -----------
NET INCREASE/(DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS................. $34,332,451 $(1,456,480) $10,767,279 $ 3,162,302 $17,944,734
=========== =========== =========== =========== ===========
</TABLE>
- -----------
*The Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
See Notes to Financial Statements.
44
<PAGE>
<TABLE>
<CAPTION>
T. Rowe T. Rowe T. Rowe
Endeavor Endeavor Price Price Price Endeavor
Asset Money Equity Growth International Endeavor Endeavor Janus
Allocation Market Income Stock Stock Select 50 High Yield Growth
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio*
----------- ----------- ----------- ----------- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 704,493 $ -- $ 3,395,443 $ 935,349 $ 2,496,310 $ 142,459 $ -- $ 324,463
3,657,212 2,630,412 355,531 259,813 11,524 27,966 544,079 473,168
-- -- (3,629) (14,863) (297,648) (5,605) -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
4,361,705 2,630,412 3,747,345 1,180,299 2,210,186 164,820 544,079 797,631
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
1,339,979 261,912 1,059,573 810,191 810,426 133,908 51,845 909,634
-- -- -- -- -- 21,463 21,479 13,046
27,424 6,918 11,179 16,663 59,677 10,158 4,685 18,000
772 219 553 429 386 52 27 437
74,467 -- 6,780 3,899 -- -- -- --
36,710 12,968 31,334 21,686 17,398 3,621 3,638 28,665
-- -- 1,205 1,206 -- 3,881 2,221 3,403
4,279 3,694 8,392 3,653 5,698 955 1,474 5,703
3,741 1,635 3,015 3,844 2,904 445 711 9,012
1,394 420 1,017 657 699 89 54 2,835
10,622 3,110 8,857 5,366 11,251 408 1,973 6,693
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
1,499,388 290,876 1,131,905 867,594 908,439 174,980 88,107 997,428
-- -- -- -- -- (849) (4,137) (1,671)
(74,467) -- (6,780) (3,899) -- -- -- --
(13,258) (1,413) (231) (74) (56,634) (1,125) (1,477) (3,500)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
1,411,663 289,463 1,124,894 863,621 851,805 173,006 82,493 992,257
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
2,950,042 2,340,949 2,622,451 316,678 1,358,381 (8,186) 461,586 (194,626)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
12,489,048 3,765 10,699,723 14,303,928 4,717,328 2,285,799 (57,951) (6,230,260)
358,994 -- -- -- -- -- -- --
-- -- (37,169) (101,186) (187,659) (63,633) -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
12,848,042 3,765 10,662,554 14,202,742 4,529,669 2,222,166 (57,951) (6,230,260)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
18,262,811 -- 18,366,361 1,606,844 884,015 1,455,470 (21,834) 26,357,000
63,080 -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- 186 -- -- -- --
-- -- 36 353 (27,664) (29,897) -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
18,325,891 -- 18,366,397 1,607,383 856,351 1,425,573 (21,834) 26,357,000
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
31,173,933 3,765 29,028,951 15,810,125 5,386,020 3,647,739 (79,785) 20,126,740
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$
$34,123,975 $ 2,344,714 $31,651,402 $16,126,803 $ 6,744,401 $ 3,639,553 $ 381,801 19,932,114
=========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Statements of Changes in Net Assets
Endeavor Series Trust
For the Six Months Ended June 30, 1999 (Unaudited)
<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).............. $ (284,816) $ 2,223,072 $ 281,622 $ 256,825 $ 976,111
Net realized gain/(loss) on
investments sold, futures
contracts, forward foreign
exchange contracts, foreign
currencies and net other
assets during the period... 10,440,485 (199,250) 3,728,978 (69,874) 12,356,018
Net unrealized
appreciation/(depreciation)
of investments, futures
contracts, forward foreign
exchange contracts, foreign
currencies and net other
assets during the period... 24,176,782 (3,480,302) 6,756,679 2,975,351 4,612,605
------------ ----------- ------------ ----------- -----------
Net increase/(decrease) in
net assets resulting from
operations................. 34,332,451 (1,456,480) 10,767,279 3,162,302 17,944,734
Distributions to
shareholders from net
investment income.......... -- (3,363,808) (185,617) (469,456) (2,612,496)
Distributions to
shareholders from net
realized gains............. (16,262,533) (1,591,479) (4,083,582) (419,666) (9,660,903)
Net increase/(decrease) in
net assets from Portfolio
share transactions (Note
4)......................... 2,005,329 11,544,286 39,291,684 (239,878) (5,260,508)
------------ ----------- ------------ ----------- -----------
Net increase in net assets.. 20,075,247 5,132,519 45,789,764 2,033,302 410,827
NET ASSETS:
Beginning of period......... 158,661,998 82,888,959 64,057,708 45,506,287 246,101,864
------------ ----------- ------------ ----------- -----------
$
End of period............... $178,737,245 $88,021,478 $109,847,472 $47,539,589 246,512,691
============ =========== ============ =========== ===========
Undistributed net investment
income/(loss).............. $ (284,816) $ 2,215,943 $ 281,182 $ 254,445 $ 975,855
============ =========== ============ =========== ===========
</TABLE>
- -----------
* The Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
See Notes to Financial Statements.
46
<PAGE>
<TABLE>
<CAPTION>
T. Rowe T. Rowe T. Rowe
Endeavor Endeavor Price Price Price Endeavor
Asset Money Equity Growth International Endeavor Endeavor Janus
Allocation Market Income Stock Stock Select 50 High Yield Growth
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio*
------------ ------------ ------------ ------------ ------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,950,042 $ 2,340,949 $ 2,622,451 $ 316,678 $ 1,358,381 $ (8,186) $ 461,586 $ (194,626)
12,848,042 3,765 10,662,554 14,202,742 4,529,669 2,222,166 (57,951) (6,230,260)
18,325,891 -- 18,366,397 1,607,383 856,351 1,425,573 (21,834) 26,357,000
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
34,123,975 2,344,714 31,651,402 16,126,803 6,744,401 3,639,553 381,801 19,932,114
(6,134,468) (2,340,990) (5,016,695) (515,433) (2,819,874) -- (252,489) --
(81,460,029) -- (11,857,644) (16,771,400) (1,807,333) -- -- --
72,865,275 6,397,219 10,540,481 27,520,448 (868,807) (2,448,850) 6,369,506 745,432,263
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
19,394,753 6,400,943 25,317,544 26,360,418 1,248,387 1,190,703 6,498,818 765,364,377
353,000,811 100,931,823 262,328,210 194,301,329 184,856,350 24,864,785 9,819,321 --
------------ ------------ ------------ ------------ ------------ ----------- ----------- ------------
$
$372,395,564 $107,332,766 $287,645,754 $220,661,747 $186,104,737 26,055,488 $16,318,139 $765,364,377
============ ============ ============ ============ ============ =========== =========== ============
$ 2,942,479 $ -- $ 2,709,135 $ 309,086 $ 151,405 $ (8,186) $ 461,176 $ (194,626)
============ ============ ============ ============ ============ =========== =========== ============
</TABLE>
See Notes to Financial Statements.
47
<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.
48
<PAGE>
<TABLE>
<CAPTION>
T. Rowe T. Rowe T. Rowe
Endeavor Endeavor Price Price Price
Asset Money Equity Growth International Endeavor Endeavor
Allocation Market Income Stock Stock Select 50 High Yield
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio* Portfolio*
- ------------- ------------ ------------ ------------ ------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 6,431,715 $ 3,814,582 $ 5,087,108 $ 680,293 $ 1,356,902 $ 134,600 $ 249,387
80,203,003 1,020 11,839,723 16,344,563 1,625,036 (2,285,879) (84,649)
(31,774,719) -- 2,101,927 22,323,987 21,852,242 2,835,962 (257,406)
- ------------ ------------ ------------ ------------ ------------ ----------- -----------
54,859,999 3,815,602 19,028,758 39,348,843 24,834,180 684,683 (92,668)
(4,399,126) (3,814,561) (3,237,538) (304,122) (1,283,067) -- --
(28,024,060) -- (8,216,569) (6,475,158) (1,306,396) -- --
27,461,850 49,769,152 57,525,460 38,502,251 (1,948,591) 24,180,102 9,911,989
- ------------ ------------ ------------ ------------ ------------ ----------- -----------
49,898,663 49,770,193 65,100,111 71,071,814 20,296,126 24,864,785 9,819,321
303,102,148 51,161,630 197,228,099 123,229,515 164,560,224 -- --
- ------------ ------------ ------------ ------------ ------------ ----------- -----------
$353,000,811 $100,931,823 $262,328,210 $194,301,329 $184,856,350 $24,864,785 $ 9,819,321
============ ============ ============ ============ ============ =========== ===========
$ 6,409,743 $ 41 $ 5,103,379 $ 507,841 $ 1,612,898 $ -- $ 252,079
============ ============ ============ ============ ============ =========== ===========
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Financial Highlights
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
06/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96+++# 12/31/95 12/31/94+++
----------- -------- -------- ------------ -------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 14.14 $ 16.41 $ 14.69 $ 12.22 $ 10.98 $ 11.18
-------- -------- -------- ------- ------- -------
Net investment
income/(loss).......... (0.03) (0.03) 0.02 0.12 0.15 0.10
Net realized and
unrealized gain/(loss)
on investments......... 3.32 (0.13) 3.52 2.95 1.36 (0.30)
-------- -------- -------- ------- ------- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 3.29 (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......... (1.59) (2.09) (1.72) (0.46) (0.17) --
-------- -------- -------- ------- ------- -------
Total distributions..... (1.59) (2.11) (1.82) (0.60) (0.27) --
-------- -------- -------- ------- ------- -------
Net asset value, end of
period................. $ 15.84 $ 14.14 $ 16.41 $ 14.69 $ 12.22 $ 10.98
======== ======== ======== ======= ======= =======
Total return++.......... 24.14% (2.18)% 25.56% 25.63% 14.05% (1.79)%
======== ======== ======== ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $178,737 $158,662 $146,195 $85,803 $52,597 $35,966
Ratio of net investment
income/(loss) to
average net assets..... (0.37)%+ (0.23)% 0.20% 0.95% 1.56% 0.89%
Ratio of operating
expenses to average net
assets................. 0.86%+ 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.............. 1.14%+ 0.94% 0.91% 0.92% 0.87% 1.03%
Portfolio turnover
rate................... 122% 183% 127% 171% 75% 77%
</TABLE>
- ---------------------------------
+ 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 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.
50
<PAGE>
Financial Highlights
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Period
06/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96+++ 12/31/95 12/31/94*+++
----------- -------- -------- ----------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 12.32 $ 11.87 $ 11.23 $ 11.39 $ 9.96 $10.00
------- ------- ------- ------- ------- ------
Net investment income... 0.25 0.40 0.39 0.62 0.30 0.24#
Net realized and
unrealized gain/(loss)
on investments......... (0.45) 0.46 0.61 (0.44) 1.25 (0.28)
------- ------- ------- ------- ------- ------
Net increase/(decrease)
in net assets resulting
from investment
operations............. (0.20) 0.86 1.00 0.18 1.55 (0.04)
------- ------- ------- ------- ------- ------
Distributions:
Dividends from net
investment income...... (0.46) (0.41) (0.36) (0.22) (0.12) --
Distributions from net
realized gains......... (0.22) (0.00)## -- (0.12) -- --
------- ------- ------- ------- ------- ------
Total distributions..... (0.68) (0.41) (0.36) (0.34) (0.12) --
------- ------- ------- ------- ------- ------
Net asset value, end of
period................. $ 11.44 $ 12.32 $ 11.87 $ 11.23 $ 11.39 $ 9.96
======= ======= ======= ======= ======= ======
Total return++.......... (1.64)% 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)...... $88,021 $82,889 $46,542 $24,727 $12,718 $3,505
Ratio of net investment
income to average net
assets................. 5.19%+ 5.21% 5.74% 5.68% 5.58% 4.14%+
Ratio of operating
expenses to average net
assets................. 0.72%+ 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.......... 0.75%+ 0.73% 0.80% 0.82% 0.84% 1.83%+
Portfolio turnover
rate................... 250% 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.
51
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Period
6/30/99 Ended Ended
(Unaudited) 12/31/98 12/31/97*
----------- -------- ---------
<S> <C> <C> <C>
Operating performance:
Net asset value, beginning of period......... $ 16.08 $ 12.29 $ 10.00
-------- ------- -------
Net investment income........................ 0.03 0.04 0.02#
Net realized and unrealized gain on
investments................................. 2.07 3.81 2.27
-------- ------- -------
Net increase in net assets resulting from
investment operations....................... 2.10 3.85 2.29
-------- ------- -------
Distributions:
Dividends from net investment income......... (0.03) (0.02) --
Distributions from net realized gains........ (0.75) (0.04) --
-------- ------- -------
Total distributions.......................... (0.78) (0.06) --
-------- ------- -------
Net asset value, end of period............... $ 17.40 $ 16.08 $ 12.29
======== ======= =======
Total return++............................... 13.21% 31.39% 22.90%
======== ======= =======
Ratios to average net assets/supplemental
data:
Net assets, end of period (in 000's)......... $109,847 $64,058 $19,811
Ratio of net investment income to average net
assets...................................... 0.68%+ 0.48% 0.55%+
Ratio of operating expenses to average net
assets...................................... 0.87%+ 1.10% 1.30%+
Ratio of operating expenses to average net
assets before waivers/reimbursement and
credits allowed by the custodian............ 0.87%+ 1.10% 1.56%+
Portfolio turnover rate...................... 25% 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.
52
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Period
6/30/99 Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96*
----------- -------- -------- ---------
<S> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of
period.......................... $ 12.22 $ 11.75 $ 10.06 $ 10.00
------- ------- ------- -------
Net investment income/(loss)#.... 0.08 0.11 0.07 (0.00)##
Net realized and unrealized gain
on investments.................. 0.79 0.50 1.62 0.06
------- ------- ------- -------
Net increase in net assets
resulting from investment
operations...................... 0.87 0.61 1.69 0.06
------- ------- ------- -------
Distributions:
Dividends from net investment
income.......................... (0.13) (0.05) (0.00)## --
Distributions from net realized
gains........................... (0.12) (0.09) -- --
------- ------- ------- -------
Total distributions.............. (0.25) (0.14) (0.00) --
------- ------- ------- -------
Net asset value, end of period... $ 12.84 $ 12.22 $ 11.75 $ 10.06
======= ======= ======= =======
Total return++................... 7.13% 5.18% 16.81% 0.60%
======= ======= ======= =======
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's).......................... $47,540 $45,506 $26,802 $701
Ratio of net investment
income/(loss) to average net
assets.......................... 1.14%+ 1.22% 1.34% (1.09)%+
Ratio of operating expenses to
average net assets.............. 0.88%+ 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................ 0.93%+ 1.00% 1.16% 12.69%+
Portfolio turnover rate.......... 24% 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.
53
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Value Equity Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
06/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96+++ 12/31/95 12/31/94
----------- -------- -------- ----------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 21.68 $ 20.70 $ 17.21 $ 14.23 $ 10.69 $ 10.28
-------- -------- -------- -------- ------- -------
Net investment income... 0.10 0.22 0.20 0.20 0.15 0.09
Net realized and
unrealized gain on
investments............ 1.58 1.36 3.96 3.15 3.52 0.33
-------- -------- -------- -------- ------- -------
Net increase in net
assets resulting from
investment operations.. 1.68 1.58 4.16 3.35 3.67 0.42
-------- -------- -------- -------- ------- -------
Distributions:
Dividends from net
investment income...... (0.24) (0.22) (0.14) (0.13) (0.09) (0.01)
Distributions from net
realized gains......... (0.91) (0.38) (0.53) (0.24) (0.04) --
-------- -------- -------- -------- ------- -------
Total distributions..... (1.15) (0.60) (0.67) (0.37) (0.13) (0.01)
-------- -------- -------- -------- ------- -------
Net asset value, end of
period................. $ 22.21 $ 21.68 $ 20.70 $ 17.21 $ 14.23 $ 10.69
======== ======== ======== ======== ======= =======
Total return++.......... 7.71% 7.56% 24.81% 23.84% 34.59% 4.09%
======== ======== ======== ======== ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $246,513 $246,102 $216,039 $127,927 $68,630 $32,776
Ratio of net investment
income to average net
assets................. 0.82%+ 1.10% 1.39% 1.29% 1.56% 1.31%
Ratio of operating
expenses to average net
assets................. 0.84%+ 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.............. 0.91%+ 0.85% 0.89% 0.91% 0.86% 1.02%
Portfolio turnover
rate................... 21% 19% 16% 27% 28% 56%
</TABLE>
- ---------------------------------
+ Annualized.
++ 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 period since
use of the undistributed method did not accord with results of
operations.
See Notes to Financial Statements.
54
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
06/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98# 12/31/97 12/31/96 12/31/95 12/31/94+++
----------- --------- -------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 23.89 $ 22.34 $ 18.84 $ 16.28 $ 13.48 $ 14.30
-------- -------- -------- -------- -------- --------
Net investment income... 0.17 0.43 0.32 0.27 0.33 0.28
Net realized and
unrealized gain/(loss)
on investments......... 1.98 3.50 3.45 2.61 2.72 (1.03)
-------- -------- -------- -------- -------- --------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 2.15 3.93 3.77 2.88 3.05 (0.75)
-------- -------- -------- -------- -------- --------
Distributions:
Dividends from net
investment income...... (0.43) (0.32) (0.27) (0.32) (0.25) (0.07)
Distributions from net
realized gains......... (5.71) (2.06) -- -- -- --
-------- -------- -------- -------- -------- --------
Total distributions..... (6.14) (2.38) (0.27) (0.32) (0.25) (0.07)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period................. $ 19.90 $ 23.89 $ 22.34 $ 18.84 $ 16.28 $ 13.48
======== ======== ======== ======== ======== ========
Total return++.......... 9.88% 18.39% 20.14% 17.82% 22.91% (5.28)%
======== ======== ======== ======== ======== ========
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $372,396 $353,001 $303,102 $240,210 $198,876 $172,449
Ratio of net investment
income to average net
assets................. 1.66%+ 1.97% 1.61% 1.59% 2.12% 2.03%
Ratio of operating
expenses to average net
assets................. 0.79%+ 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.............. 0.84%+ 0.80% 0.84% 0.85% 0.84% 0.90%
Portfolio turnover
rate................... 131% 262% 67% 58% 93% 67%
</TABLE>
- ---------------------------------
+ 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 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.
55
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Money Market Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
06/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98# 12/31/97 12/31/96 12/31/95 12/31/94
----------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- ------- ------- ------- -------
Net investment income... 0.0186 0.0485 0.0498 0.0479 0.0540 0.0337
-------- -------- ------- ------- ------- -------
Distributions:
Dividends from net
investment income...... (0.0186) (0.0485) (0.0498) (0.0479) (0.0540) (0.0336)
Distributions from net
realized gains......... -- -- -- -- -- (0.0001)
-------- -------- ------- ------- ------- -------
Total distributions..... (0.0186) (0.0485) (0.0498) (0.0479) (0.0540) (0.0337)
-------- -------- ------- ------- ------- -------
Net asset value, end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======= ======= ======= =======
Total return++.......... 2.24% 4.96% 5.07% 4.91% 5.54% 3.41%
======== ======== ======= ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $107,333 $100,932 $51,162 $41,545 $27,551 $20,766
Ratio of net investment
income to average net
assets................. 4.46%+ 4.92% 4.99% 4.81% 5.37% 3.58%
Ratio of operating
expenses to average net
assets................. 0.55%+ 0.60% 0.60% 0.60% 0.60% 0.85%
Ratio of operating
expenses to average net
assets before credits
allowed by the
custodian.............. 0.55%+ 0.60% 0.60% 0.60% 0.60% 0.85%
</TABLE>
- ---------------------------------
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Morgan Stanley Asset Management became the Portfolio's Adviser effective
April 1, 1998.
See Notes to Financial Statements.
56
<PAGE>
Financial Highlights
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Period
06/30/99 Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++
----------- -------- -------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 20.04 $ 19.34 $ 15.49 $ 13.05 $ 10.00
-------- -------- -------- ------- -------
Net investment income... 0.21 0.35 0.25 0.41 0.34
Net realized and
unrealized gain on
investments............ 2.26 1.33 4.06 2.17 2.71
-------- -------- -------- ------- -------
Net increase in net
assets resulting from
investment operations.. 2.47 1.68 4.31 2.58 3.05
-------- -------- -------- ------- -------
Distributions:
Dividends from net
investment income...... (0.40) (0.28) (0.19) (0.10) --
Distributions from net
realized gains......... (0.94) (0.70) (0.27) (0.04) --
-------- -------- -------- ------- -------
Total distributions..... (1.34) (0.98) (0.46) (0.14) --
-------- -------- -------- ------- -------
Net asset value, end of
period................. $ 21.17 $ 20.04 $ 19.34 $ 15.49 $ 13.05
======== ======== ======== ======= =======
Total return++.......... 12.33% 8.81% 28.27% 19.88% 30.50%
======== ======== ======== ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $287,646 $262,328 $197,228 $78,251 $21,910
Ratio of net investment
income to average net
assets................. 1.98%+ 2.18% 2.47% 2.89% 3.24%+
Ratio of operating
expenses to average net
assets................. 0.85%+ 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%+ 0.85% 0.94% 0.96% 1.15%+
Portfolio turnover
rate................... 15% 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 period since
use of the undistributed method did not accord with results of
operations.
See Notes to Financial Statements.
57
<PAGE>
Financial Highlights
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Period
06/30/99 Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96+++ 12 /31/95*+++
----------- -------- -------- ----------- -------------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 25.60 $ 20.78 $ 16.29 $ 13.72 $ 10.00
-------- -------- -------- ------- -------
Net investment income... 0.03 0.06 0.04 0.11 0.08
Net realized and
unrealized gain on
investments............ 1.96 5.76 4.59 2.71 3.64
-------- -------- -------- ------- -------
Net increase in net
assets resulting from
investment operations.. 1.99 5.82 4.63 2.82 3.72
-------- -------- -------- ------- -------
Distributions:
Dividends from net
investment income...... (0.07) (0.05) (0.03) (0.01) --
Distributions from net
realized gains......... (2.11) (0.95) (0.11) (0.24) --
-------- -------- -------- ------- -------
Total distributions..... (2.18) (1.00) (0.14) (0.25) --
-------- -------- -------- ------- -------
Net asset value, end of
period................. $ 25.41 $ 25.60 $ 20.78 $ 16.29 $ 13.72
======== ======== ======== ======= =======
Total return++.......... 8.04% 28.67% 28.57% 20.77% 37.20%
======== ======== ======== ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $220,662 $194,301 $123,230 $59,732 $21,651
Ratio of net investment
income to average net
assets................. 0.31%+ 0.43% 0.38% 0.75% 0.69%+
Ratio of operating
expenses to average net
assets................. 0.85%+ 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.............. 0.86%+ 0.87% 0.96% 1.01% 1.26%+
Portfolio turnover
rate................... 30% 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 period since
use of the undistributed method did not accord with results of
operations.
See Notes to Financial Statements.
58
<PAGE>
Financial Highlights
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
06/30/99+++ Ended Ended Ended Ended* Ended
(Unaudited) 12/31/98+++ 12/31/97 12/31/96+++ 12/31/95# 12/31/94
----------- ----------- -------- ----------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 16.19 $ 14.21 $ 13.95 $ 12.19 $ 11.31 $ 11.99
-------- -------- -------- -------- ------- -------
Net investment
income/(loss).......... 0.12 0.12 0.10 0.09 0.09 (0.02)
Net realized and
unrealized gain/(loss)
on investments......... 0.49 2.08 0.26 1.76 1.06 (0.66)
-------- -------- -------- -------- ------- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 0.61 2.20 0.36 1.85 1.15 (0.68)
-------- -------- -------- -------- ------- -------
Distributions:
Dividends from net
investment income...... (0.26) (0.11) (0.10) (0.09) -- --
Distributions from net
realized gains......... (0.17) (0.11) -- (0.00)## (0.27) --
-------- -------- -------- -------- ------- -------
Total distributions..... (0.43) (0.22) (0.10) (0.09) (0.27) --
-------- -------- -------- -------- ------- -------
Net asset value, end of
period................. $ 16.37 $ 16.19 $ 14.21 $ 13.95 $ 12.19 $ 11.31
======== ======== ======== ======== ======= =======
Total return++.......... 3.77% 15.44% 2.54% 15.23% 10.37% (5.67)%
======== ======== ======== ======== ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (000's)......... $186,105 $184,856 $164,560 $134,435 $92,352 $84,102
Ratio of net investment
income/(loss) to
average net assets..... 1.51%+ 0.76% 0.74% 0.73% 0.81% (0.16)%
Ratio of operating
expenses to average net
assets................. 0.95%+ 0.98% 1.07% 1.18% 1.15% 1.16%
Ratio of operating
expenses to average net
assets before credits
allowed by the
custodian.............. 1.01%+ 1.10% 1.12% 1.18% 1.15% 1.16%
Portfolio turnover
rate................... 8% 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).
+ 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.
# 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.
59
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Select 50 Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Period
06/30/99 Ended
(Unaudited) 12/31/98* +++
----------- -------------
<S> <C> <C>
Operating performance:
Net asset value, beginning of period.............. $ 10.66 $ 10.00
------- -------
Net investment income............................. -- 0.07
Net realized and unrealized gain on investments... 1.73 0.59
------- -------
Net increase in net assets resulting from
investment operations............................ 1.73 0.66
------- -------
Net asset value, end of period.................... $ 12.39 $ 10.66
======= =======
Total return++.................................... 16.23% 6.60%
======= =======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).............. $26,055 $24,865
Ratio of net investment income/(loss) to average
net assets....................................... (0.07)%+ 0.75%+
Ratio of operating expenses to average net
assets........................................... 1.42%+ 1.49%+
Ratio of operating expenses to average net assets
before waivers/reimbursement and credits allowed
by the custodian................................. 1.44%+ 1.55%+
Portfolio turnover rate........................... 74% 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.
60
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor High Yield Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Six Months
Ended Period
06/30/99 Ended
(Unaudited) 12/31/98*
----------- ---------
<S> <C> <C>
Operating performance:
Net asset value, beginning of period................. $ 9.69 $ 10.00
------- -------
Net investment income................................ 0.19 0.25
Net realized and unrealized gain/(loss) on
investments......................................... 0.18 (0.56)
------- -------
Net increase/(decrease) in net assets resulting from
investment operations............................... 0.37 (0.31)
------- -------
Distributions:
Dividends from net investment income................. (0.16) --
------- -------
Total distributions.................................. (0.16) --
------- -------
Net asset value, end of period....................... $ 9.90 $ 9.69
======= =======
Total return++....................................... 3.83% (3.10)%
======= =======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................. $16,318 $9,819
Ratio of net investment income to average net
assets.............................................. 6.87%+ 6.43%+
Ratio of operating expenses to average net assets.... 1.23%+ 1.30%+
Ratio of operating expenses to average net assets
before waivers/reimbursement and credits allowed by
the custodian....................................... 1.31%+ 1.58%+
Portfolio turnover rate.............................. 39% 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.
61
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Janus Growth Portfolio
For a Portfolio share outstanding throughout the period
<TABLE>
<CAPTION>
Period
Ended
06/30/99*
Unaudited
---------
<S> <C>
Operating performance:
Net asset value, beginning of period............................. $ 69.88
--------
Net investment loss.............................................. (0.02)
Net realized and unrealized gain on investments.................. 1.88
--------
Net increase in net assets resulting from investment operations.. 1.86
--------
Net asset value, end of period................................... $ 71.74
========
Total return++................................................... 2.66%
========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)............................. $765,364
Ratio of net investment loss to average net assets............... (0.16)%+
Ratio of operating expenses to average net assets................ 0.82%+
Ratio of operating expenses to average net assets before
waivers/reimbursement and credits allowed by the custodian...... 0.82%+
Portfolio turnover rate.......................................... 17%
</TABLE>
- ---------------------------------
* The Portfolio commenced operations on May 1, 1999.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
See Notes to Financial Statements.
62
<PAGE>
Notes to Financial Statements
Endeavor Series Trust
June 30, 1999 (Unaudited)
1.Significant Accounting Policies
Endeavor Series Trust (the "Fund") was organized as a "Massachusetts business
trust" on November 19, 1988 under the laws of the Commonwealth of
Massachusetts. The Fund is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund offers thirteen
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, Endeavor High
Yield Portfolio and Endeavor Janus Growth 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, Endeavor High Yield Portfolio and Endeavor Janus Growth 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 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 that are not actively traded,
such 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: 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.
63
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date. Interest income is not accrued
until settlement date.
Futures Contracts:
Certain of the Portfolios may engage in futures contracts for the purpose of
hedging against a decline in the value of the portfolio securities held or in
the price of the securities intended to be purchased, in order to maintain
liquidity. Upon entering into a futures contract, a Portfolio is required to
deposit with the broker an amount of cash or cash equivalents equal to a
certain percentage of the contract amount. This is known as the "initial
margin." Subsequent payments ("variation margin") are made or received by the
Fund 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 contract 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 June 30, 1999 were as follows:
<TABLE>
<CAPTION>
Notional
Cost Expiration Unrealized
Contracts Amount Date Gain/(Loss)
----------------------------------------- ----------- -------------- -----------
<S> <C> <C> <C> <C>
Dreyfus U.S. Government
Securities Portfolio... (50) 2 Year U.S. Treasury Note contracts $10,378,906 September 1999 $(17,969)
(32) 5 Year U.S. Treasury Note contracts 3,457,500 September 1999 (30,500)
(73) 10 Year U.S. Treasury Note contracts 8,095,758 September 1999 (20,931)
(88) 30 Year U.S. Treasury Bond contracts 10,150,821 September 1999 (48,931)
Endeavor Enhanced Index
Portfolio.............. 7 S&P 500 contracts 2,358,492 September 1999 59,483
Endeavor Asset
Allocation Portfolio... (38) 2 Year U.S. Treasury Note contracts 7,878,678 September 1999 22,947
(42) 10 Year U.S. Treasury Note contracts 4,637,710 September 1999 (32,166)
(32) 30 Year U.S. Treasury Bond contracts 3,777,332 September 1999 68,332
</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. The 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 options open as of
June 30, 1999 were as follows:
<TABLE>
<CAPTION>
Dreyfus U.S. Government Securities Portfolio Number of Exercise Expiration
Name of Issuer Contracts Price Date Value
-------------------------------------------- --------- ----------- ------------- ---------
<S> <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)
</TABLE>
<TABLE>
<CAPTION>
Dreyfus U.S. Government Securities Portfolio Par Amount Premiums Received
-------------------------------------------- ---------- -----------------
<S> <C> <C>
Options outstanding at January 1, 1999..................................... $ 850 $ 207,188
Options written............................................................ -- --
Options exercised.......................................................... -- --
Options expired............................................................ -- --
Options closed............................................................. -- --
----- ---------
Options outstanding at June 30, 1999....................................... $ 850 $ 207,188
===== =========
</TABLE>
64
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
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, Endeavor High Yield Portfolio and Endeavor Janus Growth 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 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.
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.
65
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
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 (841,190)
Endeavor Select 50
Portfolio................. (318,563) (134,600) 453,163
Endeavor High Yield
Portfolio................. (2,629) 2,692 (63)
</TABLE>
2.Management Fee, Administrative Fee, Investment Advisory Fee and Other
Related Party Transactions
The Fund is managed by Endeavor Management Co. (the "Manager") pursuant to a
management agreement. The Manager is responsible for providing general
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 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%; Endeavor Janus Growth Portfolio--.775%.
From the management fees, the 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
Endeavor, High Yield Portfolio and Endeavor Janus Growth Portfolio, the
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 Manager in the performance of
its administrative responsibilities to the Fund. As compensation for these
services, the Manager pays Investor Services Group a flat fee of $770,000 per
annum, $40,000 of which Endeavor Select 50 Portfolio, Endeavor High Yield
Portfolio and Endeavor Janus Growth Portfolio reimburse the Manager. For the
first year of operations of Endeavor Select 50 Portfolio, Endeavor High Yield
Portfolio and Endeavor Janus Growth Portfolio, Investor Services Group has
agreed to waive $10,000 for each Portfolio. In addition, if the aggregate net
assets of the thirteen 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, 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 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 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
66
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
the Manager and OpCap. As compensation for its services as investment adviser,
the 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 Manager and Morgan Stanley. As compensation
for its services as investment adviser, the 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 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 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, subject to a
transitional fee credit for assets in excess of $184 million but less than
$200 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 Adviser to Endeavor Select 50 Portfolio. As
compensation for its services as investment adviser, the Manager pays
Montgomery a fee at the annual rate of .70% of the average daily net assets of
the Portfolio.
Massachusetts Financial Services Company ("MFS"), a subsidiary of Sun Life
Assurance Company of Canada (U.S.), serves as the Adviser to Endeavor High
Yield Portfolio. As compensation for its services as investment adviser, the
Manager pays MFS a fee at the annual rate of .375% of the average daily net
assets of the Portfolio.
Janus Capital Corporation ("Janus") serves as the Adviser to Endeavor Janus
Growth Portfolio. As compensation for its services as investment adviser, the
Manager pays Janus a fee at the annual rate of .775% of the average daily net
assets of the Portfolio for the first year of operations.
From time to time the Manager may waive a portion or all of the fees otherwise
payable to it and/or reimburse expenses. The 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%,
Endeavor High Yield Portfolio--1.30% and Endeavor Janus Growth Portfolio--
.87%.
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 period ended
June 30, 1999, the Fund's custodial expenses were reduced by $95,724.
For the period ended June 30, 1999, the Fund incurred total brokerage
commissions of $1,600,861, of which $281 was paid to Jardine Fleming Group
Ltd., and $1,405 was paid to Robert Fleming Holdings Ltd., brokers affiliated
with Price-Fleming. 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 six months ended June 30, 1999, the
recaptured commissions amount were as follows: Dreyfus Small Cap Value
Portfolio--$209,311, Endeavor Opportunity Value Portfolio--$9,117, Endeavor
Value Equity Portfolio--$80,112, Endeavor Asset
67
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
Allocation Portfolio--$74,467, T. Rowe Price Equity Income Portfolio--$6,780
and T. Rowe Price Growth Stock Portfolio--$3,899.
No director, officer or employee of the 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 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 June 30, 1999 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.............. $ -- $ 189,214,630 $ -- $ 201,843,264
Dreyfus U.S. Government
Securities Portfolio... 161,434,821 73,400,725 142,511,792 72,934,686
Endeavor Enhanced Index
Portfolio.............. -- 53,668,609 -- 20,723,267
Endeavor Opportunity
Value Portfolio........ -- 9,272,407 -- 11,385,524
Endeavor Value Equity
Portfolio.............. -- 46,655,272 -- 72,792,697
Endeavor Asset
Allocation Portfolio... 344,824,480 154,201,365 339,008,323 157,262,717
T. Rowe Price Equity
Income Portfolio....... -- 37,672,418 -- 42,877,164
T. Rowe Price Growth
Stock Portfolio........ -- 69,267,533 -- 58,077,169
T. Rowe Price
International Stock
Portfolio.............. -- 12,212,333 -- 19,535,540
Endeavor Select 50
Portfolio.............. -- 17,173,778 -- 19,935,638
Endeavor High Yield
Portfolio.............. -- 10,915,682 -- 4,810,831
Endeavor Janus Growth
Portfolio.............. -- 776,610,289 -- 113,296,446
</TABLE>
At June 30, 1999, aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost and aggregate gross
unrealized depreciation for all securities in which there was an excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
Tax Basis
Tax Basis Tax Basis Net Unrealized
Unrealized Unrealized Appreciation /
Appreciation Depreciation (Depreciation)
------------ ------------ --------------
<S> <C> <C> <C>
Dreyfus Small Cap Value Portfolio.... $ 25,205,232 $ 9,220,248 $ 15,984,984
Dreyfus U.S. Government Securities
Portfolio........................... 224,296 2,430,011 (2,205,715)
Endeavor Enhanced Index Portfolio.... 16,827,045 2,193,812 14,633,233
Endeavor Opportunity Value
Portfolio........................... 6,103,400 1,368,579 4,734,821
Endeavor Value Equity Portfolio...... 71,654,746 5,750,738 65,904,008
Endeavor Asset Allocation Portfolio.. 67,908,753 4,821,350 63,087,403
T. Rowe Price Equity Income
Portfolio........................... 56,038,607 6,128,492 49,910,115
T. Rowe Price Growth Stock
Portfolio........................... 51,962,168 3,843,087 48,119,081
T. Rowe Price International Stock
Portfolio........................... 48,610,779 6,414,136 42,196,643
Endeavor Select 50 Portfolio......... 4,852,541 668,023 4,184,518
Endeavor High Yield Portfolio........ 216,536 495,776 (279,240)
Endeavor Janus Growth Portfolio...... 55,115,123 28,758,123 26,357,000
</TABLE>
68
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
4.Shares of Beneficial Interest
The Fund has authorized an unlimited number of shares of beneficial interest
without par value of one or more series. Shares of the Fund are presently
divided into thirteen series of shares, each series representing one of the
Fund's thirteen Portfolios. Since the Endeavor Money Market Portfolio has sold
shares, issued shares as reinvestment of dividends and redeemed shares only at
a constant net asset value of $1.00 per share, the number of shares
represented by such sales, reinvestments and redemptions is the same as the
amounts shown below for such transactions. Changes in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio:
Sold...................... 712,537 $ 10,198,420 2,899,864 $ 42,743,796
Issued as reinvestment of
dividends................ 1,103,293 16,262,533 1,295,096 20,190,540
Redeemed.................. (1,750,153) (24,455,624) (1,883,943) (26,685,671)
---------- ------------ ---------- ------------
Net increase.............. 65,677 $ 2,005,329 2,311,017 $ 36,248,665
========== ============ ========== ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Dreyfus U.S. Government
Securities Portfolio:
Sold...................... 1,351,942 $ 16,380,585 3,690,177 $ 44,539,243
Issued as reinvestment of
dividends................ 428,658 4,955,287 170,284 2,007,843
Redeemed.................. (812,795) (9,791,586) (1,053,685) (12,779,058)
---------- ------------ ---------- ------------
Net increase.............. 967,805 $ 11,544,286 2,806,776 $ 33,768,028
========== ============ ========== ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Endeavor Enhanced Index
Portfolio:
Sold...................... 2,712,364 $ 45,411,265 4,215,132 $ 59,485,332
Issued as reinvestment of
dividends................ 252,468 4,269,241 9,636 135,390
Redeemed.................. (634,944) (10,388,822) (1,853,116) (26,091,026)
---------- ------------ ---------- ------------
Net increase.............. 2,329,888 $ 39,291,684 2,371,652 $ 33,529,696
========== ============ ========== ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Endeavor Opportunity Value
Portfolio:
Sold...................... 336,848 $ 4,005,885 1,806,222 $ 22,044,219
Issued as reinvestment of
dividends................ 69,517 889,122 35,206 441,487
Redeemed.................. (427,351) (5,134,885) (398,330) (4,768,584)
---------- ------------ ---------- ------------
Net increase/(decrease)... (20,986) $ (239,878) 1,443,098 $ 17,717,122
========== ============ ========== ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Endeavor Value Equity
Portfolio:
Sold...................... 385,013 $ 8,271,072 1,927,902 $ 41,464,781
Issued as reinvestment of
dividends................ 548,164 12,273,399 297,346 6,606,489
Redeemed.................. (1,186,679) (25,804,979) (1,309,035) (27,614,919)
---------- ------------ ---------- ------------
Net increase/(decrease)... (253,502) $ (5,260,508) 916,213 $ 20,456,351
========== ============ ========== ============
</TABLE>
69
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
-------------------------- --------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Endeavor Asset Alloca-
tion Portfolio:
Sold.................... 627,995 $ 14,500,272 1,760,590 $ 40,360,655
Issued as reinvestment
of dividends........... 4,552,729 87,594,497 1,453,955 32,423,186
Redeemed................ (1,245,157) (29,229,494) (2,003,298) (45,321,991)
------------ ------------ ------------ ------------
Net increase............ 3,935,567 $ 72,865,275 1,211,247 $ 27,461,850
============ ============ ============ ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
-------------------------- --------------------------
Shares and Amount Shares and Amount
-------------------------- --------------------------
<S> <C> <C> <C> <C>
Endeavor Money Market
Portfolio:
Sold.................... $ 81,195,517 $125,313,555
Issued as reinvestment
of dividends........... 1,936,562 3,172,335
Redeemed................ (76,734,797) (78,716,738)
------------ ------------
Net increase............ $ 6,397,282 $ 49,769,152
============ ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
-------------------------- --------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
T. Rowe Price Equity
Income Portfolio:
Sold.................... 660,246 $ 13,514,357 3,467,152 $ 68,060,919
Issued as reinvestment
of dividends........... 802,394 16,874,339 584,990 11,454,107
Redeemed................ (965,898) (19,848,215) (1,163,019) (21,989,566)
------------ ------------ ------------ ------------
Net increase............ 496,742 $ 10,540,481 2,889,123 $ 57,525,460
============ ============ ============ ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
-------------------------- --------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
T. Rowe Price Growth
Stock Portfolio:
Sold.................... 923,495 $ 23,809,509 2,192,769 $ 50,311,764
Issued as reinvestment
of dividends........... 701,291 17,286,833 301,037 6,779,279
Redeemed................ (530,744) (13,575,894) (833,503) (18,588,792)
------------ ------------ ------------ ------------
Net increase............ 1,094,042 $ 27,520,448 1,660,303 $ 38,502,251
============ ============ ============ ============
<CAPTION>
Six Months Ended Year Ended
06/30/99 12/31/98
-------------------------- --------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
T. Rowe Price
International Stock
Portfolio:
Sold.................... 2,071,920 $ 34,533,184 1,639,660 $ 25,500,438
Issued as reinvestment
of dividends........... 285,806 4,627,207 162,553 2,589,463
Redeemed................ (2,408,301) (40,029,198) (1,968,079) (30,038,492)
------------ ------------ ------------ ------------
Net decrease............ (50,575) $ (868,807) (165,866) $ (1,948,591)
============ ============ ============ ============
<CAPTION>
Six Months Ended Period Ended
06/30/99 12/31/98#
-------------------------- --------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Endeavor Select 50
Portfolio:
Sold.................... 278,213 $ 3,106,768 2,611,380 $ 27,024,440
Redeemed................ (506,968) (5,555,618) (279,573) (2,844,338)
------------ ------------ ------------ ------------
Net
increase/(decrease).... (228,755) $ (2,448,850) 2,331,807 $ 24,180,102
============ ============ ============ ============
</TABLE>
70
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Six Months Ended Period Ended
06/30/99 12/31/98##
------------------------ ----------------------
Shares Amount Shares Amount
---------- ------------ --------- -----------
<S> <C> <C> <C> <C>
Endeavor High Yield
Portfolio:
Sold........................ 881,575 $ 8,818,763 1,070,942 $10,468,162
Issued as reinvestment of
dividends.................. 25,299 252,489 -- --
Redeemed.................... (271,848) (2,701,746) (57,450) (556,173)
---------- ------------ --------- -----------
Net increase................ 635,026 $ 6,369,506 1,013,492 $ 9,911,989
========== ============ ========= ===========
<CAPTION>
Period Ended
06/30/99###
------------------------
Shares Amount
---------- ------------
<S> <C> <C>
Endeavor Janus Growth
Portfolio:
Sold........................ 264,085 $ 18,059,437
Conversion proceeds from WRL
Series Fund................ 10,610,293 741,437,747
Redeemed.................... (206,410) (14,064,921)
---------- ------------
Net increase................ 10,667,968 $745,432,263
========== ============
</TABLE>
- -----------
#Endeavor Select 50 Portfolio commenced operations on February 3, 1998.
##Endeavor High Yield Portfolio commenced operations on June 1, 1998.
###Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
5.Endeavor Series Trust Conversion
On May 1, 1999, the WRL Growth Portfolio converted 19.95% of its assets into
Endeavor Janus Growth Portfolio. The net assets of the WRL Growth Portfolio
immediately before the non-taxable conversion were $3,716,778,810. At the time
of the conversion, 10,610,293 shares of Endeavor Janus Growth Portfolio were
issued. The net assets of Endeavor Janus Growth Portfolio after the conversion
were $741,495,920.
6.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. As of June 30,
1999, all such costs for Dreyfus Small Cap Value Portfolio, Dreyfus U.S.
Government Securities Portfolio, Endeavor Value Equity Portfolio, Endeavor
Asset Allocation Portfolio, Endeavor Money Market Portfolio and T. Rowe Price
International Stock Portfolio have been fully amortized.
7.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.
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
71
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
June 30, 1999 (Unaudited)
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. The Portfolio's use of leverage also
increases exposure to capital risk.
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.
8.Capital Loss Carryforward
As of December 31, 1998, the Fund had available for federal tax purposes
unused capital loss carryforwards as follows:
<TABLE>
<CAPTION>
Expiring in 2005 Expiring in 2006
---------------- ----------------
<S> <C> <C>
Endeavor Money Market Portfolio............... $ 104 $ --
Endeavor Select 50 Portfolio.................. -- 1,814,566
Endeavor High Yield Portfolio................. -- 84,613
</TABLE>
72
<PAGE>
This report and the financial statements contained herein are submitted for the
general information of the policyholder of The Endeavor Variable Annuity. This
report is not authorized for distribution to prospective investors unless
preceded or accompanied by an effective prospectus.
