--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------
Dear Shareholder:
We are pleased to report the semi-annual financial statements for Endeavor
Series Trust for the six months ended June 30, 2000.
The period will be known as a reality check for investors. It is easy now to say
things had gone a bit too far, a bit too fast. Valuations of some tech stocks
reached triple digits. Dot-coms were being purchased indiscriminately.
Speculation in the IPO market was rampant. Such high levels of returns were
unsustainable. It is easy now to see that we had all the pins we needed to pop a
speculative bubble.
Well, it happened. After reaching a record 5048.62 on March 10, the NASDAQ
Composite Index fell 37.3% to 3164.55 over the next 10 weeks. This chased much
of the speculation out of the market. All of a sudden, earnings did matter,
valuations were considered and interest rates became a concern.
It is probably safe to say, that in varying degrees, we all became enamored with
the high tech boom. But who could blame us? Technology--so magnificently
symbolized by the Internet--is a shiny new toy, and it can do all sorts of
amazing things. In a remarkably short period of time, online stores, instant
messages, search engines and a dozen other convenient technologies have become
indispensable to everyday life. Just try to imagine home or work now without
e-mail. In one industry after another, increasingly powerful computer chips are
turning the economic assumptions of the Industrial Age on their head. That the
market struggles to set fair prices for the "new economy" really should surprise
no one.
After the strong corrections in the technology sector in March, April and May,
the NASDAQ Composite Index recovered in June, finishing the six month period
with a small loss. Most of the other markets took their cue from the tech
correction and finished in negative territory for the period as well:
Russell 2000 .................................... +3.0%
S&P 500 ......................................... -0.4%
NASDAQ Composite Index .......................... -2.5%
MSCI EAFE Index ................................. -4.1%
DJIA ............................................ -8.4%
<PAGE>
--------------------------------------------------------------------------------
SHAREHOLDER LETTER (CONTINUED)
--------------------------------------------------------------------------------
With all of the "negativity" of the period, we are very pleased that six of the
Endeavor portfolios provided shareholders positive net asset value returns (net
of expenses) for the period:
YTD
06/30/00
--------
Dreyfus Small Cap Value Portfolio ...................... 10.03%
T. Rowe Price Growth Stock Portfolio ................... 7.88%
Endeavor Asset Allocation Portfolio .................... 5.38%
Dreyfus U.S. Government Securities Portfolio ........... 4.60%
Endeavor Money Market Portfolio ........................ 2.80%
Endeavor High Yield Portfolio .......................... 0.79%
Endeavor Janus Growth Portfolio ........................ -1.86%
Endeavor Enhanced Index Portfolio ...................... -1.98%
Endeavor Opportunity Value Portfolio ................... -2.82%
T. Rowe Price Equity Income Portfolio .................. -3.11%
Endeavor Select Portfolio .............................. -4.41%
T. Rowe Price International Stock Portfolio ............ -4.95%
Endeavor Value Equity Portfolio ........................ -5.89%
Our mission is to offer you well-balanced, diversified investment portfolios
that utilize different investment styles managed by specialized investment firms
to provide you the investment tools for your financial plan. We encourage you to
sit down with your financial advisor and revisit your plans for diversification
and asset allocation. Discipline comes hard in periods of extreme, but it is the
exercise of discipline that separates investors from speculators.
We appreciate the opportunity to help you carry out your financial plan.
Sincerely,
/S/ VINCENT MCGUINESS, JR.
Vincent McGuinness, Jr.
President
Endeavor Series Trust
July 30, 2000
2
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 99.0%
BUSINESS SERVICES -- 2.0%
73,800 Interim Services, Inc.+........ $ 1,309,950
278,400 Modis Professional Services,
Inc.+ ....................... 2,122,800
29,600 Superior Consultant Holdings
Corporation.................. 140,600
96,500 Technology Solutions Company+.. 597,094
-----------
4,170,444
-----------
CHEMICALS -- 5.3%
219,300 Crompton Corporation........... 2,686,425
116,300 Geon Company................... 2,151,550
203,000 M. A. Hanna Company............ 1,827,000
142,300 Solutia, Inc................... 1,956,625
164,500 Wellman, Inc................... 2,662,844
-----------
11,284,444
-----------
COMPUTER SERVICE AND SOFTWARE -- 15.8%
29,100 BARRA, Inc.+................... 1,442,269
173,100 Hypercom Corporation+.......... 2,488,312
725,950 Informix Corporation+.......... 5,399,253
63,000 Inter-Tel, Inc................. 1,011,937
207,300 Keane, Inc.+................... 4,482,862
73,500 MarchFirst Inc................. 1,341,375
104,800 Mentor Graphics Corporation+... 2,082,900
573,300 Parametric Technology
Corporation+................. 6,306,300
84,800 Perot Systems Corporation...... 932,800
351,400 Quantum Corporation - DLT
& Storage Systems+........... 3,404,187
131,300 Structural Dynamics Research
Corporation+................. 1,977,706
140,000 Systems & Computer Technology
Corporation+................. 2,800,000
-----------
33,669,901
-----------
COMPUTERS -- 6.4%
276,600 Ingram Micro, Inc., Class A+... 4,823,212
404,300 Maxtor Corporation+............ 4,270,419
255,400 Quantum Corporation............ 2,825,362
117,700 S3, Inc.+...................... 1,736,075
-----------
13,655,068
-----------
CONSUMER PRODUCTS -- 0.4%
47,700 Fossil, Inc.+.................. 927,169
-----------
CONTAINERS -- 0.3%
274,800 Gaylord Container Corporation,
Class A+..................... 738,525
-----------
ELECTRONICS -- 8.0%
96,400 Applied Power, Inc., Class A... 3,229,400
89,400 Arrow Electronics, Inc.+....... 2,771,400
86,400 Avnet, Inc..................... 5,119,200
63,200 Electronics for Imaging........ 1,599,750
VALUE
SHARES (NOTE 1)
------ --------
ELECTRONICS -- (CONTINUED)
218,600 General Semiconductor, Inc.+... $ 3,224,350
30,700 Manufacturers' Services Limited 631,269
37,800 Ultratech Stepper, Inc.+....... 562,275
-----------
17,137,644
-----------
ENTERTAINMENT AND LEISURE -- 0.2%
39,700 Midway Games, Inc.+............ 320,081
-----------
FINANCIAL SERVICES -- 4.8%
56,800 Block (H&R), Inc............... 1,838,900
117,300 Heller Financial, Inc.......... 2,404,650
105,300 Nationwide Financial Services,
Inc., Class A................ 3,461,737
153,300 Profit Recovery Group
International, Inc.+......... 2,548,612
-----------
10,253,899
-----------
HEALTH CARE -- 0.8%
119,700 HEALTHSOUTH Corporation........ 860,344
93,500 Omnicare, Inc.................. 847,344
-----------
1,707,688
-----------
INSURANCE -- 1.9%
122,000 Everest Reinsurance Holdings,
Inc. ........................ 4,010,750
-----------
MANUFACTURING -- 9.6%
228,500 Abitibi-Consolidated, Inc...... 2,142,187
123,600 AGCO Corporation............... 1,514,100
180,800 Agrium, Inc.................... 1,559,400
174,317 AK Steel Holding Corporation... 1,394,536
2,300 Alberto-Culver Company, Class A 60,375
134,500 Flowserve Corporation.......... 2,025,906
205,600 IMC Global, Inc................ 2,672,800
55,700 NS Group, Inc.+................ 1,166,219
131,000 NBTY, Inc.+.................... 835,125
105,600 Polaroid Corporation........... 1,907,400
1,700 Rayovac Corporation+........... 38,038
61,400 Timken Company................. 1,143,575
169,700 UCAR International, Inc.+...... 2,216,706
99,000 Wolverine Tube, Inc.+.......... 1,683,000
-----------
20,359,367
-----------
MEDIA AND COMMUNICATIONS -- 2.2%
182,200 Allen Telecom, Inc.+........... 3,222,662
155,800 Cumulus Media, Inc., Class A+.. 1,421,675
-----------
4,644,337
-----------
MEDICAL AND SCIENTIFIC SUPPLIES -- 0.2%
26,700 Mylan Laboratories, Inc........ 487,275
-----------
OIL AND GAS -- 10.1%
36,200 Friede Goldman International,
Inc.+ ....................... 323,537
29,000 Global Industries, Ltd.+....... 547,375
See Notes to Financial Statements.
3
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
OIL AND GAS -- (CONTINUED)
271,800 Key Energy Services, Inc.+..... $ 2,616,075
288,700 Newpark Resources, Inc.+....... 2,724,606
108,000 Noble Affiliates, Inc.......... 4,023,000
196,600 Ocean Energy, Inc.+............ 2,789,262
336,900 Santa Fe Snyder Corporation+... 3,832,237
114,100 Tidewater, Inc................. 4,107,600
20,400 Varco International, Inc....... 474,300
-----------
21,437,992
-----------
PUBLISHING -- 1.0%
233,000 Ziff-Davis, Inc.+.............. 2,097,000
-----------
RESTAURANTS -- 0.2%
14,100 Papa John's International, Inc.+ 345,450
-----------
RETAIL -- 13.8%
222,200 Abercrombie & Fitch Company,
Class A+..................... 2,708,063
73,500 American Eagle Outfitters, Inc.+ 1,029,000
146,200 Ames Department Stores, Inc.... 1,133,050
91,600 AnnTaylor Stores Corporation+.. 3,034,250
54,000 Brown Shoe Company, Inc. 702,000
123,100 Burlington Coat Factory Warehouse
Corporation.................. 1,331,019
160,600 Consolidated Stores Corporation+ 1,927,200
63,100 Finlay Enterprises, Inc.+...... 820,300
85,400 Fleming Companies, Inc......... 1,115,538
285,400 Heilig-Meyers Company.......... 338,913
375,000 OfficeMax, Inc.+............... 1,875,000
99,800 Pacific Sunwear of California,
Inc.+ ....................... 1,871,250
96,100 Reebok International, Limited+. 1,531,594
67,900 Ross Stores, Inc............... 1,158,544
52,700 School Specialty, Inc.......... 978,244
94,700 ShopKo Stores, Inc.+........... 1,456,013
210,900 Sunglass Hut International,
Inc.+ ....................... 1,733,334
454,000 Venator Group, Inc............. 4,653,500
-----------
29,396,812
-----------
SERVICES -- 5.3%
32,900 CDI Corporation+............... 670,338
153,100 Fluor Corporation.............. 4,841,788
294,500 Foster Wheeler Corporation..... 2,540,063
214,700 Kforce.com, Inc................ 1,489,481
81,800 Regis Corporation.............. 1,022,500
53,400 Sylvan Learning Systems, Inc.+. 734,250
-----------
11,298,420
-----------
TECHNOLOGY -- 6.7%
124,600 Artesyn Technologies, Inc.+.... 3,465,438
122,600 J. D. Edwards & Company........ 1,846,663
117,500 Tech Data Corporation+......... 5,118,594
177,600 Thermo Electron Corporation+... 3,740,700
-----------
14,171,395
-----------
VALUE
SHARES (NOTE 1)
------ --------
TEXTILES AND APPAREL -- 1.6%
6,900 Phillips-Van Heusen Corporation $ 65,550
266,900 Tommy Hilfiger Corporation+.... 2,001,750
136,600 Wolverine World Wide, Inc...... 1,348,925
-----------
3,416,225
-----------
TRANSPORTATION -- 2.4%
106,900 Offshore Logistics, Inc........ 1,536,688
144,700 Trico Marine Services, Inc.+... 1,844,925
120,200 Yellow Corporation+............ 1,772,950
-----------
5,154,563
-----------
Total Common Stock
(Cost $210,261,117).......... 210,684,449
-----------
PRINCIPAL
AMOUNT
---------
COMMERCIAL PAPER -- 1.2%
$ 2,591,000 General Electric Capital,
6.900% due 07/03/00.......... 2,591,000
-----------
Total Commercial Paper
(Cost $2,591,000)............ 2,591,000
-----------
TOTAL INVESTMENTS
(COST $212,852,117*).............. 100.2% 213,275,449
OTHER ASSETS AND LIABILITIES
(NET)............................. (0.2)% (347,320)
------ ------------
NET ASSETS........................... 100.0% $212,928,129
======= ============
NET ASSETS CONSIST OF:
Accumulated net realized gain on investments 19,020,109
Net unrealized appreciation of investments... 423,332
Paid-in capital.............................. 193,484,688
------------
TOTAL NET ASSETS............................. $212,928,129
============
NET ASSET VALUE, offering price and
redemption price per share of beneficial
interest outstanding....................... $ 15.48
===========
Number of Portfolio shares outstanding....... 13,756,898
===========
--------------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
See Notes to Financial Statements.
4
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
AGENCY SECURITIES -- 36.1%
FEDERAL HOME LOAN BANK (FHLB) -- 0.7%
$ 550,000 5.590% due 01/05/01........... $ 546,304
-----------
FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) -- 0.3%
83,003 9.500% due 07/25/22........... 87,230
101,955 9.500% due 12/01/22........... 106,830
-----------
194,060
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 17.1%
63,929 7.000% due 08/01/03........... 63,182
103,299 7.500% due 06/01/09........... 103,432
550,860 6.500% due 02/01/13........... 531,921
369,977 6.500% due 03/01/13........... 357,258
664,228 6.000% due 08/01/13........... 628,107
669,220 6.000% due 11/01/13........... 632,828
505,796 6.000% due 11/01/13........... 478,290
918,269 6.000% due 11/01/13........... 869,766
816,234 6.000% due 11/01/13........... 773,121
808,902 6.000% due 12/01/13........... 764,914
35,723 7.000% due 07/01/22........... 34,843
100,771 7.000% due 07/01/23........... 97,967
158,840 6.500% due 02/01/26........... 150,550
126,111 7.000% due 09/01/26........... 122,091
6,980,000 7.500% due 07/15/30........... 6,880,744
-----------
12,489,014
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (GNMA) -- 9.4%
138,779 8.000% due 07/15/17........... 141,336
88,419 8.500% due 12/15/21........... 90,712
136,934 9.000% due 12/15/21........... 142,239
162,645 7.000% due 11/15/23........... 158,680
239,139 7.500% due 12/15/23........... 238,168
220,410 8.000% due 06/15/27........... 222,890
210,462 8.000% due 07/15/27........... 212,830
988,869 8.000% due 08/15/27........... 999,994
595,359 7.000% due 09/20/28........... 575,872
1,013,421 7.000% due 01/20/29........... 980,249
1,077,617 7.000% due 07/20/29........... 1,042,345
2,108,587 7.000% due 09/20/29........... 2,039,568
-----------
6,844,883
-----------
SMALL BUSINESS ADMINISTRATION (SBA) -- 3.8%
811,823 6.300% due 05/01/18........... 751,812
941,273 5.500% due 10/01/18........... 826,993
1,384,924 5.800% due 12/01/18........... 1,239,076
-----------
2,817,881
-----------
TENNESSEE VALLEY AUTHORITY (TVA) -- 4.8%
3,778,775 TVA, Bonds,
3.375% due 01/15/07.......... 3,504,209
-----------
Total Agency Securities
(Cost $26,981,694)........... 26,396,351
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
CORPORATE FIXED INCOME SECURITIES -- 21.1%
AIRLINES -- 1.8%
$ 1,500,000 Delta Air Lines,
8.300% due 12/15/29.......... $ 1,311,525
-----------
CHEMICALS -- 2.7%
2,000,000 ICI Wilmington,
Company Guarantee,
6.950% due 09/15/04.......... 1,928,532
-----------
COMMUNICATIONS -- 1.2%
934,000 CSC Holdings, Inc.,
Debentures,
8.125% due 08/15/09.......... 907,913
-----------
FEDERAL AGENCY AND GOVERNMENT -- 1.5%
1,068,060 WI Treasury Security,
3.625% due 07/15/02.......... 1,060,712
-----------
FINANCIAL -- 3.3%
1,500,000 Bombardier Capital, Ltd., Notes,
7.500% due 08/15/04.......... 1,487,592
949,000 Morgan Stanley Dean Witter,
7.750% due 06/15/05.......... 955,558
-----------
2,443,150
-----------
FORESTRY -- 0.3%
250,000 Tembec Industries, Inc.,
Company Guarantee,
8.625% due 06/30/09.......... 240,000
-----------
INDUSTRIAL -- 0.9%
672,000 Lowe's Companies, Inc.,
8.250% due 06/01/10.......... 689,042
-----------
INSURANCE -- 1.4%
1,005,000 Mony Group, Inc.
8.350% due 03/15/10.......... 990,086
-----------
OIL AND GAS -- 0.0%**
30,000 Norcen Energy Resources,
Debentures,
7.375% due 05/15/06.......... 29,322
-----------
RESTAURANTS -- 2.2%
1,750,000 Tricon Global Restaurant,
Senior Notes,
7.450% due 05/15/05.......... 1,616,615
-----------
RETAIL -- 0.9%
750,000 Saks, Inc., Company,
8.250% due 11/15/08.......... 666,172
-----------
TELECOMMUNICATIONS -- 2.7%
2,000,000 Cable & Wireless,
8.000% due 06/22/10++........ 1,979,080
-----------
See Notes to Financial Statements.
5
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
TELEPHONE -- 2.2%
$ 2,000,000 Qwest Communications
International,
Senior Discount Notes,^
8.290% due 02/01/08.......... $ 1,604,120
-----------
Total Corporate Fixed Income
Securities
(Cost $15,626,745)........... 15,466,269
-----------
U.S. TREASURY OBLIGATIONS -- 46.4%
STRIP -- 3.9%
1,876,000 3.625% due 07/15/02^.......... 1,707,029
1,191,094 3.875% due 04/15/29^.......... 1,186,258
-----------
2,893,287
-----------
U.S. TREASURY BONDS -- 28.0%
2,500,000 12.000% due 08/15/13.......... 3,375,000
2,900,000 11.250% due 02/15/15.......... 4,276,137
705,000 6.125% due 08/15/29........... 712,050
7,998,000 6.250% due 05/15/30........... 8,391,662
3,020,000 7.500% due 07/01/30........... 2,980,834
1,000,000 6.550% due 11/15/04........... 760,300
-----------
20,495,983
-----------
U.S. TREASURY NOTES -- 14.5%
500,000 6.375% due 08/15/02##......... 499,530
5,000,000 6.375% due 06/30/02........... 5,001,563
5,000,000 6.750% due 05/15/05........... 5,116,400
-----------
10,617,493
-----------
Total U.S. Treasury Obligations
(Cost $34,023,999)........... 34,006,763
-----------
REPURCHASE AGREEMENT -- 11.5%
8,408,000 Agreement with The Boston Company,
6.530 % to be repurchased at
$8,412,575 on 07/03/00,
collaterized by $7,725,400
U.S. Treasury Bond 6.750% due
08/15/26, market value
$8,576,160...... ............ 8,408,000
-----------
Total Repurchase Agreement
(Cost $8,408,000)............ 8,408,000
-----------
TOTAL INVESTMENTS
(COST $85,040,438*)............... 115.1% 84,277,383
OTHER ASSETS AND LIABILITIES
(NET)............................. (15.1)% (11,075,059)
------- -----------
NET ASSETS........................... 100.0% $73,202,324
======= ===========
VALUE
(NOTE 1)
--------
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 2,138,617
Accumulated net realized loss on investments
and futures contracts...................... (2,517,153)
Net unrealized depreciation of investments
and futures contracts...................... (874,696)
Paid-in capital.............................. 74,455,556
-----------
TOTAL NET ASSETS............................. $73,202,324
===========
NET ASSET VALUE, offering price and
redemption price per share of
beneficial interest outstanding ..... $ 11.28
===========
Number of Portfolio shares outstanding....... 6,489,488
===========
--------------------
* Aggregate cost for federal tax purposes.
** Amount represents less than 0.1%.
+ 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.
^ Zero coupon security as of June 30, 2000. The coupon shown is
the set-up rate.
## Security pledged as collateral for open futures contracts.
See Notes to Financial Statements.
6
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 72.9%
AEROSPACE AND DEFENSE -- 0.9%
73,500 General Dynamics Corporation... $ 3,840,375
-----------
BANKING AND FINANCIAL SERVICES -- 4.5%
68,200 American Express Company....... 3,554,925
109,100 Bank of New York Company, Inc.. 5,073,150
91,825 Citigroup, Inc................. 5,532,456
45,900 Fannie Mae..................... 2,395,406
63,300 FleetBoston Financial Corporation 2,152,200
-----------
18,708,137
-----------
COMPUTER SERVICES AND SOFTWARE -- 7.7%
19,000 ASM Lithography Holding N.V.+.. 838,375
26,400 EMC Corporation+............... 2,031,150
16,100 Hewlett-Packard Company........ 2,010,487
8,500 Inktomi Corporation+........... 1,005,125
25,700 International Business Machines
Corporation (IBM)............ 2,815,756
12,000 Juniper Networks, Inc.+........ 1,746,750
110,600 Microsoft Corporation+......... 8,848,000
66,000 Oracle Corporation+............ 5,548,125
14,800 Seagate Technology, Inc........ 814,000
4,100 Storagenetworks, Inc........... 370,025
47,300 Sun Microsystems, Inc.+........ 4,301,344
2,600 VeriSign, Inc.+................ 458,900
9,000 Yahoo!, Inc.+.................. 1,114,875
-----------
31,902,912
-----------
CONSUMER NON-DURABLES -- 1.0%
91,100 Philip Morris Companies, Inc... 2,419,844
29,700 Procter & Gamble Company....... 1,700,325
-----------
4,120,169
-----------
CONSUMER SERVICES -- 0.2%
21,800 TV Guide Inc., Class A+........ 746,650
-----------
DIVERSIFIED OPERATIONS -- 12.4%
3,200 Capstone Turbine Corporation... 144,200
9,900 Corning, Inc................... 2,671,762
265,000 General Electric Company....... 14,045,000
17,200 Omnicom Group, Inc............. 1,531,875
16,200 PE Corporation-PE Biosystems
Group........................ 1,067,175
45,300 Textron, Inc................... 2,460,356
371,400 Tyco International, Ltd........ 17,595,075
206,900 United Technologies Corporation 12,181,237
-----------
51,696,680
-----------
ELECTRONICS -- 3.6%
8,000 Analog Devices+................ 608,000
7,600 Broadcom Corporation, Class A+. 1,663,925
10,900 General Motors Corporation,
Class H...................... 956,475
26,600 Intersil Holding Corporation+.. 1,438,062
1,400 Marvell Technology Group Ltd... 79,800
56,600 Maxim Integrated Products, Inc.+ 3,845,262
VALUE
SHARES (NOTE 1)
------ --------
ELECTRONICS -- (CONTINUED)
3,300 PMC-Sierra, Inc.+.............. $ 586,369
81,200 Texas Instruments, Inc......... 5,577,425
-----------
14,755,318
-----------
FOOD AND BEVERAGES -- 1.9%
40,900 Anheuser-Busch Companies, Inc.. 3,054,719
22,200 Keebler Foods Company+......... 824,175
68,600 PepsiCo, Inc................... 3,048,412
15,800 Quaker Oats Company............ 1,186,975
-----------
8,114,281
-----------
INSURANCE -- 0.8%
28,700 American International Group,
Inc. ........................ 3,372,250
-----------
MEDIA AND ENTERTAINMENT -- 5.0%
43,000 AMFM, Inc.+.................... 2,967,000
182,800 AT&T Corporation - Liberty Media
Group, Class A+.............. 4,432,900
52,300 Clear Channel
Communications, Inc.+........ 3,922,500
87,100 Time Warner, Inc............... 6,619,600
39,819 Viacom, Inc., Class B.......... 2,715,158
-----------
20,657,158
-----------
MEDICAL SERVICES AND SUPPLIES -- 9.8%
26,000 Abbott Laboratories............ 1,158,625
77,300 American Home Products
Corporation.................. 4,541,375
19,500 Amgen, Inc.+................... 1,369,875
38,800 Bristol-Myers Squibb Company... 2,260,100
2,800 Genentech, Inc.+............... 481,600
36,500 HCA-Healthcare Company......... 1,108,687
46,200 Johnson & Johnson.............. 4,706,625
13,800 Lilly (Eli) & Company.......... 1,378,275
12,600 MedImmune, Inc.+............... 932,400
42,600 Merck & Company, Inc........... 3,264,225
373,100 Pfizer, Inc.................... 17,908,800
21,100 Schering-Plough Corporation.... 1,065,550
14,000 Spectrasite Holdings, Inc...... 397,250
7,400 Tularik, Inc................... 218,300
-----------
40,791,687
-----------
RETAIL -- 4.9%
17,600 Brinker International, Inc.+... 514,800
40,000 Costco Wholesale Corporation... 1,320,000
176,347 Home Depot, Inc................ 8,806,328
68,500 Intimate Brands, Inc........... 1,352,875
53,400 Limited (The), Inc............. 1,154,775
45,900 Safeway, Inc.+................. 2,071,237
16,200 Tiffany & Company.............. 1,093,500
69,500 Wal-Mart Stores, Inc........... 4,004,937
-----------
20,318,452
-----------
See Notes to Financial Statements.
7
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
TECHNOLOGY -- 8.9%
6,141 Agilent Technologies, Inc...... $ 452,865
68,100 Applied Materials, Inc.+....... 6,171,562
11,400 CIENA Corporation+............. 1,900,237
212,700 Cisco Systems, Inc.+........... 13,519,744
19,700 Genuity, Inc................... 180,378
14,900 Infineon Technologies AG, ADR+. 1,180,825
101,400 Intel Corporation.............. 13,555,912
-----------
36,961,523
-----------
TELECOMMUNICATIONS -- 11.1%
1,100 Accelerated Networks........... 46,406
74,200 American Tower Corporation,
Class A+..................... 3,093,212
49,305 AT&T Corporation............... 1,559,271
25,700 AT&T Wireless Group............ 716,387
15,100 BellSouth Corporation.......... 643,637
50,500 Comcast Corporation, Class A+.. 2,045,250
17,900 Comcast Corporation, Class H... 695,863
50,700 Crown Castle International
Corporation+................. 1,850,550
4,200 Exfo Electro-Optical Engineering,
Inc. ........................ 184,275
28,890 Global Crossing, Ltd.+......... 760,158
72,000 GTE Corporation................ 4,482,000
52,700 Lucent Technologies, Inc....... 3,122,475
140,400 Motorola, Inc.................. 4,080,375
18,400 Nextel Communications,
Inc., Class A+............... 1,125,850
8,400 NEXTLINK Communications,
Inc., Class A+............... 318,675
109,300 Nortel Networks Corporation.... 7,459,725
77,085 Pharmacia Corporation.......... 3,984,331
20,000 Pinnacle Holdings, Inc......... 1,080,000
35,300 Sprint Corporation............. 1,800,300
5,200 Stratos Lightwave, Inc......... 144,950
34,200 Uniphase Corporation........... 4,099,725
58,500 Worldcom, Inc.................. 2,683,688
-----------
45,977,103
-----------
UTILITIES -- 0.2%
21,600 Montana Power Company.......... 762,750
-----------
Total Common Stock
(Cost $208,833,499).......... 302,725,445
-----------
PRINCIPAL
AMOUNT
---------
AGENCY SECURITIES -- 18.8%
FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) -- 1.6%
$ 4,050,000 6.625% due 09/15/09........... 3,911,409
411,135 9.500% due 01/01/17........... 425,568
473,703 11.500% due 05/01/20.......... 513,973
247,546 6.138% due 06/15/20........... 245,994
1,000,000 7.500% due 07/01/30........... 986,563
450,000 8.000% due 07/01/30........... 452,354
-----------
6,535,861
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA) -- 12.5%
$ 2,020,000 6.340% due 02/04/08........... $ 1,891,851
7,800,000 5.250% due 01/15/09........... 6,874,998
449,664 10.000% due 11/01/18.......... 477,920
443,180 11.000% due 09/01/19.......... 480,571
45,688 7.356% due 03/25/24........... 46,131
462,969 9.000% due 07/01/25........... 477,994
503,844 9.000% due 04/01/26........... 518,954
356,255 7.049% due 04/18/28........... 354,670
1,627,478 6.000% due 05/01/29........... 1,489,647
9,963,318 6.000% due 05/01/29........... 9,119,524
3,895,000 6.250% due 05/15/29........... 3,502,462
5,000,000 7.125% due 01/15/30........... 5,036,700
2,700,000 6.500% due 07/01/30........... 2,545,587
1,150,000 7.000% due 07/01/30........... 1,110,291
19,875,000 6.000% due 07/01/30........... 18,188,805
-----------
52,116,105
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (GNMA) -- 4.7%
148,738 10.500% due 12/15/14.......... 159,223
88,449 9.500% due 04/15/17........... 93,092
113,667 9.500% due 05/15/17........... 119,633
164,941 9.500% due 08/15/17........... 173,599
470,936 10.000% due 08/15/17.......... 499,032
79,360 9.500% due 10/15/17........... 83,525
59,537 9.500% due 11/15/17........... 62,662
361,699 9.500% due 12/15/17........... 378,055
104,394 9.500% due 07/15/18........... 109,841
354,400 9.500% due 10/15/18........... 373,002
148,675 9.500% due 09/15/19........... 156,386
323,097 9.000% due 12/15/19........... 336,021
472,061 9.500% due 06/15/20........... 496,547
484,841 10.000% due 12/15/20.......... 514,688
448,067 9.500% due 12/15/21........... 471,447
387,655 10.000% due 07/15/22.......... 411,174
643,340 7.375% due 01/20/25........... 645,251
250,037 10.000% due 02/15/25.......... 265,429
157,956 7.375% due 02/20/25........... 158,425
486,456 6.875% due 03/20/25........... 487,750
58,134 6.375% due 04/20/25........... 58,225
458,020 6.875% due 04/20/25........... 457,289
67,238 6.875% due 05/20/25........... 67,110
504,343 6.375% due 06/20/25........... 505,129
280,477 6.375% due 06/20/25........... 281,004
293,333 6.750% due 07/20/25........... 295,075
271,736 6.625% due 09/20/27........... 272,755
153,471 7.125% due 10/20/27........... 153,951
377,533 7.125% due 11/20/27........... 378,715
125,170 7.125% due 12/20/27........... 125,542
11,050,000 7.000% due 07/01/30........... 10,740,932
-----------
19,330,509
-----------
Total Agency Securities
(Cost $79,024,420)........... 77,982,475
-----------
See Notes to Financial Statements.
8
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
CORPORATE FIXED INCOME SECURITIES -- 8.7%
$ 350,000 Albertsons, Inc., Debentures,
7.450% due 08/01/29.......... $ 320,982
180,000 American General Corporation,
Notes,
7.500% due 07/15/25.......... 170,287
210,000 American General Finance,
Senior Notes,
6.750% due 11/15/04.......... 202,085
250,000 Anthem Insurance, Senior Notes,
9.000% due 04/01/27++........ 201,801
190,000 Associates Corporation of North
America, Senior Notes,
6.000% due 07/15/05.......... 177,606
435,000 AT&T Corporation
6.500% due 03/15/29##........ 364,316
390,000 AXA Financial, Inc.,
Senior Notes,
6.500% due 04/01/08.......... 359,307
130,000 Bank of America Corporation,
Senior Notes,
5.875% due 02/15/09.......... 114,472
200,000 Bank of America Corporation,
Subordinate Notes,
6.800% due 03/15/28.......... 170,119
165,000 Bank Of Boston Corporation
6.625% due 12/01/05.......... 156,144
485,000 Bank One Corporation,
Subordinate Notes,
6.000% due 02/17/09.......... 421,979
Becton, Dickinson, Debentures:
110,000 7.000% due 08/01/27.......... 98,751
160,000 6.700% due 08/01/28.......... 137,936
440,000 BellSouth Telecommunications,
Inc., Debentures,
6.375% due 06/01/28.......... 365,429
295,000 BT Institutional Capital Trust
8.090% due 12/01/26++........ 263,072
Burlington Northern Santa Fe,
Debentures:
115,000 6.875% due 12/01/27.......... 98,990
425,000 6.700% due 08/01/28.......... 357,302
Chase Manhattan Corporation,
Subordinate Notes:
300,000 6.000% due 02/15/09.......... 265,562
105,000 7.000% due 11/15/09.......... 99,674
545,000 Chevron Corporation
6.625% due 10/01/04.......... 535,419
495,000 CIT Group, Inc.,
Senior Notes,
5.910% due 11/23/05.......... 452,767
580,000 CitiCorp, Subordinate Notes,
6.375% due 11/15/08.......... 536,500
450,000 CMS Panhandle Holding Company,
Senior Notes,
7.000% due 07/15/29.......... 380,009
265,000 Comcast Cable Communications,
Inc.,
8.375% due 05/01/07.......... 273,027
350,000 Comdisco, Inc.
6.375% due 11/30/01.......... 338,657
645,000 Conoco, Inc.,
Senior Notes,
6.950% due 04/15/29.......... 586,331
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
Continental Airlines, Inc.,
Pass Through Certificates:
$ 298,229 6.648% due 09/15/17.......... $ 269,796
170,430 6.545% due 02/02/19.......... 153,478
545,000 DaimlerChrysler North America
Holding Corporation,
Company Guarantee,
7.200% due 09/01/09.......... 524,666
Dayton Hudson Corporation,
Debentures:
180,000 6.750% due 01/01/28.......... 155,093
300,000 6.650% due 08/01/28.......... 254,892
450,000 Delphi Auto Systems Corporation,
Debentures,
7.125% due 05/01/29.......... 386,160
EOP Operating LP:
245,000 7.500% due 04/19/29.......... 212,881
240,000 7.250% due 06/15/28++........ 201,475
250,000 Equitable Life Assurance
6.950% due 12/01/05++........ 245,383
640,000 Farmers Exchange Capital
Insurance
7.050% due 07/15/28++........ 524,858
Federated Department Stores,
Debentures:
420,000 6.900% due 04/01/29++........ 348,016
55,000 7.000% due 02/15/28.......... 46,252
338,234 Fifty Seventh Street Association
7.125% due 06/01/17.......... 283,751
145,000 FleetBoston Financial Corporation,
Subordinate Notes,
6.625% due 02/01/04.......... 139,734
570,000 Florida Windstorm
7.125% due 02/25/19++........ 521,472
710,000 Ford Motor Company
6.625% due 10/01/28.......... 597,856
215,000 Ford Motor Credit Company
7.375% due 10/28/09.......... 207,963
485,000 General Electric Capital
Corporation
7.250% due 05/03/04.......... 486,314
490,000 General Electric Capital
Corporation, Notes, Series A,
7.375% due 01/19/10.......... 495,909
705,000 General Motors Acceptance
Corporation, Notes,
7.750% due 01/19/10.......... 700,833
210,000 Goldman Sachs Group
6.500% due 02/25/09.......... 190,806
665,000 GTE Corporation, Debentures,
6.940% due 04/15/28.......... 588,618
405,000 Hartford Life Insurance Company,
Debentures,
7.650% due 06/15/27.......... 382,928
440,000 Hertz Corporation, Senior Notes,
7.625% due 08/15/07.......... 434,887
585,000 Home Depot, Inc.,
Senior Notes,
6.500% due 09/15/04++........ 579,526
120,000 Honeywell International, Notes,
7.500% due 03/01/10.......... 120,241
600,000 Household Finance Corporation,
6.375% due 08/01/10.......... 532,974
See Notes to Financial Statements.
9
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
$ 330,000 Hyatt Equities LLC,
9.250% due 05/15/05++........ $ 339,242
570,000 IBM Corporation, Debentures,
6.500% due 01/15/28.......... 513,889
630,000 John Hancock, Notes,
7.375% due 02/15/24.......... 576,954
560,000 Johnson and Johnson, Debentures,
6.625% due 09/01/09.......... 539,521
140,000 Kroger Company,
Company Guarantee,
8.050% due 02/01/10.......... 139,123
415,000 Kroger Company, Debentures,
7.700% due 06/01/29++........ 381,442
350,000 Lehman Brothers, Inc.,
Senior Subordinate Notes,
7.125% due 07/15/02.......... 345,832
430,000 Lockheed Martin Corporation,
Notes,
8.200% due 12/01/09.......... 435,229
Lowe's Companies, Inc.,
Debentures:
340,000 6.875% due 02/15/28.......... 287,705
180,000 6.500% due 03/15/29++........ 145,510
645,000 Lucent Technologies, Inc.,
Debentures,
6.450% due 03/15/29.......... 565,394
35,000 May Department Stores Company,
7.875% due 03/01/30.......... 33,915
560,000 May Department Stores Company,
6.700% due 09/15/28.......... 470,366
15,000 May Department Stores Company,
Company Guarantee,
9.750% due 02/15/21.......... 16,965
255,000 Merck & Company, Inc.,
Debentures,
5.950% due 12/01/28.......... 213,922
Metropolitan Life Insurance
Company:
250,000 7.450% due 11/01/23++........ 217,080
250,000 7.800% due 11/01/25++........ 235,164
625,000 Monsanto Company,
6.600% due 12/01/28.......... 552,586
250,000 Nationwide Mutual Insurance,
7.500% due 02/15/24++........ 205,510
390,000 Neiman Marcus Group, Inc.,
Senior Notes,
6.650% due 06/01/08.......... 355,922
250,000 News America , Inc.,
Debentures,
7.280% due 06/30/28.......... 215,540
300,000 News America Holdings, Inc.,
Senior Notes,
8.500% due 02/15/05.......... 308,679
375,000 Norfolk Southern Corporation,
Senior Notes,
6.200% due 04/15/09.......... 333,720
550,000 Northern Trust Company,
6.625% due 10/01/03.......... 537,836
350,000 Norwest Corporation,
Medium Term Notes,
6.125% due 10/15/00.......... 349,188
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
$ 190,000 Norwest Financial, Inc.,
Senior Notes,
5.625% due 02/03/09.......... $ 164,422
125,000 Phillips Petroleum,
8.750% due 05/25/10.......... 131,678
PNC Funding Corporation,
Company Guarantee:
295,000 6.125% due 02/15/09.......... 261,444
335,000 7.500% due 11/01/09.......... 326,015
425,000 Prime Property Funding II,
6.800% due 08/15/02++........ 415,214
Procter and Gamble Company:
990,000 6.600% due 12/15/04.......... 970,238
270,000 6.875% due 09/15/09.......... 263,122
575,000 Prudential Insurance Company,
8.300% due 07/01/25++........ 588,168
160,000 Raytheon Company,
8.300% due 03/01/10.......... 162,939
270,000 Raytheon Company, Notes,
8.200% due 03/01/06++........ 273,983
425,000 Rockwell International
Corporation, Debentures,
6.700% due 01/15/28.......... 372,869
535,000 Scotia Pacific Company LLC,
Collateralized Notes,
7.710% due 01/20/14.......... 374,500
165,000 Southern Energy, Senior Notes,
7.900% due 07/15/09++........ 150,869
225,000 State Street Corporation,
7.650% due 06/15/10.......... 224,604
215,000 Sun Microsystems, Inc.,
Senior Notes,
7.650% due 08/15/09.......... 211,038
235,000 Suntrust Banks, Inc.,
7.750% due 05/01/10.......... 233,642
130,000 Time Warner Entertainment
Company, Debentures,
7.250% due 09/01/08.......... 125,737
90,000 Time Warner, Inc.,
Company Guarantee,
6.625% due 05/15/29.......... 74,289
235,000 Times Mirror Company,
7.450% due 10/15/09.......... 230,735
290,000 TRW, Inc.,
8.750% due 05/15/06.......... 296,319
355,000 United Parcel Service,
Debentures,
8.375% due 04/01/20.......... 380,851
535,000 United Technologies Corporation,
6.700% due 08/01/28.......... 473,700
524,367 US Airways, Inc.,
Pass Through Certificates,
6.850% due 01/30/18.......... 465,648
205,000 US Airways, Pass Thru
Certificates, Class G,
8.110% due 02/20/17.......... 204,254
520,000 US West Communications,
7.625% due 06/09/03.......... 518,617
990,000 Wal-Mart Stores, Inc.,
Senior Notes,
6.875% due 08/10/09.......... 967,101
205,000 Washington Mutual, Inc.,
8.250% due 04/01/10.......... 202,670
See Notes to Financial Statements.
10
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
$ 345,000 Washington Mutual, Inc.,
Company Guarantee,
8.375% due 06/01/27.......... $ 305,891
885,000 World Financial Properties, Inc.,
Pass Through Certificates,
6.950% due 09/01/13++........ 813,952
715,000 WorldCom, Inc.,
Senior Notes,
6.950% due 08/15/28.......... 631,713
-----------
Total Corporate Fixed Income
Securities
(Cost $38,859,722)........... 36,167,742
-----------
ASSET BACKED SECURITIES -- 3.3%
384,441 Arcadia Auto Recreation Trust,
5.900% due 11/15/02.......... 383,242
632,091 Arcadia Automobile Receivables
Trust,
6.375% due 01/15/03.......... 629,973
110,289 BankBoston Home Equity Trust,
6.280% due 11/25/10.......... 109,645
390,859 BMW Vehicle Owner Trust,
6.160% due 12/25/01.......... 389,742
Centex Home Equity:
161,773 6.070% due 03/25/18.......... 160,673
298,873 5.910% due 04/25/19.......... 295,669
190,526 ContiMortgage Home Equity
Loan Trust,
6.010% due 12/25/13.......... 189,240
222,575 Daimler-Benz Auto Grantor Trust,
6.050% due 03/31/05.......... 221,190
5,474 Daimler-Benz Vehicle Trust,
5.230% due 12/20/01.......... 5,472
581,192 EQCC Home Equity Loan Trust,
6.548% due 04/25/10.......... 575,014
153,561 First Security Auto Grantor
Trust,
6.100% due 04/15/03.......... 152,896
First Security Auto Owner Trust:
118,457 5.492% due 04/15/02.......... 118,322
169,270 5.970% due 04/15/04.......... 167,635
525,000 First USA Credit Card Master
Trust,
6.739% due 09/17/03#......... 525,163
Ford Credit Auto Owner Trust:
544,674 5.470% due 09/15/01.......... 543,138
761,051 5.770% due 11/15/01.......... 758,433
842,631 6.200% due 04/15/02.......... 839,733
289,466 Green Point Manufactured
Housing,
5.780% due 12/15/09.......... 286,508
Green Tree Financial Corporation:
105,759 5.850% due 11/01/29.......... 105,562
371,755 5.990% due 07/15/30.......... 370,477
579,857 5.510% due 02/01/31.......... 577,573
Green Tree Home Equity Loan
Trust:
155,851 6.040% due 06/15/29.......... 155,519
411,426 5.600% due 12/01/30.......... 406,925
358,352 HFC Home Equity Loan,
6.830% due 12/20/16.......... 356,446
150,264 Honda Auto Receivables Grantor
Trust,
5.850% due 02/15/03.......... 149,862
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
$ 96,429 Honda Auto Receivables Owner
Trust,
5.186% due 06/15/01.......... $ 96,314
1,943 IMC Home Equity Loan Trust,
6.310% due 12/20/12.......... 1,936
540,000 MBNA Master Credit Card Trust,
Class A,
7.350% due 07/16/07.......... 544,185
503,295 MMCA Automobile Trust,
6.300% due 06/15/02.......... 502,097
325,374 Navistar Financial Corporation
Owner Trust,
5.550% due 02/15/02.......... 324,316
546,037 New Holland Equipment
Receivables Trust,
6.390% due 10/15/02.......... 542,264
Nissan Auto Receivables Grantor
Trust:
110,201 6.150% due 02/15/03.......... 109,513
419,696 5.450% due 04/15/04.......... 414,185
600,000 Peco Energy Trans Trust,
7.625% due 03/01/10.......... 603,219
656,848 Premier Auto Trust,
5.820% due 02/08/02.......... 654,588
400,000 Rental Car Finance Corporation,
6.450% due 08/25/05.......... 389,456
183,978 The Money Store Residential Trust,
6.480% due 06/15/10.......... 183,392
767,049 Toyota Auto Receivables Owner
Trust,
5.800% due 12/17/01.......... 765,369
-----------
Total Asset Backed Securities
(Cost $13,670,987)........... 13,604,886
-----------
U.S. TREASURY NOTES -- 0.0%
6,258 3.375% due 01/15/07#........... 6,002
-----------
Total U.S. Treasury Notes
(Cost $6,258)................ 6,002
-----------
REPURCHASE AGREEMENT -- 4.0%
16,796,000 Agreement with J.P. Morgan
Securities, Inc., 6.300% to be
repurchased at $16,804,818
on 07/03/00, collateralized by
$15,141,000 U.S. Treasury Bonds
7.250%-7.500% due
05/15/10-11/15/16,
market value $17,131,941..... 16,796,000
-----------
Total Repurchase Agreement
(Cost $16,796,000)........... 16,796,000
-----------
TOTAL INVESTMENTS
(COST $357,190,886*).............. 107.7% 447,282,550
OTHER ASSETS AND LIABILITIES
(NET)............................. (7.7)% (31,936,400)
------- -----------
NET ASSETS........................... 100.0% $415,346,150
======= ============
See Notes to Financial Statements.
11
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ASSET ALLOCATION PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
(NOTE 1)
--------
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 2,986,599
Accumulated net realized gain on investments
and futures contracts...................... 23,149,498
Net unrealized appreciation of investments
and futures contracts...................... 89,861,878
Paid-in capital.............................. 299,348,175
------------
TOTAL NET ASSETS............................. $415,346,150
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 21.81
===========
Number of Portfolio shares outstanding....... 19,045,802
===========
--------------------
* 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.
## Security pledged as collateral for open futures contracts.
Abbreviations:
ADR -- American Depositary Receipt.
See Notes to Financial Statements.
12
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 97.6%
BASIC INDUSTRY -- 2.2%
12,900 Air Products and Chemicals, Inc. $ 397,481
32,900 Alcoa, Inc..................... 954,100
2,900 Allegheny Technologies, Inc.... 52,200
5,800 Dow Chemical Company........... 175,088
7,800 Fort James Corporation......... 180,375
2,700 Georgia-Pacific Group.......... 70,875
4,700 IMC Global, Inc................ 61,100
15,800 International Paper Company.... 471,037
800 Nucor Corporation.............. 26,550
6,600 PPG Industries, Inc............ 292,462
7,300 Praxair, Inc................... 273,294
12,900 Rohm and Haas Company.......... 445,050
8,000 Smurfit-Stone Container
Corporation+................. 103,000
1,900 Temple-Inland, Inc............. 79,800
800 USG Corporation................ 24,300
4,347 Visteon Corporation............ 52,706
-----------
3,659,418
-----------
BIOTECHNOLOGY -- 0.0%**
500 Incyte Pharmaceuticals, Inc.+.. 41,094
-----------
CAPITAL GOODS -- 0.8%
13,600 Caterpillar, Inc............... 460,700
4,100 Cooper Industries, Inc......... 133,506
4,800 Eaton Corporation.............. 321,600
300 Emerson Electric Company....... 18,112
100 Grainger (W.W.), Inc........... 3,081
2,900 PACCAR, Inc.................... 115,094
8,900 Rockwell International
Corporation ................. 280,350
-----------
1,332,443
-----------
CONSUMER STAPLES -- 3.7%
7,600 Bestfoods...................... 526,300
7,200 Clorox Company................. 322,650
11,800 Coca-Cola Company.............. 677,762
3,100 General Mills, Inc............. 118,575
32,000 Gillette Company............... 1,118,000
10,700 Heinz (H.J.) Company.......... 468,125
12,300 Kellogg Company................ 365,925
200 Nabisco Holdings Corporation,
Class A...................... 10,500
32,300 Procter & Gamble Company....... 1,849,175
4,000 Quaker Oats Company............ 300,500
4,300 Ralston Purina Group........... 85,731
12,000 Unilever NV, NY Shares......... 516,000
-----------
6,359,243
-----------
CYCLICAL -- 1.8%
39,900 Cendant Corporation+........... 558,600
7,600 Dana Corporation............... 161,025
18,800 Delphi Automotive Systems
Corporation.................. 273,775
33,200 Ford Motor Company............. 1,427,600
5,900 Goodyear Tire & Rubber Company. 118,000
VALUE
SHARES (NOTE 1)
-------- --------
CYCLICAL -- (CONTINUED)
5,200 Hasbro, Inc.................... $ 78,325
2,100 International Game Technology.. 55,650
2,100 Johnson Controls, Inc.......... 107,756
4,900 Jones Apparel Group, Inc.+ 115,150
15,700 Mattel, Inc.................... 207,044
----------
3,102,925
----------
DIVERSIFIED OPERATIONS -- 2.9%
11,200 Eastman Kodak Company.......... 666,400
7,100 Ingersoll-Rand Company......... 285,775
10,300 Lockheed Martin Corporation.... 255,569
5,200 Parker Hannifin................ 178,100
19,500 Seagram Company, Ltd........... 1,131,000
7,400 The Williams Companies, Inc.... 308,487
42,600 Tyco International, Ltd........ 2,018,175
----------
4,843,506
----------
DRUGS -- 11.0%
25,700 Abbott Laboratories............ 1,145,256
11,100 ALZA Corporation+.............. 656,287
25,500 American Home Products
Corporation.................. 1,498,125
44,200 Bristol-Myers Squibb Company... 2,574,650
3,600 Forest Laboratories, Inc.+..... 363,600
1,400 Genzyme Corporation+........... 83,212
6,700 Johnson & Johnson.............. 682,562
30,100 Lilly (Eli) and Company........ 3,006,237
19,100 Merck & Company, Inc........... 1,463,537
46,300 Pfizer, Inc.................... 2,222,400
26,200 Pharmacia Corporation.......... 1,354,212
80,700 Philip Morris Companies, Inc... 2,143,594
26,200 Schering-Plough Corporation.... 1,323,100
2,600 Watson Pharmaceuticals, Inc.+.. 139,750
----------
18,656,522
----------
ENERGY -- 6.1%
1,900 Apache Corporation............. 111,744
5,400 Baker Hughes, Inc.............. 172,800
11,400 Chevron Corporation............ 966,862
1,900 Columbia Energy Group.......... 124,687
10,100 Conoco, Inc., Class B.......... 248,081
800 Cooper Cameron Corporation+.... 52,800
1,500 Devon Energy Corporation....... 84,281
2,500 Dynegy Inc., Class A........... 170,781
5,000 El Paso Natural Gas Company.... 254,687
59,200 Exxon Mobil Corporation........ 4,647,200
3,600 Global Marine, Inc.+........... 101,475
4,300 PPL Corporation................ 94,331
37,400 Royal Dutch Petroleum Company,
NY Shares.................... 2,302,437
10,400 Texaco, Inc.................... 553,800
8,700 TXU Corporation................ 256,650
9,100 Union Pacific Resources Group,
Inc. ........................ 200,200
----------
10,342,816
----------
See Notes to Financial Statements.
13
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
FINANCIAL SERVICES -- 10.6%
3,400 Ameritrade Holding Corporation,
Class A+..................... $ 39,525
1,400 Associated Banc Corporation.... 30,537
18,800 Associates First Capital
Corporation, Class A......... 419,475
16,500 Bank One Corporation........... 438,281
1,400 Banknorth Group, Inc........... 21,437
3,300 Bear Stearns Companies, Inc.... 137,362
100 Capital One Financial Corporation 4,462
6,200 Charter One Financial, Inc. 142,600
3,300 Chase Manhattan Corporation (The) 152,006
7,200 CIT Group, Inc., Class A....... 117,000
61,800 Citigroup, Inc................. 3,723,450
3,600 Comerica, Inc.................. 161,550
5,000 Dime Bancorp, Inc.............. 78,750
8,300 E*TRADE Group, Inc.+*.......... 136,950
1,600 A. G. Edwards, Inc............. 62,400
22,400 Fannie Mae..................... 1,169,000
2,100 First Merit Corporation........ 44,887
3,600 First Tennessee National
Corporation ................. 59,625
28,100 First Union Corporation........ 697,231
15,400 Firstar Corporation............ 324,362
20,700 FleetBoston Financial Corporation 703,800
6,800 Franklin Resources, Inc........ 206,550
19,700 Freddie Mac.................... 797,850
3,500 Golden West Financial Corporation 142,844
12,500 Goldman Sachs Group, Inc....... 1,185,937
3,500 GreenPoint Financial Corporation 65,625
3,700 Hibernia Corporation, Class A.. 40,237
14,200 John Hancock Financial Services+ 336,362
13,600 KeyCorp........................ 239,700
3,400 Lehman Brothers Holdings, Inc.. 321,512
9,900 Lincoln National Corporation... 357,637
3,400 Marshall & Ilsley Corporation.. 141,100
1,600 Mercantile Bankshares Corporation 47,700
11,000 Merrill Lynch & Company........ 1,265,000
7,600 Morgan Stanley Dean Witter
& Company.................... 632,700
5,400 North Fork Bancorporation, Inc. 81,675
800 Pacific Century Financial
Corporation.................. 11,700
2,900 Paine Webber Group, Inc........ 131,950
6,600 PNC Bank Corporation........... 309,375
3,400 Providian Financial Corporation 306,000
4,400 Regions Financial Corporation.. 87,450
38,101 Schwab (Charles) Corporation... 1,281,146
5,100 Southtrust Corporation......... 115,387
3,800 Sovereign Bancorp, Inc......... 26,719
3,900 Summit Bancorp................. 96,038
1,900 TCF Financial Corporation...... 48,806
10,600 TD Waterhouse Group+........... 183,513
6,200 Torchmark Corporation.......... 153,063
18,400 U.S. Bancorp................... 354,200
12,000 Washington Mutual, Inc......... 346,500
-----------
17,978,966
-----------
VALUE
SHARES (NOTE 1)
------ --------
HEALTH SERVICES -- 1.9%
5,600 Aetna, Inc..................... $ 359,450
400 Baxter International, Inc...... 28,125
12,300 Becton, Dickinson and Company.. 352,856
5,400 CIGNA Corporation.............. 504,900
1,100 C.R. Bard, Inc................. 52,938
600 Guidant Corporation+........... 29,700
11,600 HCA-Healthcare Company......... 352,350
800 Human Genome Sciences, Inc.+... 106,700
11,300 Medtronic, Inc................. 562,881
500 PE Corporation-PE
Biosystems Group............. 32,938
5,400 St. Jude Medical, Inc.+........ 247,725
13,400 Tenet Healthcare Corporation+.. 361,800
200 United Healthcare Corporation.. 17,150
4,200 Wellpoint Health Networks, Inc.+ 304,238
-----------
3,313,751
-----------
INSURANCE -- 2.2%
38,200 Allstate Corporation+.......... 849,950
3,500 AMBAC, Inc..................... 191,844
6,100 American International Group, Inc. 716,750
2,100 Aon Corporation................ 65,231
15,400 AXA Financial, Inc............. 523,600
300 Financial Security Assurance
Holdings, Ltd................ 22,763
8,600 Hartford Financial Services
Group, Inc................... 481,063
4,900 MBIA, Inc...................... 236,119
30,900 Metlife, Inc................... 650,831
-----------
3,738,151
-----------
PAPER AND ALLIED PRODUCTS -- 0.3%
7,700 Kimberly-Clark Corporation..... 441,788
-----------
RETAIL -- 6.0%
5,000 Circuit City Stores-Circuit City
Group........................ 165,938
2,500 Estee Lauder Companies, Inc.,
Class A...................... 123,594
6,800 Federated Department Stores,
Inc.+ ....................... 229,500
27,500 Gap Stores, Inc................ 859,375
15,900 General Motors Corporation..... 923,194
21,900 Home Depot, Inc................ 1,093,631
26,100 Kroger Company+................ 575,831
12,000 Limited, Inc................... 259,500
10,400 Lowe's Companies Inc........... 427,050
10,700 May Department Stores Company.. 256,800
1,200 Nordstrom, Inc................. 28,950
7,200 J. C. Penney Company, Inc. 132,750
1,000 Safeway, Inc.+................. 45,125
9,200 Sears Roebuck & Company........ 300,150
14,200 Target Corporation............. 823,600
10,100 TJX Companies, Inc............. 189,375
65,100 Wal-Mart Stores, Inc........... 3,751,388
-----------
10,185,751
-----------
See Notes to Financial Statements.
14
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
SERVICES -- 4.4%
45,300 America Online, Inc.+.......... $ 2,389,575
18,400 Comcast Corporation, Class A... 745,200
6,400 Fox Entertainment Group, Inc.,
Class A+..................... 194,400
13,600 Gannett Company, Inc........... 813,450
2,500 Knight Ridder, Inc............. 132,969
7,600 Marriott International, Inc.,
Class A...................... 274,075
20,200 McDonald's Corporation......... 665,338
800 New York Times Company, Class A 31,600
7,400 Starwood Hotels and Resorts
Worldwide, Inc............... 240,963
25,600 Time Warner, Inc............... 1,945,600
-----------
7,433,170
-----------
TECHNOLOGY -- 27.3%
2,100 Adobe Systems, Inc............. 273,000
3,300 Advanced Micro Devices, Inc.... 254,925
6,600 Agilent Technologies, Inc...... 486,750
2,400 Altera Corporation............. 244,650
7,600 Apple Computer, Inc.+.......... 398,050
17,300 Applied Materials, Inc.+....... 1,567,813
700 Autodesk, Inc.................. 24,281
5,200 BMC Software, Inc.+............ 189,719
4,500 Citrix Systems, Inc.+.......... 85,219
27,100 Compaq Computer Corporation.... 692,744
14,300 Computer Associates
International, Inc........... 731,981
2,100 Corning, Inc................... 566,737
32,700 Dell Computer Corporation+..... 1,612,519
3,000 DoubleClick, Inc.+............. 114,375
6,000 Electronic Data Systems
Corporation.................. 247,500
10,600 EMC Corporation+............... 815,538
130,000 General Electric Company....... 6,890,000
14,600 Hewlett-Packard Company........ 1,823,175
31,100 Honeywell International, Inc... 1,047,681
57,300 Intel Corporation.............. 7,660,294
9,400 International Business Machines
Corporation.................. 1,029,888
3,800 ITT Industries, Inc............ 115,425
100 JDS Uniphase Corporation....... 11,988
1,200 Lattice Semiconductor Corporation 82,950
3,000 Lexmark International Group, Inc.,
Class A+..................... 201,750
92,800 Microsoft Corporation+......... 7,424,000
46,800 Motorola, Inc.................. 1,360,125
4,100 National Semiconductor
Corporation+................. 232,675
2,400 Network Associates, Inc.+...... 48,900
16,800 Oracle Corporation+............ 1,412,250
3,300 QUALCOMM, Inc.+................ 198,000
8,100 Seagate Technology, Inc.+...... 445,500
4,500 Siebel Systems, Inc.+.......... 736,031
37,000 Sun Microsystems, Inc.+........ 3,364,688
1,300 Symantec Corporation+.......... 70,119
36,200 Texas Instruments, Inc......... 2,486,488
VALUE
SHARES (NOTE 1)
------ --------
TECHNOLOGY -- (CONTINUED)
3,200 TIBCO Software, Inc............ $ 343,150
5,300 VERITAS Software Corporation... 598,983
3,500 Xerox Corporation.............. 72,625
3,900 Yahoo!, Inc.+.................. 483,113
-----------
46,445,599
-----------
TELEPHONE -- 14.5%
2,000 Allegiance Telecommunication,
Inc.+........................ 128,000
4,000 ALLTEL Corporation............. 247,750
52,495 AT&T Corporation............... 1,660,154
14,800 AT&T Corporation - Liberty Media
Group, Class A+.............. 358,900
19,900 Bell Atlantic Corporation...... 1,011,169
119,000 Cisco Systems, Inc.+........... 7,563,938
21,300 Global Crossing, Ltd.+......... 560,456
23,900 GTE Corporation................ 1,487,775
3,900 Level 3 Communications, Inc.+.. 343,200
14,000 Lucent Technologies, Inc....... 829,500
65,400 Nortel Networks Corporation.... 4,463,550
59,100 SBC Communications, Inc........ 2,556,075
3,600 Sprint Corporation (PCS Group)+ 214,200
9,600 Tellabs, Inc................... 657,000
1,300 US West, Inc................... 111,475
52,700 Worldcom, Inc.................. 2,417,613
-----------
24,610,755
-----------
TRANSPORTATION -- 0.5%
13,400 Burlington Northern Santa Fe
Corporation.................. 307,363
400 C.H. Robinson Worldwide, Inc... 19,800
4,300 CSX Corporation................ 91,106
7,100 Norfolk Southern Corporation... 105,613
1,100 Northwest Airlines Corporation+ 33,481
9,500 Union Pacific Corporation...... 353,281
-----------
910,644
-----------
UTILITIES -- 1.4%
1,300 Allegheny Energy, Inc.......... 35,588
4,900 Cinergy Corporation............ 124,644
3,300 CMS Energy Corporation......... 73,013
5,700 Consolidated Edison............ 168,863
9,200 C P & L Energy, Inc............ 293,825
5,900 Dominion Resources, Inc........ 252,963
5,500 DTE Energy Company............. 168,094
10,100 Edison International........... 207,050
6,600 Entergy Corporation............ 179,438
5,500 FPL Group, Inc................. 272,250
3,900 GPU, Inc....................... 105,544
3,700 Nisource, Inc.................. 68,913
11,800 PG&E Corporation............... 290,575
2,600 Pinnacle West Capital Corporation 88,075
3,400 Wisconsin Energy Corporation... 67,363
-----------
2,396,198
-----------
Total Common Stock
(Cost $152,661,241).......... 165,792,740
-----------
See Notes to Financial Statements.
15
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
U.S. TREASURY OBLIGATIONS -- 2.7%
U.S. TREASURY BILLS -- 2.5%
$ 2,700,000 5.555% due 08/03/00#.......... $ 2,686,544
718,000 5.004% due 07/13/00#.......... 716,832
936,000 5.368% due 07/20/00#.......... 933,401
-----------
4,336,777
-----------
U.S. TREASURY NOTES -- 0.2%
300,000 5.625% due 02/28/01##......... 298,500
-----------
Total U.S. Treasury Obligations
(Cost $4,635,501)............ 4,635,277
-----------
TOTAL INVESTMENTS
(COST $157,296,742*).............. 100.3% 170,428,017
OTHER ASSETS AND LIABILITIES
(NET)............................. (0.3)% (497,900)
------- -----------
NET ASSETS........................... 100.0% $169,930,117
======= ============
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 496,394
Distributions in excess of net realized gains
on investments and futures contracts....... (1,206,036)
Net unrealized appreciation of investments and
futures contracts.......................... 13,084,946
Paid-in capital.............................. 157,554,813
------------
TOTAL NET ASSETS............................. $169,930,117
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 16.65
============
Number of Portfolio shares outstanding....... 10,206,910
============
-------------------
* Aggregate cost for federal tax purposes.
** Amount represents less than 0.1%.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
## Security pledged as collateral for open futures contracts.
See Notes to Financial Statements.
16
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE FIXED INCOME SECURITIES -- 89.2%
AEROSPACE AND DEFENSE -- 0.5%
$ 125,000 BE Aerospace,
Senior Subordinate Notes,
8.000% due 03/01/08.......... $ 105,625
-----------
AUTOMOTIVES -- 1.5%
Hayes Lemmerz International,
Inc., Company Guarantees:
45,000 11.000% due 07/15/06......... 44,212
100,000 9.125% due 07/15/07.......... 89,250
50,000 Oxford Automotive, Inc.,
Company Guarantee,
10.125% due 06/15/07......... 43,500
180,000 Williams Scotsman, Inc.,
Company Guarantee,
9.875% due 06/01/07.......... 162,000
-----------
338,962
-----------
BROADCASTING AND MEDIA -- 14.8%
75,000 Acme Television, Company
Guarantee,
10.875% due 09/30/04......... 71,625
Adelphia Communications,
Senior Notes:
150,000 8.375% due 02/01/08.......... 132,000
30,000 9.375% due 11/15/09.......... 27,750
100,000 Albritton Communication, Inc.,
Senior Subordinate Notes,
8.875% due 02/01/08.......... 91,500
50,000 Avalon Cable Holdings, LLP,
Senior Discount Notes,
11.875% due 12/01/08^........ 32,500
150,000 Benedek Communications
Corporation, Senior Discount
Notes,
13.250% due 05/15/06^........ 117,000
125,000 Callahan Nordrhein,
14.000% due 07/15/10++....... 125,225
100,000 Chancellor Media Corporation,
Company Guarantee,
8.750% due 06/15/07.......... 100,125
325,000 Chancellor Media Corporation,
Senior Notes,
8.000% due 11/01/08.......... 326,219
Charter Communications Holdings
LLC, Senior Notes,
110,000 9.920% due 04/01/11++........ 62,425
250,000 8.250% due 04/01/07++........ 220,625
125,000 Citadel Broadcasting Company,
9.250% due 11/15/08.......... 121,875
50,000 CSC Holdings, Inc.,
Senior Subordinate Notes,
9.250% due 11/01/05.......... 50,250
100,000 Cumulus Media, Inc.,
Company Guarantee,
10.375% due 07/01/08......... 84,500
200,000 Echostar DBS Corporation,
Senior Notes,
9.375% due 02/01/09++........ 193,000
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
BROADCASTING AND MEDIA -- (CONTINUED)
$ 90,000 Fox/Liberty Networks LLC,
Senior Notes,
8.875% due 08/15/07.......... $ 89,550
175,000 Frontiervision LP, Senior Notes,
11.000% due 10/15/06......... 176,750
Granite Broadcasting Corporation,
Senior Subordinate Notes:
9,000 10.375% due 05/15/05......... 8,550
50,000 8.875% due 05/15/08.......... 42,250
90,000 Hollinger International
Publishing, Company Guarantee,
9.250% due 03/15/07.......... 88,650
Lenfest Communications,
Senior Subordinate Notes:
75,000 10.500% due 06/15/06......... 82,875
50,000 8.250% due 02/15/08.......... 49,644
315,000 Lin Holdings Corporation,
Senior Discount Notes,
10.000% due 03/01/08......... 204,750
190,000 Paxson Communications
Corporation,
Senior Subordinate Notes,
11.625% due 10/01/02......... 194,275
75,000 Satelites Mexicanos S.A.,
Senior Notes,
10.125% due 11/01/04......... 50,344
125,000 Telemundo Holdings, Inc.,
Senior Discount Notes,
11.500% due 08/15/08^........ 86,250
Telewest Communications Plc,
Senior Notes:
75,000 11.375% due 02/01/10++....... 40,125
20,000 9.875% due 02/01/10++........ 18,600
125,000 Time Warner Telecom LLC,
Senior Notes,
9.750% due 07/15/08.......... 120,937
245,000 UnitedGlobalCom, Inc.,
Senior Discount Notes,
10.750% due 02/15/08^........ 164,150
105,000 XM Satellite Radio, Inc.,
14.000% due 03/15/10......... 92,400
50,000 Young Broadcasting Inc.,
Company Guarantee,
8.750% due 06/15/07.......... 45,750
-----------
3,312,469
-----------
BUILDING AND CONSTRUCTION -- 1.7%
150,000 Formica Corporation,
Senior Subordinate Notes,
10.875% due 03/01/09++....... 117,000
80,000 MMI Products, Inc.,
Senior Subordinate Notes,
11.250% due 04/15/07......... 78,800
Nortek, Inc., Senior Notes:
140,000 9.250% due 03/15/07.......... 130,900
30,000 9.875% due 03/01/04.......... 28,425
20,000 8.875% due 08/01/08.......... 18,100
-----------
373,225
-----------
See Notes to Financial Statements.
17
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
CHEMICALS -- 3.1%
$ 190,000 Huntsman ICI Chemicals Ltd.
Liability Corporation,
10.125% due 07/01/09......... $ 190,950
Lyondell Chemical Company:
55,000 9.625% due 05/01/07.......... 54,450
90,000 9.875% due 05/01/07.......... 89,100
50,000 10.875% due 05/01/09......... 49,625
50,000 NL Industries, Senior Notes,
11.750% due 10/15/03......... 51,000
65,000 PCI Chemicals Canada, Inc.,
Company Guarantee,
9.250% due 10/15/07.......... 42,900
90,000 Sovereign Specialty Chemicals,
Senior Subordinate Notes,
11.875% due 03/15/10++....... 92,700
50,000 Sterling Chemicals, Inc.,
Company Guarantee,
12.375% due 07/15/06++....... 50,750
Sterling Chemicals, Inc.,
Senior Subordinate Notes:
40,000 11.750% due 08/15/06......... 32,400
50,000 11.250% due 04/01/07......... 39,500
-----------
693,375
-----------
COMMERCIAL SERVICES -- 1.6%
40,000 Allied Waste North America, Inc.,
Company Guarantee,
10.000% due 08/01/09++....... 33,800
60,000 Allied Waste North America, Inc.
7.625% due 01/01/06.......... 52,200
30,000 Continental Resources,
Senior Subordinate Notes,
10.250% due 08/01/08......... 26,400
80,000 Iron Mountain, Inc.,
Company Guarantee,
8.750% due 09/30/09.......... 73,600
100,000 Pierce Leahy Corporation,
Senior Subordinate Notes,
9.125% due 07/15/07.......... 94,000
World Color Press, Inc.,
Senior Subordinate Notes:
75,000 8.375% due 11/15/08.......... 72,451
5,000 7.750% due 02/15/09.......... 4,624
-----------
357,075
-----------
COMPUTER SERVICE AND SOFTWARE -- 2.7%
75,000 Anacomp, Inc.,
Senior Subordinate Notes,
10.875% due 04/01/04......... 46,500
Exodus Communications Inc.,
Senior Notes:
25,000 10.750% due 12/15/09......... 24,125
100,000 11.250% due 07/01/08......... 99,000
95,000 Globix Corporation,
12.500% due 02/01/10......... 78,850
65,000 Northpoint Communications
Group, Inc.,
12.875% due 02/15/10++....... 46,800
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
COMPUTER SERVICE AND SOFTWARE -- (CONTINUED)
PSINet, Inc., Senior Notes:
$ 40,000 11.500% due 11/01/08++....... $ 37,600
200,000 11.000% due 08/01/09++....... 185,000
25,000 10.500% due 12/01/06......... 23,625
65,000 Verio, Inc., Senior Notes,
10.375% due 04/01/05......... 68,250
-----------
609,750
-----------
CONSUMER GOODS -- 0.6%
40,000 Fage Dairy Industries S.A.,
Senior Notes,
9.000% due 02/01/07.......... 32,200
100,000 Sealy Mattress Company,
Senior Subordinate Notes,
9.875% due 12/15/07.......... 95,500
-----------
127,700
-----------
CONTAINERS -- 3.2%
110,000 Ball Corporation,
Company Guarantee,
8.250% due 08/01/08.......... 103,400
Gaylord Container Corporation,
Senior Notes:
175,000 9.750% due 06/15/07.......... 136,500
85,000 9.875% due 02/15/08.......... 55,250
40,000 Huntsman Packaging-Unit,
13.000% due 06/01/10++....... 40,000
175,000 Riverwood International,
Company Guarantee,
10.250% due 04/01/06......... 166,250
120,000 Silgan Holdings, Inc.,
Senior Subordinate Debentures,
9.000% due 06/01/09.......... 113,400
90,000 U.S. Can Corporation,
Company Guarantee,
10.125% due 10/15/06......... 92,025
-----------
706,825
-----------
EDUCATIONAL -- 0.6%
150,000 Kindercare Learning Centers, Inc.,
Senior Subordinate Notes,
9.500% due 02/15/09.......... 138,000
-----------
ENERGY -- 0.4%
100,000 NRG South Central, LLC,
Senior Notes,
8.962% due 03/15/16++........ 100,852
-----------
ENGINEERING AND TECHNOLOGY -- 2.4%
135,000 Applied Extrusion Technology,
Senior Notes,
11.500% due 04/01/02......... 136,012
100,000 Argo-Tech Corporation,
Company Guarantee,
8.625% due 10/01/07.......... 70,000
215,000 Building Materials Corporation,
Senior Notes,
8.625% due 12/15/06.......... 178,987
See Notes to Financial Statements.
18
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
ENGINEERING AND TECHNOLOGY -- (CONTINUED)
$ 80,000 General Binding Corporation,
Company Guarantee,
9.375% due 06/01/08.......... $ 52,000
100,000 Moog, Inc.,
Senior Subordinate Notes,
10.000% due 05/01/06......... 99,500
-----------
536,499
-----------
ENTERTAINMENT AND LEISURE -- 6.7%
160,000 Argosy Gaming Company,
Company Guarantee,
10.750% due 06/01/09......... 166,000
150,000 Boyd Gaming Corporation,
Senior Subordinate Notes,
9.500% due 07/15/07.......... 144,000
15,000 Eldorado Resorts LLC,
Senior Subordinate Notes,
10.500% due 08/15/06......... 14,962
90,000 Hollywood Park, Inc.,
Senior Subordinate Notes,
9.250% due 02/15/07.......... 89,550
110,000 Horseshoe Gaming Holdings,
Company Guarantee,
8.625% due 05/15/09.......... 103,400
160,000 Isle of Capri Casinos,
Company Guarantee,
8.750% due 04/15/09.......... 148,800
160,000 MGM Grand, Inc.,
9.750% due 06/01/07.......... 162,400
150,000 Park Place Entertainment,
Senior Subordinate Notes,
7.875% due 12/15/05.......... 141,000
125,000 Station Casinos,
Senior Subordinate Notes,
8.875% due 12/01/08.......... 119,062
185,000 Unicom Corporation,
8.450% due 12/01/08.......... 171,125
200,000 United Pan Europ Comm NV,
10.875% due 08/01/09......... 174,000
80,000 United Pan Europ Comm, Series B,
11.250% due 02/01/10......... 69,400
-----------
1,503,699
-----------
FINANCIAL -- 1.5%
40,000 Madison River Financial,
Senior Notes,
13.250% due 03/01/10++....... 36,000
195,000 Ono Finance Plc,
Company Guarantee,
13.000% due 05/01/09^........ 185,250
125,000 Willis Corroon Corporation,
Senior Subordinate Notes,
9.000% due 02/01/09.......... 105,000
-----------
326,250
-----------
INDUSTRIAL -- 5.9%
200,000 American Standard Companies, Inc.,
Company Guarantee,
7.375% due 02/01/08.......... 181,500
125,000 Blount, Inc.
13.000% due 08/01/09......... 127,500
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
INDUSTRIAL -- (CONTINUED)
$ 75,000 Completel Europe NV,
Company Guarantee,
14.000% due 02/15/09......... $ 37,500
75,000 International Knife & Saw, Inc.,
Senior Notes,
11.375% due 11/15/06......... 39,000
100,000 Jorgensen (Earle M.) Company,
Senior Notes,
9.500% due 04/01/05.......... 92,750
175,000 K & F Industries,
Senior Subordinate Notes,
9.250% due 10/15/07.......... 165,375
100,000 Metal Management, Inc.,
Company Guarantee,
10.000% due 05/15/08......... 55,000
85,000 Numatics, Inc.,
Company Guarantee,
9.625% due 04/01/08.......... 68,000
95,000 P&L Coal Holdings Corporation,
8.875% due 05/15/08.......... 88,350
50,000 Polymer Group, Inc.,
Company Guarantee,
9.000% due 07/01/07.......... 42,500
85,000 Simonds Industries,
Company Guarantee,
10.250% due 07/01/08......... 70,231
Spectrasite Holdings, Inc.,
Senior Discount Notes:
150,000 11.250% due 04/15/09^........ 88,500
55,000 12.000% due 07/15/08^++...... 38,225
82,500 Synthetic Industries, Inc.,
13.000% due 12/13/00......... 81,262
50,000 Thermadyne Holdings Corporation,
Company Guarantee,
9.875% due 06/01/08.......... 38,437
85,000 Thermadyne Holdings Corporation,
Debentures,
12.500% due 06/01/08^........ 30,600
75,000 US Timberlands, Senior Notes,
9.625% due 11/15/07.......... 66,000
-----------
1,310,730
-----------
INTERNET SOFTWARE -- 0.9%
135,000 Kappa Beheer BV,
10.625% due 07/15/09......... 137,700
50,000 Verio, Inc., Senior Notes,
10.625% due 11/15/09......... 55,437
-----------
193,137
-----------
MACHINERY AND MATERIAL HANDLING -- 1.0%
25,000 Alaris Medical, Inc.,
Senior Discount Notes,
11.125% due 08/01/08^........ 3,812
Buckeye Technologies, Inc.,
Senior Subordinate Notes:
35,000 8.500% due 12/15/05.......... 33,512
100,000 8.000% due 10/15/10.......... 90,750
85,000 Columbus McKinnon Corporation,
Company Guarantee,
8.500% due 04/01/08.......... 73,950
35,000 Motors and Gears, Inc., Senior
Notes,
10.750% due 11/15/06......... 33,688
-----------
235,712
-----------
See Notes to Financial Statements.
19
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
MEDICAL SERVICES AND SUPPLIES -- 1.5%
$ 100,000 Alaris Medical Systems, Inc.,
9.750% due 12/01/06.......... $ 66,000
100,000 Prime Medical Services, Inc.,
Company Guarantee,
8.750% due 04/01/08.......... 83,000
200,000 Tenet Healthcare Corporation,
Senior Notes,
8.000% due 01/15/05.......... 192,000
-----------
341,000
-----------
OIL AND GAS -- 5.5%
220,000 Chesapeake Energy Corporation,
Company Guarantee,
9.625% due 05/01/05.......... 215,050
25,000 Clark R&M, Inc.,
Senior Notes,
8.625% due 08/15/08.......... 19,625
100,000 Forest Oil Corporation,
Company Guarantee,
10.500% due 01/15/06......... 101,750
125,000 Gulfmark Offshore, Inc.
8.750% due 06/01/08.......... 115,938
100,000 HS Resources, Inc.,
Company Guarantee,
9.250% due 11/15/06.......... 98,000
50,000 HS Resources, Inc.,
Senior Subordinate Notes,
9.250% due 11/15/06.......... 48,625
50,000 International Utility Structures,
Inc., Senior Subordinate Notes,
10.750% due 02/01/08......... 41,000
190,000 Ocean Energy, Inc.,
Company Guarantee,
8.875% due 07/15/07.......... 189,050
200,000 P&L Coal Holdings Corporation
Company Guarantee,
9.625% due 05/15/08.......... 185,500
95,000 Pioneer Natural Resources
9.625% due 04/01/10.......... 97,850
15,000 Pride International, Inc.,
Senior Notes,
10.000% due 06/01/09......... 15,450
100,000 R&B Falcon Corporation
9.500% due 12/15/08.......... 100,500
-----------
1,228,338
-----------
RESTAURANTS AND LODGING -- 1.8%
175,000 Aztar Corporation,
Senior Subordinate Notes,
8.875% due 05/15/07.......... 164,500
150,000 Coast Hotels & Casino,
Senior Subordinate Notes,
9.500% due 04/01/09++........ 143,250
100,000 Prime Hospitality Corporation,
Senior Subordinate Notes,
9.750% due 04/01/07.......... 96,000
-----------
403,750
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
RETAIL -- 2.6%
$ 80,000 Duane Reade, Inc.,
Company Guarantee,
9.250% due 02/15/08.......... $ 72,300
75,000 Finlay Enterprises, Inc.,
Company Guarantee,
9.000% due 05/01/08.......... 67,125
140,000 J Crew Operating Corporation,
Senior Subordinate Notes,
10.375% due 10/15/07......... 121,800
Jitney-Jungle Stores of America,
Inc., Company Guarantee:
65,000 12.000% due 03/01/06......... 14,219
10,000 10.375% due 09/15/07......... 175
100,000 Musicland Group,
Senior Subordinate Notes,
9.000% due 06/15/03.......... 91,000
45,000 Pathmark Stores, Inc.,
Senior Subordinate Notes,
11.625% due 06/15/02......... 13,950
25,000 Polaroid Corporation
11.500% due 02/15/06......... 25,937
120,000 Samsonite Corporation,
Senior Subordinate Notes,
10.750% due 06/15/08......... 99,900
75,000 Southland Corporation,
Senior Subordinate Debentures
5.000% due 12/15/03.......... 66,585
-----------
572,991
-----------
STEEL -- 2.5%
100,000 AK Steel Corporation, Senior
Notes,
9.125% due 12/15/06.......... 95,750
85,000 Commonwealth Aluminum,
Senior Subordinate Notes,
10.750% due 10/01/06++....... 84,150
165,000 Kaiser Aluminum & Chemical
Corporation, Senior Notes,
9.875% due 02/15/02.......... 158,400
50,000 NS Group, Inc.,
Senior Notes,
13.500% due 07/15/03......... 51,375
100,000 Russell Metals, Inc., Units,
10.000% due 06/01/09......... 95,125
70,000 WCI Steel, Inc.,
Senior Notes,
10.000% due 12/01/04......... 66,325
-----------
551,125
-----------
TELEPHONE AND COMMUNICATIONS -- 25.5%
Allegiance Telecom, Inc.,
Senior Discount Notes,
135,000 12.875% due 05/15/08......... 146,138
140,000 11.750% due 02/15/08^........ 101,500
115,000 AMSC Acquisition Company, Inc.,
Company Guarantee,
12.250% due 04/01/08......... 89,700
175,000 Centennial Cellular,
Senior Subordinate Notes,
10.750% due 12/15/08++....... 169,969
See Notes to Financial Statements.
20
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
TELEPHONE AND COMMUNICATIONS -- (CONTINUED)
$ 60,000 Classic Cable, Inc.
10.500% due 03/01/10......... $ 55,200
250,000 Colt Telecom Group Plc,
Senior Discount Notes,
12.000% due 12/15/06^........ 220,313
210,000 Crown Castle International
Corporation, Senior Notes,
10.750% due 08/01/11......... 212,100
65,000 Dobson Communication Corporation,
Senior Notes,
10.875% due 07/01/10++....... 65,163
Dolphin Telecom Plc,
Senior Discount Notes:
10,000 14.000% due 05/15/09++....... 3,300
125,000 11.500% due 06/01/08^++...... 39,375
85,000 Energis Plc
9.750% due 06/15/09.......... 83,725
125,000 Esat Telecom Group Plc,
Senior Notes,
11.875% due 12/01/08++....... 147,121
65,000 Esprit Telecom Group Plc,
Senior Notes,
10.875% due 06/15/08......... 46,800
100,000 Exodus Communications
11.625% due 07/15/10++....... 100,250
Focal Communications Corporation,
Senior Notes:
55,000 12.125% due 02/15/08++....... 37,125
80,000 11.875% due 01/15/10++....... 80,600
210,000 Global Crossing Holdings Ltd.,
Company Guarantee,
9.625% due 05/15/08.......... 204,750
35,000 Globenet Communications Group
Ltd., Senior Notes,
13.000% due 07/15/07++....... 35,350
200,000 GT Group Telecommunications
13.250% due 02/01/10^++...... 111,000
100,000 Hermes Europe Railtel BV,
Senior Notes,
10.375% due 01/15/09......... 84,000
140,000 Hyperion Telecommunications,
Senior Subordinate Notes,
12.000% due 11/01/07++....... 130,200
150,000 ICG Holdings, Inc.,
Company Guarantee,
12.500% due 05/01/06^........ 124,125
175,000 Insight Midwest L.P./Insight
Capital, Inc.
9.750% due 10/01/09.......... 171,500
225,000 Intermedia Communication
Corporation, Senior Notes,
8.875% due 11/01/07.......... 211,500
50,000 ITC Deltacom, Inc.,
Senior Notes,
11.000% due 06/01/07......... 50,000
90,000 ITC Deltacom, Inc.,
Senior Notes,
9.750% due 11/15/08++........ 85,500
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
TELEPHONE AND COMMUNICATIONS -- (CONTINUED)
$ 125,000 Jazztel Plc, Senior Notes,
14.000% due 04/01/09++....... $ 113,750
L-3 Communications, Inc.,
Senior Subordinate Notes:
25,000 10.750% due 03/15/08......... 22,914
105,000 10.375% due 05/01/07......... 106,838
250,000 9.125% due 05/01/08.......... 224,375
75,000 McCaw International, Ltd.
13.000% due 04/15/07......... 55,125
170,000 Metromedia Fiber Network,
Senior Notes,
10.000% due 11/15/08++....... 167,875
35,000 Metronet Communications,
Inc., Senior Note,
9.950% due 06/15/08^......... 28,453
155,000 MGC Communications, Inc.,
Senior Notes,
13.000% due 04/01/10++....... 144,150
115,000 Millicom International Cellular,
Inc., Senior Notes,
13.500% due 06/01/06^........ 98,900
85,000 MJD Communications, Inc.,
Senior Subordinate Notes,
9.500% due 05/01/08.......... 75,650
400,000 Nextel International, Inc.,
Senior Notes,
9.950% due 02/15/08.......... 293,000
230,000 Nextlink Communications,
Senior Notes,
10.750% due 06/01/09......... 227,125
25,000 Northeast Optic Network,
Senior Notes,
12.750% due 08/15/08......... 23,875
NTL, Inc., Senior Notes:
230,000 12.375% due 10/01/08^........ 150,650
200,000 9.750% due 04/01/08^++....... 125,000
55,000 PTC International Finance II SA,
11.250% due 12/01/09......... 55,962
50,000 Rural Cellular Corporation,
Senior Notes,
9.625% due 05/15/08.......... 48,500
35,000 Spectrasite Holdings, Inc.
10.750% due 03/15/10......... 34,825
190,000 Tele1 Europe B.V., Senior Notes,
13.000% due 05/15/09......... 192,850
Telewest Communication Plc
125,000 9.250% due 04/15/09.......... 67,813
45,000 11.000% due 10/01/07^........ 42,863
40,000 9.625% due 10/01/06.......... 37,600
45,000 Triton PCS, Inc.,
Company Guarantee,
11.000% due 05/01/08^........ 32,625
175,000 Versatel Telecom BV, Senior
Notes,
13.250% due 05/15/08++....... 178,063
130,000 Viatel, Inc., Senior Notes,
12.500% due 04/15/08^........ 58,500
100,000 Voicestream Wire Company
10.375% due 11/15/09......... 103,000
See Notes to Financial Statements.
21
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
TELEPHONE AND COMMUNICATIONS -- (CONTINUED)
$ 30,000 Western Wireless, Inc.,
Senior Notes,
10.500% due 02/01/07......... $ 30,600
180,000 Worldwide Fiber, Inc.,
12.000% due 08/01/09......... 170,100
-----------
5,717,285
-----------
TEXTILES AND HOME FURNISHINGS -- 0.7%
145,000 Simmons Company, Senior Notes,
10.250% due 03/15/09......... 129,775
45,000 Westpoint Stevens, Inc.,
Senior Notes,
7.875% due 06/15/05^......... 37,575
-----------
167,350
-----------
Total Corporate Fixed
Income Securities
(Cost $21,164,508)........... 19,951,724
-----------
AGENCY SECURITIES -- 6.7%
1,500,000 Federal Home Loan Mortgage
Corporation (FHLMC)
6.086% due 07/03/00#......... 1,499,453
-----------
Total Agency Securities
(Cost $1,499,453)............ 1,499,453
-----------
SHARES
------
COMMON STOCK -- 0.5%
3,750 Completel Europe NV+........... 45,000
1,309 Versatel Telecom International NV,
ADR+......................... 56,451
537 Viatel, Inc.+.................. 15,338
-----------
Total Common Stock
(Cost $1,530)................ 116,789
-----------
PREFERRED STOCK -- 1.7%
60,358 Crown Castle International
Corporation,
12.750% due 12/15/10......... 60,962
138,500 CSC Holdings, Inc.,
Series M,
11.125% due 04/01/08......... 145,425
50,000 Global Crossing Holdings Ltd.,
10.500% due 12/01/08......... 48,250
1,400 Primedia, Inc., Series H,
8.625% due 04/01/10.......... 120,400
-----------
Total Preferred Stock
(Cost $381,991).............. 375,037
-----------
SHARES
------
WARRANTS -- 0.2%
115 Motient Corporation,
Expire 3/31/08++............. $ 4,600
145 Jazztel Plc,
Expire 04/01/09+............. 13,413
170 Ono Finance Plc,
Expire 05/31/09+............. 25,458
-----------
Total Warrants
(Cost $21,695)............... 43,471
-----------
TOTAL INVESTMENTS
(COST $23,069,177*)............... 98.3% 21,986,474
OTHER ASSETS AND LIABILITIES
(NET)............................. 1.7% 381,855
------- -----------
NET ASSETS........................... 100.0% $22,368,329
======= ===========
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 790,823
Accumulated net realized loss on investments. (256,710)
Net unrealized depreciation of investments... (1,082,703)
Paid-in capital.............................. 22,916,919
-----------
TOTAL NET ASSETS............................. $22,368,329
===========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 9.63
===========
Number of Portfolio shares outstanding....... 2,323,835
===========
--------------------
* Aggregate cost for federal tax purposes.
# Rate represents annualized yield at date of purchase.
+ 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.
^ Zero coupon security as of June 30, 2000. The coupon shown
is the set-up rate.
See Notes to Financial Statements.
22
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR JANUS GROWTH PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 92.2%
BROADCASTING AND MEDIA -- 5.9%
412,225 AMFM, Inc.+.................... $28,443,525
850,398 AT&T Corporation - Liberty Media
Group, Class A+.............. 20,622,151
226,840 Viacom, Inc., Class B+......... 15,467,652
-----------
64,533,328
-----------
COMPUTER SERVICES AND SOFTWARE -- 18.4%
482,510 BEA Systems, Inc.+............. 23,854,088
55,530 Check Point Software
Technologies Ltd.+........... 11,758,477
1,158,795 Cisco Systems, Inc.+........... 73,655,907
187,850 EMC Corporation+............... 14,452,709
482,726 Microsoft Corporation+......... 38,618,080
104,740 Sapient Corporation+........... 11,200,634
246,315 VERITAS Software Corporation+.. 27,837,444
-----------
201,377,339
-----------
DIVERSIFIED OPERATIONS -- 5.7%
1,180,335 General Electric Company....... 62,557,755
-----------
DRUGS AND MEDICAL PRODUCTS -- 2.5%
50,840 Genentech, Inc.+............... 8,744,480
374,605 Medtronic, Inc................. 18,660,012
-----------
27,404,492
-----------
ELECTRONICS -- 9.1%
376,885 Conexant Systems, Inc.+........ 18,326,033
467,607 Lam Research Corporation+...... 17,535,262
462,202 Texas Instruments, Inc......... 31,747,500
390,162 Xilinx, Inc.+.................. 32,212,750
-----------
99,821,545
-----------
FINANCIAL -- 1.9%
410,043 American Express Company....... 21,373,491
-----------
INTERNET SERVICES -- 12.5%
469,436 Amazon.com, Inc.+.............. 17,046,395
891,604 America Online, Inc.+.......... 47,032,111
379,356 eBay, Inc.+.................... 20,603,773
619,860 Exodus Communications, Inc.+... 28,552,301
134,982 VeriSign, Inc.+................ 23,824,323
-----------
137,058,903
-----------
OIL AND GAS -- 1.3%
226,969 Enron Corporation.............. 14,639,500
-----------
RETAIL -- 3.9%
334,912 Costco Wholesale Corporation+.. 11,052,096
493,212 Home Depot, Inc................ 24,629,774
375,690 Staples, Inc.+................. 5,776,234
27,155 Starbucks Corporation.......... 1,036,982
-----------
42,495,086
-----------
TELECOMMUNICATIONS -- 31.0%
276,960 3Com Corporation+.............. 15,959,820
331,496 Comcast Corporation, Class A... 13,425,588
VALUE
SHARES (NOTE 1)
------ --------
TELECOMMUNICATIONS -- (CONTINUED)
402,770 EchoStar Communications
Corporation, Class A......... $ 13,335,463
196,780 JDS Uniphase Corporation+...... 23,589,003
474,090 Nextel Communications,
Inc., Class A+............... 29,008,382
1,944,726 Nokia Corporation ADR.......... 97,114,755
289,770 Nortel Networks Corporation.... 19,776,803
227,074 NTL, Inc.+..................... 13,596,041
695 NTT Mobile Communications
Network, Inc................. 18,800,603
133,005 Telefonica S.A., Sponsored ADR. 8,520,633
328,090 Tellabs, Inc.+................. 22,453,659
526,431 Time Warner, Inc............... 40,008,756
577,970 Vodafone Airtouch Plc, ADR..... 23,949,632
-------------
339,539,138
-------------
Total Common Stock
(Cost $760,564,847).......... 1,010,800,577
-------------
PRINCIPAL
AMOUNT
--------
AGENCY SECURITIES -- 3.6%
FEDERAL HOME LOAN BANK (FHLB)-- 3.6%
$10,000,000 6.480% due 07/03/00#.......... 9,996,472
20,000,000 8.839% due 07/20/00#.......... 19,934,028
10,000,000 6.157% due 08/14/00#.......... 9,921,289
------------
39,851,789
------------
Total Agency Securities
(Cost $39,851,789)........... 39,851,789
------------
COMMERCIAL PAPER -- 4.3%
46,700,000 Associates Corporation,
6.850% due 07/03/00.......... 46,682,228
------------
Total Commercial Paper
(Cost $46,682,228)........... 46,682,228
------------
TOTAL INVESTMENTS
(COST $847,098,864*)............. 100.1% 1,097,334,594
OTHER ASSETS AND LIABILITIES
(NET)............................ (0.1)% (1,594,788)
------- --------------
NET ASSETS.......................... 100.0% $1,095,739,806
======= ==============
NET ASSETS CONSIST OF:
Accumulated net realized gain on investments $ 7,368,932
Net unrealized appreciation on investments... 250,235,730
Paid-in capital.............................. 838,135,144
--------------
TOTAL NET ASSETS............................ $1,095,739,806
==============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ...............................$ 93.60
==============
Number of Portfolio shares outstanding....... 11,706,862
==============
--------------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviations:
ADR -- American Despositary Receipt
See Notes to Financial Statements.
23
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR MONEY MARKET PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
COMMERCIAL PAPER -- 65.0%
$ 5,000,000 American Express Credit
Corporation,
6.658% due 07/05/00#......... $ 4,996,372
5,000,000 American General Corporation,
6.678% due 08/02/00#......... 4,971,111
5,000,000 Associates Corporation,
6.560% due 08/01/00.......... 4,971,756
5,000,000 Chevron USA, Inc.,
6.700% due 07/06/00.......... 4,995,347
5,000,000 CIT Group, Inc.,
6.728% due 07/24/00#......... 4,979,013
5,000,000 Coca-Cola Company,
6.740% due 08/07/00#......... 4,966,186
5,000,000 Daimler Chrysler,
6.670% due 08/30/00.......... 4,944,417
5,000,000 Ford Motor Credit Corporation,
6.510% due 07/06/00.......... 4,995,479
5,000,000 General Electric Capital
Corporation,
6.570% due 10/05/00.......... 4,912,400
5,000,000 General Motors Acceptance
Corporation,
6.214% due 07/10/00#......... 4,992,525
5,000,000 IBM Credit Corporation,
6.510% due 07/31/00.......... 4,972,858
3,000,000 LaSalle Bank of North America
6.500% due 11/03/00#......... 3,000,000
5,000,000 Merrill Lynch & Company,
6.220% due 07/10/00#......... 4,992,500
5,000,000 Norwest Financial, Inc.,
6.728% due 07/31/00#......... 4,972,542
5,000,000 Prudential Funding Corporation,
6.660% due 08/21/00.......... 4,952,825
3,000,000 Societe Generale North America,
6.517% due 11/22/00#......... 2,926,440
-----------
Total Commercial Paper
(Cost $75,541,771)........... 75,541,771
-----------
CERTIFICATE OF DEPOSIT -- 11.2%
5,000,000 Bank Of America Corporation,
6.200% due 09/05/00#......... 5,000,000
3,000,000 Banq Paribas New York,
6.650% due 07/05/00.......... 3,000,000
5,000,000 Harris Trust & Savings,
Certificates of Deposit,
6.570% due 07/07/00.......... 4,999,999
-----------
Total Certificates of Deposit
(Cost $12,999,999)........... 12,999,999
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
U.S. GOVERNMENT AGENCY SECURITIES -- 24.0%
$ 7,000,000 Fannie Mae,
6.470% due 09/07/00.......... $ 6,914,452
Federal Home Loan Bank:
12,370,000 6.500% due 07/03/00.......... 12,365,533
627,000 6.450% due 07/21/00.......... 624,753
5,000,000 Freddie Mac,
6.440% due 08/08/00.......... 4,966,011
3,000,000 Sallie Mae,
6.094% due 10/19/00.......... 3,000,000
-----------
Total U.S. Government
Agency Securities
(Cost $27,870,749)........... 27,870,749
-----------
TOTAL INVESTMENTS
(COST $116,412,519*).............. 100.2% 116,412,519
OTHER ASSETS AND LIABILITIES
(NET)............................. (0.2)% (211,458)
------- -----------
NET ASSETS........................... 100.0% $116,201,061
======= ============
NET ASSETS CONSIST OF:
Accumulated net realized loss on investments. $ (235)
Paid-in capital.............................. 116,201,296
------------
TOTAL NET ASSETS............................. $116,201,061
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 1.00
============
Number of Portfolio shares outstanding....... 116,201,394
============
-------------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized discount yield at date of purchase.
See Notes to Financial Statements.
24
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 66.0%
AEROSPACE AND DEFENSE -- 3.6%
35,400 Boeing Company................. $ 1,480,162
-----------
ALUMINUM -- 0.9%
12,000 Alcoa, Inc..................... 348,000
-----------
BANKING -- 9.1%
15,625 Citigroup, Inc................. 941,406
2,400 M&T Bank Corporation........... 1,080,000
44,500 Wells Fargo Company............ 1,724,375
-----------
3,745,781
-----------
COMPUTER SERVICES AND SOFTWARE -- 6.0%
30,300 Computer Associates
International, Inc........... 1,550,981
20,700 Compuware Corporation+......... 214,762
2,500 Dell Computer Corporation+..... 123,281
3,500 Electronic Data Systems
Corporation ................. 144,375
1,000 Intel Corporation.............. 133,687
2,000 International Business Machines
Corporation (IBM)............ 219,125
5,500 Unisys Corporation+............ 80,094
-----------
2,466,305
-----------
DIVERSIFIED -- 0.3%
2,750 Solectron Corporation+......... 115,156
-----------
DIVERSIFIED CHEMICALS -- 3.9%
36,500 duPont (E.I.) de Nemours
& Company.................... 1,596,875
-----------
DRUGS AND MEDICAL PRODUCTS -- 7.3%
24,800 American Home Products
Corporation.................. 1,457,000
5,100 Bristol-Myers Squibb Company... 297,075
23,800 Pharmacia Corporation.......... 1,230,163
-----------
2,984,238
-----------
FINANCIAL SERVICES -- 8.8%
15,350 FleetBoston Financial
Corporation ................. 521,900
45,000 Freddie Mac.................... 1,822,500
27,300 Household International, Inc... 1,134,656
6,100 John Hancock Financial Services,
Inc.+ ....................... 144,494
-----------
3,623,550
-----------
INSURANCE -- 1.3%
9,511 XL Capital Ltd., Class A....... 514,783
-----------
LEISURE -- 0.1%
3,100 Carnival Corporation........... 60,450
-----------
VALUE
SHARES (NOTE 1)
------ --------
MANUFACTURING AND MINING -- 4.8%
5,400 Emerson Electric Company....... $ 326,025
9,300 Minnesota Mining & Manufacturing
Company...................... 767,250
16,000 Textron, Inc................... 869,000
-----------
1,962,275
-----------
MEDIA -- 0.3%
3,000 News Corporation (The), Ltd.,
Sponsored ADR................ 142,500
-----------
OIL / GAS -- DOMESTIC -- 0.4%
5,350 Tosco Corporation.............. 151,472
-----------
OIL AND GAS EXPLORATION -- 4.5%
5,100 Anadarko Petroleum Corporation. 251,494
14,000 Chevron Corporation............ 1,187,375
10,400 Unocal Corporation............. 344,500
2,400 USX-Marathon Group............. 60,150
-----------
1,843,519
-----------
RESTAURANTS -- 4.6%
57,600 McDonald's Corporation......... 1,897,200
-----------
RETAIL -- 3.5%
1,500 CVS Corporation................ 60,000
62,000 Kroger Company+................ 1,367,875
-----------
1,427,875
-----------
TELECOMMUNICATIONS -- 4.7%
7,000 AT&T Corporation............... 221,375
21,800 Bell Atlantic Corporation...... 1,107,713
2,000 Motorola, Inc.................. 58,125
7,000 Sprint Corporation............. 357,000
4,000 Worldcom, Inc.................. 183,500
-----------
1,927,713
-----------
TRANSPORTATION -- 0.3%
5,000 AMR Corporation................ 132,188
-----------
TRAVEL SERVICES -- 0.9%
12,913 Sabre Holdings Corporation+.... 368,021
-----------
WASTE DISPOSAL -- 0.7%
14,100 Waste Management, Inc.......... 267,900
-----------
Total Common Stock
(Cost $26,802,872)........... 27,055,963
-----------
See Notes to Financial Statements.
25
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
AGENCY SECURITIES -- 29.1%
FEDERAL HOME LOAN BANK (FHLB) -- 9.8%
$4,027,000 FHLB Discount Note,
6.086% due 07/03/2000#....... $ 4,025,530
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA) -- 19.3%
4,000,000 6.453% due 07/11/2000#....... 3,992,922
4,000,000 6.500% due 08/15/2004........ 3,923,120
-----------
7,916,042
-----------
Total Agency Securities
(Cost $11,975,929)........... 11,941,572
-----------
TOTAL INVESTMENTS
(COST $38,778,801*)............... 95.1% 38,997,535
OTHER ASSETS AND LIABILITIES
(NET)............................. 4.9% 2,011,126
------- -----------
NET ASSETS........................... 100.0% $41,008,661
======= ===========
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 450,669
Accumulated net realized loss on investments. (771,360)
Net unrealized depreciation of investments... (46,329)
Paid-in capital.............................. 41,375,681
-----------
TOTAL NET ASSETS............................. $41,008,661
===========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 11.32
============
Number of Portfolio shares outstanding....... 3,621,159
============
--------------------
* 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.
26
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR SELECT PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 91.1%
BANKING AND FINANCE -- 6.4%
172,000 Arab Malaysian Merchant Bank... $ 574,842
13,500,000 Banco Bradesco S.A............. 117,521
87,800 Banco Comercial................ 456,857
12,150 Chase Manhattan Corporation.... 559,659
5,500 Consors Discount Broker Ag..... 490,980
265,000 Grupo Financiero Banamex Accival
SA de CV, Series O+.......... 1,114,373
2,300 Merrill Lynch and Company...... 264,500
-----------
3,578,732
-----------
BUILDING AND CONSTRUCTION -- 0.7%
4,500 Vivendi........................ 397,200
-----------
COMPUTER SERVICES AND SOFTWARE-- 12.2%
9,900 America Online, Inc. +......... 522,225
6,200 Apple Computer, Inc.+.......... 324,725
13,100 Asiainfo Hldgs, Inc............ 585,406
12,600 Cisco Systems, Inc............. 800,887
20,500 Compaq Computer Corporation.... 524,031
9,300 Dell Computer Corporation+..... 458,606
10,600 EMC Corporation+............... 815,537
71,400 Freeserve Plc.................. 347,874
5,800 Intel Corporation.............. 775,388
9,600 Oracle Corporation+............ 807,000
9,100 Sun Microsystems, Inc.+........ 827,531
-----------
6,789,210
-----------
DIVERSIFIED OPERATIONS -- 1.2%
13,600 Tyco International, Ltd........ 644,300
-----------
DRUGS -- 4.2%
15,300 Elan Corporation Plc, ADR+..... 741,094
8,400 Lilly (Eli) and Company........ 838,950
15,900 Pfizer, Inc.................... 763,200
-----------
2,343,244
-----------
ELECTRONIC COMPONENTS -- 13.1%
5,000 Flextronics International, Ltd.+ 343,438
66,000 Hon Hai Precision Industry
Company Ltd.................. 597,168
8,440 Infineon Technologies AG+...... 668,821
67,800 RAO Unified Energy Systems,
Sponsored ADR................ 779,700
1,700 Rohm Company Ltd............... 496,725
6,035 Samsung Electronics............ 1,997,188
748 Serono Sa - B.................. 623,582
179,200 Taiwan Semiconductor
Manufacturing Company........ 851,528
4,500 Texas Instruments, Inc......... 309,094
242,000 United Microelectronics
Corporation Ltd.............. 673,426
-----------
7,340,670
-----------
VALUE
SHARES (NOTE 1)
------ --------
FINANCIAL SERVICES -- 3.8%
6,900 American International Group,
Inc.......................... $ 810,750
13,600 Citigroup, Inc................. 819,400
1,460 Muenchener
Rueckversicherungs-Gesellschaft 463,483
-----------
2,093,633
-----------
FOOD - PACKAGED -- 5.1%
51,000 Diageo......................... 457,607
8,600 Fomento Economico Mexicano..... 370,337
28,600 Pao De Acucar.................. 918,775
15,400 PepsiCo, Inc................... 684,338
9,100 Safeway, Inc.+................. 410,638
-----------
2,841,695
-----------
HEALTH CARE SERVICES -- 1.0%
11,200 Medtronic, Inc................. 557,900
-----------
MANUFACTURING -- 2.5%
17,900 General Electric Company....... 948,700
123,700 Invensys Plc................... 464,183
-----------
1,412,883
-----------
MEDIA -- CABLE TELEVISION -- 1.3%
6,120 ABB Ltd.+...................... 732,479
-----------
MEDIA AND COMMUNICATIONS -- 2.4%
10,500 Enron Corporation.............. 677,250
20,200 Pearson........................ 641,857
600 Sri Adhikari Brothers Television
Network...................... 7,736
-----------
1,326,843
-----------
METALS / MINING -- 3.1%
66,000 Grupo Mexico SA, Series B...... 185,698
41,200 Impala Platinum Holdings Ltd... 1,560,560
-----------
1,746,258
-----------
PAPER AND PAPER PRODUCTS -- 1.5%
43,300 Aracruz Celulose S.A., ADR..... 836,231
-----------
PETROLEUM -- 2.4%
5,800 Exxon Mobil Corporation........ 455,300
30,000 Petroleo Brasileiro SA......... 881,286
-----------
1,336,586
-----------
See Notes to Financial Statements.
27
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR SELECT PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK (CONTINUED)
RETAIL -- 6.6%
2,030 Castorama Dubois
Investissement SA............ $ 501,979
7,200 CVS Corporation................ 288,000
7,100 Kohl's Corporation+............ 394,938
48,000 Next Plc....................... 421,610
157,000 Organizacion Soriana S.A. de C.V. 625,130
348,000 Wal-Mart de Mexico S.A. de C.V.,
Series V+.................... 816,536
11,100 Wal-Mart Stores, Inc........... 639,638
-----------
3,687,831
-----------
TELECOMMUNICATIONS -- 21.5%
9,400 Alcatel SA, ADR................ 625,100
245,900 Cable and Wirelsss Optus Ltd... 732,361
130,000 China Telecom.................. 1,146,495
66,000 China Unicom................... 140,119
6,300 Comverse Technology, Inc....... 585,900
57,400 Embratel Participacoes S.A.,
ADR+ ........................ 1,356,075
45,500 FLAG Telecom Holdings, Ltd.+... 676,813
6,900 Global Crossing, Ltd.+......... 181,556
24,420 Nokia Oyj...................... 1,246,186
11,600 Nortel Networks Corporation,
New Com...................... 791,700
19 NTT Mobile Communications
Network, Inc................. 513,973
63,400 ScottishPower.................. 537,211
2,690 Sk Telecom Company Ltd......... 880,563
13,200 Sonera Group Oyj............... 601,779
13,200 Sprint Corporation (PCS Group)+ 785,400
562 Tele Norte Leste Participacoes
SA, ADR...................... 13,278
80 Telesp Celular Participacoes
S.A.+ ....................... 1
14,900 Versatel Telecom International
NV+ ......................... 625,934
147,604 Vodafone AirTouch Plc.......... 596,317
-----------
12,036,761
-----------
TELEPHONE -- 2.1%
20,300 Telefonos de Mexicano,
Sponsored ADR................ 1,159,638
-----------
Total Common Stock
(Cost $49,429,575)........... 50,862,094
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
REPURCHASE AGREEMENT -- 8.7%
$ 4,889,000 Agreement with The Boston
Company, 6.530% to be
repurchased at $4,891,660
on 07/03/00, collaterized by
$4,529,000 U.S. Treasury Bond,
6.750% due 08/15/26,
market value $4,987,561...... $ 4,889,000
-----------
Total Repurchase Agreement
(Cost $4,889,000)............ 4,889,000
-----------
TOTAL INVESTMENTS
(COST $54,318,575*)............... 99.8% 55,751,094
OTHER ASSETS AND LIABILITIES
(NET)............................. 0.2% 108,117
------- -----------
NET ASSETS........................... 100.0% $55,859,211
======= ===========
NET ASSETS CONSIST OF:
Accumulated net realized gain on investments,
foreign currencies and net other assets.... $ 4,007,137
Net realized appreciation of investments,
foreign currencies and net other assets.... 1,444,311
Paid-in capital.............................. 50,407,763
-----------
TOTAL NET ASSETS............................. $55,859,211
===========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 13.63
===========
Number of Portfolio shares outstanding....... 4,097,235
===========
--------------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
28
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR VALUE EQUITY PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
COMMON STOCK -- 99.5%
BANKING AND FINANCE -- 6.9%
30,750 Chase Manhattan Corporation
(The) ....................... $ 1,416,422
143,000 FleetBoston Financial
Corporation ................. 4,862,000
150,000 Wells Fargo Company............ 5,812,500
-----------
12,090,922
-----------
COMMUNICATIONS -- 15.2%
75,000 AMFM, Inc.+.................... 5,175,000
70,000 Bell Atlantic Corporation...... 3,556,875
50,000 Motorola, Inc.................. 1,453,125
140,000 News Corporation (The), Ltd.,
Sponsored ADR................ 6,650,000
86,000 Sprint Corporation............. 4,386,000
121,500 Worldcom, Inc.................. 5,573,812
-----------
26,794,812
-----------
DIVERSIFIED OPERATIONS -- 6.1%
84,000 Minnesota Mining
& Manufacturing Company...... 6,930,000
70,000 Textron, Inc................... 3,801,875
-----------
10,731,875
-----------
DIVERSIFIED CHEMICALS -- 2.5%
100,000 duPont (E.I.) de Nemours
& Company.................... 4,375,000
-----------
DRUGS AND MEDICAL PRODUCTS -- 9.0%
120,000 American Home Products
Corporation.................. 7,050,000
125,000 Becton, Dickinson & Company.... 3,585,937
100,000 Pharmacia Corporation.......... 5,168,750
-----------
15,804,687
-----------
ELECTRONICS -- 5.2%
100,000 Emerson Electric Company....... 6,037,500
100,000 Rockwell International
Corporation ................. 3,150,000
-----------
9,187,500
-----------
FINANCIAL SERVICES -- 14.6%
125,000 Citigroup, Inc................. 7,531,250
140,000 Countrywide Credit Industries,
Inc. ........................ 4,243,750
180,000 Freddie Mac.................... 7,290,000
160,000 Household International, Inc... 6,650,000
-----------
25,715,000
-----------
FOOD AND BEVERAGES -- 3.7%
185,000 Diageo Plc, Sponsored ADR...... 6,579,062
-----------
INSURANCE -- 9.3%
180,000 Ace, Ltd....................... 5,040,000
100,000 AFLAC, Inc..................... 4,593,750
125,000 XL Capital, Ltd., Class A...... 6,765,625
-----------
16,399,375
-----------
MACHINERY -- 4.6%
120,000 Caterpillar, Inc............... 4,065,000
100,000 Dover Corporation.............. 4,056,250
-----------
8,121,250
-----------
VALUE
SHARES (NOTE 1)
------ --------
MANUFACTURING AND ENGINEERING -- 1.7%
100,000 Alcoa, Inc..................... $ 2,900,000
-----------
RESTAURANTS -- 3.1%
165,000 McDonald's Corporation......... 5,434,688
-----------
RETAIL -- 4.8%
200,000 Kroger Company+................ 4,412,500
170,000 May Department Stores Company.. 4,080,000
-----------
8,492,500
-----------
TECHNOLOGY -- 6.0%
150,000 Compaq Computer Corporation.... 3,834,375
130,000 Computer Association
International, Inc........... 6,654,375
-----------
10,488,750
-----------
TRANSPORTATION -- 3.4%
100,000 AMR Corporation+............... 2,643,750
130,000 Canadian Pacific, Ltd.......... 3,404,375
-----------
6,048,125
-----------
TRAVEL SERVICES -- 1.2%
72,265 Sabre Holdings Corporation+.... 2,059,553
-----------
WASTE TREATMENT SYSTEMS -- 2.2%
201,000 Waste Management, Inc.......... 3,819,000
-----------
Total Common Stock
(Cost $156,415,771).......... 175,042,099
-----------
PRINCIPAL
AMOUNT
--------
AGENCY SECURITIES -- 0.5%
FEDERAL HOME LOAN BANK (FHLB) -- 0.5%
$ 828,000 FHLB Discount Note,
6.500% due 07/03/00.......... 827,698
-----------
Total U.S. Government Agency
Securities
(Cost $827,698).............. 827,698
-----------
TOTAL INVESTMENTS
(COST $157,243,469*).............. 100.0% 175,869,797
OTHER ASSETS AND LIABILITIES
(NET)**........................... 0.0% 21,120
------- ------------
NET ASSETS........................... 100.0% $175,890,917
======= ============
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 657,573
Accumulated net realized loss on investments. (7,334,850)
Net unrealized appreciation of investments... 18,626,328
Paid-in capital.............................. 163,941,866
------------
TOTAL NET ASSETS............................. $175,890,917
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 15.68
============
Number of Portfolio shares outstanding....... 11,217,766
============
--------------------
* Aggregate cost for federal tax purposes.
** Amount represents less than 0.1%.
+ Non-income producing security.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
29
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 95.0%
AEROSPACE AND DEFENSE -- 1.3%
127,100 Lockheed Martin Corporation.... $ 3,153,669
-----------
AUTOMOTIVES -- 0.9%
21,400 Dana Corporation............... 453,412
78,850 Genuine Parts Company.......... 1,577,000
-----------
2,030,412
-----------
BANKING AND FINANCE -- 6.8%
31,000 Bank of America Corporation.... 1,333,000
86,882 Bank One Corporation........... 2,307,803
53,473 Citigroup, Inc................. 3,221,748
53,200 Firstar Corporation............ 1,120,525
23,800 KeyCorp........................ 419,475
58,300 Mercantile Bankshares
Corporation ................. 1,738,069
24,500 Morgan (J.P.) & Company, Inc... 2,698,062
61,100 National City Corporation...... 1,042,519
57,630 Wells Fargo Company............ 2,233,162
-----------
16,114,363
-----------
BUILDING AND CONSTRUCTION -- 0.3%
44,400 Armstrong Holdings, Inc........ 679,875
-----------
COMMUNICATIONS -- 0.7%
34,100 Motorola, Inc.................. 991,031
17,800 Vodafone Airtouch Plc, ADR..... 737,587
-----------
1,728,618
-----------
COMPUTER SERVICES AND SOFTWARE -- 0.5%
48,400 Compaq Computer Corporation.... 1,237,225
-----------
CONSUMER PRODUCTS -- 4.3%
107,400 Pall Corporation............... 1,986,900
76,200 Philip Morris Companies, Inc... 2,024,062
24,900 Procter & Gamble Company....... 1,425,525
71,100 Stanley Works.................. 1,688,625
27,600 Tupperware Corporation......... 607,200
23,800 Unilever NV, CVA............... 1,091,842
95,800 UST, Inc....................... 1,407,062
-----------
10,231,216
-----------
COSMETICS AND TOILETRIES -- 2.9%
38,100 Gillette Company............... 1,331,119
78,400 International Flavors
& Fragrances, Inc............ 2,366,700
56,800 Kimberly-Clark Corporation..... 3,258,900
-----------
6,956,719
-----------
DIVERSIFIED -- 4.0%
71,400 Disney (Walt) Company.......... 2,771,212
19,000 Eaton Corporation.............. 1,273,000
59,500 Fortune Brands, Inc............ 1,372,219
69,300 Hasbro, Inc.................... 1,043,831
24,900 PPG Industries, Inc............ 1,103,381
88,600 Xerox Corporation.............. 1,838,450
-----------
9,402,093
-----------
VALUE
SHARES (NOTE 1)
------ --------
DIVERSIFIED CHEMICALS -- 1.5%
35,400 Dow Chemical Company........... $ 1,068,637
56,800 du Pont (E.I.) de Nemours
& Company.................... 2,485,000
-----------
3,553,637
-----------
DRUGS -- 1.6%
71,272 Pharmacia Corporation.......... 3,683,871
-----------
ELECTRICAL EQUIPMENT -- 1.4%
23,800 Boeing Company................. 995,137
17,807 Cooper Industries, Inc......... 579,840
67,300 Hubbell, Inc., Class B......... 1,716,150
-----------
3,291,127
-----------
ENERGY SERVICES -- 2.5%
43,800 Duke Energy Corporation........ 2,469,225
57,900 Niagara Mohawk Holdings, Inc.+. 806,981
50,600 Reliant Energy, Inc............ 1,495,863
30,911 Scottish Power Plc............. 1,033,587
-----------
5,805,656
-----------
FINANCIAL SERVICES -- 5.5%
45,500 American General Corporation... 2,775,500
39,200 Block (H&R), Inc............... 1,269,100
56,700 Fannie Mae..................... 2,959,031
104,058 FleetBoston Financial Corporation 3,537,972
71,674 St. Paul Companies, Inc........ 2,445,875
-----------
12,987,478
-----------
FOOD AND BEVERAGES -- 8.1%
19,000 Anheuser-Busch Companies, Inc.. 1,419,063
36,000 Brown-Forman Corporation,
Class B ..................... 1,935,000
58,500 Campbell Soup Company.......... 1,703,813
116,500 General Mills, Inc............. 4,456,125
73,700 Heinz (H.J.) Company........... 3,224,375
65,300 Hershey Foods Corporation...... 3,167,050
34,400 Kellogg Company................ 1,023,400
65,600 McCormick & Company, Inc....... 2,132,000
-----------
19,060,826
-----------
INSURANCE -- 3.2%
38,500 Chubb Corporation.............. 2,367,750
42,000 Lincoln National Corporation... 1,517,250
65,500 SAFECO Corporation............. 1,301,813
112,600 UnumProvident Corporation...... 2,259,038
-----------
7,445,851
-----------
LODGING -- 1.8%
146,100 Hilton Hotels Corporation...... 1,369,688
91,426 Starwood Hotels and Resorts
Worldwide, Inc............... 2,977,059
-----------
4,346,747
-----------
See Notes to Financial Statements.
30
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
MANUFACTURING -- 0.7%
52,400 Rockwell International
Corporation ................. $ 1,650,600
-----------
MEDIA AND COMMUNICATIONS -- 2.3%
58,200 Dun & Bradstreet Corporation... 1,665,975
43,600 Knight-Ridder, Inc............. 2,318,975
37,000 Reader's Digest Association,
Inc., Class A................ 1,470,750
-----------
5,455,700
-----------
MEDICAL SUPPLIES AND EQUIPMENT -- 0.5%
41,600 Becton, Dickinson & Company.... 1,193,400
-----------
METALS / MINING -- 2.1%
36,900 Minnesota Mining
& Manufacturing Company...... 3,044,250
42,836 Newmont Mining Corporation..... 926,329
23,500 Phelps Dodge Corporation....... 873,906
-----------
4,844,485
-----------
PAPER AND PAPER PRODUCTS -- 2.3%
6,000 Consolidated Papers, Inc....... 219,375
112,400 Fort James Corporation......... 2,599,250
89,193 International Paper Company.... 2,659,066
-----------
5,477,691
-----------
PETROLEUM - DOMESTIC -- 0.6%
54,000 USX-Marathon Group............. 1,353,375
-----------
PETROLEUM - INTERNATIONAL -- 12.0%
35,700 Amerada Hess Corporation....... 2,204,475
120,774 BP Amoco Plc, Sponsored ADR.... 6,831,279
43,400 Chevron Corporation............ 3,680,863
78,261 Exxon Mobil Corporation........ 6,143,489
55,600 Royal Dutch Petroleum Company,
NY Shares.................... 3,422,875
63,700 Texaco, Inc.................... 3,392,025
81,000 Unocal Corporation............. 2,683,125
-----------
28,358,131
-----------
PHARMACEUTICALS -- 3.6%
57,600 Abbott Laboratories............ 2,566,800
74,600 American Home Products
Corporation.................. 4,382,750
19,000 Merck & Company, Inc........... 1,455,875
-----------
8,405,425
-----------
PHOTOGRAPHY EQUIPMENT AND SUPPLIES -- 1.3%
49,900 Eastman Kodak Company.......... 2,969,050
-----------
PRINTING AND PUBLISHING -- 1.2%
64,500 Donnelley (R.R.) & Sons Company 1,455,281
18,900 Dow Jones & Company, Inc....... 1,384,425
-----------
2,839,706
-----------
VALUE
SHARES (NOTE 1)
------ --------
RAILROADS -- 1.9%
120,400 Norfolk Southern Corporation... $ 1,790,950
71,000 Union Pacific Corporation...... 2,640,313
-----------
4,431,263
-----------
REAL ESTATE -- 1.5%
64,500 Rouse Company.................. 1,596,375
82,832 Simon Property Group, Inc...... 1,837,835
-----------
3,434,210
-----------
RETAIL -- 2.0%
48,150 May Department Stores Company.. 1,155,600
43,100 Penney (J.C.) Company, Inc..... 794,656
191,100 Toys "R" Us, Inc.+............. 2,782,894
-----------
4,733,150
-----------
SPECIALTY CHEMICALS -- 1.5%
52,800 Great Lakes Chemical Corporation 1,663,200
82,200 Hercules, Inc.................. 1,155,938
23,900 Imperial Chemical Industries
Plc, Sponsored ADR........... 736,419
-----------
3,555,557
-----------
TECHNOLOGY -- 1.5%
28,600 BMC Software, Inc.+............ 1,043,453
23,800 Microsoft Corporation+......... 1,904,000
38,400 Unisys Corporation+............ 559,200
-----------
3,506,653
-----------
TELECOMMUNICATIONS -- 6.8%
55,000 ALLTEL Corporation............. 3,406,563
46,850 AT&T Corporation............... 1,481,631
38,100 BellSouth Corporation.......... 1,624,013
61,600 GTE Corporation................ 3,834,600
110,774 SBC Communications, Inc. 4,790,976
11,900 US West, Inc................... 1,020,425
-----------
16,158,208
-----------
UTILITIES -- 5.0%
60,500 Baker Hughes, Inc.............. 1,936,000
59,100 Bell Atlantic Corporation...... 3,003,019
38,100 Entergy Corporation............ 1,035,844
75,050 FirstEnergy Corporation........ 1,754,294
83,200 Southern Company............... 1,939,600
52,400 Unicom Corporation............. 2,027,225
-----------
11,695,982
-----------
WASTE DISPOSAL -- 0.9%
112,362 Waste Management, Inc.......... 2,134,878
-----------
Total Common Stock
(Cost $233,012,396).......... 223,906,847
-----------
See Notes to Financial Statements.
31
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE EQUITY INCOME PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
COMMERCIAL PAPER -- 2.1%
Corporate Asset Funding:
$ 3,475,000 6.550% due 07/12/00........... $ 3,468,045
1,500,000 6.600% due 08/29/00........... 1,483,775
-----------
Total Commercial Paper
(Cost $4,951,820)............ 4,951,820
-----------
SHARES
------
MUTUAL FUNDS -- OPEN END -- 2.7%
6,472,279 Reserve Investment Fund
5.499% due 07/03/00.......... 6,472,279
-----------
Total Mutual Funds - Open End
(Cost $6,472,279)............ 6,472,279
-----------
TOTAL INVESTMENTS
(COST $244,436,495*).............. 99.8% 235,330,946
OTHER ASSETS AND LIABILITIES
(NET)............................. 0.2% 421,052
------- ------------
NET ASSETS........................... 100.0% $235,751,998
======= ============
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 2,759,509
Accumulated net realized gains on investments,
foreign currencies and net other assets.... 11,348,811
Net unrealized depreciation of investments,
foreign currencies and net other assets.... (9,109,766)
Paid-in capital.............................. 230,753,444
------------
TOTAL NET ASSETS............................. $235,751,998
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 16.84
============
Number of Portfolio shares outstanding....... 13,997,672
============
--------------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
Abbreviations:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
32
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 96.9%
BANKING AND FINANCE -- 6.9%
50,800 Bank of New York Company, Inc.. $ 2,362,200
11,250 Chase Manhattan Corporation
(The) ....................... 518,203
87,848 Citigroup, Inc................. 5,292,842
43,600 Fannie Mae..................... 2,275,375
104,000 Firstar Corporation............ 2,190,500
122,300 Freddie Mac.................... 4,953,150
12,400 State Street Corporation....... 1,315,175
28,400 Wells Fargo Company............ 1,100,500
-----------
20,007,945
-----------
BUSINESS SERVICES -- 0.8%
6,100 Lexmark International Group,
Inc., Class A+............... 410,225
50,700 Randstad Holding N.V........... 1,875,725
-----------
2,285,950
-----------
COMMUNICATIONS -- 3.5%
48,900 Nortel Networks Corporation.... 3,337,425
8,600 PMC-Sierra, Inc.+.............. 1,528,112
10,300 QUALCOMM, Inc.+................ 618,000
104,830 Worldcom, Inc.................. 4,809,076
-----------
10,292,613
-----------
COMPUTER SERVICES AND SOFTWARE -- 17.7%
60,800 America Online, Inc.+.......... 3,207,200
23,300 Ariba, Inc.+................... 2,284,492
49,900 Automatic Data Processing, Inc. 2,672,769
53,900 BMC Software, Inc.+............ 1,966,508
39,700 Ceridian Corporation+.......... 955,281
122,300 Cisco Systems, Inc.+........... 7,773,694
16,700 Computer Associates
International, Inc........... 854,831
96,300 Dell Computer Corporation+..... 4,748,794
37,300 Intel Corporation.............. 4,986,544
90,000 Microsoft Corporation+......... 7,200,000
54,500 Oracle Corporation+............ 4,581,406
18,400 Peregrine Systems, Inc.+....... 638,250
15,300 Siebel Systems, Inc.+.......... 2,502,506
3,200 SOFTBANK Corporation........... 434,328
17,700 Sun Microsystems, Inc.+........ 1,609,594
22,575 VERITAS Software Corporation+.. 2,551,328
16,700 Vitria Technology, Inc.+....... 1,020,787
11,400 Yahoo!, Inc.+.................. 1,412,175
-----------
51,400,487
-----------
CONSUMER PRODUCTS -- 2.6%
17,700 Corning, Inc................... 4,776,787
21,600 Gillette Company............... 754,650
35,000 Masco Corporation.............. 632,187
55,300 Philip Morris Companies, Inc... 1,468,906
-----------
7,632,530
-----------
VALUE
SHARES (NOTE 1)
------ --------
DIVERSIFIED OPERATIONS -- 7.2%
57,900 First Data Corporation......... $ 2,873,287
98,400 General Electric Company....... 5,215,200
208,010 Hutchison Whampoa, Ltd......... 2,614,968
14,100 PE Corporation-PE Biosystems
Group........................ 928,837
17,100 Teleflex, Inc.................. 611,325
257,260 Tomkins Plc.................... 834,963
116,844 Tyco International, Ltd........ 5,535,484
18,100 Waters Corporation+............ 2,259,106
-----------
20,873,170
-----------
ELECTRONIC COMPONENTS -- 10.0%
916 Agilent Technologies, Inc...... 67,555
27,600 Altera Corporation+............ 2,813,475
8,800 Analog Devices+................ 668,800
12,000 Applied Micro Circuits......... 1,185,000
21,500 Atmel Corporation+............. 792,812
54,900 Flextronics International, Ltd.+ 3,770,944
14,400 Hewlett-Packard Company........ 1,798,200
7,400 Kyocera Corporation............ 1,254,781
42,400 Maxim Integrated Products, Inc.+ 2,880,550
70,000 Philips Electronics Nv......... 3,301,524
6,100 Samsung Electronics............ 2,018,699
4,600 SDL, Inc. +.................... 1,311,862
70,900 Solectron Corporation+......... 2,968,937
15,100 Sony Corporation............... 1,409,020
41,400 Texas Instruments, Inc......... 2,843,662
-----------
29,085,821
-----------
ENTERTAINMENT AND LEISURE -- 0.8%
16,900 Electronic Arts, Inc.+......... 1,232,644
30,500 Starwood Hotels & Resorts
Worldwide, Inc............... 993,156
-----------
2,225,800
-----------
FINANCIAL SERVICES -- 3.7%
13,500 AMBAC Financial Group, Inc..... 739,969
57,500 Associates First Capital
Corporation, Class A......... 1,282,969
47,800 Capital One Financial
Corporation ................. 2,133,075
56,600 Concord EFS, Inc.+............. 1,471,600
28,700 Hartford Financial Services
Group (The), Inc............. 1,605,406
25,400 Morgan Stanley Dean Witter
& Company.................... 2,114,550
14,100 Providian Financial Corporation 1,269,000
-----------
10,616,569
-----------
FOOD AND BEVERAGES -- 1.7%
25,700 Coca-Cola Company.............. 1,476,144
71,000 Compass Group Plc.............. 935,179
59,500 PepsiCo, Inc................... 2,644,031
-----------
5,055,354
-----------
See Notes to Financial Statements.
33
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
GAMING -- 0.7%
62,000 MGM Private Placement.......... $ 1,891,620
-----------
HEALTH CARE SERVICES -- 4.6%
41,000 American Home Products
Corporation.................. 2,408,750
12,300 Amgen, Inc.+................... 864,075
20,700 Bristol-Myers Squibb Company... 1,205,775
34,500 Lilly (Eli) & Company.......... 3,445,687
33,600 Unitedhealth Group, Inc........ 2,881,200
37,200 Wellpoint Health Networks, Inc.+ 2,694,675
-----------
13,500,162
-----------
INSURANCE -- 2.1%
119,000 Ace Ltd........................ 3,332,000
1,800 Fairfax Financial Holdings, Ltd.+ 197,027
2,700 Fairfax Financial Holdings, Ltd.++ 295,541
6,800 Marsh & McLennan Companies, Inc. 710,175
30,532 Mutual Risk Management, Ltd.... 528,585
12,500 PartnerRe, Ltd................. 442,969
9,800 XL Capital, Ltd., Class A...... 530,425
-----------
6,036,722
-----------
MACHINERY -- 1.5%
35,600 Applied Materials, Inc.+....... 3,226,250
25,400 Danaher Corporation............ 1,255,712
-----------
4,481,962
-----------
MEDIA AND COMMUNICATIONS -- 4.1%
85,000 AT&T Corporation - Liberty Media
Group, Class A+.............. 2,061,250
23,700 Clear Channel Communications,
Inc.+........................ 1,777,500
75,000 Comcast Corporation,
Special Class A+............. 3,037,500
47,200 Infinity Broadcasting
Corporation, Class A+........ 1,719,850
4,800 Macromedia, Inc.+.............. 464,100
20,100 Omnicom Group, Inc............. 1,790,156
15,200 Time Warner, Inc............... 1,155,200
-----------
12,005,556
-----------
MEDICAL PRODUCTS -- 1.9%
47,300 Baxter International, Inc...... 3,325,781
44,061 Pharmacia Corporation.......... 2,277,403
-----------
5,603,184
-----------
OIL AND GAS -- 0.9%
76,800 Baker Hughes, Inc.............. 2,457,600
-----------
PAPER AND PAPER PRODUCTS -- 0.3%
17,428 Kimberly-Clark Corporation..... 999,932
-----------
PETROLEUM - INTERNATIONAL -- 2.8%
25,000 Chevron Corporation............ 2,120,313
35,995 Exxon Mobil Corporation........ 2,825,608
52,500 Royal Dutch Petroleum Company,
NY Shares.................... 3,232,031
-----------
8,177,952
-----------
VALUE
SHARES (NOTE 1)
------ --------
PHARMACEUTICALS -- 5.6%
14,100 Genentech, Inc.+............... $ 2,425,200
24,900 MedImmune, Inc.+............... 1,842,600
13,800 Merck & Company, Inc........... 1,057,425
196,850 Pfizer, Inc.................... 9,448,800
32,000 Schering-Plough Corporation.... 1,616,000
-----------
16,390,025
-----------
PUBLISHING -- 1.4%
15,500 Ver Ned Uitgevers.............. 800,605
49,150 Viacom, Inc., Class B+......... 3,351,416
-----------
4,152,021
-----------
RETAIL -- 6.7%
28,600 Circuit City Stores-Circuit City
Group........................ 949,163
61,318 CVS Corporation................ 2,452,720
50,600 Home Depot, Inc................ 2,526,838
82,000 Kroger Company+................ 1,809,125
29,800 Lowe's Companies, Inc.......... 1,223,663
11,800 McDonald's Corporation......... 388,663
19,200 Priceline.com Inc.+............ 729,300
82,700 Safeway, Inc.+................. 3,731,838
20,400 Target Corporation............. 1,183,200
47,600 Wal Mart De Mexico Spons ADR... 1,117,077
57,600 Wal-Mart Stores, Inc........... 3,319,200
-----------
19,430,787
-----------
TECHNOLOGY -- 0.9%
23,000 Sandisk Corporation+........... 1,407,313
17,800 United Technologies Corporation 1,047,975
-----------
2,455,288
-----------
TELECOMMUNICATIONS -- 7.9%
72,000 China Telecom.................. 634,982
42,600 China Unicom - ADR............. 905,250
7,100 Crown Castle International
Corporation+................. 259,150
75,400 Ericsson Lm, B Shares.......... 1,491,927
29,100 JDS Uniphase Corporation+...... 3,488,363
19,200 Motorola, Inc.................. 558,000
59,600 Nextel Communications, Inc.,
Class A+..................... 3,646,775
46,000 NEXTLINK Communications, Inc.,
Class A+..................... 1,745,125
49,900 Nokia Corporation, Sponsored ADR 2,491,881
33,600 Sprint Corporation (PCS Group)+ 1,999,200
1 Tele Norte Leste Participacoes
SA, ADR...................... 21
9,120 Telecomunicacoes de Sao Paulo SA
(Telesp), ADR................ 168,720
24,000 Telesp Celular Participacoes,
ADR ......................... 1,077,000
876,104 Vodafone AirTouch Plc.......... 3,539,439
23,550 Vodafone AirTouch Plc,
Sponsored ADR................ 975,853
-----------
22,981,686
-----------
See Notes to Financial Statements.
34
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE GROWTH STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
TRANSPORTATION -- 0.6%
19,500 Kansas City Southern Industries,
Inc.......................... $ 1,729,406
-----------
Total Common Stock
(Cost $216,491,933).......... 281,770,142
-----------
PRINCIPAL
AMOUNT
--------
COMMERCIAL PAPER -- 2.4%
Corporate Asset Funding
$ 855,000 6.703% due 07/12/00#......... 853,289
3,415,000 6.600% due 08/29/00.......... 3,378,061
2,600,000 Park Avenue Receivables
6.580% due 07/20/00.......... 2,590,971
-----------
Total Commercial Paper
(Cost $6,822,321)............ 6,822,321
-----------
SHARES
------
MUTUAL FUNDS -- OPEN END -- 0.7%
2,159,000 Reserve Investment Fund
5.499% due 07/03/00.......... 2,159,000
-----------
Total Mutual Funds - Open End
(Cost $2,159,000)............ 2,159,000
-----------
TOTAL INVESTMENTS
(COST $225,473,254*).............. 100.0% 290,751,463
OTHER ASSETS AND LIABILITIES
(NET)**........................... (0.0)% (29,420)
------- ------------
NET ASSETS........................... 100.0% $290,722,043
======= ============
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 25,115
Accumulated net realized gains on investments,
foreign currencies and net other assets.... 20,113,585
Net unrealized appreciation of investments,
foreign currencies and net other assets.... 65,279,630
Paid-in capital.............................. 205,303,713
------------
TOTAL NET ASSETS............................. $290,722,043
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 27.78
============
Number of Portfolio shares outstanding....... 10,466,815
============
--------------------
* Aggregate cost for federal tax purposes.
** Amount represents less than 0.1%.
+ 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.
35
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- 95.2%
ARGENTINA -- 0.1%
7,150 Telefonos de Argentina S.A.,
Sponsored ADR................ $ 254,967
-----------
AUSTRALIA -- 1.9%
21,000 Brambles Industries Ltd........ 644,731
36,064 Commonwealth Bank of Australia. 597,220
23,650 Lend Lease Corporation Ord..... 301,378
89,106 News Corporation (The) Ltd..... 1,225,666
72,000 Publishing and Broadcasting Ltd. 553,316
43,000 Tabcorp Holdings Ltd........... 246,875
28,000 Telstra Corporation Ltd........ 63,633
137,049 Telstra Corporation Ltd.+...... 555,703
-----------
4,188,522
-----------
BELGIUM -- 0.7%
3,672 Dexia Belgium (Credit Communal) 541,652
24,838 Fortis Class B................. 722,805
1,032 Societe Europeenne des Satellites 169,965
2,750 UCB S.A........................ 101,032
-----------
1,535,454
-----------
BRAZIL -- 1.6%
10,000 Embratel Participacoes S.A., ADR+ 236,250
1 Tele Norte Leste Participacoes
SA, ADR...................... 14
4,661 Tele Sudeste Celular
Participacoes SA, ADR........ 217,584
23,305 Telecomunicacoes de Sao Paulo.. 2,263,498
23,305 Telecomunicacoes de Sao Paulo SA
(Telesp), ADR................ 646,871
8,073 Unibanco-Uniao De Bancos Brasileirs,
GDR.......................... 232,099
-----------
3,596,316
-----------
CANADA -- 1.2%
7,210 Alcan Aluminum Ltd............. 224,095
23,995 Celestica, Inc................. 1,190,752
13,930 Nortel Networks Corporation.... 966,629
3,920 Royal Bank of Canada........... 200,635
-----------
2,582,111
-----------
DENMARK -- 0.1%
4,490 Tele Danmark AS, Series B...... 302,206
-----------
FINLAND -- 2.9%
124,720 Nokia Oyj...................... 6,364,632
-----------
VALUE
SHARES (NOTE 1)
------ --------
FRANCE -- 11.9%
39,810 Alcatel........................ $ 2,611,190
1,720 Altran Technologies S.A........ 336,809
3,363 Aventis S.A.+.................. 241,133
25,869 Aventis S.A., Series A......... 1,888,194
17,317 Axa Company+................... 2,728,011
22,280 Banque Nationale de Paris...... 2,144,200
1,110 Canal Plus..................... 186,520
3,370 Cap Gemini S.A................. 593,630
3,020 Carrefour S.A.................. 206,447
4,170 Compagnie de Saint-Gobain...... 563,753
6,732 Equant NV+..................... 273,549
1,400 Groupe Danone.................. 185,794
2,680 Hermes International........... 362,060
302 L'OREAL........................ 261,519
1,215 Lafarge S.A. Bearer Shares..... 94,426
3,573 Legrand S.A.................... 801,660
1,274 LVMH (Louis Vuitton Moet
Hennessy) ................... 525,342
30,786 Sanofi S.A..................... 1,466,707
3,192 Schneider S.A.................. 222,472
6,746 Societe Generale A............. 405,767
1,594 Sodexho Alliance S.A........... 289,155
46,500 Societe Television Francaise 1. 3,240,898
23,740 Total Fina S.A., Class B....... 3,640,120
38,254 Vivendi........................ 3,376,551
-----------
26,645,907
-----------
GERMANY -- 4.6%
3,690 Allianz AG..................... 1,338,750
6,873 Bayer AG....................... 267,729
22,012 Bayerische HypoVereinsbank..... 1,431,186
18,791 Deutsche Bank AG............... 1,550,077
19,171 Deutsche Telekom AG............ 1,090,889
10,050 Gehe AG........................ 321,440
14,567 Infineon Technologies AG+...... 1,154,351
3,746 Rhon-Klimikum AG............... 148,424
11,940 SAP AG......................... 1,784,055
840 SAP AG-Vorzug+................. 155,185
2,488 Siemens AG..................... 374,128
15,081 VEBA AG........................ 740,087
-----------
10,356,301
-----------
HONG KONG -- 3.4%
164,400 Cable and Wireless HKT Ltd..... 361,678
105,000 Cheung Kong Holdings Ltd....... 1,161,728
217,000 China Telecom.................. 1,913,764
324,000 China Unicom................... 687,858
103,000 Dao Heng Bank Group Ltd........ 455,840
89,000 Henderson Land Development
Company...................... 391,598
136,900 Hutchison Whampoa Ltd.......... 1,721,019
339,000 Pacific Century CyberWorks Ltd. 669,694
28,000 Sun Hung Kai Properties Ltd.... 201,142
-----------
7,564,321
-----------
See Notes to Financial Statements.
36
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
INDIA -- 1.3%
21,175 Global Tele-Systems Ltd........ $ 634,823
16,000 Hindustan Lever Ltd............ 1,016,385
24,833 ICICI Ltd.,Sponsored ADR+...... 465,619
109,000 ICICI Ltd...................... 306,250
95,000 Mahanagar Telephone Niagam Ltd.,
GDR.......................... 456,489
-----------
2,879,566
-----------
IRELAND -- 0.2%
9,569 SmartForce Plc, Sponsored ADR+ 459,312
-----------
ITALY -- 5.5%
60,000 Alleanza Assicurazioni......... 790,533
471,362 Banca Intesa S.p.A............. 2,110,653
110,000 Bipop-Carire S.p.A............. 863,285
225,553 Credito Italiano............... 1,081,040
194,772 Ente Nazionale Idrocarburi..... 1,123,189
17,000 Mediaset S.p.A................. 260,341
54,765 Mediolanum Shares.............. 895,151
8,384 San Paolo IMI.................. 148,406
88,600 Tecnost S.p.A.................. 336,671
133,315 Telecom Italia S.p.A........... 1,829,049
271,353 Tim S.p.A...................... 2,779,866
-----------
12,218,184
-----------
JAPAN -- 19.2%
13,000 Bridgestone Corporation........ 275,084
60,000 Canon, Inc..................... 2,986,003
35 DDI Corporation................ 336,491
42 East Japan Railway Company..... 243,857
8,100 Fanuc Ltd...................... 823,781
175,000 Fuji Bank (The), Ltd........... 1,329,469
89 Fuji Television Network, Inc... 1,392,526
41,000 Fujitsu Ltd.................... 1,418,257
26,000 Hitachi Ltd.................... 374,947
7,000 Ito-Yokado Company Ltd......... 420,943
12,000 Kao Corporation................ 366,464
17,000 Kokuyo Company Ltd............. 278,646
9,000 Komori Corporation............. 157,274
15,000 Kyocera Corporation............ 2,543,475
24,000 Makita Corporation............. 228,701
35,000 Marui Company Ltd.............. 669,683
75,000 Matsushita Electric Industrial
Company...................... 1,944,012
108,000 Mitsui Fudosan Company Ltd..... 1,170,649
18,000 Murata Manufacturing Company
Ltd.......................... 2,582,214
92,000 NEC Corporation................ 2,887,601
231 Nippon Telegraph & Telephone
Corporation.................. 3,069,984
77,000 Nomura Securities Company Ltd.. 1,883,359
88 NTT Mobile Communications
Network Shares............... 2,380,508
25,000 Sankyo Company Ltd............. 564,353
13,240 Seven-Eleven Japan Company
Ltd., New.................... 1,106,921
VALUE
SHARES (NOTE 1)
------ --------
JAPAN (CONTINUED)
13,000 Shinetsu Chemical Company
Ltd.......................... $ 659,220
32,000 Shiseido Company Ltd........... 494,651
5,100 SOFTBANK Corporation........... 692,210
29,300 Sony Corporation............... 2,734,059
111,000 Sumitomo Bank Ltd.............. 1,360,102
48,000 Sumitomo Corporation........... 539,743
17,000 Sumitomo Electric Industries Ltd. 291,305
6,000 TDK Corporation................ 861,869
209,000 Toshiba Corporation............ 2,358,009
27,000 Yamanouchi Pharmaceutical
Company Ltd.................. 1,473,491
-----------
42,899,861
-----------
KOREA -- 1.5%
16,600 Korea Telecom Corporation,
Sponsored ADR+............... 803,025
5,343 Pohang Iron & Steel Company Ltd.,
Sponsored ADR................ 128,232
7,001 Samsung Electronics Company.... 2,316,871
-----------
3,248,128
-----------
MEXICO -- 2.3%
121,340 FEMSA (Fomento Economico
Mex S.A.), Units............. 517,652
16,000 Grupo Iusacell ADR............. 250,000
30,285 Grupo Televisa-GDR (2 Part Cert) 2,087,772
38,728 Telefonos de Mexicano S.A. de CV,
ADS.......................... 2,212,337
-----------
5,067,761
-----------
NETHERLANDS -- 6.9%
10,250 ABN Amro Holdings NV........... 251,113
2,296 Akzo Nobel NV.................. 97,549
38,030 ASM Lithography, Holding NV+... 1,634,637
10,964 CSM CVA Non-Exchange Shares.... 215,638
36,960 Fortis NV...................... 1,075,917
1,619 Gucci Group NV-NY Shares....... 153,400
38,040 ING Groep NV, CVA Shares....... 2,571,362
13,228 Koninklijke KPN NV............. 591,689
57,472 Philips Electronics NV......... 2,710,646
22,420 Royal Dutch Petroleum Company.. 1,393,497
19,943 STMicroelectronics NV+......... 1,256,678
2,234 TNT Post Groep NV Shares....... 60,255
14,108 United Pan-Europe Communications
NV........................... 368,933
46,220 VNU NV......................... 2,387,353
22,748 Wolters Kluwer NV.............. 605,950
-----------
15,374,617
-----------
NEW ZEALAND -- 0.1%
97,000 Telecom Corporation of New
Zealand, Ltd.+............... 338,995
-----------
NORWAY -- 0.2%
24,730 Orkla ASA, A Shares............ 469,894
-----------
See Notes to Financial Statements.
37
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCK -- (CONTINUED)
PORTUGAL -- 0.1%
15,213 Jeronimo Martins SGPS.......... $ 250,695
-----------
SINGAPORE -- 0.4%
128,272 United Overseas Bank Ltd. (F).. 839,301
-----------
SPAIN -- 3.1%
107,063 Banco Bilbao Vizcaya+.......... 1,599,717
121,367 Banco Santander Central Hispano
S.A. (Banesto)............... 1,280,420
59,798 Endesa S.A..................... 1,158,399
29,353 Repsol S.A..................... 584,316
108,967 Telefonica S.A................. 2,340,815
-----------
6,963,667
-----------
SWEDEN -- 3.3%
4,642 ABB AB+........................ 537,944
5,550 Atlas Copco AB, Series B....... 103,838
22,740 Electrolux Company AB, Series B 351,968
140,390 Ericsson Lm, B Shares.......... 2,777,872
31,350 Hennes & Mauritz AB, Series B.. 654,088
153,221 Nordbanken Holding AB.......... 1,155,370
24,773 Nordic Baltic Holding.......... 180,685
7,410 Sandvik AB, Series B........... 155,443
73,774 Securitas AB, Series B......... 1,564,320
-----------
7,481,528
-----------
SWITZERLAND -- 3.8%
7,863 ABB Ltd.+...................... 941,092
2,785 Adecco S.A..................... 2,366,145
4,620 Credit Suisse Group,
Registered Shares............ 918,987
1,026 Nestle S.A., Registered Shares. 2,053,447
59 Roche Holding AG, Genusch..... 574,322
675 Swisscom....................... 233,779
9,924 UBS AG, Registered Shares+..... 1,453,910
-----------
8,541,682
-----------
TAIWAN -- 1.0%
109,000 Hon Hai Precision Industry
Company Ltd.................. 986,233
245,840 Taiwan Semiconductor
Manufacturing Company........ 1,168,190
-----------
2,154,423
-----------
UNITED KINGDOM -- 17.9%
26,000 Abbey National Plc............. 310,791
34,433 AstraZeneca Group Plc.......... 1,607,302
27,980 B G Group Plc.................. 180,777
66,000 Baltimore Tech Ord............. 502,319
107,000 BP Amoco Common Stock.......... 1,026,457
163,000 Cable & Wireless Plc........... 2,759,848
94,436 Cadbury Schweppes Plc.......... 620,147
28,000 Celltech Group Plc+............ 542,295
41,600 Centrica Plc+.................. 138,794
153,000 Compass Group Plc.............. 2,015,244
VALUE
SHARES (NOTE 1)
------ --------
UNITED KINGDOM -- (CONTINUED)
114,064 Diageo Plc..................... $ 1,023,460
31,000 Electrocomponents Plc.......... 318,258
7,000 GKN Plc........................ 89,288
135,900 Glaxo Wellcome Plc............. 3,962,495
18,200 Hays Plc....................... 101,479
26,000 HSBC Holdings Plc.............. 296,838
91,000 Kingfisher Plc................. 828,218
45,000 Ladbroke Group Plc............. 157,968
64,500 Marconi Plc.................... 839,316
286,000 Reed International Plc......... 2,488,292
62,000 Rio Tinto Plc.................. 1,013,172
184,520 Royal Bank of Scotland Group Plc 3,087,920
370,000 Shell Transport & Trading
Company ..................... 3,087,555
42,000 Smith (David S.) Holdings Plc.. 100,727
166,900 SmithKline Beecham Plc......... 2,184,439
58,000 Standard Chartered Plc......... 722,263
124,800 Tesco Plc...................... 388,056
176,364 Tomkins Plc.................... 572,407
84,857 Unilever Plc................... 513,588
32,200 United News & Media Plc........ 462,857
1,457,634 Vodafone AirTouch Plc.......... 5,888,806
145,000 WPP Group Plc.................. 2,117,205
-----------
39,948,581
-----------
Total Common Stock
(Cost $166,419,600).......... 212,526,932
-----------
PREFERRED STOCK -- 1.8%
AUSTRALIA -- 0.9%
163,107 News Corporation (The) Ltd..... 1,967,018
-----------
BRAZIL -- 0.9%
2,204,000 Banco Itau S.A. PN Shares of NPV 193,698
50,535 Petroleo Brasiliero S.A.
Petrobras ................... 1,527,133
9,567,586 Telecomunicacoes de Sao Paulo.. 179,681
8,552,056 Telesp Celular Participacoes
S.A.+ ....................... 154,587
-----------
2,055,099
-----------
Total Preferred Stock
(Cost $3,255,664)............ 4,022,117
-----------
TOTAL INVESTMENTS
(COST $169,675,264*).............. 97.0% 216,549,049
OTHER ASSETS AND LIABILITIES
(NET)............................. 3.0% 6,768,641
------- ------------
NET ASSETS........................... 100.0% $223,317,690
======= ============
See Notes to Financial Statements.
38
<PAGE>
-------------------------------
STATEMENT OF NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
JUNE 30, 2000 (UNAUDITED)
VALUE
(NOTE 1)
--------
NET ASSETS CONSIST OF:
Undistributed net investment income.......... $ 116,319
Accumulated net realized gains on investments,
foreign currencies and net other assets.... 18,211,725
Net unrealized appreciation of investments,
foreign currencies and net other assets.... 46,882,027
Paid-in capital.............................. 158,107,619
------------
TOTAL NET ASSETS............................. $223,317,690
============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding ............................... $ 17.64
============
Number of Portfolio shares outstanding....... 12,657,026
============
--------------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
Abbreviations:
ADR -- American Depositary Receipt
ADS -- American Depositary Shares
(F) -- Foreign or Alien Shares
GDR -- Global Depositary Receipt
Ord.-- Ordinary
At June 30, 2000, sector diversification of the Portfolio was as follows:
% OF VALUE
SECTOR DIVERSIFICATION NET ASSETS (NOTE 1)
---------------------- ---------- --------
COMMON STOCK:
Telecommunications.................. 21.9% $49,008,796
Electronics and Instruments......... 12.7% 28,257,076
Health and Personal Care............ 9.8% 21,996,427
Banking............................. 9.5% 21,295,851
Broadcasting and Publishing......... 7.2% 16,045,842
Financial Services.................. 7.0% 15,690,737
Energy.............................. 5.5% 12,371,358
Multi Industry...................... 5.4% 12,168,825
Insurance........................... 3.4% 7,551,167
Food and Grocery Products........... 2.4% 5,254,220
Computers and Communication......... 2.3% 5,063,666
Retail Trade........................ 1.6% 3,467,312
Utilities........................... 1.4% 3,115,631
Real Estate......................... 1.3% 2,925,117
Metals and Mining................... 0.6% 1,365,499
Machinery and Engineering Services.. 0.6% 1,350,783
Diversified Industrial Manufacturing 0.6% 1,342,916
Construction and Building Materials. 0.5% 1,085,106
Entertainment and Leisure........... 0.4% 930,185
Household Products.................. 0.4% 865,556
Textiles and Apparel................ 0.2% 515,460
Chemicals........................... 0.2% 365,278
Transport and Storage............... 0.1% 304,112
Forestry and Paper Products......... 0.0%# 100,727
Automotive.......................... 0.0%# 89,285
------ ------------
TOTAL COMMON STOCK.................. 95.2% 212,526,932
TOTAL PREFERRED STOCK............... 1.8% 4,022,117
------ ------------
TOTAL INVESTMENTS................... 97.0% 216,549,049
OTHER ASSETS AND LIABILITIES........ 3.0% 6,768,641
------ ------------
NET ASSETS.......................... 100.0% $223,317,690
====== ============
--------------------
# Amount represents less than 0.1%
See Notes to Financial Statements.
39
<PAGE>
-------------------------------
STATEMENTS OF OPERATIONS
-------------------------------
ENDEAVOR SERIES TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
---------- ---------- ----------
DREYFUS U.S. ENDEAVOR ENDEAVOR
SMALL CAP GOVERNMENT ASSET ENHANCED ENDEAVOR
VALUE SECURITIES ALLOCATION INDEX HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ---------- --------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ............................. $ 701,539 $ -- $ 913,721 $ 1,051,070 $ --
Interest .............................. 61,607 2,424,771 3,798,308 112,568 903,659
Foreign taxes withheld ................ -- -- -- (4,320) --
----------- ----------- ----------- ----------- -----------
Total Investment Income ............ 763,146 2,424,771 4,712,029 1,159,318 903,659
----------- ----------- ----------- ----------- -----------
EXPENSES:
Investment management fee (Note 2) .... 803,686 249,446 1,538,756 597,123 80,012
Administration fees (Note 2) .......... 20,290 12,295 47,051 17,166 18,151
Custodian fees (Note 2) ............... 28,361 33,590 35,780 20,222 4,432
Transfer agent fees ................... 313 198 697 191 25
Marketing fees paid indirectly (Note 2) 347,174 -- 30,190 -- --
Professional fees ..................... 21,175 9,746 51,181 10,851 2,386
Amortization of organization costs (Note 5) -- -- -- 2,492 2,675
Trustees' fees and expenses (Note 2) .. 5,968 2,337 12,021 3,503 1,253
Printing fees ......................... 4,380 1,969 10,149 1,897 500
Insurance fees ........................ 2,906 1,328 6,496 2,097 295
Other ................................. 8,851 4,202 21,698 6,512 5,222
----------- ----------- ----------- ----------- -----------
Subtotal ........................... 1,243,104 315,111 1,754,019 662,054 114,951
Fees paid indirectly (Note 2) ......... (347,174) -- (30,190) -- --
Credits allowed by the custodian (Note 2) -- (29,579) -- -- (2,244)
----------- ----------- ----------- ----------- -----------
Total net expenses ................. 895,930 285,532 1,723,829 662,054 112,707
----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME/(LOSS) .......... (132,784) 2,139,239 2,988,200 497,264 790,952
----------- ----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN
CURRENCY (NOTES 1 AND 3):
Net realized gain/(loss) on:
Investments ........................ 20,631,248 (135,539) 23,447,696 (454,221) (1,012)
Futures contracts .................. -- (441,520) 65,855 (407,407) --
Forward foreign exchange contracts . -- -- -- -- 1,172
Foreign currencies and net other assets -- -- -- -- 172
----------- ----------- ----------- ----------- -----------
Net realized gain/(loss) on investments and
foreign currency during the period 20,631,248 (577,059) 23,513,551 (861,628) 332
----------- ----------- ----------- ----------- -----------
Net change in unrealized appreciation/
depreciation of:
Investments ........................ (1,339,040) 1,984,314 (4,766,291) (2,175,764) (640,017)
Futures contracts .................. -- (182,699) (336,099) (181,468) --
Forward foreign exchange contracts . -- -- -- -- --
Foreign currencies and net other assets -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Net change in unrealized
appreciation/depreciation of investments
and foreign currency during the period (1,339,040) 1,801,615 (5,102,390) (2,357,232) (640,017)
----------- ----------- ----------- ----------- -----------
Net realized and unrealized gain/(loss) on
investments and foreign currency
during the period .................. 19,292,208 1,224,556 18,411,161 (3,218,860) (639,685)
----------- ----------- ----------- ------------ -----------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $19,159,424 $ 3,363,795 $21,399,361 $(2,721,596) $ 151,267
=========== =========== =========== =========== ===========
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
<TABLE>
<CAPTION>
----------- ----------- ---------- -------------
T. ROWE T. ROWE T. ROWE
ENDEAVOR ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE
JANUS MONEY OPPORTUNITY ENDEAVOR VALUE EQUITY GROWTH INTERNATIONAL
GROWTH MARKET VALUE SELECT EQUITY INCOME STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- --------- ----------- ---------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 925,325 $ -- $ 233,018 $ 119,256 $ 1,461,019 $ 3,409,885 $ 960,548 $ 1,798,108
2,747,903 3,552,360 401,789 87,598 40,149 288,123 253,837 3,194
(445) -- -- (3,493) -- (10,204) (20,550) (198,259)
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
3,672,783 3,552,360 634,807 203,361 1,501,168 3,687,804 1,193,835 1,603,043
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
4,332,242 290,027 166,852 264,346 754,390 967,745 1,074,294 1,012,716
44,123 11,378 4,201 22,377 24,586 33,232 28,732 21,876
32,539 6,449 3,957 20,667 10,301 18,639 25,582 209,439
945 198 100 49 448 497 399 381
-- -- 16,528 -- 28,844 1,652 5,635 --
66,474 9,391 2,909 4,128 27,000 25,946 17,462 20,213
-- -- 2,590 4,676 -- -- -- --
19,599 3,296 708 1,343 7,458 6,143 4,715 5,447
16,654 895 1,088 636 6,465 3,711 5,622 4,193
16,444 1,790 692 655 3,387 3,999 4,033 3,496
15,370 3,935 1,542 1,690 9,055 10,761 7,882 15,906
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
4,544,390 327,359 201,167 320,567 871,934 1,072,325 1,174,356 1,293,667
-- -- (16,528) -- (28,844) (1,652) (5,635) --
(1,764) (569) (752) (3,872) (357) -- (753) (201,037)
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
4,542,626 326,790 183,887 316,695 842,733 1,070,673 1,167,968 1,092,630
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
(869,843) 3,225,570 450,920 (113,334) 658,435 2,617,131 25,867 510,413
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
25,232,056 (235) (771,253) 4,171,471 (7,333,523) 11,529,080 20,762,414 19,015,331
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
11,146 -- -- (77,702) -- (9,172) (163,978) (139,150)
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
25,243,202 (235) (771,253) 4,093,769 (7,333,523) 11,519,908 20,598,436 18,876,181
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
(46,911,171) -- (951,356) (6,711,478) (5,358,784) (22,612,808) 406,735 (28,551,452)
-- -- -- -- -- -- -- --
-- -- -- -- -- -- (5,285) --
-- -- -- 11,786 -- (3,636) 6,994 10,761
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
(46,911,171) -- (951,356) (6,699,692) (5,358,784) (22,616,444) 408,444 (28,540,691)
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
(21,667,969) (235) (1,722,609) (2,605,923) (12,692,307) (11,096,536) 21,006,880 (9,664,510)
------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------
$(22,537,812) $ 3,225,335 $ (1,271,689) $(2,719,257) $(12,033,872) $(8,479,405) $ 21,032,747 $ (9,154,097)
============ ============ ============ =========== ============ =========== ============ ============
----------- ----------- ---------- -------------
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
-------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
-------------------------------
ENDEAVOR SERIES TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
----------- ----------- -----------
DREYFUS U.S. ENDEAVOR ENDEAVOR
SMALL CAP GOVERNMENT ASSET ENHANCED ENDEAVOR
VALUE SECURITIES ALLOCATION INDEX HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Net investment income/(loss) ................ $ (132,784) $ 2,139,239 $ 2,988,200 $ 497,264 $ 790,952
Net realized gain/(loss) on investments,
futures contracts, forward foreign
exchange contracts, foreign
currencies and net other assets
during the period ........................ 20,631,248 (577,059) 23,513,551 (861,628) 332
Net change in unrealized appreciation/
depreciation of investments, futures
contracts, forward foreign exchange
contracts, foreign currencies and net
other assets during the period ........... (1,339,040) 1,801,615 (5,102,390) (2,357,232) (640,017)
------------ ------------ ------------- ------------ ------------
Net increase/(decrease) in net assets
resulting from operations ................ 19,159,424 3,363,795 21,399,361 (2,721,596) 151,267
Distributions to shareholders from net
investment income ........................ -- (4,743,313) (5,838,631) (767,531) (1,105,820)
Distributions to shareholders from
net realized gains ....................... (31,946,414) -- (32,107,241) (9,775,182) --
Net increase/(decrease) in net assets
from Portfolio share transactions
(Note 4) ................................. 37,912,376 (9,195,015) 16,966,863 29,227,723 3,308,191
------------ ------------ ------------- ------------ ------------
Net increase/(decrease) in net assets ....... 25,125,386 (10,574,533) 420,352 15,963,414 2,353,638
NET ASSETS:
Beginning of period ......................... 187,802,743 83,776,857 414,925,798 153,966,703 20,014,691
------------ ------------ ------------- ------------ ------------
End of period ............................... $212,928,129 $ 73,202,324 $ 415,346,150 $169,930,117 $ 22,368,329
============ ============ ============= ============ ============
Undistributed net investment
income/(loss)............................. $ (132,784) $ 2,138,617 $ 2,986,599 $ 496,394 $ 790,823
============ ============ ============= ============ ============
----------- ----------- -----------
</TABLE>
---------------------
See Notes to Financial Statements.
42
<PAGE>
<TABLE>
<CAPTION>
----------- ----------- ---------- -------------
T. ROWE T. ROWE T. ROWE
ENDEAVOR ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE
JANUS MONEY OPPORTUNITY ENDEAVOR VALUE EQUITY GROWTH INTERNATIONAL
GROWTH MARKET VALUE SELECT EQUITY INCOME STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ------------ ------------ ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ (869,843) $ 3,225,570 $ 450,920 $ (113,334) $ 658,435 $ 2,617,131 $ 25,867 $ 510,413
25,243,202 (235) (771,253) 4,093,769 (7,333,523) 11,519,908 20,598,436 18,876,181
(46,911,171) -- (951,356) (6,699,692) (5,358,784) (22,616,444) 408,444 (28,540,691)
-------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
(22,537,812) 3,225,335 (1,271,689) (2,719,257) (12,033,872) (8,479,405) 21,032,747 (9,154,097)
-- (3,225,570) (615,554) -- (1,793,729) (4,934,396) (255,091) (325,017)
-- (4,551) (2,412,034) (4,814,106) (28,955,230) (22,192,187) (27,337,593) (22,597,665)
53,086,512 (18,572,867) 408,296 22,622,700 9,020,466 6,639,760 39,402,915 26,739,630
-------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
30,548,700 (18,577,653) (3,890,981) 15,089,337 (33,762,365) (28,966,228) 32,842,978 (5,337,149)
1,065,191,106 134,778,714 44,899,642 40,769,874 209,653,282 264,718,226 257,879,065 228,654,839
-------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
$1,095,739,806 $116,201,061 $ 41,008,661 $ 55,859,211 $175,890,917 $ 235,751,998 $290,722,043 $223,317,690
============== ============ ============ ============ ============ ============= ============ ============
$ (869,843) $ -- $ 450,669 $ (156,841) $ 657,573 $ 2,759,509 $ 25,115 $ 116,319
============== ============ ============ ============ ============ ============= ============ ============
----------- ----------- ---------- -------------
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
--------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------
ENDEAVOR SERIES TRUST
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
----------- ------------ ----------
DREYFUS U.S. ENDEAVOR ENDEAVOR
SMALL CAP GOVERNMENT ASSET ENHANCED ENDEAVOR
VALUE SECURITIES ALLOCATION INDEX HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Net investment income/(loss) ................ $ (456,820) $ 4,759,820 $ 5,833,153 $ 762,104 $ 1,101,622
Net realized gain/(loss) on investments,
futures contracts, forward foreign
exchange contracts, foreign
currencies and net other assets
during the period ........................ 32,661,115 (1,839,096) 32,726,896 9,540,043 (172,330)
Net change in unrealized appreciation/
depreciation of investments, futures
contracts, forward foreign exchange
contracts, foreign currencies and net
other assets during the period ........... 9,954,170 (3,653,040) 50,143,643 7,506,141 (185,280)
------------ ------------ ------------- ------------ ------------
Net increase/(decrease) in net assets
resulting from operations ................ 42,158,465 (732,316) 88,703,692 17,808,288 744,012
Distributions to shareholders from net
investment income ........................ -- (3,363,808) (6,134,468) (185,617) (252,489)
Distributions to shareholders from
net realized gains ....................... (16,262,533) (1,591,479) (81,460,029) (4,083,582) --
Net increase/(decrease) in net assets
from Portfolio share transactions
(Note 4) ................................. 3,244,813 6,575,501 60,815,792 76,369,906 9,703,847
------------ ------------ ------------- ------------ ------------
Net increase/(decrease) in net assets ....... 29,140,745 887,898 61,924,987 89,908,995 10,195,370
NET ASSETS:
Beginning of period ......................... 158,661,998 82,888,959 353,000,811 64,057,708 9,819,321
------------ ------------ ------------- ------------ ------------
End of period ............................... $187,802,743 $ 83,776,857 $ 414,925,798 $153,966,703 $ 20,014,691
============ ============ ============= ============ ============
Undistributed net investment
income/(loss) ............................ $ -- $ 4,742,691 $ 5,837,030 $ 766,661 $ 1,105,691
============ ============ ============= ============ ============
----------- ------------ ----------
--------------------
* Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
<TABLE>
<CAPTION>
----------- ----------- ---------- -------------
T. ROWE T. ROWE T. ROWE
ENDEAVOR ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE
JANUS MONEY OPPORTUNITY ENDEAVOR VALUE EQUITY GROWTH INTERNATIONAL
GROWTH MARKET VALUE SELECT EQUITY INCOME STOCK STOCK
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ------------ ------------ ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ (483,669) $ 5,420,051 $ 612,889 $ (31,423) $ 1,793,123 $ 5,094,683 $ 455,378 $ 1,374,896
(17,874,270) 4,557 2,412,613 6,598,244 28,956,944 21,933,905 26,967,742 22,788,587
297,146,901 -- (854,443) 5,308,041 (37,138,973) (18,037,263) 18,359,748 34,115,959
-------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
278,788,962 5,424,608 2,171,059 11,874,862 (6,388,906) 8,991,325 45,782,868 58,279,442
-- (5,420,092) (469,456) -- (2,612,496) (5,016,696) (515,433) (2,819,874)
-- -- (419,666) -- (9,660,903) (11,857,644) (16,771,400) (1,807,333)
786,402,144 33,842,375 (1,888,582) 4,030,227 (17,786,277) 10,273,031 35,081,701 (9,853,746)
-------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
1,065,191,106 33,846,891 (606,645) 15,905,089 (36,448,582) 2,390,016 63,577,736 43,798,489
-- 100,931,823 45,506,287 24,864,785 246,101,864 262,328,210 194,301,329 184,856,350
-------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------
$1,065,191,106 $134,778,714 $ 44,899,642 $ 40,769,874 $209,653,282 $ 264,718,226 $257,879,065 $228,654,839
============== ============ ============ ============ ============ ============= ============ ============
$ -- $ -- $ 615,303 $ (43,507) $ 1,792,867 $ 5,076,774 $ 254,339 $ (69,077)
============== ============ ============ ============ ============ ============= ============ ============
----------- ----------- ---------- -------------
</TABLE>
See Notes to Financial Statements.
45
<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
06/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++# 12/31/95
------------ ------------ ------------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ..... $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22 $ 10.98
------------ ------------ ------------- ---------- ------------ ----------
Net investment income/(loss) (0.01) (0.04) (0.03) 0.02 0.12 0.15
Net realized and unrealized gain/(loss)
on investments ........................ 1.71 4.00 (0.13) 3.52 2.95 1.36
------------ ------------ ------------- ---------- ------------ ----------
Net increase/(decrease) in net assets
resulting from investment operations ... 1.70 3.96 (0.16) 3.54 3.07 1.51
------------ ------------ ------------- ---------- ------------ ----------
DISTRIBUTIONS:
Dividends from net investment income ..... -- -- (0.02) (0.10) (0.14) (0.10)
Distributions from net realized gains .... (2.73) (1.59) (2.09) (1.72) (0.46) (0.17)
------------ ------------ ------------- ---------- ------------ ----------
Total distributions ...................... (2.73) (1.59) (2.11) (1.82) (0.60) (0.27)
------------ ------------ ------------- ---------- ------------ ----------
Net asset value, end of period ........... $ 15.48 $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22
============ ============ ============= ========== ============ ==========
Total return++ ........................... 10.03% 29.39% (2.18)% 25.56% 25.63% 14.05%
============ ============ ============= ========== ============ ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ..... $ 212,928 $ 187,803 $ 158,662 $ 146,195 $ 85,803 $ 52,597
Ratio of net investment income/(loss)
to average net assets ................. (0.13)%+ (0.28)% (0.23)% 0.20% 0.95% 1.56%
Ratio of net expenses to average net assets 0.89%+ 0.90% 0.86% 0.91% 0.92% 0.87%
Ratio of expenses to average net assets .. 1.24%+ 1.22% 0.94% 0.91% 0.92% 0.87%
Portfolio turnover rate .................. 95% 216% 183% 127% 171% 75%
=============================================
<FN>
+ 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
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.
</FN>
</TABLE>
See Notes to Financial Statements.
46
<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 YEAR
06/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++# 12/31/95
------------ ----------- ---------- --------- ------------ ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ... $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39 $ 9.96
---------- --------- ---------- --------- --------- ---------
Net investment income .................. 0.43 0.62 0.40 0.39 0.62 0.30
Net realized and unrealized gain/(loss)
on investments ...................... 0.07 (0.73) 0.46 0.61 (0.44) 1.25
---------- --------- ---------- --------- --------- ---------
Net increase/(decrease) in net assets
resulting from investment operations . 0.50 (0.11) 0.86 1.00 0.18 1.55
---------- --------- ---------- --------- --------- ---------
DISTRIBUTIONS:
Dividends from net investment income ... (0.75) (0.46) (0.41) (0.36) (0.22) (0.12)
Distributions from net realized gains .. -- (0.22) -- -- (0.12) --
---------- --------- ---------- --------- --------- ---------
Total distributions .................... (0.75) (0.68) (0.41) (0.36) (0.34) (0.12)
---------- --------- ---------- --------- --------- ---------
Net asset value, end of period ......... $ 11.28 $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39
========== ========= ========== ========= ========= =========
Total return++ ......................... 4.60% (0.87)% 7.38% 9.15% 1.81% 15.64%
========== ========= ========== ========= ========= =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 73,202 $83,777 $ 82,889 $ 46,542 $ 24,727 $12,718
Ratio of net investment income
to average net assets ................ 5.57%+ 5.52% 5.21% 5.74% 5.68% 5.58%
Ratio of net expenses to average net assets 0.74%+ 0.73% 0.72% 0.80% 0.82% 0.84%
Ratio of expenses to average net assets 0.82%+ 0.77% 0.73% 0.80% 0.82% 0.84%
Portfolio turnover rate ................ 413% 596% 615% 185% 222% 161%
-------------------------------------------
<FN>
+ 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 year since
use of the undistributed method did not accord with results of operations.
</FN>
</TABLE>
See Notes to Financial Statements.
47
<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
06/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95
----------- ----------- ----------- ---------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ... $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28 $ 13.48
----------- ----------- ----------- ---------- ----------- ----------
Net investment income .................. 0.17 0.34 0.43 0.32 0.27 0.33
Net realized and unrealized gain
on investments ...................... 0.92 4.80 3.50 3.45 2.61 2.72
----------- ----------- ----------- ---------- ----------- ----------
Net increase in net assets resulting from
investment operations ................ 1.09 5.14 3.93 3.77 2.88 3.05
----------- ----------- ----------- ---------- ----------- ----------
DISTRIBUTIONS:
Dividends from net investment income (0.33) (0.43) (0.32) (0.27) (0.32) (0.25)
Distributions from net realized gains .. (1.84) (5.71) (2.06) -- -- --
----------- ----------- ----------- ---------- ----------- ----------
Total distributions .................... (2.17) (6.14) (2.38) (0.27) (0.32) (0.25)
Net asset value, end of period ......... $ 21.81 $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28
=========== =========== =========== ========== =========== ==========
Total return++ ......................... 5.38% 26.39% 18.39% 20.14% 17.82% 22.91%
=========== =========== =========== ========== =========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 415,346 $ 414,926 $ 353,001 $ 303,102 $ 240,210 $ 198,876
Ratio of net investment income to average
net assets .......................... 1.45%+ 1.58% 1.97% 1.61% 1.59% 2.12%
Ratio of net expenses to average net assets 0.84%+ 0.84% 0.78% 0.84% 0.85% 0.84%
Ratio of expenses to average net assets 0.85%+ 0.87% 0.80% 0.84% 0.85% 0.84%
Portfolio turnover rate ................ 74% 220% 262% 67% 58% 93%
===========================================
<FN>
+ Annualized.
++ Total return represents aggregate total return for the years indicated.
# Morgan Stanley Asset Management became the Portfolio's Adviser effective
April 1, 1998.
</FN>
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
-------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR ENHANCED INDEX PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
06/30/00 ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97*
------------ ---------- ---------- -----------
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ......................... $18.16 $ 16.08 $ 12.29 $ 10.00
--------- ----------- ---------- ----------
Net investment income ........................................ 0.04 0.08 0.04 0.02
Net realized and unrealized gain/(loss) on investments ...... (0.44) 2.78 3.81 2.27
--------- ----------- ---------- ----------
Net increase/(decrease) in net assets resulting
from investment operations ................................ (0.40) 2.86 3.85 2.29
--------- ----------- ---------- ----------
DISTRIBUTIONS:
Dividends from net investment income ......................... (0.08) (0.03) (0.02) --
Distributions from net realized gains ........................ (1.03) (0.75) (0.04) --
--------- ----------- ---------- ----------
Total distributions .......................................... (1.11) (0.78) (0.06) --
--------- ----------- ---------- ----------
Net asset value, end of period ............................... $ 16.65 $ 18.16 $ 16.08 $ 12.29
========= =========== ========== ==========
Total return++ ............................................... (1.98)% 18.16% 31.39% 22.90%
========= =========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ......................... $ 169,930 $ 153,967 $ 64,058 $ 19,811
Ratio of net investment income to average net assets ......... 0.62%+ 0.73% 0.48% 0.55%+
Ratio of net expenses to average net assets .................. 0.83%+ 0.78% 1.10% 1.30%+
Ratio of expenses to average net assets ...................... 0.83%+ 0.78% 1.10% 1.30%+
Ratio of net expenses to average net assets before waivers ... -- 0.78% 1.10% 1.56%+
Portfolio turnover rate ...................................... 27% 56% 78% 6%
====================================================
<FN>
* The Portfolio commenced operations on May 2, 1997.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
</FN>
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
-------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR HIGH YIELD PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
06/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*
----------- --------- ---------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ......................... $ 10.09 $ 9.69 $ 10.00
----------- --------- ---------
Net investment income ........................................ 0.31 0.47 0.25
Net realized and unrealized gain/(loss) on investments ....... (0.24) 0.09 (0.56)
----------- --------- ---------
Net increase/(decrease) in net assets resulting from
investment operations ...................................... 0.07 0.56 (0.31)
----------- --------- ---------
DISTRIBUTIONS:
Dividends from net investment income ......................... (0.53) (0.16) --
----------- --------- ---------
Total distributions .......................................... (0.53) (0.16) --
----------- --------- ---------
Net asset value, end of period ............................... $ 9.63 $ 10.09 $ 9.69
=========== ========= ==========
Total return++ ............................................... 0.79% 5.82% (3.10)%
=========== ========= ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ......................... $ 22,368 $ 20,015 $ 9,819
Ratio of net investment income to average net assets ......... 7.64%+ 7.07% 6.43%+
Ratio of net expenses to average net assets .................. 1.09%+ 1.22% 1.30%+
Ratio of expenses to average net assets ...................... 1.11%+ 1.25% 1.43%+
Ratio of net expenses to average net assets before waivers ... -- 1.27% 1.58%+
Portfolio turnover rate ...................................... 31% 77% 26%
======================================================
<FN>
* The Portfolio commenced operations on June 1, 1998.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
</FN>
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
-------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR JANUS GROWTH PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
06/30/00 ENDED
(UNAUDITED) 12/31/99*
------------ ---------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ...................................... $ 95.37 $ 69.88
------------ -----------
Net investment loss ....................................................... (0.07) (0.04)
Net realized and unrealized gain/(loss) on investments .................... (1.70) 25.53
------------ -----------
Net increase/(decrease) in net assets resulting from investment
operations .............................................................. (1.77) 25.49
------------ -----------
Net asset value, end of period ............................................ $ 93.60 $ 95.37
============= ===========
Total return++ ............................................................ (1.86)% 36.48%
============= ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ...................................... $ 1,095,740 $1,065,191
Ratio of net investment loss to average net assets ........................ (0.16)%+ (0.09)%+
Ratio of net expenses to average net assets ............................... 0.82%+ 0.83%+
Ratio of expenses to average net assets ................................... 0.82%+ 0.83%+
Ratio of net expenses to average net assets before waivers ................ -- 0.83%+
Portfolio turnover rate ................................................... 22% 43%
======================================================
<FN>
* The Portfolio commenced operations on May 1, 1999.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
</FN>
</TABLE>
See Notes to Financial Statements.
51
<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
06/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95
----------- ---------- --------- -------- ---------- --------
<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 .................. 0.0277 0.0465 0.0485 0.0498 0.0479 0.0540
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS:
Dividends from net investment income ... (0.0277) (0.0465) (0.0485) (0.0498) (0.0479) (0.0540)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== ========== ========== ============ ========== ==========
Total return++ ......................... 2.80% 4.75% 4.96% 5.07% 4.91% 5.54%
=========== ========== ========== ========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ... $ 116,201 $ 134,779 $ 100,932 $ 51,162 $ 41,545 $ 27,551
Ratio of net investment income to
average net assets .................. 5.55%+ 4.67% 4.92% 4.99% 4.81% 5.37%
Ratio of net expenses to average net assets 0.56%+ 0.55% 0.60% 0.60% 0.60% 0.60%
Ratio of expenses to average net assets 0.56%+ 0.55% 0.60% 0.60% 0.60% 0.60%
===================================================
<FN>
+ Annualized.
++ Total return represents aggregate total return for the years indicated.
# Morgan Stanley Asset Management became the Portfolio's Adviser effective
April 1, 1998.
</FN>
</TABLE>
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 YEAR PERIOD
06/30/00 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96*
---------- --------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ............. $ 12.56 $ 12.22 $ 11.75 $ 10.06 $ 10.00
---------- --------- ---------- ---------- ---------
Net investment income/(loss) ..................... 0.14 0.18 0.11 0.07 --
Net realized and unrealized gain/(loss)
on investments ................................. (0.48) 0.41 0.50 1.62 0.06
---------- --------- ---------- ---------- ---------
Net increase/(decrease) in net assets resulting
from investment operations ..................... (0.34) 0.59 0.61 1.69 0.06
---------- --------- ---------- ---------- ---------
DISTRIBUTIONS:
Dividends from net investment income ............. (0.18) (0.13) (0.05) -- --
Distributions from net realized gains ............ (0.72) (0.12) (0.09) -- --
---------- --------- ---------- ---------- ---------
Total distributions .............................. (0.90) (0.25) (0.14) -- --
---------- --------- ---------- ---------- ---------
Net asset value, end of period ................... $ 11.32 $ 12.56 $ 12.22 $ 11.75 $ 10.06
========== ========= ========== ========== =========
Total return++ ................................... (2.82)% 4.79% 5.18% 16.81% 0.60%
========== ========= ========== ========== =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $ 41,009 $ 44,900 $ 45,506 $ 26,802 $ 701
Ratio of net investment income/(loss) to average
net assets ...................................... 2.16%+ 1.34% 1.22% 1.34% (1.09)%+
Ratio of net expenses to average net assets ....... 0.88%+ 0.85% 0.98% 1.15% 1.30%+
Ratio of expenses to average net assets ........... 0.96%+ 0.91% 1.00% 1.15% 1.30%+
Ratio of net expenses to average net assets
before waivers .................................. -- 0.91% 1.00% 1.16% 12.69%+
Portfolio turnover rate ........................... 38% 48% 43% 44% 0%
==================================================
<FN>
* The Portfolio commenced operations on November 18, 1996.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
</FN>
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
-------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------
ENDEAVOR SERIES TRUST
ENDEAVOR SELECT PORTFOLIO
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
06/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*+++
----------- -------- -------------
<S> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ................. $ 15.77 $ 10.66 $ 10.00
---------- ---------- ----------
Net investment income/(loss) ......................... (0.04) (0.01) 0.07
Net realized and unrealized gain/(loss) on investments (0.74) 5.12 0.59
---------- ---------- ----------
Net increase/(decrease) in net assets resulting from
investment operations .............................. (0.78) 5.11 0.66
---------- ---------- ----------
DISTRIBUTIONS:
Distributions from net realized gains ................ (1.36) -- --
---------- ---------- ----------
Total distributions .................................. (1.36) -- --
---------- ---------- ----------
Net asset value, end of period ....................... $ 13.63 $ 15.77 $ 10.66
========== ========== ==========
Total return++ ....................................... (4.41)% 47.84% 6.60%
========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ................. $ 55,859 $ 40,770 $ 24,865
Ratio of net investment income/(loss) to average net
assets (0.45)%+ (0.12)% 0.75%+
Ratio of net expenses to average net assets .......... 1.27%+ 1.48% 1.49%+
Ratio of expenses to average net assets .............. 1.29%+ 1.49% 1.49%+
Ratio of net expenses to average net assets before
waivers ............................................ -- 1.49% 1.55%+
Portfolio turnover rate .............................. 162% 157% 128%
==================================================
<FN>
* The Portfolio commenced operations on February 3, 1998.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropriately presents the per share data for the period
since use of the undistributed method did not accord with results of operations.
</FN>
</TABLE>
See Notes to Financial Statements.
54
<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
06/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95
----------- ----------- ----------- ----------- ------------ --------
<S> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period .......$ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23 $ 10.69
----------- ---------- ---------- ----------- ----------- ----------
Net investment income ...................... 0.08 0.18 0.22 0.20 0.20 0.15
Net realized and unrealized gain/(loss)
on investments .......................... (1.15) (0.72) 1.36 3.96 3.15 3.52
----------- ---------- ---------- ----------- ----------- ----------
Net increase/(decrease) in net assets
resulting from investment operations ..... (1.07) (0.54) 1.58 4.16 3.35 3.67
----------- ---------- ---------- ----------- ----------- ----------
DISTRIBUTIONS:
Dividends from net investment income ....... (0.19) (0.24) (0.22) (0.14) (0.13) (0.09)
Distributions from net realized gains ...... (3.05) (0.91) (0.38) (0.53) (0.24) (0.04)
----------- ---------- ---------- ----------- ----------- ----------
Total distributions ........................ (3.24) (1.15) (0.60) (0.67) (0.37) (0.13)
----------- ---------- ---------- ----------- ----------- ----------
Net asset value, end of period .............$ 15.68 $ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23
=========== ========== ========== =========== =========== ==========
Total return++ ............................. (5.89)% (3.06)% 7.56% 24.81% 23.84% 34.59%
=========== ========== ========== =========== =========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .......$ 175,891 $ 209,653 $ 246,102 $ 216,039 $ 127,927 $ 68,630
Ratio of net investment income to
average net assets ...................... 0.70%+ 0.77% 1.10% 1.39% 1.29% 1.56%
Ratio of net expenses to average net assets 0.90%+ 0.88% 0.84% 0.89% 0.91% 0.86%
Ratio of expenses to average net assets .... 0.93%+ 0.95% 0.85% 0.89% 0.91% 0.86%
Portfolio turnover rate .................... 1% 51% 19% 16% 27% 28%
================================================
<FN>
+ 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 year since use
of the undistributed method did not accord with results of operations.
</FN>
</TABLE>
See Notes to Financial Statements.
55
<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 YEAR PERIOD
06/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++
----------- ---------- ----------- ---------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ... $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05 $ 10.00
----------- ----------- ----------- ----------- ---------- ----------
Net investment income .................. 0.21 0.38 0.35 0.25 0.41 0.34
Net realized and unrealized gain/(loss)
on investments ...................... (0.72) 0.42 1.33 4.06 2.17 2.71
------------ ------------ ----------- ----------- ---------- ----------
Net increase/(decrease) in net assets resulting
from investment operations .......... (0.51) 0.80 1.68 4.31 2.58 3.05
------------ ------------ ----------- ----------- ---------- ----------
DISTRIBUTIONS:
Dividends from net investment income ... (0.39) (0.40) (0.28) (0.19) (0.10) --
Distributions from net realized gains .. (1.76) (0.94) (0.70) (0.27) (0.04) --
----------- ----------- ----------- ----------- ---------- ----------
Total distributions .................... (2.15) (1.34) (0.98) (0.46) (0.14) --
----------- ----------- ----------- ----------- ---------- ----------
Net asset value, end of period ......... $ 16.84 $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05
=========== =========== =========== =========== ========== ==========
Total return++ ......................... (3.11)% 3.47% 8.81% 28.27% 19.88% 30.50%
=========== =========== =========== =========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 235,752 $ 264,718 $ 262,328 $ 197,228 $ 78,251 $ 21,910
Ratio of net investment income to
average net assets .................. 2.17%+ 1.89% 2.18% 2.47% 2.89% 3.24%+
Ratio of net expenses to average net assets 0.89%+ 0.87% 0.85% 0.94% 0.96% 1.15%+
Ratio of expenses to average net assets 0.89%+ 0.88% 0.85% 0.94% 0.96% 1.15%+
Portfolio turnover rate ................ 20% 35% 20% 23% 19% 16%
=================================================
<FN>
* The Portfolio commenced operations on January 3, 1995.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the average share method
which more appropriately presents the per share data for the periods since
use of the undistributed method did not accord with results of operations.
</FN>
</TABLE>
See Notes to Financial Statements.
56
<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 YEAR PERIOD
06/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++
------------- ---------- ---------- ---------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period .....$ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72 $ 10.00
----------- ----------- ----------- ----------- ---------- ----------
Net investment income .................... 0.01 0.03 0.06 0.04 0.11 0.08
Net realized and unrealized gain
on investments ........................ 2.00 5.28 5.76 4.59 2.71 3.64
----------- ----------- ----------- ----------- ---------- ----------
Net increase in net assets resulting
from investment operations ............. 2.01 5.31 5.82 4.63 2.82 3.72
----------- ----------- ----------- ----------- ---------- ----------
DISTRIBUTIONS:
Dividends from net investment income ..... (0.03) (0.07) (0.05) (0.03) (0.01) --
Distributions from net realized gains .... (2.93) (2.11) (0.95) (0.11) (0.24) --
----------- ----------- ----------- ----------- ---------- ----------
Total distributions ...................... (2.96) (2.18) (1.00) (0.14) (0.25) --
----------- ----------- ----------- ----------- ---------- ----------
Net asset value, end of period ...........$ 27.78 $ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72
=========== =========== =========== =========== ========== ==========
Total return++ ........................... 7.88% 22.19% 28.67% 28.57% 20.77% 37.20%
=========== =========== =========== =========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .....$ 290,722 $ 257,879 $ 194,301 $ 123,230 $ 59,732 $ 21,651
Ratio of net investment income
to average net assets ................. 0.02%+ 0.21% 0.43% 0.38% 0.75% 0.69%+
Ratio of net expenses to average net assets 0.87%+ 0.87% 0.87% 0.96% 1.01% 1.26%+
Ratio of expenses to average net assets .. 0.87%+ 0.88% 0.87% 0.96% 1.01% 1.26%+
Portfolio turnover rate .................. 40% 66% 58% 41% 44% 64%
=================================================
<FN>
* The Portfolio commenced operations on January 3, 1995.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropiately presents the per share data for the periods
since use of the undistributed method did not accord with results of
operations.
</FN>
</TABLE>
See Notes to Financial Statements.
57
<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
06/30/00 ENDED ENDED ENDED ENDED ENDED*
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95##
------------- ---------- ---------- ---------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ..... $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19 $ 11.31
----------- ---------- ----------- ----------- ---------- ----------
Net investment income .................... 0.05 0.10 0.12 0.10 0.09 0.09
Net realized and unrealized
gain/(loss) on investments ............ (1.24) 5.02 2.08 0.26 1.76 1.06
----------- ---------- ----------- ----------- ---------- ----------
Net increase/(decrease) in net assets
resulting from investment operations.... (1.19) 5.12 2.20 0.36 1.85 1.15
----------- ---------- ----------- ----------- ---------- ----------
DISTRIBUTIONS:
Dividends from net investment income ..... (0.03) (0.26) (0.11) (0.10) (0.09) --
Distributions from net realized gains .... (2.02) (0.17) (0.11) -- -- (0.27)
----------- ---------- ----------- ----------- ---------- ----------
Total distributions ...................... (2.05) (0.43) (0.22) (0.10) (0.09) (0.27)
----------- ---------- ----------- ----------- ---------- ----------
Net asset value, end of period ........... $ 17.64 $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19
=========== ========== =========== =========== ========== ==========
Total return++. .......................... (4.95)% 32.35% 15.44% 2.54% 15.23% 10.37%
=========== ========== =========== =========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ........ $ 223,318 $ 228,655 $ 184,856 $ 164,560 $ 134,435 $ 92,352
Ratio of net investment income
to average net assets ................. 0.45%+ 0.73% 0.76% 0.74% 0.73% 0.81%
Ratio of net expenses to average net assets 0.97%+ 0.91% 0.98% 1.07% 1.18% 1.15%
Ratio of expenses to average net assets .. 1.15%+ 1.00% 1.10% 1.12% 1.18% 1.15%
Portfolio turnover rate .................. 35% 30% 21% 19% 11% 111%
=================================================
<FN>
* 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 years indicated.
+++ Per share amounts have been calculated using the monthly average share
method which more appropriately presents the per share data for the year
since use of the undistributed method did not accord with results of operations.
## Rowe Price-Fleming International, Inc. became the Portfolio's Adviser
effective January 3, 1995.
</FN>
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
--------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (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 Asset Allocation Portfolio, Endeavor Enhanced
Index Portfolio, Endeavor High Yield Portfolio, Endeavor Janus Growth Portfolio,
Endeavor Money Market Portfolio, Endeavor Opportunity Value Portfolio, Endeavor
Select Portfolio, Endeavor Value Equity Portfolio, T. Rowe Price Equity Income
Portfolio, T. Rowe Price Growth Stock Portfolio, and T. Rowe Price International
Stock Portfolio (each a "Portfolio" and collectively the "Portfolios"). The
following is a summary of significant accounting policies consistently followed
by the Portfolios in the preparation of their financial statements. The
preparation of financial statements in accordance with accounting principles
generally accepted in the United States 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 ASSET ALLOCATION PORTFOLIO, ENDEAVOR ENHANCED INDEX PORTFOLIO, ENDEAVOR
HIGH YIELD PORTFOLIO, ENDEAVOR JANUS GROWTH PORTFOLIO, ENDEAVOR OPPORTUNITY
VALUE PORTFOLIO, ENDEAVOR SELECT PORTFOLIO, ENDEAVOR VALUE EQUITY PORTFOLIO, T.
ROWE PRICE EQUITY INCOME PORTFOLIO, T.ROWE PRICE GROWTH STOCK PORTFOLIO AND T.
ROWE PRICE INTERNATIONAL STOCK PORTFOLIO.
Generally, a Portfolio's investments are valued at market value or, in the
absence of market value with respect to any portfolio securities, at fair value
as determined by or under the direction of the Board of Trustees. Portfolio
securities for which the primary market is a domestic or foreign exchange, or
which are traded over-the-counter and quoted on the NASDAQ System, are valued at
the last sale price on the day of valuation or, if there was no sale that day,
at the last reported bid price using prices as of the close of trading.
Portfolio securities not quoted on the NASDAQ System that are actively traded in
the over-the-counter market, including listed securities for which the primary
market is believed to be over-the-counter, are valued at the most recently
quoted bid price provided by the principal market makers. In the case of any
securities which are not actively traded, 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: The Endeavor Money Market Portfolio's
investments are valued on the basis of amortized cost under the guidance of the
Board of Trustees, based on their determination that this constitutes fair
value. Amortized cost involves valuing a portfolio instrument at its cost
initially and thereafter assuming a constant amortization to maturity of any
discount or premium, regardless of the impact of fluctuating interest rates on
the market value of the instrument.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
on the accrual basis.
59
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (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 Portfolios may engage in futures contracts for the purpose of hedging
against a decline in the value of the portfolio securities held or a rise in the
price of the securities a Portfolio intends to purchase, or 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 Portfolio
each day, depending on the daily fluctuation of the value of the contract. The
daily changes in the contract are recorded as unrealized gain or loss. The
Portfolio recognizes a realized gain or loss when the contract is closed. The
change in net unrealized appreciation/depreciation, if any, is shown in the
Statement of Operations.
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, 2000 were as follows:
<TABLE>
<CAPTION>
NUMBER OF NOTIONAL
CONTRACTS COST EXPIRATION UNREALIZED
PURCHASED/(SOLD) DESCRIPTION AMOUNT DATE GAIN/(LOSS)
------------------ ------------------------ ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
Dreyfus U.S. Government
Securities Portfolio ............ (21) 10 Year U.S. Treasury Bond contracts $ 2,057,828 September 2000 $(10,344)
(50) U.S. Long Bond contracts 4,765,891 September 2000 (101,297)
Endeavor Asset Allocation Portfolio (78) 10 Year U.S. Treasury Bond contracts 7,497,810 September 2000 (183,971)
(95) U.S. Long Bond contracts 9,093,804 September 2000 (153,852)
72 2 Year U.S. Treasury Note contracts 14,154,713 September 2000 108,037
Endeavor Enhanced Index Portfolio... 8 S&P 500 Index contracts 2,982,507 September 2000 (46,307)
</TABLE>
OPTIONS:
Certain 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.
FORWARD FOREIGN CURRENCY CONTRACTS:
Dreyfus U.S. Government Securities Portfolio, Endeavor High Yield Portfolio,
Endeavor Janus Growth Portfolio, Endeavor Opportunity Value Portfolio, Endeavor
Select Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth
Stock Portfolio and T. Rowe Price International Stock 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.
60
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (UNAUDITED)
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, if any, 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 qualify annually as a regulated investment
company, if such qualification is in the best interest of its shareholders, by
complying with the requirements of the Internal Revenue Code of 1986, as
amended, applicable to regulated investment companies and by distributing
substantially all of its taxable income to its shareholders. Therefore, no
federal income tax provision is required.
2. INVESTMENT MANAGEMENT FEE, ADMINISTRATIVE FEE, INVESTMENT ADVISORY FEE
AND OTHER RELATED PARTY TRANSACTIONS
The Fund is managed by Endeavor Management Co. (the "Investment Manager")
pursuant to a management agreement. The Investment Manager is responsible for
providing investment management and administrative services to the Fund,
including selecting the investment advisers (the "Advisers") for the Fund's
Portfolios. As compensation for these services, the Fund pays the Investment
Manager a monthly fee based on a percentage of the average daily net assets of
each Portfolio at the following annual rates: Dreyfus Small Cap Value
Portfolio--.80%; Dreyfus U.S. Government Securities Portfolio--.65%; Endeavor
Asset Allocation Portfolio--.75%; Endeavor Enhanced Index Portfolio--.75%;
Endeavor High Yield Portfolio--.775%; Endeavor Janus Growth Portfolio--.80%;
Endeavor Money Market Portfolio--.50%; Endeavor Opportunity Value
Portfolio--.80%; Endeavor Select Portfolio--1.00%; Endeavor Value Equity
Portfolio--.80%; T. Rowe Price Equity Income Portfolio--.80%, T. Rowe Price
Growth Stock Portfolio--.80%; T. Rowe Price International Stock Portfolio--.90%.
For Endeavor Janus Growth Portfolio, the Investment Manager limited its annual
fee to .775% of the Portfolio's average daily net assets for the period January
1, 2000 until April 30, 2000. For Endeavor Select Portfolio, the Investment
Manager reduced its annual fee from 1.10% of the Portfolio's average daily net
assets, effective May 1, 2000.
At June 30, 2000, the Fund had a liability for investment management fees
payable to the Investment Manager of $2,027,785.
61
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (UNAUDITED)
From the management fees, the Investment Manager pays the expenses of providing
investment advisory services to the Portfolios, including the fees of the
Adviser of each Portfolio. PFPC Inc. ("PFPC"), a wholly owned subsidiary of
PNCBank assists the Investment Manager in the performance of its administrative
responsibilities to the Fund. As compensation for these services, PFPC receives
a flat fee $770,000 per annum. In addition, if the aggregate net assets of the
thirteen Portfolios exceed $1 billion, PFPCshall also be entitled to receive an
additional fee of 0.01% of any net assets in excess of $1 billion.
The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank,
N.A., which is a wholly-owned subsidiary of Mellon Bank, serves as the Adviser
to Dreyfus Small Cap Value Portfolio and Dreyfus U.S. Government Securities
Portfolio. As compensation for its services as investment adviser, the
Investment Manager pays Dreyfus a monthly fee based on a percentage of the
average daily net assets of each Portfolio at the following annual rates:
Dreyfus Small Cap Value Portfolio--.375% and Dreyfus U.S. Government Securities
Portfolio--.15%.
Morgan Stanley Dean Witter Investment Management Inc. ("Morgan Stanley"), a
subsidiary of Morgan Stanley Dean Witter & Company, serves as the Adviser to
Endeavor Asset Allocation Portfolio and Endeavor Money Market Portfolio pursuant
to separate investment advisory agreements between the Investment Manager and
Morgan Stanley. As compensation for its services as investment adviser, the
Investment Manager pays Morgan Stanley a monthly fee based on a percentage of
the average daily net assets of each Portfolio at the following annual rates:
Endeavor Asset Allocation Portfolio--.375% and Endeavor Money Market
Portfolio--.25%.
J.P. Morgan Investment Management Inc. ("J.P. Morgan"), a wholly-owned
subsidiary of J.P. Morgan and Co. Inc., serves as the Adviser to Endeavor
Enhanced Index Portfolio. As compensation for its services as investment
adviser, the Investment Manager pays J.P. Morgan a monthly fee at an annual rate
of .35% 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
Investment Manager pays MFS a fee at the annual rate of .375% of the average
daily net assets of the Portfolio.
Janus Capital Corporation ("Janus Capital") serves as the Adviser to Endeavor
Janus Growth Portfolio. As compensation for its services as investment adviser,
the Investment Manager pays Janus Capital a fee at the annual rate of .40% 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 the
Investment Manager and OpCap. As compensation for its services as investment
adviser, the Investment Manager pays OpCap a monthly fee at the annual rate of
.40% of the average daily net assets of each Portfolio.
Montgomery Asset Management LLC ("Montgomery"), a wholly-owned subsidiary of
Commerzbank AG, serves as Adviser to Endeavor Select Portfolio. As compensation
for its services as investment adviser, the Investment Manager pays Montgomery a
fee at the annual rate of .60% of the average daily net assets of the Portfolio.
Prior to May 1, 2000, Montgomery had received a fee at the annual rate of .70%.
T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to T.
Rowe Price Equity Income Portfolio and T. Rowe Price Growth Stock Portfolio. As
compensation for its services as investment adviser, the Investment Manager pays
T. Rowe Price a monthly fee at the annual rate of .40% of the average daily net
assets of each Portfolio.
Rowe Price-Fleming International, Inc. ("Price-Fleming"), a joint venture
between T. Rowe Price and Robert Fleming Holdings Limited, serves as the Adviser
to T. Rowe Price International Stock Portfolio. As compensation for its services
as investment adviser, the Investment Manager pays Price-Fleming a monthly fee
at the annual rate of .75% of the average daily net assets of the Portfolio up
to $20 million, .60% of the average daily net assets of the Portfolio in excess
of $20 million up to $50 million and .50% of the average daily net assets of the
Portfolio in excess of $50 million. At such time as the average daily net assets
of the Portfolio exceed $200 million, the fee shall be .50% of total average
daily net assets.
62
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (UNAUDITED)
From time to time the Investment Manager may waive a portion or all of the fees
otherwise payable to it and/or reimburse expenses. For the period January 1,
2000 through April 30, 2000, the Investment Manager has voluntarily undertaken
to waive its fees and has agreed to bear certain expenses so that total expenses
do not exceed the following percentages of the respective Portfolio's average
daily net assets: Dreyfus Small Cap Value Portfolio--1.30%, Dreyfus U.S.
Government Securities Portfolio--1.00%, Endeavor Asset Allocation
Portfolio--1.25%, Endeavor Enhanced Index Portfolio--1.30%, Endeavor High Yield
Portfolio-- 1.30%, Endeavor Janus Growth Portfolio--.87%, Endeavor Money Market
Portfolio--.99%, Endeavor Opportunity Value Portfolio--1.30%, Endeavor Select
Portfolio--1.50%, Endeavor Value Equity Portfolio-- 1.30%, T. Rowe Price Equity
Income Portfolio--1.30%, T. Rowe Price Growth Stock Portfolio--1.30%, and T.
Rowe Price International Stock Portfolio-- 1.53%. As of May 1, 2000, expense
reimbursements are no longer in effect.
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 six months ended
June 30, 2000, the Fund's custodial expenses were reduced by $240,927.
For the six months ended June 30, 2000, the Fund incurred total brokerage
commissions of $2,080,630, of which $2,066 was paid to Jardine Fleming Group
Ltd., and $11,652 was paid to Robert Fleming Holdings Ltd., brokers affiliated
with Rowe Price-Fleming, adviser to T. Rowe Price International Stock Portfolio.
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, 2000, the recaptured commissions were as follows: Dreyfus
Small Cap Value Portfolio--$347,174, Endeavor Asset Allocation
Portfolio--$30,190, Endeavor Opportunity Value Portfolio--$16,528, Endeavor
Value Equity Portfolio--$28,844, Endeavor T. Rowe Price Equity Portfolio--$1,652
and Endeavor T. Rowe Price Growth Stock Portfolio--$5,635.
No director, officer or employee of the Investment Manager, the Advisers or PFPC
received any compensation from the Fund for serving as an officer or Trustee of
the Fund. The Fund pays each Trustee who is not a director, officer or employee
of the Investment Manager, the Advisers, PFPC or any of their affiliates $18,000
per annum plus $2,500 per Board meeting attended and reimburses them for travel
and out-of-pocket expenses.
3. PURCHASES AND SALES OF SECURITIES
Purchases and proceeds from sales of securities, excluding short-term
investments, for the six months ended June 30, 2000 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 ........................ -- $ 457,491,015 -- $ 451,038,260
Dreyfus U.S. Government Securities Portfolio ............. $211,178,304 364,123,085 $214,834,876 362,741,212
Endeavor Asset Allocation Portfolio ...................... 6,258 1,502,744,648 5,403,503 1,520,312,108
Endeavor Enhanced Index Portfolio ........................ 297,891 101,015,546 200,000 86,687,963
Endeavor High Yield Portfolio ............................ -- 179,502,238 -- 176,484,300
Endeavor Janus Growth Portfolio .......................... -- 5,833,351,872 -- 5,778,744,979
Endeavor Opportunity Value Portfolio ..................... -- 695,185,953 -- 696,479,500
Endeavor Select Portfolio ................................ -- 658,564,108 -- 642,416,063
Endeavor Value Equity Portfolio .......................... -- 176,416,202 -- 197,435,937
T. Rowe Price Equity Income Portfolio .................... -- 303,737,201 -- 326,003,602
T. Rowe Price Growth Stock Portfolio ..................... -- 348,909,077 -- 338,091,755
T. Rowe Price International Stock Portfolio .............. -- 82,168,062 -- 75,608,711
</TABLE>
63
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (UNAUDITED)
At June 30, 2000, aggregate gross unrealized appreciation for all securities in
which there was an excess of value over cost and aggregate gross unrealized
depreciation for all securities in which there was an excess of cost over value
were as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION /
APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- -------------- ----------------
<S> <C> <C> <C>
Dreyfus Small Cap Value Portfolio ........................ $ 23,623,194 $(23,199,862) $ 423,332
Dreyfus U.S. Government Securities Portfolio ............. 553,388 (1,316,443) (763,055)
Endeavor Asset Allocation Portfolio ...................... 99,124,506 (9,032,842) 90,091,664
Endeavor Enhanced Index Portfolio ........................ 27,289,888 (14,158,613) 13,131,275
Endeavor High Yield Portfolio ............................ 363,743 (1,445,979) (1,082,236)
Endeavor Janus Growth Portfolio .......................... 296,239,794 (46,004,057) 250,235,737
Endeavor Opportunity Value Portfolio ..................... 2,170,428 (1,951,694) 218,734
Endeavor Select Portfolio ................................ 3,849,252 (2,416,733) 1,423,519
Endeavor Value Equity Portfolio .......................... 32,902,192 (14,275,864) 18,626,328
T. Rowe Price Equity Income Portfolio .................... 20,711,457 (29,817,006) (9,105,549)
T. Rowe Price Growth Stock Portfolio ..................... 73,090,387 (7,812,178) 65,278,209
T. Rowe Price International Stock Portfolio .............. 53,693,224 (6,819,439) 46,873,785
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of shares of beneficial interest
without par value of one or more series. Shares of the Fund are presently
divided into thirteen series of shares, each series representing one of the
Fund's thirteen Portfolios. Since 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
06/30/00 12/31/99
-------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
DREYFUS SMALL CAP VALUE PORTFOLIO:
Sold .......................................... 3,450,976 $ 57,996,843 2,775,515 $ 41,416,787
Issued as reinvestment of dividends ........... 2,029,632 31,946,414 1,103,293 16,262,533
Redeemed ...................................... (3,101,852) (52,030,881) (3,721,600) (54,434,507)
--------- ------------ ---------- ------------
Net increase .................................. 2,378,756 $ 37,912,376 157,208 $ 3,244,813
========= ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO:
Sold .......................................... 375,219 $ 4,314,607 2,044,213 $24,345,506
Issued as reinvestment of dividends ........... 436,769 4,743,313 428,658 4,955,287
Redeemed ...................................... (1,586,312) (18,252,935) (1,935,546) (22,725,292)
---------- ----------- ---------- -----------
Net increase/(decrease) ....................... (774,324) $(9,195,015) 537,325 $ 6,575,501
========== =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
ENDEAVOR ASSET ALLOCATION PORTFOLIO:
Sold .......................................... 570,784 $13,021,212 1,590,529 $ 34,131,322
Issued as reinvestment of dividends ........... 1,847,413 37,945,873 4,552,729 87,594,497
Redeemed ...................................... (1,498,519) (34,000,222) (2,795,98) (60,910,027)
---------- ----------- ---------- ------------
Net increase .................................. 919,678 $16,966,863 3,347,277 $ 60,815,792
========== =========== ========== ============
</TABLE>
64
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (UNAUDITED)
SIX MONTHS ENDED YEAR ENDED
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
ENDEAVOR ENHANCED INDEX PORTFOLIO:
Sold .......................................... 1,988,867 $34,413,114 5,587,298 $94,614,865
Issued as reinvestment of dividends ........... 651,992 10,542,714 252,468 4,269,241
Redeemed ...................................... (913,008) (15,728,105) (1,344,272) (22,514,200)
--------- ----------- ---------- -----------
Net increase .................................. 1,727,851 $29,227,723 4,495,494 $76,369,906
========= =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- ---------- -----------
ENDEAVOR HIGH YIELD PORTFOLIO:
<S> <C> <C> <C> <C>
Sold .......................................... 551,950 $ 5,487,882 1,433,947 $14,306,667
Issued as reinvestment of dividends ........... 116,525 1,105,820 25,299 252,489
Redeemed ...................................... (327,571) (3,285,511) (489,807) (4,855,309)
--------- ----------- ---------- -----------
Net increase .................................. 340,904 $ 3,308,191 969,439 $ 9,703,847
========= =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
ENDEAVOR JANUS GROWTH PORTFOLIO:
Sold .......................................... 1,162,499 $112,417,004 1,379,867 $105,431,394
Conversion proceeds from WRL Series Fund ...... -- -- 10,610,293 741,495,920
Redeemed ...................................... (624,339) (59,330,492) (821,458) (60,525,170)
--------- ----------- ---------- ------------
Net increase .................................. 538,160 $53,086,512 11,168,702 $786,402,144
========= =========== ========== ============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
--------------------- ---------------------
SHARES AND AMOUNT SHARES AND AMOUNT
--------------------- ---------------------
<S> <C> <C>
ENDEAVOR MONEY MARKET PORTFOLIO:
Sold .......................................... $345,123,343 $326,363,081
Issued as reinvestment of dividends ........... 3,232,159 5,423,292
Redeemed ...................................... (366,928,369) (297,943,998)
------------ ------------
Net increase/(decrease) ....................... $(18,572,867) $33,842,375
============ ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
-------- ----------- -------- -----------
<S> <C> <C> <C> <C>
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO:
Sold .......................................... 222,897 $ 2,671,935 632,016 $ 7,673,642
Issued as reinvestment of dividends ........... 261,676 3,027,588 69,517 889,122
Redeemed ...................................... (437,378) (5,291,227) (850,716) (10,451,346)
-------- ----------- -------- -----------
Net increase/(decrease) ....................... 47,195 $ 408,296 (149,183) $(1,888,582)
======== =========== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
--------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- -----------
<S> <C> <C> <C> <C>
ENDEAVOR SELECT PORTFOLIO:
Sold .......................................... 2,319,616 $35,500,907 1,033,646 $13,146,679
Issued as reinvestment of dividends ........... 373,766 4,814,106 -- --
Redeemed ...................................... (1,181,172) (17,692,313) (780,428) (9,116,452)
---------- ----------- --------- -----------
Net increase .................................. 1,512,210 $22,622,700 253,218 $ 4,030,227
========== =========== ========= ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
ENDEAVOR VALUE EQUITY PORTFOLIO:
Sold .......................................... 241,688 $ 4,241,651 786,486 $ 16,486,204
Issued as reinvestment of dividends ........... 1,898,084 30,748,959 548,164 12,273,399
Redeemed ...................................... (1,408,053) (25,970,144) (2,199,695) (46,545,880)
---------- ----------- ---------- ------------
Net increase/(decrease) ....................... 731,719 $ 9,020,466 (865,045) $(17,786,277)
========== =========== ========== ============
</TABLE>
65
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
T. ROWE PRICE EQUITY INCOME PORTFOLIO:
Sold .......................................... 613,864 $11,090,235 1,719,791 $34,727,686
Issued as reinvestment of dividends ........... 1,536,047 27,126,583 802,394 16,874,339
Redeemed ...................................... (1,727,240) (31,577,058) (2,036,067) (41,328,994)
---------- ----------- ---------- -----------
Net increase .................................. 422,671 $ 6,639,760 486,118 $10,273,031
========= =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
-------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
T. ROWE PRICE GROWTH STOCK PORTFOLIO:
Sold .......................................... 848,353 $24,261,761 2,044,360 $52,013,760
Issued as reinvestment of dividends ........... 1,080,794 27,592,678 701,291 17,286,833
Redeemed ...................................... (437,363) (12,451,524) (1,361,342) (34,218,892)
--------- ----------- ---------- -----------
Net increase .................................. 1,491,784 $39,402,915 1,384,309 $35,081,701
========= =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/00 12/31/99
---------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ----------- ---------- -----------
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO:
<S> <C> <C> <C> <C>
Sold .......................................... 14,425,882 $278,760,779 14,257,730 $250,830,817
Issued as reinvestment of dividends ........... 1,401,999 22,922,682 285,806 4,627,207
Redeemed ...................................... (14,123,532) (274,943,831) (15,007,597) (265,311,770)
----------- ------------ ----------- ------------
Net decrease .................................. 1,704,349 $ 26,739,630 (464,061) $ (9,853,746)
=========== ============ =========== ============
=============================
<FN>
# Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
</FN>
</TABLE>
5. ORGANIZATION COSTS
Organization costs are amortized on a straight-line basis over a period of five
years from the commencement of operations of each Portfolio for Portfolios which
commenced operations prior to July 1, 1998. For Portfolios commencing operations
after July 1, 1998, organization costs are expensed as they occur. 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 Asset
Allocation Portfolio--10,000 shares, Endeavor Enhanced Index Portfolio--10
shares, Endeavor High Yield Portfolio--10 shares, Endeavor Money Market
Portfolio--100,000 shares, Endeavor Opportunity Value Portfolio--10 shares,
Endeavor Select Portfolio--10 shares, Endeavor Value Equity Portfolio--10
shares, T. Rowe Price Equity Income Portfolio--10 shares, T. Rowe Price Growth
Stock Portfolio--10 shares, and T. Rowe Price International Stock
Portfolio--10,000 shares) owned by a separate account of PFL Life Insurance
Company are redeemed during such amortization period, the redemption proceeds
will be reduced for any unamortized organization costs in the same proportion as
the number of shares redeemed bears to the number of initial shares outstanding
at the time of the redemption. The Fund bears the expense of registering and
qualifying the shares of the various Portfolios for distribution under Federal
and state securities regulations. As of June 30, 2000, all such costs for
Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio,
Endeavor Asset Allocation Portfolio, Endeavor Money Market Portfolio, Endeavor
Value Equity Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price
Growth Stock Portfolio and T. Rowe Price International Stock Portfolio have been
fully amortized.
6. CONCENTRATION OF RISK
The Portfolios may invest in foreign securities. Investing in securities of
foreign companies and foreign governments involves special risks and
considerations not typically associated with investing in the securities of U.S.
companies and the U.S. government. These risks include re-valuation of
currencies and future adverse political and economic developments. These risks
are heightened for investments in emerging market countries. Moreover,
securities of many foreign companies and foreign governments and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. companies and the U.S. government.
66
<PAGE>
------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
------------------------------------------------
ENDEAVOR SERIES TRUST
JUNE 30, 2000 (UNAUDITED)
The Endeavor High Yield Portfolio invests in securities offering high current
income which generally will be in the lower rating categories of recognized
ratings agencies (so-called "junk bonds"). These securities generally involve
more credit risk than securities in the higher rating categories. In addition,
the trading market for high yield securities may be relatively less liquid than
the market for higher-rated securities.
Each Portfolio may invest up to 15% (10% with respect to Endeavor Money Market
Portfolio) of its net assets in illiquid securities, including securities that
are not readily marketable, securities that are restricted as to disposition
under Federal securities laws or otherwise, repurchase agreements maturing in
more than seven days, interest only and principal only mortgage-backed
securities, certain options traded in the over-the-counter market and the
securities to which such options relate. In purchasing securities which cannot
be sold by a Portfolio without registration under the Securities Act of 1933, as
amended, a Portfolio will endeavor to obtain the right to registration at the
expense of the issuer. There generally will be a lapse of time between the
decision by a Portfolio to sell any such security and the registration of the
security permitting the sale. During any such period, the security will be
subject to market fluctuations.
7. FEDERAL INCOME TAXES
As of December 31, 1999, the Portfolios had available for federal tax purposes
unused capital loss carryforwards as follows:
<TABLE>
<CAPTION>
EXPIRING IN 2007 EXPIRING IN 2006
--------------------- --------------------
<S> <C> <C>
Dreyfus U.S. Government Securities Portfolio ............. $ 1,797,536 --
Endeavor High Yield Portfolio ............................ 149,375 $84,613
Endeavor Janus Growth Portfolio .......................... 16,306,322 --
</TABLE>
67
<PAGE>
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68
<PAGE>
