<PAGE>
ENDEAVOR/TM/
SERIES TRUST
DREYFUS SMALL CAP VALUE PORTFOLIO
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
ENDEAVOR ENHANCED INDEX PORTFOLIO
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
ENDEAVOR VALUE EQUITY PORTFOLIO
ENDEAVOR ASSET ALLOCATION PORTFOLIO
ENDEAVOR MONEY MARKET PORTFOLIO
T. ROWE PRICE EQUITY INCOME PORTFOLIO
T. ROWE PRICE GROWTH STOCK PORTFOLIO
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
ENDEAVOR SELECT 50 PORTFOLIO
ENDEAVOR HIGH YIELD PORTFOLIO
ENDEAVOR JANUS GROWTH PORTFOLIO
ANNUAL REPORT
-------------
DECEMBER 31, 1999
<PAGE>
SHAREHOLDER LETTER
Dear Shareholders:
Another amazing year has concluded in the financial markets and it is my
pleasure to report to you the performance, commentary and holdings for the
Endeavor Series Trust for the year ended December 31, 1999.
It was a year when most funds did either great or terrible, there was not much
middle ground. Doing very well were the growth (particularly technology) and
international funds. The bond funds and value funds, on the other hand,
performed relatively dismally. The same proved true for the Endeavor Series
Trust Portfolios listed below:
ENDEAVOR SERIES TRUST CALENDAR 1999 PERFORMANCE
The Endeavor Series Trust returns for 1999 were as follows:
<TABLE>
<S> <C> <C>
Endeavor Select 50 Portfolio............... 47.84%
Endeavor Janus Growth Portfolio............ 36.48% (8 months, May 1 inception)
T. Rowe Price International Stock
Portfolio................................. 32.35%
Dreyfus Small Cap Value Portfolio.......... 29.39%
Endeavor Asset Allocation Portfolio........ 26.39%
T. Rowe Price Growth Stock Portfolio....... 22.19%
S&P 500 Index.............................. 21.03%
Endeavor Enhanced Index Portfolio.......... 18.16%
Endeavor High Yield Portfolio.............. 5.82%
Endeavor Opportunity Value Portfolio....... 4.79%
Endeavor Money Market Portfolio............ 4.75%
T. Rowe Price Equity Income Portfolio...... 3.47%
Dreyfus U.S. Government Securities
Portfolio................................. -0.87%
Endeavor Value Equity Portfolio............ -3.06%
</TABLE>
Let's review 1999 and try to make some sense of the various markets and shed
some light on why they performed as they did.
1999 will be remembered as the unprecedented break out year for the NASDAQ
market. The NASDAQ Composite Index was forcefully driven by a few hundred
technology stocks to a stratospheric year-end return of 85.6%. More than half
of that return came in a powerful rally during the last two months of the year.
The 85.6% figure is the highest return for any U.S. stock market index in
history.
We pointed out a year ago that it was unprecedented to have the S&P 500 broad
market index return over 20% for four consecutive years. Well, now you can make
that five consecutive years as the S&P 500 Index returned 21.0%. The Dow Jones
Industrial Average ("DJIA") of 30 "blue chip" stocks returned 27.2% and the
small company stocks also had a good year as the Russell 2000 Index returned
23.1%. It is not difficult to see that given the long-term historical average
of stock market returns of 10-12%, the returns over the last five years
demonstrate that we are experiencing a very special time in financial markets
history.
<TABLE>
<CAPTION>
INDEX 1999 3 YEAR* 5 YEAR*
- ----- ----- ------- -------
<S> <C> <C> <C>
NASDAQ Composite Index 85.6% 46.6% 40.2%
S&P 500 Stock Index 21.0% 27.5% 28.5%
DJIA 27.2% 23.3% 27.0%
Russell 2000 Index 23.1% 14.3% 17.8%
</TABLE>
* annualized
<PAGE>
SHAREHOLDER LETTER (Continued)
Certainly mergers, acquisitions and initial public offerings (IPOs) helped
fuel the market returns for 1999. It was the year for telecommunications
mergers with AT&T/MediaOne Group, MCI WorldCom/Sprint, Vodafone Group/Air
Touch/Mannesmann taking the headlines. The IPO activity was considered a boom
for those who participated and absolute insanity for those watching from the
sidelines. The large deals were Goldman Sachs and UPS, but the big deal was
the feeding frenzy coming from the dot-com offerings that appreciated to
dizzying heights against the grain of any historical valuation measures.
It is not difficult at this juncture of our commentary to feel for the value
managers. Not only was value out of favor, but the very need for its existence
as a style was being questioned by some investors. The Price/Earnings ratios
continued to climb, the IPOs did not even promise earnings and the M&A
activity was growth buying more growth. All we can tell you is that what goes
around, comes around--eventually.
The international markets came back strong in 1999. International and emerging
market stocks had a very strong fourth quarter as overseas stock markets
performed better in 1999 than any of the last six years.
The bond managers were in a difficult environment in 1999, as it was the
second-worst year for bonds since 1973. It was a year in which worries about
the strong economy, inflation, the Federal Reserve, and Y2K jitters got the
best of bonds. The Federal Reserve raised interest rates three times and
yields on Treasury bonds, which move in the opposite direction of their price,
climbed from 5.1% at the beginning of 1999 to almost 6.5% at year-end.
In conclusion, the Endeavor Series Trust Portfolios' performances paralleled
what happened in the market. They are all good Portfolios that will perform
differently as market conditions and preferences change. Looking forward,
history has taught us to expect the unexpected. We believe that we are in the
midst of a technological revolution. The question is does technology have the
power to redefine the underlying principles of an economy and the financial
markets or is the innovation real, but the accompanying mania simply a
"greater fools game". We believe we may see some of each. That is why you have
our assurance to offer you an investment lineup that allows you to implement
your investment objective, at the level of risk with which you are
comfortable.
Thank you for your confidence through the Y2K transition. Many people worked
very long and hard to insure that it was a "non-event". We look forward to
serving you in the new millennium.
Sincerely,
/s/ Vincent (VJ) McGuinness, Jr.
Vincent (VJ) McGuinness, Jr.
President
Endeavor Series Trust
February 15, 2000
2
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
The smaller capitalization market ended another good year on a strong note.
For the year, the Russell 2000 Small Stock Index (the "Russell 2000 Index")
gained 23.1%. The growth sector, with its large technology component,
dramatically outpaced the value side of the market. Indeed the Russell 2000
Growth Index was up 43.1% while the Russell 2000 Value Index was down 1.5%.
While this performance divergence has been a persistent characteristic of the
market for several years, it was even more so in 1999. On most measures
(Price/Earnings, Price/Book, Price/Sales, Yield) the market is quite expensive
in comparison to prior periods. There is some justification for higher values,
however, namely low inflation and interest rates and steadily growing
corporate profits. Nevertheless, the market tends to react quite violently to
stocks that disappoint investor expectations. In contrast, stocks that beat
expectations tend to materially outperform the market.
In this environment, the Dreyfus Small Cap Value Portfolio will seek capital
appreciation through investment in a diversified portfolio of equity
securities of companies with a median market capitalization of approximately
$750 million. Our strategy is to find stocks that are cheap in spite of the
market's strong gains. We compare company specific valuations to their
historical ranges and their peer groups. While cheap stocks tend to offer less
downside than the market as a whole, our primary focus is on those stocks
where business is getting better and there is good potential for positive
earnings surprises. We spend a great deal of time talking to the management of
out-of-favor companies in order to identify positive turns in business trends
before the improvements become widely known by Wall Street. As holdings
appreciate to fair value, we sell them even if business conditions remain very
favorable. Our dedication to the "value" style of investing is of paramount
importance. Additionally, our analysis is done on a stock-by-stock basis. Our
sector weightings result from detailed bottom-up analysis of individual
securities. To help control risk, we limit investments in individual
securities to 3% of the Portfolio. Sector weightings may not exceed 30% or 3
times the weight in the Russell 2000 Index. We are big proponents of running
highly diversified portfolios. This focus on diversification is not only due
to the market being fairly expensive, but also because smaller capitalization
stocks tend to have greater than average business risk, and in some cases,
financial risk. Our portfolios typically carry over 100 names. We believe that
this strategy is particularly well suited to today's expensive market
environment.
Despite the overall market valuation being expensive, we continue to find
numerous ideas that meet our criteria. As a result, we are fully invested in
equities. While cash levels may fluctuate from time to time, cash should not
exceed 10% of the Portfolio. We offer no particular skills in "market timing"
and have no intention to do so. While the markets may be expensive, there are
plenty of cheap stocks, which is where we focus all of our efforts.
The Portfolio is highly diversified with 113 holdings at year-end. The median
market capitalization is $716 million. The Portfolio exhibits attractive
valuation characteristics as evidenced by its price/book ratio of 1.6 times,
which compares favorably to the 2.4 times level for the Russell 2000 Index.
The Portfolio's price/earnings ratio of 12.2 times 1999 estimates also
demonstrates attractive value when contrasted to 19.3 times 1999 earnings per
share for the Russell 2000 Index. The Portfolio yield of 0.7% is below the
market's, at 1.2%, as our focus is on capital appreciation more so than yield.
Our sector focus has not changed significantly for the past several quarters.
We continue to emphasize technology and energy stocks in the portfolio but,
unlike recent quarters, these sectors underperformed their respective
benchmarks for the fourth quarter. Energy prices fluctuated erratically as
supply concerns, induced primarily by threats from producing countries to
reduce output, continued to impact the market. Our portfolio of technology
stocks had a positive return but lagged the index due to the strong advance of
internet related companies which are clearly part of the growth investment
spectrum.
We are also emphasizing the consumer sectors. The economy continues to grow at
a healthy pace and inflation and unemployment remain low. The continued high
level of consumer confidence should result in strong demand at the retail
level.
Utilities and financial services remain underweight relative to the benchmark.
These sectors should continue to have slow earnings growth and investor
enthusiasm will likely be dampened by interest rate concerns.
While we are disappointed in the quarterly results, we are encouraged by the
large number of attractively priced stocks we are finding currently. Our focus
on undervalued stocks with improving business momentum should continue to
produce strong results.
Peter I. Higgins, Portfolio Manager
The Dreyfus Corporation
3
<PAGE>
DREYFUS SMALL CAP VALUE PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 invested in
Dreyfus Small Cap Value Portfolio
vs.
Russell 2000 Index and Lipper VA Small Cap Index+
May 4, 1993 through December 31, 1999
[Graph]
Dreyfus Small Russell 2000 Lipper VA
Cap Value Portfolio* Index* Small Cap Index*
5/4/93 10,000 10,442.49 10,477.6
10,030 10,507.64 10,599.3
10,380 10,652.71 10,591.12
10,700 11,112.92 11,136.22
11,000 11,426.53 11,359.17
10,990 11,720.63 11,463.49
10,730 11,334.87 11,144.41
Dec. 1993 11,180 11,722.42 11,554.51
11,460 12,089.95 11,797,91
11,430 12,046.22 11,653.71
10,770 11,410.21 10,983.84
10,770 11,478.03 11,057.48
10,630 11,349.15 10,923.5
10,380 10,963.77 10,474.53
10,590 11,143.9 10,692.37
11,040 11,764.87 11,285.54
11,130 11,725.48 11,206.79
10,830 11,679.2 11,399.06
10,690 11,207.52 10,942.93
Dec. 1994 10,980 11,508.63 11,094.29
10,620 11,363.43 10,944.98
10,760 11,836.13 11,391.9
10,790 12,039.98 11,642.46
11,129 12,307.69 11,833.71
11,354.45 12,519.31 12,084.27
11,651.63 13,168.76 12,860.5
12,041.05 13,927.31 13,741.05
12,317.73 14,215.42 13,900.59
12,379.22 14,469.29 14,212.52
12,000.05 13,822.18 13,776.85
12,153.77 14,402.91 14,235.02
Dec. 1995 12,522.69 14,782.92 14,335.24
12,348.48 14,767.02 14,353.65
12,625.16 15,227.31 14,893.64
13,041.58 15,537.26 15,082.84
13,516.71 16,368.05 15,863.16
14,082.8 17,013.13 16,352.01
13,622.29 16,314.53 15,824.3
13,129.66 14,889.61 14,475.35
13,707.97 15,754.1 15,304.77
14,018.54 16,369.78 16,122.93
14,157.76 16,117.51 15,637.15
15,464.3 16,781.62 15,999.97
Dec. 1996 15,732.04 17,221.46 16,019.57
16,503.11 17,565.55 16,383.45
16,513.82 17,139.64 15,749.22
16,042.61 16,330.89 14,875.21
16,064.03 16,376.62 14,815.33
17,574.04 18,198.52 16,500.87
18,621.09 18,978.42 17,292
19,632.19 19,861.52 18,391.62
20,113.66 20,315.98 18,578.05
20,932.17 21,802.97 19,918.32
19,945.15 20,845.2 18,995.33
19,884.96 20,710.37 18,735.16
Dec. 1997 19,752.56 21,072.87 18,950.4
19,463.67 20,739.91 18,596.65
20,980.32 22,273.48 20,126.31
22,015.49 23,192.1 21,134.54
22,147.9 23,320.42 21,228.4
21,304.11 22,064.46 20,052.44
20,894.16 22,110.87 20,343.9
19,104.01 20,320.91 18,920.36
14,772.13 16,374.99 15,203.11
15,100.09 17,656.47 16,132.74
16,726.26 18,376.51 16,900.48
18,325.09 19,339.29 17,935.72
Dec. 1998 19,322.65 20,536.04 19,435.6
19,677.95 20,808.95 19,687.53
17,778.48 19,123.53 18,146.55
18,305.96 19,422.08 18,771.45
20,648.18 21,162.44 19,814.55
21,836.23 21,471.63 20,010.56
23,986.54 22,442.56 21,419.6
23,835.11 21,826.76 21,113.05
22,714.43 21,018.98 20,644.32
22,502.52 21,023.57 20,887.28
21,775.66 21,108
+ The Russell
2000 Index is a
capitalization
weighted total
return index
which is
comprised of
2,000 of the
smallest
capitalized U.S.
domiciled
companies whose
common stock is
traded in the
United States on
the New York
Stock Exchange,
AMEX and NASDAQ.
The Lipper VA
Small Cap Index
is an equally
weighted
performance index
of small cap
funds underlying
30 variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
Dreyfus Small Cap Value Portfolio
---------------------------------
<S> <C>
Year ended 12/31/99 29.39%
Five Years ended 12/31/99 17.88%
Inception (05/04/93) through 12/31/99 14.74%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
4
<PAGE>
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
The performance of the Dreyfus U.S. Government Portfolio for the year ended
December 31, 1999 was good. According to Lipper Analytical Services for the
one-year period ending 12/31/99, the Portfolio ranked 39/223, 1st quartile
among General U.S. Government Bond Funds.
We believed the Federal Reserve would have raised interest rates at the
December meeting, but fears of a financial market panic going into the new
millennium kept them on hold. The Federal Reserve has raised rates a quarter
point in February, with a bias towards tightening and possibly raising rates
another quarter point in March. The Federal Reserve may continue to act
accordingly until we see a moderation in economic growth. The Federal
Reserve's aggressive easing of monetary policy in 1998 coupled with the
acceptance of capitalism in most foreign countries has presently led to strong
global economic growth with low inflation.
As of December 31, 1999, the yield curve was flat and nearing inversion. We
believe that Treasuries will probably drift back to the 7% range over the next
six months. We remain credit specific with our corporate allocation as spreads
have tightened dramatically and the willingness to take on credit risk has
returned to the market. In the first quarter of 2000, we will continue to add
higher coupon GNMA's to the Portfolio.
Gerald Thunelius, Portfolio Manager
The Dreyfus Corporation
5
<PAGE>
DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 Invested in
Dreyfus U.S. Government Securities Portfolio
vs.
Lehman Aggregate Bond Index and Lipper VA General U.S. Government Index+
May 13, 1994 through December 31, 1999
[Graph]
Dreyfus U.S. Government Lehman Aggregate Lipper VA General U.S.
Securities Portfolio* Bond Index* Government Index*
5/13/94 10,000 9,998.6 9,985.73
9,950 9,976.5 9,931.66
10,050 10,174.67 10,088.62
10,050 10,187.29 10,092.38
9,970 10,037.35 9,939.92
9,960 10,028.41 9,905.37
9,930 10,006.14 9,878.33
Dec. 1994 9,960 10,075.23 9,947.43
10,110 10,274.63 10,121.67
10,290 10,518.91 10,336.46
10,340 10,583.45 10,391.29
10,456 10,731.28 10,519.71
10,850.38 11,146.56 10,935.79
10,911.05 11,228.28 11,006.38
10,870.6 11,203.2 10,938.04
10,981.83 11,338.41 11,060.46
11,072.84 11,448.72 11,159.59
11,204.3 11,597.6 11,320.31
11,366.1 11,771.39 11,484.79
Dec. 1995 11,517.78 11,936.59 11,634.25
11,578.45 12,015.86 11,692.07
11,325.65 11,806.99 11,447.99
11,214.41 11,724.92 11,353.36
11,133.52 11,658.98 11,265.49
11,110.66 11,635.31 11,225.68
11,225.53 11,791.56 11,360.87
11,246.41 11,823.83 11,375.14
11,225.53 11,804.01 11,336.08
11,413.49 12,009.72 11,517.08
11,653.67 12,275.75 11,746.15
11,852.07 12,486.02 11,924.39
Dec. 1996 11,726.76 12,369.92 11,805.55
11,747.65 12,407.8 11,819.76
11,789.42 12,438.67 11,810.96
11,653.67 12,300.83 11,682.55
11,810.3 12,484.96 11,830.94
11,914.72 12,602.99 11,914.67
12,055.61 12,752.58 12,025.06
12,368.32 13,096.47 12,296.09
12,238.92 12,984.76 12,192.6
12,433.02 13,176.27 12,339.63
12,616.33 13,367.42 12,498.61
12,670.25 13,428.97 12,530.48
Dec. 1997 12,799.65 12,564.18 12,631.73
12,972.18 13,738.32 12,772.15
12,929.05 13,727.97 12,737.01
12,961.4 13,775.15 12,762.88
12,993.75 13,847.05 12,803.44
13,153.34 13,978.4 12,911.71
13,287.21 14,096.95 13,017
13,298.37 14,126.94 13,026.11
13,465.72 14,356.84 13,278.39
13,744.62 14,693.02 13,571.55
13,688.84 14,615.34 13,489.45
13,700 14,698.29 13,495.55
Dec. 1998 13,744.62 14,742.48 13,513.2
13,867.34 14,847.7 13,577.26
13,599.59 14,588.5 13,300.97
13,674.34 14,699.35 13,357.47
13,711.16 14,715.82 13,383
13,625.5 14,586.93 13,243.6
13,519.14 14,540.45 13,168
13,495.51 14,478.55 13,107.32
13,448.24 14,471.18 13,080.32
13,637.32 14,639.19 13,214.05
13,696.4 14,693.2 13,230.02
13,720.04 14,692.15 13,218.72
Dec. 1999 13,625.5 14,621.3 13,134.59
+ The Lehman
Aggregate Bond
Index is an index
composed of
treasury issues,
agency issues,
corporate bond
issues and
mortgage-backed
securities.
The Lipper VA
General U.S.
Government Index
is an equally
weighted
performance index
of U.S.
Government funds
underlying 30
variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
Dreyfus U.S. Government Securities
Portfolio
----------------------------------
<S> <C>
Year Ended 12/31/99 (0.87%)
Five Years ended 12/31/99 6.46%
Inception (05/13/94) through 12/31/99 5.64%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
6
<PAGE>
ENDEAVOR ENHANCED INDEX PORTFOLIO
The U.S. stock market ended the year posting record highs as the Dow Jones
Industrial Average climbed to a record 11,497.12, ending the year up 27%. The
S&P 500 Index climbed to a record 1,469.25 for the year, ending 21% higher.
The NASDAQ Composite Index closed at 4,069.31, ending nearly 86% higher, the
largest one-year gain ever for a U.S. stock index.
After a strong 1998 and first half of 1999, the third and fourth quarters were
difficult ones for the Endeavor Enhanced Index Portfolio. In the second half
of the year, the equity market reverted back to a very narrow group of
outperforming stocks as investors sought out the companies with positive
earnings and price momentum.
During the latter half of the year, investors tended to focus on short-term
earnings, projecting them forward indefinitely, which was a challenge to the
performance of the portfolio. The investment strategy employed by the
Portfolio focuses on normalized earnings and intermediate growth rates, thus
it tended to be challenged by the unprecedented market environment that we
experienced during the latter part of the year. In addition, while the
Portfolio is well diversified and its risk controls are robust, during times
of extreme internal market divergence, even modest exposures to common risk
factors such as price momentum can result in out of scale performance results.
From a stock selection perspective, underperformance was led by Waste
Management and Service Corp. Certain accounting issues, followed by divergent
reported earnings, resulted in sharp corrections in names that in our analysis
looked attractive and were consequently overweighted. In addition, strong
relative performance in the Technology sector added to performance but was
offset by shortcomings in the Insurance sector (an underweight in AIG and an
overweight in UnumProvident was pressed by the market's momentum buying in
AIG). It should be strongly noted that due to the Portfolio's diversification,
the impact of any single name was significantly minimized.
We remain confident in our investment process and risk controls, and expect
that the historically wide spread between the most and least attractive names
in our universe suggests opportunities ahead. We expect the market to broaden.
Most of the positive performance over the last few years has come from the
"Nifty Fifty" & mega-cap growth stocks. The valuations on these stocks is much
higher than that of the rest of the market. We believe that a return of global
growth will cause investors to look beyond these overpriced stocks to
companies that trade at much lower multiples.
J.P. Morgan Investment Management, Inc.
7
<PAGE>
ENDEAVOR ENHANCED INDEX PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 Invested in
Endeavor Enhanced Index Portfolio
vs.
S&P 500 Stock Index and Lipper VA Growth and Income Index+
May 2, 1997 through December 31, 1999
[Graph]
Endeavor Enhanced S&P 500 Lipper VA Growth &
Index Portfolio* Stock Index* Income Index*
5/2/97 10,000 10,611.38 10,587.51
11,190 11,083.12 11,017.51
12,120 11,964.76 11,761.1
11,500 11,294.98 11,246.66
12,010 11,913.21 11,815.33
11,630 11,515.79 11,396.59
12,130 12,048.45 11,809.21
Dec. 97 12,290 12,255.21 11,965.8
12,470 12,390.63 12,026.06
13,370 13,283.78 12,800.35
14,060 13,963.47 13,404.77
14,270 14,106.46 13,457.42
14,109 13,864.33 13,173.23
14,601.06 14,427.08 13,387.91
14,490.6 14,274.6 13,049.52
12,391.82 12,212.26 11,176.29
13,195.18 12,995.26 11,841.11
14,269.67 14,050.68 12,774.5
15,243.75 14,901.91 13,398.5
Dec. 98 16,147.52 15,760.07 13,976.11
16,699.83 16,418.86 14,210.26
16,087.27 15,908.65 13,794.15
16,723.93 16,544.97 14,232.31
17,724.12 17,185.66 15,081.39
17,377.56 16,780.29 14,868.89
18,281.11 17,710.95 15,526.02
17,661.23 17,158.46 15,058.87
17,577.18 17,073.52 14,793.79
17,062.37 16,606.04 14,257
17,955.41 17,656.43 14,841.16
18,239.08 18,015.33 14,950.56
Dec. 99 19,079.59 19,074.92 15,599.1
+ The S&P 500
Stock Index is an
index composed of
500 widely held
common stocks
listed on the New
York Stock
Exchange,
American Stock
Exchange and
over-the-counter
market.
The Lipper VA
Growth and Income
Index is an
equally weighted
performance index
of growth and
income funds
underlying 10
variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
Endeavor Enhanced Index Portfolio
---------------------------------
<S> <C>
Year Ended 12/31/99 18.16%
Inception (05/02/97) through 12/31/99 27.39%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
8
<PAGE>
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
The Endeavor Opportunity Value Portfolio invests in stocks, bonds and cash
equivalents, with a bias toward stocks, which have outperformed other classes
of investments for nearly every five-year period since the Depression.
The average earnings of the stocks in the S&P 500 Index increased
approximately 15% in 1999, and our stocks increased their earnings on average
by a similar amount. However, these comparable earnings results did not
translate into comparable stock market performance. The Portfolio had a total
return of 4.8% in 1999, compared with a return of 21.0% for the S&P 500 Index
with dividends included. Of course, returns for the Portfolio and returns for
the S&P 500 are not fully comparable, since the Portfolio invests in fixed
income securities and cash equivalents as well as in stocks.
We remain optimistic about the outlook for our style of value investing and
believe the Portfolio is positioned to perform well in the months ahead. For
2000, the consensus estimate of earnings growth for the S&P 500 stocks is
approximately 10%, while we expect our companies to gain 15% or more on
average. In addition, the companies we own have strong competitive positions,
and on average their share prices trade at discounts to the S&P 500. We
believe the market will ultimately shift back to an emphasis on company
fundamentals, benefiting our value approach.
Nonetheless, we have a larger-than-normal cash position, reflecting our
caution in adding to equity holdings at a time when technology stocks keep
rising and many other stocks have languished. We think there are many
opportunities in today's market to buy quality businesses with solid
fundamentals inexpensively, and that many of these companies will improve
their earnings as the economies of Asia and Europe strengthen. We believe
also, however, that we have the luxury of being opportunistic about waiting
for attractive prices and building our positions over time given the current
malaise of many non-tech issues.
We invest in companies which we believe will generate more cash for
shareholders over time than the current stock price indicates and which will
use that cash to create wealth for shareholders, such as through high-return
internal investments, share repurchases or astute acquisitions.
During the fourth quarter, we established new positions in the common stocks
of Anadarko Petroleum (oil and gas exploration and production) and Kroger
(grocery store chain). Both companies are well managed and, in our view, their
share prices are inexpensive in relation to business prospects.
If the U. S. economy remains on its current course, we expect the Federal
Reserve to raise short-term interest rates further, and we are therefore
monitoring our exposure to financial stocks to make sure we are not overly
vulnerable. During the fourth quarter, we repositioned our financial holdings,
taking money from superlative performers such as Citigroup and using it to
purchase stocks such as Freddie Mac where share prices were down in 1999
despite continued favorable business results.
The Portfolio need not be fully invested in stocks and can own more defensive
income-producing instruments. At December 31, 1999, the Portfolio's net assets
were allocated 68% to common stocks and securities convertible into common
stocks, 7% to U.S. Government Agency notes, and 25% to cash and cash
equivalents. This reflects a reduction in stocks, which had represented 82% of
net assets at September 30, 1999, and a corresponding increase in notes, bonds
and cash during the fourth quarter.
OpCap Advisors
9
<PAGE>
ENDEAVOR OPPORTUNITY VALUE PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 Invested in
Endeavor Opportunity Value Portfolio
vs.
S&P 500 Stock Index and Lipper VA Flexible Portfolio Index+
November 18, 1996 through December 31, 1999
[Graph]
Endeavor Opportunity S & P 500 Lipper VA Flexible
Value Portfolio* Stock Index* Portfolio Index*
10,000 9,801.91 10,448.8
Dec. 1996 10,060 9,801.91 10,317.05
10,290 10,413.95 10,636.17
10,170 10,495.71 10,624
10,020 10,065.26 10,311.78
10,290 10,665.61 10,616.65
10,630 11,317.68 11,059.88
11,021.04 11,820.83 11,363.11
11,651.1 12,761.15 12,016.33
11,271.06 12,046.79 11,652.82
11,651.1 12,706.17 12,068.78
11,451.08 12,282.3 11,835.2
11,711.1 12,850.41 12,048.19
Dec. 1997 11,751.11 13,070.94 12,171.67
11,851.12 13,215.37 12,262.1
12,391.17 14,167.96 12,807.58
12,741.2 14,892.9 13,214.3
12,841.21 15,045.41 13,288.03
12,683.19 14,787.16 13,126.18
12,855.14 15,837.36 13,396.39
12,379.77 15,224.74 13,214.7
10,538.99 13,025.13 11,858.63
11,075.04 13,860.25 12,334.38
11,874.06 12,985.91 12,871.84
12,339.31 15,893.81 13,371.11
Dec. 1998 12,359.54 16,809.08 13,924.99
12,066.23 17,511.72 14,201.08
12,015.66 16,967.55 13,790.47
12,297.84 17,646.22 14,148.32
13,370.96 18,329.57 14,519.99
12,889.86 17,897.21 14,253.1
13,240.46 18,889.81 14,733.81
12,817.68 18,300.55 14,457.55
12,436.14 18,209.96 14,334.07
12,436.14 17,711.36 14,171.54
13,178.59 18,831.67 14,657.01
13,044.54 19,214.46 14,898.9
Dec. 1999 12,951.73 20,344.57 15,576.44
+The S&P 500
Stock Index is an
index composed of
500 widely held
common stocks
listed on the New
York Stock
Exchange,
American Stock
Exchange and
over-the-counter
market.
The Lipper VA
Flexible
Portfolio Index
is an equally
weighted
performance index
of flexible
portfolio funds
underlying 30
variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
Endeavor Opportunity Value Portfolio
------------------------------------
<S> <C>
Year ended 12/31/99 4.79%
Inception (11/18/96) through 12/31/99 8.65%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
10
<PAGE>
ENDEAVOR VALUE EQUITY PORTFOLIO
The Endeavor Value Equity Portfolio had a negative return of 3.1% in 1999,
compared with a 21.0% increase for the S&P 500 Index with dividends included.
The S&P 500 Index is an unmanaged index of 500 of the largest corporations
weighted by market capitalization. In the second half of the year, the
Portfolio declined 10.0% compared with a 7.7% increase for the S&P 500 Index.
In trailing its benchmarks, the Portfolio's results were affected by a
difficult environment for value stocks, which lagged the returns of growth
stocks during the period. In addition, results for the Portfolio were affected
by its significant holdings of financial stocks, one of the stock market's
weakest sectors in 1999. Holdings such as Freddie Mac (home mortgage
insurance) and XL Capital (specialty insurance) declined in price due
primarily to investor concerns about the potential impact of rising interest
rates on their business results. Apart from the Portfolio's financial
holdings, stocks which detracted from performance included Waste Management
(solid waste collection and disposal) and American Home Products
(pharmaceuticals, over-the-counter healthcare products and agricultural
products), both which fell because of company-specific problems.
Some of the stocks which contributed positively to performance in the year
included Computer Associates International (software), McDonald's (fast food)
and Minnesota Mining & Manufacturing (diversified technology-based company).
Another contributor was Citigroup, the global financial services company,
which bucked the downward trend of the financial stocks and advanced in price,
propelled by continued strong earnings growth.
The Portfolio invests in a diverse group of stocks chosen for their superior
business characteristics and reasonable prices. Our goal is to generate
favorable long-term investment results without taking large risks. Although
results in 1999 did not meet our expectations, we believe the Portfolio is
well positioned to deliver strong returns over time through its ownership of
quality undervalued securities which offer significant appreciation potential.
During the fourth quarter, we increased the Portfolio's investment in the
telephone sector by purchasing Bell Atlantic. Bell Atlantic is the local phone
service provider in much of the northeastern United States. It is growing
rapidly in data and wireless services, has received approval to enter the
long-distance market in New York, is reducing costs, and plans to merge with
GTE to broaden its markets and achieve greater scale. Also added in the
quarter was Alcoa, the world's leading aluminum producer.
We remain confident that our value style will generate excellent results over
time.
OpCap Advisors
11
<PAGE>
ENDEAVOR VALUE EQUITY PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 Invested in
Endeavor Value Equity Portfolio
vs.
S&P 500 Stock Index and Lipper VA Capital Appreciation Index+
May 27, 1993 through December 31, 1999
[Graph]
Endeavor Value S&P 500 Lipper VA Capital
Equity Portfolio* Stock Index* Appreciation Index*
6/30/93 10,070 10,029.19 10,068.76
10,010 9,988.81 10,041.44
10,260 10,366.98 10,533.6
10,150 10,287.47 10,757.78
10,190 10,500.14 10,915.56
10,170 10,400.06 10,547.73
Dec. 1993 10,280 10,525.79 10,879.29
10,570 10,883.3 11,277.26
10,470 10,588.06 11,089.34
10,110 10,127.34 10,490.75
10,460 10,257.08 10,525,13
10,620.15 10,424.75 10,436.59
10,279.83 10,169.65 9,957.14
10,500.04 10,503.35 10,221.35
10,960.48 10,932.99 10,816.65
10,640.17 10,665.85 10,591.53
10,870.39 10,905.13 10,792.64
10,530.07 10,508.48 10,316.49
Dec. 1994 10,700.23 10,664.06 10,480.86
11,000.52 10,940.42 10,452.13
11,440.94 11,366.36 10,884.47
11,721.21 11,701.23 11,225.45
11,982.46 12,045.53 11,479.3
12,559.31 12,526.24 11,826.88
12,994.49 12,816.68 12,538.98
13,530.86 13,241.52 13,476.2
13,530.86 13,274.57 13,603.36
13,854.71 13,834.47 13,964.12
13,561.22 13,785.04 13,669.76
14,188.68 14,389.49 14,049.83
Dec. 1995 14,401.21 14,666.67 14,014.51
15,119.75 15,165.28 14,145.18
15,433.48 15,306.36 14,525.36
15,716.85 15,453.73 14,684.96
15,757.33 15,681.36 15,323.99
16,176.21 16,085.08 15,774.17
16,114.04 16,146.41 15,229.51
15,502.64 15,433.46 14.000.39
16,145.13 15,759.49 14.701.62
16,787.61 16,645.68 15,627.74
17,098.5 17,104.6 15,380.92
17,989.69 18,396.37 16,073.59
Dec. 1996 17,834.25 18,031.95 15,734.86
18,487.1 19,157.89 16,527.88
18,518.19 19,308.29 15,982.53
17,927.51 18,516.43 15,040.94
18,300.57 19,620.85 15,448.92
19,222.85 20,820.42 16,689.09
20,259.28 21,746.02 17,326.73
21,517.42 23,475.88 18,782.29
20,979.75 22,161.71 18,341.47
21,786.25 23,374.74 19,418.99
21,377.63 22,594.97 18,601.56
21,797.01 23,640.08 18,738.36
Dec. 1997 22,259.4 24,045.78 18,847.68
21,990.57 24,311.48 18,947.72
23,496.03 26,063.9 20,526.32
24,646.64 27,397.53 21,494.85
24,840.2 27,678.09 21,783.64
24,417.59 27,202.99 20,943.32
24,726.82 28,307.15 21,825.04
23,832.28 28,007.98 21,065.54
20,232.04 23,961.49 17,217.62
20,839.44 25,497.81 18,446.67
22,970.87 27,568.63 19,618.82
23,843.32 29,238.82 20,844.57
Dec. 1998 23,942.72 30,922.6 22,872.47
22,860.43 32,215.2 23,862.43
22,871.48 31,214.13 22,623.04
23,632.39 32,462.64 23,770.79
24,720.75 33,719.73 24,717.51
25,312.87 32,924.36 24,425.61
25,788.94 34,750.38 25,983.12
24,442.02 33,666.36 25,300.73
23,582.77 33,499.7 24,878.94
22,967.37 32,582.47 24,816.71
24,151.73 34,643.43 26,447.31
23,547.94 35,347.61 28,092.42
Dec. 1999 23,211.21 37,426.61 31,695.15
+The S&P 500
Stock Index is an
index composed of
500 widely held
common stocks
listed on the New
York Stock
Exchange,
American Stock
Exchange and
over-the-counter
market.
The Lipper VA
Capital
Appreciation
Index is an
equally weighted
performance index
of capital
appreciation
funds underlying
30 variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
Endeavor Value Equity Portfolio
-------------------------------
<S> <C>
Year Ended 12/31/99 (3.06)%
Five Years ended 12/31/99 16.74 %
Inception (05/27/93) through 12/31/99 13.61 %
</TABLE>
*Assumes reinvestment of all dividends and distributions.
12
<PAGE>
ENDEAVOR ASSET ALLOCATION PORTFOLIO
The Endeavor Asset Allocation Portfolio achieved a total return of 26.4% for
the calendar year ended December 31, 1999 versus an 8.3% return from its
weighted benchmark, The Lipper VA Flexible Portfolio Index, over the same
period. At year-end, the one, three and five year annualized returns for the
Portfolio reached 26.39%, 21.60% and 21.09%, respectively, and compare
favorably with all relevant benchmarks and peer group statistics. Since its
inception in 1991, the Portfolio has generated an annualized return of 15.68%.
A review of asset class contributions to the year's total return indicated
that the equity portion of the Portfolio returned 41.4% versus the S&P 500's
21% total return, while the Portfolio's fixed income portion lagged the Lehman
Aggregated Index with a return of -1.3% versus -0.8%, respectively. Clearly,
the strength of our equity performance and our commitment to equities within
the asset allocation mix benefited the Portfolio's full year return.
We are pleased with the breadth and consistency of the equity portion's stock
selection driven performance during the year, particularly in the context of a
market that continued to be dominated by a small number of very large
capitalization stocks. The combination of concentration and added insight
provided an advantage in an increasingly selective market which remained
constructive regarding the sustainable growth of the largest companies,
particularly those that continue to deliver stellar results. In addition, our
emphasis on bottom-up fundamental analysis generated additional benefits in a
market environment marked by stock selection as avoiding prominent
underperformers remained important to our overall success. At year-end, our
ten largest holdings accounted for just under 40% of the equity portion of the
Portfolio.
A broader review of the equity market reflects a continuing dichotomy in
performance and valuation across the S&P 500. After stumbling in the third
quarter of 1999, the S&P 500 recovered to an all-time high in the fourth
quarter, returning nearly 21.0% for the full year. This marks a record fifth
consecutive year in performance across stocks and sectors.
Only 50.5% of the stocks in the S&P 500 had a positive return for the year.
The other 49.5% of the S&P 500 actually lost money for investors. An equal
weighted version of the S&P 500 would have posted an 11.9% return for the
year; and, while the average stock provided a return of 13.9%, the median
stock returned only 0.4%. For the year, 30 stocks accounted for 100% of the
S&P 500's performance. Growth outperformed value; and, once again, technology
overshadowed all other sectors, ending the year at 30% of the S&P 500's
capitalization.
On the fixed income side, the key theme for the year was the sharp rise in
interest rates as the Federal Reserve raised the federal funds rate by 75
basis points in three separate increments during the second half. For the
year, yields on the most current ("on the run") two year and 30 year Treasury
issues rose by 170 and 139 basis points, respectively, bringing their yields
to levels not seen since prior to the Asian crisis of mid-1998.
The broader fixed income indices posted negative annual returns for the first
time since 1994. Despite unfavorable absolute returns, however, the non-
Treasury issues with the same degree of interest rate risk as their attractive
yield spreads proved an excellent cushion against the unfavorable effects of
declining bond prices.
Corporates exerted a positive influence on performance during the year as a
result of their attractive yield advantage versus Treasuries as well as a
modest amount of spread compression. Like corporates, mortgages outperformed
Treasuries due to the combined effects of their running yield advantage and
some narrowing of yield spreads. Our above-benchmark interest rate sensitivity
strategy had an unfavorable impact on relative returns due to the rise in
interest rates during the year. The volatility in interest rates did allow us
to make some tactical changes in the Portfolio. Historically, periods of high
real rates have been excellent environments in which to build above-benchmark
sensitivity to changes in interest rates. Given that tight labor markets bias
the Federal Reserve to lean against continued rapid growth, the probability of
a tightening move in early 2000 appears quite high and there is a likelihood
of more than one increase during the year. The market has anticipated the
Federal Reserve's moves and the current yield curve already discounts
approximately 75 basis points of Federal Reserve tightening in 2000.
Looking forward, continued modest GDP growth against an ongoing backdrop of
relatively low inflation, a reasonable rate environment domestically and a
tentative recovery abroad suggests that the U.S. economy continues to exhibit
surprising resiliency as the global economy continues its transition from
crisis to recovery. Importantly, the Federal Reserve remains sensitive to the
risks posed to the financial system by renewed economic or financial market
turmoil. Further action from the Federal Reserve seems well anticipated.
Clearly, financial markets could experience increased volatility should market
valuations be impacted by further rate hikes. The fundamental economic and
financial backdrop, however, remains constructive, particularly for long term
investors. We view this environment as an opportunity and continue to feel
that the Portfolio is well positioned both strategically and tactically to
participate in a market that continues to afford investors a number of
attractive options.
Morgan Stanley Asset Management
13
<PAGE>
ENDEAVOR ASSET ALLOCATION PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 Invested in
Endeavor Asset Allocation Portfolio
vs.
S&P 500 Stock Index, Lipper VA Flexible Portfolio Index and Blended Index
April 8, 1991 through December 31, 1999
[Graph]
Endeavor Asset
Allocation S & P 500 Lipper VA Flexible
Portfolio* Stock Index* Portfolio Index* Blended Index*
4/31/91 10,030 10,023.77 10,028.64 10,050.71
10,080 10,454.71 10,280.28 10,350.82
10,090 9,976.11 9,975.45 10,040.5
10,140 10,440.7 10,309.6 10,387.09
10,240 10,687.33 10,578.29 10,616.54
10,330 10,508.41 10,624.66 10,566.44
10,630 10,649.38 10,796.51 10,696.11
10,400 10,221.46 10,622.61 10,449.79
Dec. 1991 11,370 11,388.47 11,450.49 11,307.76
11,610 11,176.51 11,243.86 11,125.59
11,740 11,321.19 11,331.15 11,243.02
11,410 11,101.27 11,150.44 11,082.89
11,440 11,426.87 11,194.76 11,320.3
11,520 11,482.74 11,309.33 11,421.72
11,250 11,311.97 11,201.58 11,359.51
11,570 11,773.72 11,511.87 11,732.02
11,409.03 11,533.2 11,410.94 11,613.01
11,590.12 11,668.77 11,530.28 11,744.89
11,781.28 11,708.82 11,521.41 11,724.13
12,223.96 12.106.42 11,778.5 11,985.3
Dec. 1992 12,394.99 12,254.94 11,957.17 12,139.67
12,797.43 12,357.29 12,074.47 12,277.27
12,857.79 12,525.65 12,162.44 12,452.87
13,290.41 12,789.76 12,377.93 12,641.61
13,149.56 12,480.63 12,239.5 12,468.34
13,402.63 12,813.67 12,428.4 12,691.02
13,544.35 12,851.07 12,552.51 12,785.94
13,564.59 12,799.32 12,579.79 12,775.65
14,040.37 13,283.9 12,997.13 13,160.51
14,192.21 13,182.03 13,068.74 13,106.59
14,293.44 13,454.52 13,214.67 13,299.99
14,222.58 13,326.29 12,987.59 13,184.02
Dec. 1993 14,475.65 13,487.4 13,207.17 13,311.63
15,052.65 13,945.5 13,530.41 13,664.67
14,698.35 13,567.19 13,197.62 13,350
14,040.37 12,976.83 12,686.85 12,869.89
13,832.85 13,143.08 12,742.77 12,948.73
14,137.98 13,357.93 12,813.01 13,089.75
13,507.37 13,031.05 12,588.65 12,870.69
13,843.02 13,458.65 12,851.2 13,226.86
14,270.21 14,009.17 13,134.88 13,591.65
13,873.53 13,666.87 12,868.25 13,313.66
14,076.96 13,973.47 12,969.17 13,511.85
13,761.65 13,465.21 12,609.11 13,175.44
Dec.1994 13,710.79 13,664.57 12,682.08 13,334.29
13,670.11 14,018.68 12,804.83 13,643.92
14,076.96 14,564.48 13,216.72 14,095.41
14,300.72 14,993.56 13,502.45 14,401.93
14,781.82 15,434.74 13,752.04 14,748.3
15,164.82 16,050.7 14,234.86 15,311.14
15,775.56 16,422.87 14,492.63 15,587.19
16,313.83 16,967.24 14,843.83 15,934.07
16,427.7 17,009.59 14,956.35 16,016.28
16,769.29 17,727.03 15,263.23 16,527.66
16,572.62 17,663.69 15,188.21 16,546.4
16,924.56 18,438.22 15,681.26 17,119.4
Dec. 1995 16,852.1 18,793.39 15,884.47 17,416.4
17,090.19 19,432.28 16,226.81 17,864.72
17,328.27 19,613.06 16,241.81 17,904.37
17,597.41 19,801.89 16,315.46 17,998.07
18,063.22 20,093.57 16,461.4 18,164.84
18,611.12 20,610.89 16,655.07 18,494.6
18,316.04 20,689.47 16,667.35 18,608.38
17,652.11 19,775.92 16,194.08 18,029.67
18,052.58 20,193.69 16,475.72 18,296.24
18,927.28 21,329.22 17,095.61 19,116.09
19,043.2 21,917.27 17,403.16 19,603.22
20,223.52 23,572.49 18,184.21 20,762.65
Dec. 1996 19,854.67 23,105.54 17,954.94 20,417.1
20,739.91 24,548.28 18,510.3 21,372.15
20,550.22 24,741 18,489.12 21,512
19,517.44 23,726.33 17,945.76 20,802.23
20,613.45 25,141.51 18,476.32 21,795.7
21,804.31 26,678.6 19,247.7 22,842.94
22,123.78 27,864.63 19,775.4 23,674.07
+The S&P 500
Stock Index is an
index composed of
500 widely held
common stocks
listed on the New
York Stock
Exchange,
American Stock
Exchange and
over-the-counter
market.
The Lipper VA
Flexible
Portfolio Index
is an equally
weighted
performance index
of flexible
portfolio funds
underlying 30
variable
annuities.
The Blended Index
is a hypothetical
index comprised
of 65% S&P 500
Stock Index, 30%
Lehman Aggregate
Bond Index and 5%
90-Day Treasury
Bills.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
NOTE: The performance shown represents past performance has been used.
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
Endeavor Asset Allocation Portfolio
-----------------------------------
<S> <C>
Year ended 12/31/99 26.39%
Five Years ended 12/31/99 21.09%
Inception (04/08/91) through 12/31/99 15.68%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
14
<PAGE>
ENDEAVOR MONEY MARKET PORTFOLIO
The Endeavor Money Market Portfolio seeks current income, preservation of
capital and maintenance of liquidity through investment in short-term money
market securities. The Portfolio's shares are neither insured by nor
guaranteed by the U.S. Government. The Portfolio seeks to maintain a constant
net asset value of $1.00 per share although no assurances can be given that
such constant net asset value will be maintained.
In managing the Portfolio over the past quarter, we have implemented a
relatively conservative strategy, buying short dated commercial paper, high
quality bank certificates of deposit and U.S. agency discount notes. We
continue to manage the Portfolio with the goals of preserving capital and
earning a high risk-adjusted yield by investing in top quality U.S. dollar
denominated money market securities.
The potential for continued above-trend economic growth and the risk of
further Federal Reserve tightening moves forced U.S. interest rates higher
during the fourth quarter. In fact, the sharp rise in interest rates was a key
theme throughout 1999. The Federal Reserve raised the federal funds rate by 75
basis points in three separate increments in the second half of 1999. For the
year, yields on the most current ("on the run") two year and 30 year Treasury
issues rose by 170 and 139 basis points, respectively, bringing their yields
to levels not seen since prior to the Asian currency crisis of mid-1998.
Some market participants predicted that T-bill yields would decline below 3%
as investors stockpiled cash with the approach of year-end. In fact, this
market behavior did not occur. Instead, rates for commercial paper and other
spread paper maturing in early 2000 traded at very attractive rates. The yield
for securities maturing in January and February was in excess of 6% while
repurchase rates held steady around 5.35%. From this point on the money market
curve, rates were flat as far out as the nine month point on the curve and
then they resumed a positive shape. Although the curve maintained a similar
shape for the balance of the year, new issue supply dwindled to almost nothing
in late December.
The Federal Open Market Committee meets again in early February. Given that
the tight labor market biases the Federal Reserve to lean against continued
rapid growth, the probability of a tightening move at the time is quite high
and there is the likelihood of one or more additional tightening moves during
the course of the year. The market, however, has already discounted such
actions. In fact, the current yield curve already discounts approximately 75
basis points of additional Federal Reserve tightening in 2000. With this
degree of tightening already factored into the yield curve and real yields at
high levels, bond valuations are attractive.
Morgan Stanley Asset Management
15
<PAGE>
T. ROWE PRICE EQUITY INCOME PORTFOLIO
The last year of the millennium will be remembered as the year the S&P 500
Index continued its unprecedented five-year streak of returns in excess of
20%, but also the year in which more S&P 500 stocks declined than advanced. It
was unquestionably a disappointing year for value stocks and your portfolio.
Without trying to dodge any bullets, some factors that affected us were beyond
our control, but with the benefit of hindsight, there are some stocks we could
have avoided in favor of others.
PERFORMANCE
The T. Rowe Price Equity Income Portfolio enjoyed a very strong first six
months of 1999, outperforming both the S&P 500 Index and the Lipper universe
of comparably managed funds. However, during the second half of 1999, we
struggled relative to the broad market for the year ended December 31, 1999,
which was ahead of our Lipper peer group average.
PORTFOLIO STRATEGY
The major factor behind our lagging relative performance was our
underweighting in technology, a sector that nearly doubled in value in 1999.
We would not normally expect to hold large positions in this sector, since the
lofty valuations of most technology shares exclude them as candidates for
purchase. Value investing was rendered even more challenging by a
deteriorating interest rate environment. As fixed income investors can
testify, bond returns were mostly negative as interest rates rose throughout
the year. Similarly, it was difficult to profit from investments in stocks
with above-average dividend yields since they, too, suffered as rates climbed.
However, every cloud has a silver lining. Because of their weak performance in
1999, value stocks are currently extremely attractive as they are selling at
the greatest price/earnings discount to the general market in 25 years.
Aside from these issues, a number of investments were successful for us. The
Portfolio benefited from several companies involved in merger and acquisition
activities. Our winners included BCE, Citigroup, Reynolds Metals, Dow Jones,
and U.S. West. However, other solid companies were disappointing, including
our holdings in Bank One, National City, Heinz, and Waste Management, which
struggled through the year and largely offset our more profitable investments.
We took advantage of market volatility by adding new positions and beefing up
existing holdings.
SUMMARY AND OUTLOOK
We believe value stocks offer good potential for appreciation especially when
compared with some of the more extended sectors of the market. The best
strategy when our investment style has been out of sync with the overall
market has been to stick to basics and concentrate on companies with below
average price/earning ratios and above-average dividend yields. We will
continue to manage the Portfolio in our traditionally conservative style.
As always, we appreciate your confidence in T. Rowe Price and your continued
support.
Brian C. Rogers, Portfolio Manager
T. Rowe Price Associates, Inc.
16
<PAGE>
T. ROWE PRICE EQUITY INCOME PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 invested in
T. Rowe Price Equity Income Portfolio
vs.
S&P 500 Stock Index and Lipper VA Equity Income Index+
January 3, 1995 through December 31, 1999
[Graph]
T. Rowe Price Equity S&P 500 Lipper VA Equity
Income Portfolio* Stock Index* Income Index*
1/3/95 10,010 10,259.15 10,256.57
10,370 10,658.57 10,256.57
10,560 10,972.59 10,256.57
10,800 11,295.45 10,256.57
11,150 11,746.22 10,256.57
11,230 12,018.58 10,256.57
11,450 12,416.96 10,256.57
11,620 12,447.96 10,256.57
12,060 12,972.99 10,256.57
12,160 12,926.64 10,256.57
12,640 13,493.45 10,256.57
Dec. 1995 13,050 13,753.37 10,256.57
13,430 14,220.93 10,256.57
13,470 14,353.23 10,330.75
13,660 14,491.42 10,469
13,750 14,704.87 10,583.74
13,977.9 15,083.46 10,712.89
14,068.8 15,140.96 10,713.84
13,674.91 14,472.41 10,293.58
13,977.9 14,778.14 10,521.8
14,553.58 15,609.15 10,922.07
14,886.87 16,039.49 11,161.29
15,735.24 17,250.82 11,852.39
Dec. 1996 15,644.34 16,909.09 11,748.03
16,058.43 17,964.92 12,228.86
16,442.21 18,105.96 12,362.81
16,098.82 17,363.4 11,964.9
16,482.61 18,399.05 12,362.71
17,260.28 19,523.93 13,118.72
17,909.49 20,391.89 13,676.45
18,936.75 22,014.03 14,641.84
18,438.68 20,781.69 14,086.39
19,299.92 21,919.19 14,869.04
18,791.48 21,187.97 14,362.89
19,486.69 22,168 14,813.03
Dec. 1997 20,067.76 22,548.44 15,063.95
19,901.74 22,797.59 15,080.5
20,887.49 24,440.89 15,916.56
21,862.86 25,691.47 16,693.05
21,686.47 25,954.56 16,697.79
21,333.67 25,509.05 16,429.84
21,268.3 26,544.45 16,570.25
20,658.14 26,263.91 16,091.4
18,675.13 22,469.4 13,913.52
19,666.64 23,910.05 14,719.5
20,854.26 25,851.91 15,687.33
21,693.23 27,418.11 16,325.86
Dec. 1998 21,834.87 28,977.04 16,728.84
21,257.4 30,209.14 16,705.96
21,083.07 29,270.41 16,457.48
21,637.66 30,441.17 16,950.87
24,035.79 31,619.99 18,297.25
23,866.65 30,874.14 17,812.85
24,527.04 32,586.46 18,420.34
24,005.68 31,569.95 17,833.41
23,264.19 31,413.65 17,374.7
22,406.85 30,553.54 16,774.09
23,148.34 32,486.17 17,352.61
22,754.42 33,146.5 17,281.69
Dec. 1999 22,592.22 35,096.04 17,634.54
+The S&P 500
Stock Index is an
index composed of
500 widely held
common stocks
listed on the New
York Stock
Exchange,
American Stock
Exchange and
over-the-counter
market.
The Lipper VA
Equity Income
Index measures
the total returns
earned by 10
variable
annuities
investing in
equity income
funds.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
T. Rowe Price Equity Income Portfolio
-------------------------------------
<S> <C>
Year Ended 12/31/99 3.47%
Inception (01/03/95) through 12/31/99 17.73%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
17
<PAGE>
T. ROWE PRICE GROWTH STOCK PORTFOLIO
Last year was a fitting conclusion to the decade, the century, and the
millennium. The bull market stormed into the future, propelled by the narrow
but powerful rally in technology stocks. Internet stocks in particular were
the source of much of the market's strength. This explosive performance spread
through international markets as well, driving a relatively small number of
stocks to valuation levels not seen in years.
PERFORMANCE
The second half of 1999 was particularly volatile, as a steep correction in
the third quarter was followed by strong global rallies in the fourth. The
Portfolio returned 22.19% for the year, just ahead of the unmanaged S&P 500
Stock Index but behind the Lipper VA Underlying Growth Funds Average.
Virtually all Portfolio performance over the past 12 months can be attributed
to our technology holdings. We entered the year underweighted in this sector,
which hurt our early results. Subsequently, we shifted toward a more
aggressive approach vis-a-vis the group and regained lost ground versus the
S&P 500. However, we did not consider it prudent to focus too heavily on
technology shares in order to keep up with some exceptionally aggressive
members of our Lipper peer group.
INVESTMENT REVIEW
As mentioned, the Portfolio was initially positioned for the projected
slowdown in 1999, which never materialized. As we came to the conclusion that
strong economic growth would continue through the year, we aggressively added
technology holdings throughout the second quarter. This turned out to be a
fortunate decision as almost all of our 20 best-performing stocks were in this
sector. America Online, Cisco Systems, Microsoft, Maxim Integrated Products,
and Nextel all made positive contributions. In other areas, we benefited from
large positions in Citigroup, GE, and Wal-Mart.
Few companies such as Waste Management and Network Associates, whose
fundamentals failed to meet expectations and hurt performance. Most of our
sales were made with the view of reducing exposure to consumer nondurables,
banks, and insurance. As we look ahead to 2000 and beyond, we are comfortable
with our current stock and sector weightings.
OUTLOOK
We expect technology spending to remain strong, fueled by the Internet and
wireless applications, and our technology investments are positioned to
benefit from these trends. As the year progresses, we expect the U.S. economy
to cool a bit and traditional businesses to compete more effectively with new
Internet competitors. This shifting perception should reward many of our
holdings whose valuations have been lowered due to competitive uncertainty.
As always, we will continue to work diligently on your behalf in our search
for attractive investments, both here and abroad.
Robert W. Smith, Portfolio Manager
T. Rowe Price Associates, Inc.
18
<PAGE>
T. ROWE PRICE GROWTH STOCK PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 Invested in
T. Rowe Price Growth Stock Portfolio
vs.
S&P 500 Stock Index and Lipper VA Growth Index+
January 3, 1995 through December 31, 1999
[Graph]
T. Rowe Price S&P 500 Lipper VA
Growth Stock Portfolio* Stock Index* Growth Index*
1/31/95 10,010 10,259.15 10,089.1
10,610 10,658.57 10,457.23
11,380 10,972.59 10,738.59
11,510 11,295.45 11,006.57
11,760 11,746.22 11,355.26
12,210 12,018.58 11,761.24
12,630 12,416.96 12,284.12
12,680 12,447.96 12,375.9
13,080 12,972.99 12,789.58
13,050 12,926.64 12,636.83
13,460 13,493.45 13,122.87
Dec. 1995 13,720 13,753.37 13,148.66
14,080 14,220.93 13,457.49
14,260 14,353.23 13,706.71
14,310 14,491.42 13,786.76
14,700 14,704.87 14,153.55
14,860.2 15,083.46 14,476.12
14,809.34 15,140.96 14,320.36
14,148.21 14,472.41 13,452.13
14,707.63 14,778.14 13,925.1
15,500.99 15,609.15 14,736.72
15,643.39 16,039.49 14,880.08
16,660.51 17,250.82 15,827.56
Dec. 1996 16,568.97 16,909.09 15,553.69
17,158.9 17,964.92 16,370.87
17,199.59 18,105.96 16,162.58
16,538.46 17,363.4 15,372.39
17,219.93 18,399.05 16,013.98
18,450.65 19,523.93 17,128.53
19,355.07 20,391.89 17,786.37
20,646.78 22,014.03 19,309.77
19,590.86 20,781.69 18,563.13
20,677.53 21,919.19 19,593.08
20,103.44 21,187.97 18,856.39
20,821.05 22,168 19,201.52
Dec. 1997 21,302.88 22,548.44 19,513.94
21,702.69 22,797.59 19,599.6
23,476.22 24,440.89 21,055.07
24,644.91 25,691.47 22,071.83
24,788.43 25,954.56 22,356.84
24,155.91 25,509.05 21,747.16
25,000.3 26,544.45 22,658.71
24,807.9 26,263.91 22,325.03
21,002.81 22,469.4 18,599.22
22,217.77 23,910.05 19,635.47
24,070.14 25,851.91 21,082.21
25,537.05 27,418.11 22,382.45
Dec, 1998 27,410.84 28,997.04 24,174.14
27,764.18 30,209.14 25,132.07
27,036.08 29,270.41 24,068.53
28,023.3 30,441.17 25,003.82
28,952.7 31,619.99 25,879.7
28,133.47 30,874.14 25,471.2
29,613.57 32,586.46 27,045.11
28,727.84 31,569.95 26,237.86
28,471.45 31,413.65 25,791.18
27,923.7 30,553.54 25,284.55
29,671.84 32,486.17 26,736.51
30,825.62 33,146.5 27,755.65
Dec. 1999 33,494.45 35,096.04 30,406.77
+ The S&P 500
Stock Index is an
index composed of
500 widely held
common stocks
listed on the New
York Stock
Exchange,
American Stock
Exchange and
over-the-counter
market.
The Lipper VA
Growth Index is
an equally
weighted
performance index
of growth funds
underlying 30
variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
T. Rowe Price Growth Stock Portfolio
------------------------------------
<S> <C>
Year Ended 12/31/99 22.19%
Inception (01/03/95) through 12/31/99 27.38%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
19
<PAGE>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
The excitement driving U.S. technology, telecom and Internet stocks raced
through all international regions in the fourth quarter of 1999, pushing the
MSCI EAFE benchmark up 17% (cited in U.S.$). Latin America--not in the MSCI
EAFE benchmark--was the strongest region, up 33%. Performances of other
regions were in a tight band with the Pacific ex-Japan ahead 19%, Europe up
17%, and Japan 16% higher. The overriding factor propelling markets was
enthusiasm for "new economy" stocks: telecom and Internet-related companies
and their suppliers.
The T. Rowe Price International Stock Portfolio returned 32.35% for the year,
markedly outperforming the 27.30% return of the MSCI EAFE benchmark. Country
weighting relative to the benchmark was broadly neutral for the full year. Our
underweight position in Japan subtracted considerable value, while an
overweight position in Latin America added significant value. Also,
underweight positions in the weaker UK and German markets were positive
contributors. Overweighting the electronic components and consumer electronics
sectors and underweighting utilities and insurance also contributed to
positive performance.
At the end of December, Europe including the UK accounted for about 60% of the
Portfolio compared to just over 70% a year ago. We are now underweighted in
the region, but continue to favor the Continent relative to the UK. Japan rose
from nearly 17% of the Portfolio last year to roughly 23%, below the benchmark
at 27%. Somewhat over 9% was invested elsewhere in the Pacific, up from 5%
last year and now above the 6% benchmark allocation, reflecting our increased
optimism as the Asian crisis passed. In Latin America, we retained our major
holdings, but eliminated smaller stocks, maintaining approximately 4% in the
region, the same as a year ago.
We expect stronger economic growth in Europe. In Japan, declining domestic
demand and capital expenditure together with the potential for a strong yen
are liable to keep the economy weak. Elsewhere in Asia, economic recovery is
well under way and we expect it to continue. We remain cautiously optimistic
about Latin America. Although we believe the valuations of some "new economy"
stocks in international regions have become excessive, we are enthusiastic
about the growth potential of well-managed telecom, Internet-related and
technology businesses. Fortified by a year of improvement, international
economies are poised for better growth with moderate inflation in 2000.
Greater-than-expected progress in restructuring and reform during 1999, as
well as more mergers and acquisitions than anticipated, have enhanced the
earnings potential of international companies and have paved the way for
international stock markets to rise in the year ahead.
Rowe Price-Fleming International, Inc.
20
<PAGE>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical illustration of $10,000 invested in
T. Rowe Price International Stock Portfolio
vs.
Morgan Stanley Capital International EAFE Index and Lipper VA International
Index+
March 24, 1995 through December 31, 1999
[Graph]
T. Rowe Price Morgan Stanley Lipper VA
International Capital International International
Stock Portfolio* EAFE Index* Index*
3/24/95 10,000 10,376.09 10,340.34
11,697.08 10,252.4 10,379.83
11,645.77 10,072.6 10,378.15
12,281.93 10,699.69 10,932.77
11,994.63 10,291.53 10,721.01
12,158.8 10,492.53 10,873.11
11,974.11 10,210.49 10,643.7
12,076.72 10,494.58 10,771.43
Dec. 1995 12,507.66 10,917.41 11,056.3
12,846.26 10,962.23 11,253.78
12,928.35 10,999.29 11,317.65
13,164.34 11,232.87 11,434.45
13,564.51 11,559.45 11,773.11
13,524.28 11,346.73 11,791.6
13,689.59 11,410.59 11,821.01
13,234.99 11,077.09 11,378.15
13,441.63 11,101.36 11,525.21
13,741.25 11,396.28 11,718.49
13,679.26 11,279.66 11,627.73
14,299.17 11,728.46 12,137.92
Dec. 1996 14,412.82 11,577.59 12,227.31
14,257.84 11,172.4 12,207.91
14,454.14 11,355.14 12,359.23
14,402.48 11,396.25 12,403.15
14,485.14 11,456.72 12,433.58
15,404.67 12,202.26 13,136.28
16,068.64 12,875.18 13,749.2
16,474.26 13,083.47 14,155.57
14,976.6 12,106.34 13,096.38
15,943.84 12,784.52 13,947.86
14,706.19 11,801.84 12,884.49
14,685.39 11,681.54 12,781.57
Dec. 1997 14,789.39 11,783,42 12,892.95
15,247.01 12,322.32 13,191.52
16,203.85 13,112.99 14,064.63
16,755.07 13,516.76 14,798.67
16,911.07 13,623.75 15,016.97
16,798.75 13,557.63 15,009.85
16,798.75 13,660.26 14,923.17
16,798.02 13,798.76 15,103.46
14,816.22 12,089.24 12,946.75
14,415.5 11,718.61 12,477.37
15,712.58 12,940.16 13,445.04
16,503.48 13,603.1 14,138.04
Dec. 1998 17,072.93 14,139.74 14,485.23
16,862.02 14,097.99 14,598.09
16,556.21 13,762 14,281.08
17,280.67 14,336.45 14,827.96
17,927.1 14,917.34 15,589.92
17,088.22 14,149.12 14,883.04
17,715.91 14,700.75 15,633.12
18,073.04 15,137.71 15,972.47
18,246.19 15,192.99 16,026.8
18,332.77 15,345.92 16,034.37
18,884.7 15,920.71 16,596.21
20,150.9 16,473.87 17,764.28
Dec. 1999 22,596.71 17,952.42 19,795.85
+ The Morgan
Stanley Capital
International
EAFE Index is a
composite
portfolio
consisting of
equity total
returns for the
countries of
Europe,
Australia, New
Zealand and
countries of the
Far East,
weighted based on
each country's
gross domestic
product.
The Lipper VA
International
Index is an
equally weighted
performance index
of international
funds underlying
30 variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
T. Rowe Price International Stock
Portfolio
---------------------------------
<S> <C>
Year ended 12/31/99 32.35%
Period from (03/24/95) through 12/31/99 14.79%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
21
<PAGE>
ENDEAVOR SELECT 50 PORTFOLIO
PERFORMANCE
The year ended December 31, 1999, was an excellent one for the Endeavor Select
50 Portfolio strategy. For the full year the Portfolio was up 49.4% net of
investment management fees surpassing both the Standard & Poor's 500 Index and
the custom benchmark, which were up 21.0% and 30.9% respectively. For the last
quarter of 1999, the Portfolio gained 31.3% net of fees, nearly 16 percentage
points over the S&P 500 Index and outperformed its custom benchmark by 13
points. The custom benchmark consists of a blend of the returns of the S&P 500
(40%), Russell 2000 (20%), EAFE (20%) and Morgan Stanley's Emerging Markets
Free (20%) Indexes.
The international equity allocation contributed most strongly to performance,
followed by the emerging markets, emerging growth and large-cap growth
allocations. During the second half of the year especially, investments in
communications, media and technology stocks boosted the international
performance. The equity income allocation was weaker, as investors largely
ignored the large-cap value-oriented issues that this strategy focuses on.
HIGHLIGHTS
The strongest stocks included several communications holdings, such as the
international companies Colt Telecom Group and Nokia and the emerging markets
companies Aftec (based in India) and Globo Cabo (Brazil). Investors are
enthused about prospects for communications companies outside the U.S. as well
as at home. Optical Coating Labs manufactures optical thin film coatings and
components for fiber optic communications systems. As bandwidth demand rises,
we expect this company to continue to do well.
The large-cap portfolio's bias toward cyclical stocks hasn't been rewarded
yet, although there were two exceptions. The recovering global economy drove
appreciation in some basic materials stocks, such as Alcoa and Rio Tinto.
OUTLOOK
Because of the strong price appreciation in communications and technology
stocks in the fourth quarter, many are now priced at historically high
valuation levels. In our view, high valuations combined with a rising interest
rate environment in the U.S. and Europe will likely to lead to short-term
volatility in these securities.
In the long run, however, we continue to be positive about the market's
prospects, and are still excited about the prospects for the communications
and technology stocks that we continue to own. We believe that these sectors
are likely to continue to drive economic growth and that the investment
environment will be more hospitable in the second half of the year once
interest rates have peaked.
We also continue to look positively on basic materials. As the global economy
shifts into a higher gear and countries continue to build their
infrastructure, this sector should profit. Through bottom-up stock selection
based on our primary original research, we hope to continue to be able to
report solid results.
Thank you for investing in the Endeavor Select 50 portfolio. We look forward
to writing to you again in our next report.
Montgomery Asset Management, LLC
22
<PAGE>
ENDEAVOR SELECT 50 PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 invested in
Endeavor Select 50 Portfolio
vs.
S&P 500 Stock Index, Blended Index and Lipper VA Global Index+
February 3, 1998 through December 31, 1999
[Graph]
Endeavor Select S&P 500 Lipper VA
50 Portfolio* Stock Index* Global Index* Blended Index*
2/28/98 10,000 10,720.82 10,711.44 10,773.3
11,140 11,269.38 11,241.51 11,242.69
11,500 11,384.78 11,406.88 11,293.49
11,240 11,189.36 11,303.82 10,771.09
11,050 11,643.54 11,385.93 10,767.55
10,750 11,520.48 11,334.83 10,624.02
8,760 9,856.04 9,602.15 8,775.01
9,070 10,487.97 9,610.51 9,173.12
9,650 11,339.76 10,224.37 9,926.15
10,260 12,026.76 10,768.45 10,527.63
Dec. 1998 10,660 12,719.34 11,341.94 10,983.34
10,790 13,251.02 11,598.57 11,189.41
10,440 12,839.26 11,187.1 10,823.15
10,707 13,352.8 11,587.52 11,362.73
11,590 13,869.88 12,105.39 12,057.07
11,510 13,542.72 11,751.48 11,819.42
12,390 14,293.82 12,399.5 12,534.01
12,370 13,847.93 12,407.99 12,305.63
12,120 13,779.38 12,420.04 12,229.34
12,030 13,402.09 12,375.68 12,028.4
12,350 14,249.83 12,919.86 12,514.76
13,540 14,539.48 13,958 13,038.76
Dec. 1999 15,760 15,394.63 15,606 14,169.21
+The S&P 500
Stock Index is an
index composed of
500 widely held
common stocks
listed on the New
York Stock
Exchange and
over-the-counter
market.
The Blended Index
is a hypothetical
index comprised:
40% S&P 500 Stock
Index, 20%
Russell 2000, 20%
EAFE and 20% MSCI
EM Free Index.
The Lipper VA
Global Index is
an equally
weighted
performance index
of global funds
underlying 10
variable
annuities.
NOTE: The performance shown represents past performance Index information
and is not a guarantee of future results. The Portfolio's is available at
share price and investment return will vary with market month-end only;
conditions, and the principal value of shares, when therefore, the
redeemed, may be more or less than original cost. The closest month-end
graph above does not reflect separate account expenses for to inception date
the Endeavor Variable Annuity. of the Portfolio
has been used.
<TABLE>
<CAPTION>
Average Annual Total Return*
Endeavor Select 50 Portfolio
----------------------------
<S> <C>
Year Ended 12/31/99 47.84%
Inception (02/03/98) through 12/31/99 26.90%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
23
<PAGE>
ENDEAVOR HIGH YIELD PORTFOLIO
For the year ended December 31, 1999, the Endeavor High Yield Portfolio
provided a total return of 5.82%, which compares to 2.39% for the Lehman
Brothers High Yield Bond Index, an unmanaged index of non-investment-grade
corporate debt, and to 4.78% for the Lipper High Yield Bond Fund Index. The
Lipper Mutual Fund Indices are unmanaged, net asset value weighted indices of
the largest qualifying mutual funds within their respective investment
objectives, adjusted for the reinvestment of capital gain distributions and
income dividends.
While many high-yield companies benefited from improved operating results in
1999, the market's overall performance for the year was lackluster. Heavy new
issuance of high-yield bonds and a rise in the default rate exerted downward
pressure on the prices of existing bonds. The increase in credit problems was
largely due to the effects that soft oil prices and Medicare reform had on
companies in the energy and health care industries, respectively.
While performance for most of the year was indeed lackluster, the high-yield
bond market finished on a strong note as more investors began to appreciate
the attractive spreads available in this segment of the marketplace.
Compared to its benchmarks, the Portfolio performed relatively well this year.
Our team held firm to the belief that avoiding mistakes is just as important
as picking the best investments. That's why MFS Original Research(R) and depth
of professional experience remained so critically important to the Portfolio's
relative success.
Our time-tested experience in the high-yield bond arena was also critical to
our ability to steer clear of trouble spots and avoid bankruptcies in various
sectors of the economy. Years of observing the dynamics in energy and health
care, for example, enabled us to anticipate as well as avoid the problems that
ultimately plagued these industries.
The Portfolio's performance benefited from an increased over-weighting in the
telecommunications sector, which remains one of the best performing sectors in
the high-yield market. Deregulation, both here in the United States and in
Europe, has contributed to the exceptional growth in new telecommunication
networks, many of which have been financed with high-yield bonds. We continue
to favor facility-based operators which are experiencing strong customer
demand, in part due to the explosion of Internet traffic. The telecom sector
has benefited from consolidation as well as equity investments from outside
the industry. We invested in the debt of such telecom companies as MetroNet
and Nextel. MetroNet, a competitive local exchange company (CLEC) in Canada,
saw its bonds appreciate after announcing its merger with AT&T of Canada, an
investment-grade company with better financial resources. Our position in
Nextel Communications rose in value after Microsoft announced its $600 million
investment in the company.
Our second largest exposure was in media, a highly defensive industry. Core
holdings included cable television and radio entities such as Charter
Communication, one of the fastest growing companies in the field. Controlled
by Paul Allen, the co-founder of Microsoft, Charter's valuation has risen
following the increased utilization of cable networks as a means of accessing
the Internet.
Given the optimistic outlook for continued growing corporate earnings in 2000
as well as the higher yield levels available in the market today, we believe
that high-yield bonds remain an attractive asset class.
Massachusetts Financial Services Company
24
<PAGE>
ENDEAVOR HIGH YIELD PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 invested in
Endeavor High Yield Portfolio
vs.
Lehman High Yield Index and Lipper VA High Current Yield Index+
June 1, 1998 through December 31, 1999
[Graph]
Endeavor High Lehman High Lipper VA High
Yield Portfolio* Yield Index* Current Yield Index*
6/1/98 9,987 10,035.82 10,000.61
10,085 10,093 10,070.98
9,396.7 9,536.08 9,313.55
9,337 9,579.3 9,238.81
9,140 9,382.9 9,026.98
9,750 9,772.23 9,533.97
Dec. 98 9,690 9,782.99 9,490.5
9,930 9,928.33 9,626.19
9,930 9,869.8 9,573.75
10,105 9,963.89 9,965.62
10,260 10,157.01 9,912.48
10,111.51 10,019.51 9,728
10,060.7 9,998.18 9,716.34
10,081.03 10,038.3 9,714.82
9,989.57 9,927.42 9,599.21
9,959.08 9,855.94 9,516.3
9,979.4 9,790.47 9,461.85
10,162.32 9,904.81 9,608.17
Dec. 99 10,253.79 10,016.96 9,723.21
+ The Lehman High
Yield Index is an
index composed of
high current
yield bonds.
The Lipper VA
High Current
Yield Index is an
equally weighted
performance index
of high current
yield funds
underlying 30
variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Average Annual Total Return*
Endeavor High Yield Portfolio
-----------------------------
<S> <C>
Year Ended 12/31/99 5.82%
Inception (06/01/98) through 12/31/99 1.60%
</TABLE>
*Assumes reinvestment of all dividends and distributions.
25
<PAGE>
ENDEAVOR JANUS GROWTH PORTFOLIO
Domestic markets registered exceptional gains during 1999 and closed out the
year with an unprecedented fifth straight year of 20%-plus returns. While a
persistent rise in long-term interest rates prompted substantial volatility
that at times tested investors' resolve, a resurgent technology sector fueled
the markets to new heights, especially during the later half of the year. In
the end, the technology-laden NASDAQ Composite Index climbed to record levels
and ended the year well ahead of other benchmarks. However, the continued
strength in technology shares also provided a spark for the major indexes,
benefiting small and mid-sized stock considerably.
Amid this backdrop, the Endeavor Janus Growth Portfolio provided a total
return of 36.48%, outperforming its benchmark, the S&P 500 Index, which gained
21.03%. While we enjoyed broad-based gains across many of our holdings, our
technology, telecommunications, and media holdings were clear standouts. For
example, our position in Cisco System led the technology bellwethers ahead,
and we remain optimistic about the company's prospects. Cisco continues to be
the clear leader for switches and routers that power the backbone of the
Internet, commanding almost a 100% market share in an arena that continues to
benefit from the Internet's proliferation.
We also experienced robust gains from Nokia as the company solidified its
position as the global leader for wireless handsets. Investors grew
increasingly excited about the prospects for wireless data transmissions,
which further supports an already compelling growth picture. Additionally, our
position in Texas Instruments moved ahead. Texas Instruments, a leading
semiconductor manufacturer, also benefited from exceptional mobile handset
sales. Texas Instrument's digital signal processor chips will power roughly
two-thirds of the nearly 300 million mobile handsets sold in 1999, and this
trend should increase in the future.
Thanks to strong advertising revenues from "dot.com" companies and millennium-
related spending, our positions in Viacom and AT&T Liberty Media logged solid
gains. Investor appreciation of the cable industry's pending introduction of
video-on-demand provided an additional tailwind for these positions, which
rallied as the market came to recognize the rich value of their respective
media libraries.
Among our individual positions, our longtime holding in General Electric also
provided strong gains. The company recently announced a three-for-one stock
split and Jack Welch, its renowned CEO, blessed Wall Street's upbeat earnings
estimates for the coming year.
On the downside, we were disappointed with our grocery store holdings,
particularly Kroger. While we were optimistic that the company could reap
tremendous cost savings from its recent acquisitions, we were disappointed in
Kroger's lackluster earnings growth. Without a clear catalyst to drive future
earnings, we opted to liquidate our position at a loss.
Looking ahead, we remain completely focused on locating dynamic companies that
can perform well in any environment. By sifting through the data to track down
critical information that others may have overlooked, we build an information
edge that helps us invest confidently for the long term, regardless of where
the market's going.
Ed Keely, Portfolio Manager
Janus Capital Corporation
26
<PAGE>
ENDEAVOR JANUS GROWTH PORTFOLIO
PORTFOLIO HIGHLIGHTS
December 31, 1999
Hypothetical Illustration of $10,000 Invested in
Endeavor Janus Growth Portfolio
vs.
S&P 500 Stock Index and Lipper VA Growth Index
May 1, 1999 through December 31, 1999
[Graph]
Endeavor
Janus Growth S&P 500 Lipper VA
Portfolio* Stock Index* Growth Index*
5/1/99 10,000 9,708.5 9,842.15
6/30/99 10,266 10,403.34 10,450.32
7/31/99 9,941 10,053.37 10,138.39
8/31/99 10,010 10,192.81 9,965.79
9/30/99 10,289 10,019.33 9,770.03
10/31/99 11,188 10,712.17 10,331.07
11/30/99 12,145 11,170.43 10,724.87
12/31/99 13,648 11,997.38 11,749.27
The S&P 500 Stock
Index is an index
composed at 500
widely held
common stocks
listed on the New
York Stock
Exchange,
American Stock
Exchange, and
over the counter
market.
The Lipper VA
Growth Index is
an equally
weighted
performance index
of growth funds
underlying 30
variable
annuities.
Index information
is available at
month-end only;
therefore, the
closest month-end
to inception date
of the Portfolio
has been used.
NOTE: The performance shown represents past performance
and is not a guarantee of future results. The Portfolio's
share price and investment return will vary with market
conditions, and the principal value of shares, when
redeemed, may be more or less than original cost. The
graph above does not reflect separate account expenses for
the Endeavor Variable Annuity.
<TABLE>
<CAPTION>
Aggregate Total Return*
Endeavor Janus Growth Portfolio
-------------------------------
<S> <C>
Inception (05/01/99) through 12/31/99 36.48%
</TABLE>
*Assumes reinvestments of all dividends and distributions.
27
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 98.5%
Advertising Agency -- 1.4%
136,400 Snyder Communications, Inc.+........................ $ 2,625,700
------------
Aerospace and Defense -- 0.5%
96,000 DONCASTERS Plc, Sponsored ADR+...................... 864,000
------------
Auto Parts and Equipment -- 1.6%
49,300 Arvin Industries, Inc............................... 1,398,887
57,200 Discount Auto Parts, Inc.+.......................... 1,033,175
36,100 Dura Automotive Systems, Inc.+...................... 629,494
------------
3,061,556
------------
Business Services -- 0.9%
36,700 ChiRex, Inc.+....................................... 536,738
81,400 Modis Professional Services, Inc.+.................. 1,159,950
------------
1,696,688
------------
Chemicals -- 7.2%
124,700 Arch Chemicals, Inc................................. 2,610,906
74,300 CK Witco Corporation................................ 993,762
83,900 Geon Company........................................ 2,726,750
38,000 Georgia Gulf Corporation............................ 1,156,625
220,300 M. A. Hanna Company................................. 2,409,531
91,800 RPM, Inc............................................ 935,212
139,600 Wellman, Inc........................................ 2,600,050
------------
13,432,836
------------
Computer Service and Software -- 9.7%
65,400 Ardent Software, Inc. +............................. 2,550,600
45,000 Autodesk, Inc....................................... 1,518,750
107,400 Avid Technology, Inc.+.............................. 1,402,912
99,900 BARRA, Inc.+........................................ 3,171,825
131,700 Keane, Inc.+........................................ 4,181,475
111,300 Sterling Software, Inc.+............................ 3,505,950
129,400 Structural Dynamics Research Corporation+........... 1,649,850
------------
17,981,362
------------
Computers -- 4.7%
245,000 Ingram Micro, Inc., Class A+........................ 3,215,625
417,300 Maxtor Corporation+................................. 3,025,425
377,900 Quantum Corporation+................................ 2,621,681
------------
8,862,731
------------
Consumer Products -- 0.4%
34,300 American Greetings Corporation, Class A............. 810,338
------------
Containers -- 0.5%
145,100 Gaylord Container Corporation, Class A+............. 988,494
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Electronics -- 11.9%
135,900 Actel Corporation+.................................. $ 3,261,600
8,200 ADE Corporation+.................................... 135,300
89,500 Alliance Semiconductor Corporation+................. 1,493,531
164,200 Arrow Electronics, Inc.+............................ 4,166,575
30,300 Avnet, Inc.......................................... 1,833,150
193,600 General Semiconductor, Inc.+........................ 2,746,700
38,300 International Rectifier Corporation+................ 995,800
28,500 Power-One, Inc.+.................................... 1,305,656
94,900 Sterling Commerce, Inc.+............................ 3,232,531
42,800 Thomas & Betts Corporation.......................... 1,364,250
75,400 Trimble Navigation Ltd.+............................ 1,630,525
------------
22,165,618
------------
Entertainment and Leisure -- 1.8%
226,400 Boyd Gaming Corporation+............................ 1,315,950
81,300 Callaway Golf Company............................... 1,437,994
27,800 Sun International Hotels, Ltd.+..................... 538,625
------------
3,292,569
------------
Financial Services -- 2.8%
19,100 FirstFed Financial Corporation+..................... 268,594
154,300 Heller Financial, Inc............................... 3,095,644
66,800 Nationwide Financial Services, Inc., Class A........ 1,866,225
------------
5,230,463
------------
Health Care -- 2.0%
83,300 AmeriPath, Inc.+.................................... 682,019
90,200 AmeriSource Health Corporation, Class A+............ 1,369,912
142,800 Omnicare, Inc....................................... 1,713,600
------------
3,765,531
------------
Insurance -- 1.1%
96,600 Everest Reinsurance Holdings, Inc................... 2,155,387
------------
Manufacturing -- 5.4%
11,800 AGCO Corporation.................................... 158,562
96,817 AK Steel Holding Corporation........................ 1,827,421
41,100 Alberto-Culver Company, Class A..................... 893,925
81,100 International Home Foods, Inc.+..................... 1,409,112
4,200 Lennox International, Inc........................... 38,588
90,100 Olin Corporation.................................... 1,785,106
125,500 Polaroid Corporation................................ 2,360,969
61,000 Russell Corporation................................. 1,021,750
48,000 Wolverine Tube, Inc.+............................... 678,000
------------
10,173,433
------------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Media and Communications -- 0.0%**
1,700 TALK.com, Inc.,+.................................... $ 30,175
------------
Medical and Scientific Supplies -- 7.4%
244,100 Bergen Brunswig Corporation, Class A................ 2,029,081
66,000 CONMED Corporation+................................. 1,707,750
108,800 Henry Schein, Inc.+................................. 1,448,400
37,400 Osteotech, Inc.+.................................... 500,225
128,500 Quest Diagnostic, Inc.+............................. 3,927,281
60,400 Sola International, Inc.+........................... 838,050
38,500 Spacelabs Medical, Inc.+............................ 714,656
177,900 STERIS Corporation+................................. 1,834,594
30,200 West Pharmaceutical Services, Inc................... 934,313
------------
13,934,350
------------
Oil and Gas -- 8.0%
80,700 EEX Corporation+.................................... 237,056
113,200 National-Oilwell, Inc.+............................. 1,775,825
258,600 Newpark Resources, Inc.+............................ 1,583,925
87,500 Noble Affiliates, Inc............................... 1,875,781
285,800 Ocean Energy, Inc.+................................. 2,214,950
140,200 Range Resources Corporation......................... 446,888
46,000 Santa Fe International.............................. 1,190,250
420,300 Santa Fe Snyder Corporation+........................ 3,362,400
79,100 Tesoro Petroleum Corporation+....................... 914,594
28,800 Transocean Sedco Forex, Inc......................... 970,200
21,400 Valero Energy Corporation........................... 425,325
------------
14,997,194
------------
Other -- 0.4%
49,200 Applied Industrial Technologies, Inc................ 817,950
------------
Publishing -- 4.2%
167,700 Bowne & Company, Inc................................ 2,263,950
30,600 Harcourt General, Inc............................... 1,231,650
274,400 Ziff-Davis, Inc.+................................... 4,338,950
------------
7,834,550
------------
Restaurants -- 0.7%
53,900 Papa John's International, Inc.+.................... 1,404,769
------------
Retail -- 12.6%
151,000 Abercrombie & Fitch Company, Class A+............... 4,029,813
101,000 Brown Shoe Company, Inc............................. 1,426,625
144,000 Burlington Coat Factory Warehouse Corporation....... 1,998,000
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Retail -- (Continued)
195,500 Consolidated Stores Corporation+.................... $ 3,176,875
63,100 Finlay Enterprises, Inc.+........................... 914,950
285,400 Heilig-Meyers Company............................... 784,850
188,800 Musicland Stores Corporation+....................... 1,593,000
48,800 Neiman Marcus Group, Inc.+.......................... 1,363,350
312,800 OfficeMax, Inc.+.................................... 1,720,400
115,200 Saks, Inc.+......................................... 1,792,800
114,800 ShopKo Stores, Inc.+................................ 2,640,400
321,100 Venator Group, Inc.................................. 2,247,700
------------
23,688,763
------------
Services -- 2.8%
51,800 ACNielsen Corporation+.............................. 1,275,575
96,200 Foster Wheeler Corporation.......................... 853,775
84,000 Pharmaceutical Product Development, Inc.+........... 997,500
68,700 Renaissance Worldwide, Inc.+........................ 506,663
179,466 Ventiv Health, Inc.+................................ 1,648,844
------------
5,282,357
------------
Technology -- 4.0%
55,600 Artesyn Technologies, Inc.+......................... 1,167,600
143,200 Mitel Corporation+.................................. 1,969,000
132,200 Tech Data Corporation+.............................. 3,585,925
55,800 Thermo Electron Corporation+........................ 837,000
------------
7,559,525
------------
Textiles and Apparel -- 3.1%
5,300 Burlington Industries, Inc.+........................ 21,200
67,600 Jones Apparel Group, Inc.+.......................... 1,833,650
128,000 Nautica Enterprises, Inc.+.......................... 1,448,000
7,200 Phillips-Van Heusen Corporation..................... 59,850
96,700 Unifi, Inc.+........................................ 1,190,619
115,600 Wolverine World Wide, Inc........................... 1,264,375
------------
5,817,694
------------
Transportation -- 1.4%
51,200 Kitty Hawk, Inc.+................................... 352,000
136,000 Yellow Corporation+................................. 2,286,500
------------
2,638,500
------------
Waste Disposal -- 2.0%
136,500 Republic Services, Inc+............................. 1,962,188
165,725 Safety-Kleen Corporation+........................... 1,874,764
------------
3,836,952
------------
Total Common Stock (Cost $183,187,113).............. 184,949,485
------------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.4% (Cost $2,581,000)
$ 2,581,000 Agreement with The Boston Company, 2.950% to be
repurchased at $2,581,634 on 01/03/2000,
collateralized by $2,666,000 U.S. Treasury Bond
6.375% due 08/15/2027, market value $2,632,675... $ 2,581,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $185,768,113*)...................................... 99.9% 187,530,485
OTHER ASSETS AND LIABILITIES (Net)......................... 0.1% 272,258
------ ------------
NET ASSETS................................................. 100.0% $187,802,743
====== ============
</TABLE>
<TABLE>
<S> <C>
NET ASSETS consist of:
Accumulated net realized gain on investments...................... $ 30,335,275
Net unrealized appreciation of investments........................ 1,762,372
Paid-in capital................................................... 155,705,096
------------
</TABLE>
<TABLE>
<S> <C>
Total Net Assets................................................. $187,802,743
============
NET ASSET VALUE, offering price and redemption price per share of
beneficial interest outstanding................................. $ 16.51
============
Number of Portfolio shares outstanding........................... 11,378,142
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $187,378,393.
+ Non-income producing security.
** Amount represents less than 0.1%
Abbreviation:
ADR--American Depositary Receipt
See Notes to Financial Statements.
30
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C>
AGENCY SECURITIES -- 42.4%
Federal Home Loan Bank (FHLB) -- 6.4%
$ 550,000 5.590% due 01/05/01................................. $ 544,929
5,000,000 5.910% due 03/09/05................................. 4,776,550
------------
5,321,479
------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 0.3%
93,021 9.500% due 07/25/22................................. 98,688
114,286 9.500% due 12/01/22................................. 120,678
------------
219,366
------------
Federal National Mortgage Association (FNMA) -- 7.2%
70,687 7.000% due 08/01/03................................. 70,730
114,773 7.500% due 06/01/09................................. 115,490
590,767 6.500% due 02/01/13................................. 573,410
395,795 6.500% due 03/01/13................................. 384,167
719,872 6.000% due 08/01/13................................. 683,425
3,059,789 6.000% due 11/01/13................................. 2,904,873
872,637 6.000% due 12/01/13................................. 828,455
38,814 7.000% due 07/01/22................................. 37,794
106,332 7.000% due 07/01/23................................. 103,407
178,380 6.500% due 02/01/26................................. 169,183
130,562 7.000% due 09/01/26................................. 126,563
------------
5,997,497
------------
Government National Mortgage Association (GNMA) -- 22.6%
148,403 8.000% due 07/15/17................................. 151,222
96,414 8.500% due 12/15/21................................. 99,606
148,989 9.000% due 12/15/21................................. 156,717
171,446 7.000% due 11/15/23................................. 166,731
255,151 7.500% due 12/15/23................................. 253,556
236,870 8.000% due 06/15/27................................. 239,239
233,598 8.000% due 07/15/27................................. 235,934
1,069,344 8.000% due 08/15/27................................. 1,080,037
626,873 7.000% due 09/20/28................................. 604,222
1,064,159 7.000% due 01/20/29................................. 1,025,708
1,108,212 7.000% due 07/20/29................................. 1,068,169
2,141,547 7.000% due 09/20/29................................. 2,064,167
1,625,519 6.000% due 10/20/29................................. 1,609,359
6,990,378 7.500% due 11/20/29................................. 6,894,490
3,400,000 6.000% due 01/01/30................................. 3,371,313
------------
19,020,470
------------
Small Business Administration (SBA) -- 3.6%
63,172 7.300% due 05/01/17................................. 62,718
844,531 6.300% due 05/01/18................................. 791,748
960,816 5.500% due 10/01/18................................. 853,324
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C> <C>
Small Business Administration (SBA)--(continued)
$ 1,434,978 5.800% due 12/01/18............................ $ 1,298,206
------------
3,005,996
------------
Tennessee Valley Authority (TVA) -- 2.3%
2,123,140 TVA, Bonds,
3.375% due 01/15/07........................... 1,936,367
------------
Total Agency Securities (Cost $36,551,920)..... 35,501,175
------------
CORPORATE FIXED INCOME SECURITIES -- 17.1%
Aerospace and Defense -- 1.9%
1,600,000 Lockheed Martin Corporation, Notes,
8.200% due 12/01/09........................... 1,592,000
------------
Auto Parts and Equipment -- 2.7%
2,500,000 Federal-Mogul Corporation, Notes,
7.875% due 07/01/10........................... 2,239,300
------------
Chemicals -- 2.3%
2,000,000 ICI Wilmington, Company Guarantee,
6.950% due 09/15/04........................... 1,949,328
------------
Communications -- 6.4%
3,000,000 AT&T Canada, Inc., Senior Notes, 7.650% due
09/15/06++.................................... 2,986,914
2,500,000 Charter Communications Holdings LLC, Senior
Notes,
8.625% due 04/01/09++......................... 2,309,375
------------
5,296,289
------------
Financial -- 3.5%
3,000,000 Bombardier Capital, Ltd., Notes, 7.500% due
08/15/04...................................... 2,953,514
------------
Forestry -- 0.3%
250,000 Tembec Industries, Inc., Company Guarantee,
8.625% due 06/30/09........................... 249,375
------------
Oil and Gas -- 0.0%**
30,000 Norcen Energy Resources, Debentures,
7.375% due 05/15/06........................... 29,204
------------
Total Corporate Fixed Income Securities (Cost
$14,647,514).................................. 14,309,010
------------
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 41.6%
Strip -- 2.8%
$ 1,876,000 4.669% due 11/11/01^................................. $ 1,660,072
1,300,000 4.490% due 11/15/09^................................. 662,566
-----------
2,322,638
-----------
U.S. Treasury Bonds -- 23.8%
2,500,000 12.000% due 08/15/13................................. 3,338,275
3,000,000 7.250% due 05/15/16.................................. 3,135,930
3,000,000 8.750% due 05/15/17.................................. 3,583,110
2,000,000 8.875% due 08/15/17.................................. 2,417,180
2,000,000 8.875% due 02/15/19.................................. 2,434,380
3,000,000 8.750% due 05/15/20.................................. 3,630,930
700,000 5.250% due 11/15/28.................................. 576,625
1,034,000 5.250% due 02/15/29.................................. 854,984
-----------
19,971,414
-----------
U.S. Treasury Notes -- 15.0%
1,460,000 5.875% due 10/31/01.................................. 1,450,875
500,000 6.375% due 08/15/02##................................ 501,095
1,000,000 5.250% due 05/15/04.................................. 957,970
8,500,000 4.750% due 11/15/08.................................. 7,497,255
2,285,000 6.000% due 08/15/09.................................. 2,213,594
-----------
12,620,789
-----------
Total U.S. Treasury Obligations (Cost $36,272,961)... 34,914,841
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $87,472,395*)....................................... 101.1% 84,725,026
OTHER ASSETS AND LIABILITIES (Net)......................... (1.1)% (948,169)
------ ------------
NET ASSETS................................................. 100.0% $ 83,776,857
====== ============
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
NET ASSETS
consist of:
Undistributed
net investment
income........ $ 4,742,691
Accumulated net
realized loss
on investments
and futures
contracts..... (1,940,094)
Net unrealized
depreciation
of investments
and futures
contracts..... (2,676,311)
Paid-in
capital....... 83,650,571
-----------
Total Net
Assets........ $83,776,857
===========
NET ASSET
VALUE,
offering price
and redemption
price per
share of
beneficial
interest
outstanding... $ 11.53
===========
Number of
Portfolio
shares
outstanding... 7,263,812
===========
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $87,543,894.
^ Zero coupon security as of December 31, 1999. The coupon shown is the
step-up rate.
++ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
** Amount represents less than 0.1%.
## Security pledged as collateral for open futures contracts.
See Notes to Financial Statements.
32
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 97.7%
Basic Industry -- 2.5%
9,100 Alcoa, Inc.......................................... $ 755,300
2,900 Allegheny Technologies, Inc. ....................... 65,069
1,100 Bowater, Inc. ...................................... 59,744
4,900 Fort James Corporation.............................. 134,138
5,600 Freeport-McMoRan Copper & Gold, Inc., Class B+...... 118,300
2,500 Georgia-Pacific Group............................... 126,875
4,700 IMC Global, Inc. ................................... 76,962
8,600 International Paper Company......................... 485,362
1,900 Louisiana-Pacific Corporation....................... 27,075
6,500 Lyondell Chemical Corporation....................... 82,875
300 Phelps Dodge Corporation............................ 20,138
3,100 Reynolds Metals Company............................. 237,538
12,900 Rohm and Haas Company............................... 524,869
7,400 Smurfit-Stone Container Corporation+................ 181,300
6,700 Solutia, Inc. ...................................... 103,431
1,200 Temple-Inland, Inc. ................................ 79,125
11,300 Union Carbide Corporation........................... 754,275
5 Water Pik Technologies, Inc.+....................... 48
------------
3,832,424
------------
Capital Goods -- 0.9%
100 Caterpillar, Inc. .................................. 4,706
3,500 Cooper Industries, Inc. ............................ 141,531
8,400 Deere & Company..................................... 364,350
2,700 Eaton Corporation................................... 196,087
9,300 Emerson Electric Company............................ 533,587
900 Grainger (W.W.), Inc. .............................. 43,031
1,300 Hubbell, Inc., Class B.............................. 35,425
2,500 PACCAR, Inc. ....................................... 110,781
------------
1,429,498
------------
Consumer Staples -- 5.0%
4,600 Bestfoods........................................... 241,788
6,200 Clorox Company...................................... 312,325
16,600 Coca-Cola Company................................... 966,950
7,900 General Mills, Inc. ................................ 282,425
27,200 Gillette Company.................................... 1,120,300
9,400 Heinz (H.J.) Company................................ 374,238
3,400 Hershey Foods Corporation........................... 161,500
800 Nabisco Holdings Corporation, Class A............... 25,300
27,700 Procter & Gamble Company............................ 3,034,881
23,600 Sara Lee Corporation................................ 520,675
10,800 Unilever NV, NY Shares.............................. 587,925
------------
7,628,307
------------
Cyclical -- 2.0%
1,500 Cooper Tire & Rubber Company........................ 23,344
5,300 Dana Corporation.................................... 158,669
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Cyclical -- (Continued)
18,800 Delphi Automotive Systems Corporation............... $ 296,100
28,500 Ford Motor Company.................................. 1,522,969
1,000 Furniture Brands International, Inc.+............... 22,000
4,600 Genuine Parts Company............................... 114,137
5,100 Goodrich (B.F.) Company............................. 140,250
5,200 Goodyear Tire & Rubber Company...................... 146,575
2,800 Hasbro, Inc.. ...................................... 53,375
4,000 Jones Apparel Group, Inc.+.......................... 108,500
2,200 Lear Corporation+................................... 70,400
6,300 Leggett & Platt, Inc. .............................. 135,056
13,500 Mattel, Inc. ....................................... 177,188
1,300 Owens Corning, Inc. ................................ 25,106
800 Reebok International, Ltd.+......................... 6,550
800 USG Corporation..................................... 37,700
------------
3,037,919
------------
Diversified -- 3.1%
11,400 Air Products and Chemicals, Inc. ................... 382,612
11,500 Eastman Kodak Company............................... 761,875
4,800 Ingersoll-Rand Company.............................. 264,300
100 Input/Output, Inc.+................................. 506
500 National Services Industries, Inc. ................. 14,750
1,300 PPG Industries, Inc. ............................... 81,331
3,200 Praxair, Inc. ...................................... 161,000
3,800 Raytheon Company, Class A........................... 94,287
8,500 Raytheon Company, Class B........................... 225,781
17,800 Seagram Company, Ltd. .............................. 799,888
41,298 Tyco International, Ltd. ........................... 1,605,460
700 Unifi, Inc.+........................................ 8,619
25,100 Waste Management, Inc. ............................. 431,406
------------
4,831,815
------------
Drugs -- 8.9%
31,100 Abbott Laboratories................................. 1,129,319
11,100 ALZA Corporation+................................... 384,338
29,100 American Home Products Corporation.................. 1,147,631
6,500 Becton, Dickinson and Company....................... 173,875
44,200 Bristol-Myers Squibb Company........................ 2,837,087
6,300 Forest Laboratories, Inc.+.......................... 387,056
2,300 Genzyme Corporation+................................ 103,500
900 Johnson & Johnson................................... 83,812
30,100 Lilly (Eli) and Company............................. 2,001,650
8,100 Merck & Company, Inc. .............................. 543,206
17,900 Monsanto Company.................................... 637,687
4,600 Pfizer, Inc. ....................................... 149,212
4,500 Pharmacia & Upjohn, Inc. ........................... 202,500
66,500 Philip Morris Companies, Inc. ...................... 1,541,969
15,300 Schering-Plough Corporation......................... 645,469
19,300 Warner-Lambert Company.............................. 1,581,394
2,600 Watson Pharmaceuticals, Inc.+....................... 93,113
------------
13,642,818
------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Energy -- 5.5%
10,500 Chevron Corporation................................. $ 909,563
1,200 Cooper Cameron Corporation+......................... 58,725
1,900 Columbia Energy Group............................... 120,175
9,200 Conoco, Inc., Class B............................... 228,850
53,147 Exxon Mobil Corporation............................. 4,281,615
4,000 Global Marine, Inc.+................................ 66,500
3,000 Phillips Petroleum Company.......................... 141,000
4,000 R&B Falcon Corporation+............................. 53,000
33,200 Royal Dutch Petroleum Company, NY Shares............ 2,006,525
1,000 Smith International, Inc.+.......................... 49,688
5,100 Texaco, Inc. ....................................... 276,994
3,700 Tosco Corporation................................... 100,594
4,000 Union Pacific Resources Group, Inc. ................ 51,000
2,000 Ultramar Diamond Shamrock Corporation............... 45,375
500 Valero Energy Corporation........................... 9,938
------------
8,399,542
------------
Financial Services -- 10.6%
3,100 AMBAC Financial Group, Inc. ........................ 161,781
9,900 AmSouth BanCorporation.............................. 191,194
1,600 Associated Banc Corporation......................... 54,800
18,700 Associates First Capital Corporation, Class A....... 513,081
900 Astoria Financial Corporation....................... 27,394
1,200 BancWest Corporation................................ 23,400
43,800 Bank of America Corporation......................... 2,198,212
29,400 Bank One Corporation................................ 942,637
2,700 Bear Stearns Companies, Inc. ....................... 115,425
5,400 Charter One Financial, Inc. ........................ 103,275
6,300 CIT Group, Inc., Class A............................ 133,087
13,300 Citigroup, Inc. .................................... 738,981
400 Colonial BancGroup, Inc. ........................... 4,150
3,800 Comerica, Inc. ..................................... 177,412
400 Commercial Federal Corporation...................... 7,125
2,700 Compass Bancshares, Inc. ........................... 60,244
2,800 Countrywide Credit Industries, Inc. ................ 70,700
5,000 Dime Bancorp, Inc. ................................. 75,625
6,000 Equifax, Inc. ...................................... 141,375
20,800 Fannie Mae.......................................... 1,298,700
1,700 FINOVA Group, Inc. ................................. 60,350
2,100 First Merit Corporation............................. 48,300
3,300 First Tennessee National Corporation................ 94,050
26,800 First Union Corporation............................. 879,375
25,200 Firstar Corporation................................. 532,350
22,700 Fleet Boston Financial Corporation.................. 790,244
3,700 Franklin Resources, Inc. ........................... 118,631
18,800 Freddie Mac......................................... 884,775
3,900 Golden West Financial Corporation................... 130,650
6,900 Goldman Sachs Group, Inc. .......................... 649,894
3,500 GreenPoint Financial Corporation.................... 83,344
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Financial Services -- (Continued)
3,700 Hibernia Corporation, Class A....................... $ 39,312
11,500 Household International, Inc. ...................... 428,375
5,900 Huntington Bancshares, Inc. ........................ 140,862
11,500 KeyCorp............................................. 254,437
5,200 Lincoln National Corporation........................ 208,000
200 M & T Bank Corporation.............................. 82,850
4,400 MBIA, Inc. ......................................... 232,375
1,600 Mercantile Bankshares Corporation................... 51,100
9,100 Merrill Lynch & Company............................. 759,850
15,800 National City Corporation........................... 374,262
3,200 North Fork Bancorporation, Inc. .................... 56,000
300 Ocwen Financial Corporation+........................ 1,875
800 Pacific Century Financial Corporation............... 14,950
3,200 Paine Webber Group, Inc. ........................... 124,200
1,400 Peoples Heritage Financial Group, Inc. ............. 21,087
8,100 PNC Bank Corporation................................ 360,450
300 Provident Financial Group, Inc. .................... 10,762
5,600 Regions Financial Corporation....................... 140,700
4,000 SouthTrust Corporation.............................. 151,250
3,800 Sovereign Bancorp, Inc. ............................ 28,322
4,500 Summit Bancorp...................................... 137,812
1,900 TCF Financial Corporation........................... 47,262
8,000 TD Waterhouse Group+................................ 131,500
5,700 Torchmark Corporation............................... 165,656
3,500 Union Planters Corporation.......................... 138,031
19,400 U.S. Bancorp........................................ 461,962
200 Washington Federal, Inc. ........................... 3,950
15,800 Washington Mutual, Inc. ............................ 410,800
400 Wilmington Trust Corporation........................ 19,300
------------
16,307,853
------------
Health Services -- 1.5%
5,100 Aetna, Inc. ........................................ 284,644
14,200 Boston Scientific Corporation+...................... 310,625
5,200 CIGNA Corporation................................... 418,925
8,300 Columbia/HCA Healthcare Corporation................. 243,294
3,900 HEALTHSOUTH Corporation+............................ 20,962
600 Human Genome Sciences, Inc.+........................ 91,575
3,100 Humana, Inc.+....................................... 25,381
8,600 Medtronic, Inc. .................................... 313,363
200 PE Corporation-PE Biosystems Group.................. 24,063
2,900 St. Jude Medical, Inc.+............................. 88,994
11,000 Tenet Healthcare Corporation+....................... 258,500
3,000 United HealthCare Corporation....................... 159,375
2,200 Wellpoint Health Networks, Inc.+.................... 145,062
------------
2,384,763
------------
Insurance -- 2.2%
37,000 Allstate Corporation+............................... 888,000
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Insurance -- (Continued)
4,775 American International Group, Inc. ................. $ 516,297
11,600 Aon Corporation..................................... 464,000
5,300 AXA Financial, Inc. ................................ 179,537
300 Financial Security Assurance Holdings, Ltd. ........ 15,637
800 Fremont General Corporation......................... 5,900
9,900 Hartford Financial Services
Group, Inc. ....................................... 469,013
1,300 Mercury General Corporation......................... 28,925
5,800 SAFECO Corporation.................................. 144,275
9,000 St. Paul Companies, Inc. ........................... 303,187
2,600 Travelers Property Casualty Corporation, Class A.... 89,050
10,900 UnumProvident Corporation........................... 349,481
------------
3,453,302
------------
Retail -- 6.5%
3,200 Abercrombie & Fitch Company, Class A+............... 85,400
13,300 Albertson's, Inc. .................................. 428,925
2,700 Circuit City Stores-Circuit City Group.............. 121,669
2,100 CVS Corporation..................................... 83,869
13,300 Dayton Hudson Corporation........................... 976,719
6,600 Federated Department Stores, Inc.+.................. 333,713
26,800 Gap, Inc. .......................................... 1,232,800
21,400 Home Depot, Inc. ................................... 1,467,238
14,900 Kmart Corporation+.................................. 149,931
26,200 Kroger Company+..................................... 494,525
10,400 May Department Stores Company....................... 335,400
4,200 Nordstrom, Inc. .................................... 109,988
6,500 Penney (J.C.) Company, Inc. ........................ 129,594
16,000 Safeway, Inc.+...................................... 569,000
200 Sears Roebuck & Company............................. 6,087
9,500 TJX Companies, Inc. ................................ 194,156
47,800 Wal-Mart Stores, Inc. .............................. 3,304,175
------------
10,023,189
------------
Services -- 6.5%
38,700 America Online, Inc.+............................... 2,919,431
4,500 Baker Hughes, Inc. ................................. 94,781
39,900 Cendant Corporation+................................ 1,059,844
17,600 Comcast Corporation, Class A........................ 889,900
300 Extended Stay Amererica, Inc.+...................... 2,287
14,700 Gannett Company, Inc................................ 1,198,969
10,400 Hilton Hotels Corporation........................... 100,100
2,500 International Game Technology....................... 50,781
3,600 Knight Ridder, Inc. ................................ 214,200
3,100 Mandalay Resort Group+.............................. 62,387
11,700 McDonald's Corporation.............................. 471,656
28,100 MediaOne Group, Inc.+............................... 2,158,431
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Services -- (Continued)
10,600 Mirage Resorts, Inc.+............................... $ 162,312
2,200 New York Times Company, Class A..................... 108,075
11,200 Service Corporation International................... 77,700
7,400 Starwood Hotels and Resorts Worldwide, Inc.......... 173,900
2,700 Times Mirror Company, Class A....................... 180,900
99 Washington Post Company, Class B.................... 55,032
------------
9,980,686
------------
Technology -- 24.7%
2,100 Adobe Systems, Inc. ................................ 141,225
100 Apple Computer, Inc.+............................... 10,281
6,500 Applied Materials, Inc.+............................ 823,469
9,400 Automatic Data Processing, Inc. .................... 506,425
5,100 BMC Software, Inc.+................................. 407,681
1,700 Citrix Systems, Inc.+............................... 209,100
31,600 Compaq Computer Corporation......................... 855,175
1,500 CompUSA, Inc.+...................................... 7,688
1,700 Computer Associates International, Inc. ............ 118,894
800 Dell Computer Corporation+.......................... 40,800
1,000 DoubleClick, Inc.+.................................. 253,063
7,800 Electronic Data Systems Corporation................. 522,112
21,700 EMC Corporation+.................................... 2,370,725
2,800 Exodus Communications, Inc.+........................ 248,675
8,100 First Data Corporation.............................. 399,431
39,200 General Electric Company............................ 6,066,200
15,700 Honeywell International, Inc. ...................... 905,694
57,900 Intel Corporation................................... 4,765,894
7,800 International Business Machines Corporation......... 842,400
4,100 ITT Industries, Inc................................. 137,094
2,600 Lexmark International Group, Inc., Class A+......... 235,300
18,000 Lockheed Martin Corporation......................... 393,750
73,700 Microsoft Corporation+.............................. 8,604,475
11,800 Motorola, Inc. ..................................... 1,737,550
3,300 National Semiconductor Corporation+................. 141,281
2,300 Network Associates, Inc.+........................... 61,381
8,100 Novell, Inc.+....................................... 323,494
3,300 Oracle Corporation+................................. 369,806
5,700 QUALCOMM, Inc.+..................................... 1,003,913
3,200 Quantum Corporation+................................ 48,400
4,000 Seagate Technology, Inc.+........................... 186,250
30,400 Sun Microsystems, Inc.+............................. 2,354,100
5 Teledyne Technologies, Inc.+........................ 50
15,200 Texas Instruments, Inc. ............................ 1,472,500
22,100 Xerox Corporation................................... 501,394
400 Xilinx, Inc.+....................................... 18,188
2,100 Yahoo!, Inc.+....................................... 908,644
------------
37,992,502
------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Telephone -- 15.3%
21,900 AT&T Corporation.................................... $ 1,111,425
28,300 AT&T Corporation--Liberty Media Group, Class A+..... 1,606,025
12,700 Bell Atlantic Corporation........................... 781,844
53,200 Cisco Systems, Inc.+................................ 5,699,050
7,400 Dominion Resources, Inc. ........................... 290,450
12,900 Global Crossing, Ltd.+.............................. 645,000
19,500 GTE Corporation..................................... 1,375,969
6,200 Level 3 Communications, Inc.+....................... 507,625
54,300 Lucent Technologies, Inc. .......................... 4,062,319
51,500 MCI WorldCom, Inc.+................................. 2,732,719
15,100 Nortel Networks Corporation......................... 1,525,100
61,900 SBC Communications, Inc. ........................... 3,017,625
1,400 Sprint Corporation (PCS Group)+..................... 143,500
------------
23,498,651
------------
Transportation -- 0.6%
2,300 AMR Corporation+.................................... 154,100
7,300 Burlington Northern Santa Fe Corporation............ 177,025
600 CNF Transportation, Inc. ........................... 20,700
3,400 CSX Corporation..................................... 106,675
400 FDX Corporation+.................................... 16,375
6,100 Norfolk Southern Corporation........................ 125,050
1,300 Northwest Airlines Corporation+..................... 28,925
900 Ryder System, Inc. ................................. 21,994
7,100 Southwest Airlines Company.......................... 114,931
4,600 Union Pacific Corporation........................... 200,675
200 Wisconsin Central Transportation Corporation+....... 2,688
------------
969,138
------------
Utilities -- 1.9%
3,100 Allegheny Energy, Inc. ............................. 83,506
1,000 American Electric Power Company, Inc. .............. 32,125
8,500 Carolina Power & Light Company...................... 258,719
13,300 Central & South West Corporation.................... 266,000
4,400 Cinergy Corporation................................. 106,150
3,300 CMS Energy Corporation.............................. 102,919
1,700 Consolidated Natural Gas Company.................... 110,394
600 Constellation Energy Group.......................... 17,400
4,100 DTE Energy Company.................................. 128,638
3,100 ENSCO International, Inc. .......................... 70,913
5,000 Entergy Corporation................................. 128,750
5,100 FPL Group, Inc. .................................... 218,344
3,600 GPU, Inc. .......................................... 107,775
3,700 Nisource, Inc. ..................................... 66,138
9,500 Northern States Power Company....................... 185,250
11,200 PG&E Corporation.................................... 229,600
2,300 Pinnacle West Capital Corporation................... 70,294
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Utilities -- (Continued)
4,300 PP&L Resources, Inc. ............................... $ 98,362
8,100 Reliant Energy, Inc. ............................... 185,288
3,800 TECO Energy, Inc. .................................. 70,538
8,200 Texas Utilities Company............................. 291,612
1,300 USEC, Inc. ......................................... 9,100
3,400 Wisconsin Energy Corporation........................ 65,450
------------
2,903,265
------------
Total Common Stock
(Cost $135,008,569)................................ 150,315,672
------------
<CAPTION>
Principal
Amount
-----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 5.3%
U.S. Treasury Bills -- 5.2%
$1,978,000 5.370% due 01/13/00#/##............................. 1,974,463
6,048,000 5.250% due 01/20/00#/##............................. 6,032,588
------------
8,007,051
------------
U.S. Treasury Notes -- 0.1%
200,000 5.875% due 02/15/00#................................ 200,094
------------
Total U.S. Treasury Obligations (Cost $8,207,231)... 8,207,145
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $143,215,800*).................................... 103.0% 158,522,817
------------
OTHER ASSETS AND LIABILITIES (Net)....................... (3.0)% (4,556,114)
------ ------------
NET ASSETS............................................... 100.0% $153,966,703
====== ============
NET ASSETS consist of:
Undistributed net investment income............................. $ 766,661
Accumulated net realized gain on investments and futures
contracts...................................................... 9,430,774
Net unrealized appreciation of investments and futures
contracts...................................................... 15,442,178
Paid-in capital................................................. 128,327,090
------------
Total Net Assets................................................ $153,966,703
============
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding............................. $ 18.16
============
Number of Portfolio shares outstanding.......................... 8,479,059
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $143,423,910.
+ 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.
36
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 68.1%
Aerospace and Defense -- 3.8%
41,050 Boeing Company...................................... $ 1,706,141
------------
Banking -- 10.8%
31,125 Citigroup, Inc. .................................... 1,729,383
1,900 M&T Bank Corporation................................ 787,075
57,000 Wells Fargo Company................................. 2,304,937
------------
4,821,395
------------
Computer Service and Software -- 5.9%
27,500 Compaq Computer Corporation......................... 744,219
27,400 Computer Associates International, Inc. ............ 1,916,288
------------
2,660,507
------------
Consumer Durables -- 2.5%
34,000 ITT Industries, Inc................................. 1,136,875
------------
Diversified Chemicals -- 6.2%
34,000 duPont (E.I.) de Nemours & Company.................. 2,239,750
14,900 Monsanto Company.................................... 530,812
------------
2,770,562
------------
Drugs and Medical Products -- 2.3%
25,800 American Home Products Corporation.................. 1,017,487
------------
Financial Services -- 6.5%
45,000 Freddie Mac......................................... 2,117,812
21,000 Household International, Inc. ...................... 782,250
------------
2,900,062
------------
Food and Beverages -- 2.5%
35,500 Diageo Plc, Sponsored ADR........................... 1,136,000
------------
Insurance -- 3.1%
9,200 Ace, Ltd. .......................................... 153,525
24,111 XL Capital Ltd., Class A............................ 1,250,758
------------
1,404,283
------------
Manufacturing and Mining -- 6.1%
19,700 Caterpillar, Inc. .................................. 927,131
10,000 Minnesota Mining & Manufacturing Company............ 978,750
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Manufacturing and Mining -- (Continued)
11,000 Textron, Inc. ...................................... $ 843,562
------------
2,749,443
------------
Media -- 1.8%
24,000 News Corporation (The), Ltd., Sponsored ADR......... 802,500
------------
Oil and Gas Exploration -- 0.2%
3,000 Anadarko Petroleum Corporation...................... 102,375
------------
Paper and Paper Products -- 1.8%
13,300 Champion International Corporation.................. 823,769
------------
Printing and Graphic Design -- 1.2%
21,792 Donnelley (R.R.) & Sons Company..................... 540,714
------------
Restaurants -- 4.8%
54,000 McDonald's Corporation.............................. 2,176,875
------------
Retail -- 0.5%
11,000 Kroger Company+..................................... 207,625
------------
Telecommunications -- 5.5%
13,800 Bell Atlantic Corporation........................... 849,563
24,000 Sprint Corporation.................................. 1,615,500
------------
2,465,063
------------
Transportation -- 1.9%
11,000 UAL Corporation+.................................... 853,188
------------
Waste Disposal -- 0.7%
18,500 Waste Management, Inc. ............................. 317,969
------------
Total Common Stock
(Cost $29,685,725)................................. 30,592,833
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
AGENCY SECURITIES -- 27.7%
Federal Home Loan Bank (FHLB) -- 7.8%
$ 445,000 1.500% due 02/07/00#................................ 444,963
3,082,000 5.590% due 01/19/00#................................ 3,073,386
------------
3,518,349
------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- -----------
<C> <S> <C>
AGENCY SECURITIES -- (Continued)
Federal National Mortgage Association (FNMA) -- 19.9%
$ 5,000,000 5.680% due 02/07/00#................................. $ 4,970,811
4,000,000 6.500% due 08/15/04#................................. 3,950,000
-----------
8,920,811
-----------
Total Agency Securities
(Cost $12,441,241).................................. 12,439,160
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $42,126,966*)....................... 95.8% 43,031,993
OTHER ASSETS AND LIABILITIES (Net).......................... 4.2% 1,867,649
------ -----------
NET ASSETS.................................................. 100.0% $44,899,642
====== ===========
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
NET ASSETS
consist of:
Undistributed
net investment
income........ $ 615,303
Accumulated net
realized gain
on
investments... 2,411,927
Net unrealized
appreciation
of
investments... 905,027
Paid-in
capital....... 40,967,385
-----------
Total Net
Assets........ $44,899,642
===========
NET ASSET
VALUE,
offering price
and redemption
price per
share of
beneficial
interest
outstanding... $ 12.56
===========
Number of
Portfolio
shares
outstanding... 3,573,964
===========
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
38
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Value Equity Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 98.0%
Aerospace and Defense -- 0.8%
66,000 Raytheon Company, Class B........................... $ 1,753,125
------------
Banking and Finance -- 6.0%
20,500 Chase Manhattan Corporation (The)................... 1,592,594
143,000 Fleet Boston Financial Corporation.................. 4,978,187
150,000 Wells Fargo Company................................. 6,065,625
------------
12,636,406
------------
Communications -- 13.9%
81,000 AMFM, Inc.+ ........................................ 6,338,250
65,000 Bell Atlantic Corporation........................... 4,001,562
121,500 MCI WorldCom, Inc.+................................. 6,447,094
190,000 News Corporation (The), Ltd., Sponsored ADR......... 6,353,125
86,000 Sprint Corporation.................................. 5,788,875
------------
28,928,906
------------
Diversified -- 6.6%
87,000 Minnesota Mining & Manufacturing Company............ 8,515,125
70,000 Textron, Inc........................................ 5,368,125
------------
13,883,250
------------
Diversified Chemicals -- 4.8%
100,000 duPont (E.I.) de Nemours & Company.................. 6,587,500
100,000 Monsanto Company.................................... 3,562,500
------------
10,150,000
------------
Drugs and Medical Products -- 4.5%
155,000 American Home Products Corporation.................. 6,112,812
128,000 Becton, Dickinson & Company......................... 3,424,000
------------
9,536,812
------------
Electronics -- 5.0%
100,000 Emerson Electric Company............................ 5,737,500
100,000 Rockwell International Corporation.................. 4,787,500
------------
10,525,000
------------
Financial Services -- 14.9%
155,000 Citigroup, Inc...................................... 8,612,187
250,000 Conseco, Inc........................................ 4,468,750
130,000 Countrywide Credit Industries, Inc. ................ 3,282,500
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Financial Services -- (Continued)
185,000 Freddie Mac......................................... $ 8,706,563
160,000 Household International, Inc........................ 5,960,000
------------
31,030,000
------------
Food and Beverages -- 2.8%
185,000 Diageo Plc, Sponsored ADR........................... 5,920,000
------------
Insurance -- 7.6%
220,000 Ace, Ltd............................................ 3,671,250
110,000 AFLAC, Inc.......................................... 5,190,625
131,890 XL Capital, Ltd., Class A........................... 6,841,794
------------
15,703,669
------------
Machinery -- 2.8%
128,000 Dover Corporation................................... 5,808,000
------------
Manufacturing and Engineering -- 4.7%
50,000 Alcoa, Inc. ........................................ 4,150,000
120,000 Caterpillar, Inc.................................... 5,647,500
------------
9,797,500
------------
Printing and Publishing -- 1.8%
150,000 Donnelley (R.R.) & Sons Company..................... 3,721,875
------------
Restaurants -- 3.2%
169,000 McDonald's Corporation.............................. 6,812,813
------------
Retail -- 4.4%
200,000 Kroger Company+..................................... 3,775,000
170,000 May Department Stores Company....................... 5,482,500
------------
9,257,500
------------
Technology -- 8.1%
165,000 Compaq Computer Corporation......................... 4,465,313
180,000 Computer Association International, Inc............. 12,588,750
------------
17,054,063
------------
Transportation -- 4.5%
100,000 AMR Corporation+.................................... 6,700,000
130,000 Canadian Pacific, Ltd............................... 2,803,125
------------
9,503,125
------------
Waste Treatment Systems -- 1.6%
201,000 Waste Management, Inc. ............................. 3,454,688
------------
Total Common Stock
(Cost $181,491,910)................................ 205,476,732
------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Value Equity Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- -----------
<C> <S> <C>
AGENCY SECURITIES -- 1.9%
Federal Home Loan Bank (FHLB) -- 1.9%
$4,065,000 FHLB Discount Note,
1.500% due 01/03/00#................................ $ 4,064,661
-----------
Total Agency Securities
(Cost $4,064,661)................................... 4,064,661
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $185,556,571*)...................................... 99.9% 209,541,393
OTHER ASSETS AND LIABILITIES (Net)......................... 0.1% 111,889
------ ------------
NET ASSETS................................................. 100.0% $209,653,282
====== ============
</TABLE>
<TABLE>
<S> <C>
NET ASSETS consist of:
Undistributed net investment income.............................. $ 1,792,867
Accumulated net realized gain on investments..................... 28,953,903
Net unrealized appreciation of investments, foreign currencies
and net other assets............................................ 23,985,112
Paid-in capital.................................................. 154,921,400
------------
Total Net Assets................................................. $209,653,282
============
NET ASSET VALUE, offering price and redemption price per share of
beneficial interest outstanding................................. $ 19.99
============
Number of Portfolio shares outstanding........................... 10,486,047
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
40
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 71.6%
Aerospace and Defense -- 1.1%
71,900 General Dynamics Corporation........................ $ 3,792,725
15,600 Litton Industries, Inc. ............................ 778,050
------------
4,570,775
------------
Banking and Financial Services -- 3.4%
33,700 American Express Company............................ 5,602,625
89,300 Bank of New York Company, Inc. ..................... 3,572,000
90,825 Citigroup, Inc. .................................... 5,046,464
------------
14,221,089
------------
Chemicals and Allied Products -- 0.2%
17,600 Monsanto Company.................................... 627,000
------------
Computer Service and Software -- 8.6%
56,400 America Online, Inc.+............................... 4,254,675
5,200 Cobalt Networks, Inc. .............................. 563,550
11,000 Inktomi Corporation+................................ 976,250
6,100 Internet Capital Group, Inc.+....................... 1,037,000
41,700 IXnet, Inc.+........................................ 1,256,212
2,800 Juniper Networks, Inc+.............................. 952,000
147,300 Microsoft Corporation+.............................. 17,197,275
25,500 Novell, Inc.+....................................... 1,018,406
5,000 Opentv Corporation.................................. 401,250
18,650 Oracle Corporation+................................. 2,089,966
40,400 Sun Microsystems, Inc.+............................. 3,128,475
2,400 VA Linux Systems, Inc. ............................. 495,900
5,500 Yahoo!, Inc.+....................................... 2,379,781
------------
35,750,740
------------
Consumer Non-Durables -- 1.4%
49,800 Philip Morris Companies, Inc. ...................... 1,154,737
44,000 Procter & Gamble Company............................ 4,820,750
------------
5,975,487
------------
Consumer Services -- 0.1%
8,800 TV Guide Inc., Class A+............................. 378,400
------------
Cosmetics and Personal Care -- 0.1%
7,100 Estee Lauder Companies, Inc., Class A............... 358,106
------------
Diversified Operations -- 11.0%
96,200 General Electric Company............................ 14,886,950
37,100 Omnicom Group, Inc. ................................ 3,710,000
39,600 Textron, Inc. ...................................... 3,036,825
357,000 Tyco International, Ltd. ........................... 13,878,375
156,500 United Technologies Corporation..................... 10,172,500
------------
45,684,650
------------
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Electronics -- 2.1%
16,400 General Motors Corporation, Class H................. $ 1,574,400
3,300 KLA-Tencor Corporation+............................. 367,537
52,000 Maxim Integrated Products, Inc.+.................... 2,453,750
19,100 Solectron Corporation+.............................. 1,816,887
27,500 Texas Instruments, Inc. ............................ 2,664,063
------------
8,876,637
------------
Food and Beverages -- 1.2%
36,900 Anheuser-Busch Companies, Inc. ..................... 2,615,287
41,500 Keebler Foods Company+.............................. 1,167,187
18,500 Quaker Oats Company................................. 1,214,062
------------
4,996,536
------------
Insurance -- 0.5%
17,800 American International Group, Inc................... 1,924,625
------------
Media and Entertainment -- 8.8%
54,100 AMFM, Inc.+......................................... 4,233,325
113,500 AT&T Corporation - Liberty Media Group, Class A+.... 6,441,125
37,300 CBS Corporation+.................................... 2,384,869
51,100 Charter Communications, Inc., Class A+.............. 1,117,812
119,800 Clear Channel Communications, Inc.+................. 10,692,150
61,400 MediaOne Group, Inc.+............................... 4,716,287
90,900 Time Warner, Inc. .................................. 6,584,569
13,500 TiVo, Inc.+......................................... 455,625
------------
36,625,762
------------
Medical Services and Supplies -- 8.6%
70,300 American Home Products Corporation.................. 2,772,456
36,300 Amgen, Inc.+........................................ 2,180,269
100,400 Bristol-Myers Squibb Company........................ 6,444,425
10,600 Forest Laboratories, Inc.+.......................... 651,237
45,500 Johnson & Johnson................................... 4,237,187
14,600 Lilly (Eli) & Company............................... 970,900
40,000 Medtronic, Inc. .................................... 1,457,500
60,300 Merck & Company, Inc. .............................. 4,043,869
155,500 Pfizer, Inc. ....................................... 5,044,031
5,100 Tularik, Inc. ...................................... 165,112
96,200 Warner-Lambert Company.............................. 7,882,387
------------
35,849,373
------------
Office Automation and Equipment -- 0.9%
73,300 Pitney Bowes, Inc. ................................. 3,541,306
------------
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Retail -- 6.5%
26,400 Brinker International, Inc.+........................ $ 633,600
71,500 Costco Wholesale Corporation........................ 6,524,375
165,147 Home Depot, Inc..................................... 11,322,891
50,755 Intimate Brands, Inc................................ 2,188,809
23,700 Safeway, Inc.+...................................... 842,831
10,800 Tiffany & Company................................... 963,900
64,600 Wal-Mart Stores, Inc................................ 4,465,475
------------
26,941,881
------------
Technology -- 7.1%
31,100 Applied Materials, Inc.+............................ 3,939,981
27,500 CIENA Corporation+.................................. 1,581,250
142,050 Cisco Systems, Inc.+................................ 15,217,106
104,900 Intel Corporation................................... 8,634,581
------------
29,372,918
------------
Telecommunications -- 9.8%
90,700 American Tower Corporation, Class A+................ 2,772,019
72,200 Bell Atlantic Corporation........................... 4,444,813
9,500 BellSouth Corporation............................... 444,719
89,700 Comcast Corporation, Class A+....................... 4,535,456
22,200 Comcast Corporation, Class H........................ 1,062,825
4,700 Finisar Corporation................................. 422,413
50,200 Lucent Technologies, Inc............................ 3,755,588
133,950 MCI WorldCom, Inc.+................................. 7,107,722
60,500 Motorola, Inc....................................... 8,908,625
25,700 Nortel Networks Corporation......................... 2,595,700
14,700 Pinnacle Holdings, Inc.............................. 622,912
12,100 SBC Communications, Inc............................. 589,875
19,800 Uniphase Corporation................................ 3,193,987
------------
40,456,654
------------
Utilities -- 0.2%
25,600 Montana Power Company............................... 923,200
------------
Total Common Stock (Cost $197,094,082).............. 297,075,139
------------
<CAPTION>
Principal
Amount
-----------
<C> <S> <C>
AGENCY SECURITIES -- 19.6%
Federal Home Loan Mortgage Corporation (FHLMC) -- 2.7%
$ 2,721,000 5.650% due 01/19/00................................. 2,714,061
469,829 9.500% due 01/01/17................................. 494,348
545,285 11.500% due 05/01/20................................ 597,567
252,277 6.138% due 06/15/20................................. 242,027
7,875,000 6.000% due 02/01/30................................. 7,208,066
------------
11,256,069
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
----------- ------------
<C> <S> <C>
Federal National Mortgage Association (FNMA) -- 9.3%
$ 1,760,000 6.400% due 09/27/05................................. $ 1,709,682
2,020,000 6.340% due 02/04/08................................. 1,891,851
7,800,000 5.250% due 01/15/09................................. 6,879,834
504,771 10.000% due 11/01/18................................ 537,312
524,005 11.000% due 09/01/19................................ 571,008
48,325 7.200% due 03/25/24................................. 48,944
514,260 9.000% due 07/01/25................................. 537,750
552,357 9.000% due 04/01/26................................. 576,180
403,368 6.045% due 04/18/28................................. 400,922
18,855,183 6.000% due 05/01/29................................. 17,246,458
9,100,000 6.000% due 01/01/30................................. 8,323,588
------------
38,723,529
------------
Government National Mortgage Association (GNMA) -- 7.6%
159,305 10.500% due 12/15/14................................ 172,673
91,028 9.500% due 04/15/17................................. 96,648
118,065 9.500% due 05/15/17................................. 125,354
166,758 9.500% due 08/15/17................................. 177,053
526,582 10.000% due 08/15/17................................ 566,939
80,431 9.500% due 10/15/17................................. 85,397
69,310 9.500% due 11/15/17................................. 73,589
400,479 9.500% due 12/15/17................................. 427,017
120,486 9.500% due 07/15/18................................. 127,911
393,317 9.500% due 10/15/18................................. 417,600
188,574 9.500% due 09/15/19................................. 200,170
359,217 9.000% due 12/15/19................................. 378,522
539,506 9.500% due 06/15/20................................. 572,681
542,740 10.000% due 12/15/20................................ 584,835
520,384 9.500% due 12/15/21................................. 552,450
440,066 10.000% due 07/15/22................................ 474,197
710,231 6.375% due 01/20/25................................. 722,106
281,437 10.000% due 02/15/25................................ 303,266
173,792 6.375% due 02/20/25................................. 176,697
535,230 6.375% due 03/20/25................................. 543,927
63,112 6.375% due 04/20/25................................. 63,921
497,112 6.375% due 04/20/25................................. 499,955
74,770 6.375% due 05/20/25................................. 75,197
862,709 6.375% due 06/20/25................................. 873,761
327,606 6.750% due 07/20/25................................. 330,679
315,818 6.750% due 09/20/27................................. 318,136
181,245 6.125% due 10/20/27................................. 183,793
450,772 6.125% due 11/20/27................................. 457,110
151,390 6.125% due 12/20/27................................. 153,518
10,775,000 6.000% due 02/01/30................................. 9,955,346
12,200,000 7.000% due 02/15/30................................. 11,826,314
------------
31,516,762
------------
Total Mortgage-Backed
Securities
(Cost $83,684,649)................................. 81,496,360
------------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
----------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- 7.7%
$ 430,000 Albertsons, Inc., Debentures,
7.450% due 08/01/29............................... $ 408,694
210,000 American General
Finance Company,
6.750% due 11/15/04............................... 203,692
Associates Corporation of North America, Senior
Notes:
150,000 5.250% due 03/30/00................................ 149,702
350,000 6.000% due 06/15/00................................ 349,423
190,000 6.000% due 07/15/05................................ 179,064
580,000 AT&T Corporation,
6.500% due 03/15/29##............................. 496,570
390,000 AXA Financial, Inc., Senior Notes,
6.500% due 04/01/08............................... 363,145
130,000 Bank of America Corporation, Senior Notes,
5.875% due 02/15/09............................... 115,757
200,000 Bank of America Corporation, Subordinate Notes,
6.800% due 03/15/28............................... 174,971
420,000 Bank One Corporation, Subordinate Notes,
6.000% due 02/17/09............................... 373,569
110,000 Becton, Dickinson, Debentures,
7.000% due 08/01/27............................... 98,669
335,000 Becton, Dickinson, Debentures,
6.700% due 08/01/28............................... 288,844
375,000 BellSouth Telecommunications, Inc., Debentures,
6.375% due 06/01/28............................... 315,806
295,000 BT Institutional Capital Trust, 8.090% due
12/01/26++........................................ 268,515
500,000 Burlington Northern Santa Fe, Debentures,
6.700% due 08/01/28............................... 429,125
300,000 Chase Manhattan Corporation, Subordinate Notes,
6.000% due 02/15/09............................... 269,833
105,000 Chase Manhattan Corporation, Subordinate Notes,
7.000% due 11/15/09............................... 101,026
545,000 Chevron Corporation,
6.625% due 10/01/04............................... 535,899
495,000 CIT Group, Inc., Senior Notes, 5.910% due
11/23/05.......................................... 457,954
580,000 CitiCorp, Subordinate Notes, 6.375% due 11/15/08... 535,775
450,000 CMS Panhandle Holding Company, Senior Notes,
7.000% due 07/15/29............................... 394,276
265,000 Comcast Cable Communications, Inc. ,
8.375% due 05/01/07............................... 274,956
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount Note 1
----------- ------------
<C> <S> <C>
$ 350,000 Comcast Cable Communications, Inc. ,
6.200% due 11/15/08............................... $ 54,262
350,000 Comdisco, Inc. ,
6.375% due 11/30/01............................... 343,221
585,000 Conoco , Inc., Senior Notes,
6.950% due 04/15/29............................... 527,693
479,456 Continental Airlines, Inc.,
Pass Through Certificates,
6.648% due 09/15/17............................... 434,967
174,925 Continental Airlines, Inc.,
Pass Through Certificates, 6.545% due 08/02/20.... 158,982
545,000 DaimlerChrysler North America Holding Corporation,
Company Guarantee,
7.200% due 09/01/09............................... 535,321
110,000 Dayton Hudson Corporation, Debentures,
6.750% due 01/01/28............................... 96,438
300,000 Dayton Hudson Corporation, Debentures,
6.650% due 08/01/28............................... 259,983
515,000 Delphi Auto Systems Corporation, Debentures,
7.125% due 05/01/29............................... 454,708
160,000 Edison Mission Energy Funding, Senior Notes,
7.330% due 09/15/08++............................. 152,117
160,000 Edison Mission Energy Funding, Senior Notes,
7.730% due 06/15/09++............................. 158,285
175,000 El Paso Energy Corporation,
Senior Notes,
6.750% due 05/15/09............................... 163,513
240,000 EOP Operating LP,
7.250% due 06/15/28++............................. 204,763
245,000 EOP Operating LP,
7.500% due 04/19/29............................... 215,715
250,000 Equitable Life Assurance,
6.950% due 12/01/05++............................. 242,413
640,000 Farmers Exchange Capital Insurance,
7.050% due 07/15/28++............................. 544,371
360,000 Federated Department Stores, Debentures,
6.900% due 04/01/29++............................. 313,844
301,398 Fifty Seventh Street Association, 7.125% due
06/01/17.......................................... 269,752
115,000 First Chicago Bank, NBD, Company Guarantee,
7.950% due 12/01/26++............................. 106,726
570,000 Florida Windstorm,
7.125% due 02/25/19++............................. 523,113
710,000 Ford Motor Company,
6.625% due 10/01/28............................... 615,939
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
----------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
$ 415,000 General Motors Corporation, Debentures,
6.750% due 05/01/28............................... $ 366,072
210,000 Goldman Sachs Group,
6.500% due 02/25/09............................... 193,602
665,000 GTE Corporation, Debentures, 6.940% due 04/15/28... 602,503
295,000 Hartford Life Insurance Company, Debentures,
7.650% due 06/15/27............................... 286,949
440,000 Hertz Corporation, Senior Notes, 7.625% due
08/15/07.......................................... 439,947
585,000 Home Depot, Inc.,
6.500% due 09/15/04++............................. 573,376
600,000 Household Finance Corporation, 6.375% due
08/01/10.......................................... 542,466
570,000 IBM Corporation, Debentures, 6.500% due 01/15/28... 503,584
560,000 Johnson and Johnson, Debentures,
6.625% due 09/01/09............................... 538,210
415,000 Kroger Company, Debentures, 7.700% due 06/01/29++.. 392,029
350,000 Lehman Brothers, Inc.,
Senior Subordinate Notes, 7.125% due 07/15/02..... 347,144
340,000 Lowe's Companies, Inc., Debentures,
6.875% due 02/15/28............................... 299,329
180,000 Lowe's Companies, Inc., Debentures,
6.500% due 03/15/29++............................. 151,681
645,000 Lucent Technologies, Inc., Debentures,
6.450% due 03/15/29............................... 561,466
560,000 May Department Stores Company,
6.700% due 09/15/28............................... 489,804
15,000 May Department Stores Company, Company Guarantee,
9.750% due 02/15/21............................... 17,333
255,000 Merck & Company, Inc., Debentures,
5.950% due 12/01/28............................... 210,765
250,000 Metropolitan Life Insurance Company,
7.450% due 11/01/23++............................. 222,265
250,000 Metropolitan Life Insurance Company,
7.800% due 11/01/25++............................. 244,744
475,000 Monsanto Company, Debentures, 6.600% due 12/01/28.. 418,746
250,000 Nationwide Mutual Insurance,
7.500% due 02/15/24++............................. 218,875
</TABLE>
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
----------- ------------
<C> <S> <C>
$ 390,000 Neiman Marcus Group, Inc.,
Senior Notes,
6.650% due 06/01/08............................... $ 356,140
460,000 News America , Inc., Debentures,
7.280% due 06/30/28............................... 409,492
300,000 News America Holdings, Inc., Senior Notes,
8.500% due 02/15/05............................... 309,333
375,000 Norfolk Southern Corporation, Senior Notes,
6.200% due 04/15/09............................... 336,551
550,000 Northern Trust Company,
6.625% due 10/01/03............................... 538,798
350,000 Norwest Corporation, Medium Term Notes,
6.125% due 10/15/00............................... 349,283
190,000 Norwest Financial, Inc., Senior Notes,
5.625% due 02/03/09............................... 165,256
295,000 PNC Funding Corporation, Company Guarantee,
6.125% due 02/15/09............................... 264,426
285,000 PNC Funding Corporation, Company Guarantee,
7.500% due 11/01/09............................... 279,793
425,000 Prime Property Funding II,
6.800% due 08/15/02++............................. 416,862
990,000 Procter and Gamble Company,
6.600% due 12/15/04............................... 975,645
270,000 Procter and Gamble Company,
6.875% due 09/15/09............................... 263,910
425,000 Prudential Insurance Company,
8.300% due 07/01/25++............................. 429,696
535,000 Scotia Pacific Company LLC, Collateralized Notes,
7.710% due 07/20/28............................... 375,838
265,000 Southern Energy, Senior Notes,
7.900% due 07/15/09++............................. 256,472
215,000 Sun Microsystems, Inc.,
Senior Notes,
7.650% due 08/15/09............................... 213,074
290,000 Tennessee Gas Pipeline, Debentures,
7.000% due 10/15/28............................... 253,849
280,000 Textron, Inc.,
6.750% due 09/15/02............................... 277,254
320,000 Time Warner, Inc., Company Guarantee,
6.625% due 05/15/29............................... 272,858
235,000 Times Mirror Company,
7.450% due 10/15/09............................... 233,536
340,000 Union Pacific Corporation, Debentures,
6.625% due 02/01/29............................... 287,176
355,000 United Parcel Service, Debentures 8.375% due
04/01/20.......................................... 379,534
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
$ 535,000 United Technologies Corporation,
6.700% due 08/01/28............................... $ 472,164
528,906 US Airways, Inc., Pass Through Certificates,
6.850% due 01/30/18............................... 474,508
990,000 Wal-Mart Stores, Inc., Senior Notes,
6.875% due 08/10/09............................... 963,953
345,000 Washington Mutual, Inc., Company Guarantee,
8.375% due 06/01/27............................... 328,364
885,000 World Financial Properties, Inc., Pass Through
Certificates,
6.950% due 09/01/13++............................. 832,475
625,000 WorldCom, Inc., Senior Notes,
6.950% due 08/15/28............................... 567,475
------------
Total Corporate Fixed Income Securities (Cost
$34,756,660)...................................... 32,065,996
------------
ASSET-BACKED SECURITIES -- 5.3%
63,478 Advanta Mortgage Loan Trust,
6.530% due 09/25/12............................... 63,199
77,827 Americredit Automobile Trust, 6.529% due 06/12/01.. 77,810
714,930 Arcadia Auto Recreation Trust,
5.900% due 11/15/02............................... 713,214
750,000 Arcadia Automobile Receivables Trust,
6.375% due 01/15/03............................... 748,343
187,449 BankBoston Home Equity Trust, 6.280% due 11/25/10.. 186,461
550,000 BMW Vehicle Owner Trust,
6.160% due 12/25/01............................... 547,875
334,425 Centex Home Equity,
6.070% due 03/25/18............................... 332,081
434,515 Centex Home Equity,
5.910% due 04/25/19............................... 429,849
750,000 Citibank Credit Card Master Trust,
5.651% due 05/15/02#.............................. 750,683
134,082 Comed Transitional Funding Trust,
5.380% due 03/25/02............................... 133,850
34,790 ContiMortgage Home Equity Loan Trust,
6.493% due 03/15/13............................... 34,831
348,113 ContiMortgage Home Equity Loan Trust,
6.010% due 12/25/13............................... 345,746
348,631 Daimler-Benz Auto Grantor Trust, 6.050% due
03/20/05.......................................... 347,317
266,421 Daimler-Benz Vehicle Trust,
5.230% due 12/20/01............................... 265,960
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C>
$ 120,338 EQCC Home Equity Loan Trust, 6.235% due 04/15/08... $ 119,996
776,410 EQCC Home Equity Loan Trust, 6.548% due 04/25/10... 771,799
236,583 First Security Auto Grantor Trust, 6.100% due
04/15/03.......................................... 236,044
73,547 First Security Auto Owner Trust, 5.182% due
06/15/01.......................................... 73,535
479,647 First Security Auto Owner Trust, 5.492% due
04/15/02.......................................... 478,246
33,958 First Security Auto Owner Trust, 5.970% due
04/15/04.......................................... 232,245
525,000 First USA Credit Card Master Trust,
6.550% due 09/17/03#.............................. 525,000
176,250 Ford Credit Auto Owner Trust, 6.050% due 04/15/01.. 176,194
1,100,000 Ford Credit Auto Owner Trust, 5.470% due 09/15/01.. 1,094,841
1,100,000 Ford Credit Auto Owner Trust, 5.770% due 11/15/01.. 1,094,148
1,100,000 Ford Credit Auto Owner Trust, 6.200% due 04/15/02.. 1,097,106
394,665 Green Point Manufactured Housing,
5.780% due 12/15/09............................... 389,870
228,981 Green Tree Financial Corporation, 5.850% due
11/01/29.......................................... 228,321
650,691 Green Tree Financial Corporation, 5.990% due
07/15/30.......................................... 648,856
800,000 Green Tree Financial Corporation, 5.510% due
02/01/31.......................................... 795,360
360,423 Green Tree Home Equity Loan Trust,
6.040% due 06/15/29............................... 359,406
563,468 Green Tree Home Equity Loan Trust,
5.600% due 12/01/30............................... 558,712
519,133 HFC Home Equity Loan,
6.830% due 12/20/16............................... 517,737
279,505 Honda Auto Receivables Grantor Trust,
5.850% due 02/15/03............................... 278,966
400,218 Honda Auto Receivables Owner Trust,
5.186% due 06/15/01............................... 399,261
576,742 IMC Home Equity Loan Trust, 6.310% due 12/20/12.... 574,215
744,244 MMCA Automobile Trust,
6.300% due 06/15/02............................... 743,055
550,000 Navistar Financial Corporation Owner Trust,
5.550% due 02/15/02............................... 547,158
550,000 New Holland Equipment Receivables Trust,
6.390% due 10/15/02............................... 547,986
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- (Continued)
$ 197,196 Nissan Auto Receivables Grantor Trust,
6.150% due 02/15/03................................ $ 196,024
595,111 Nissan Auto Receivables Grantor Trust,
5.450% due 04/15/04................................ 588,035
1,075,000 Premier Auto Trust,
5.820% due 02/08/02................................ 1,070,292
400,000 Rental Car Finance Corporation,
6.450% due 08/25/05................................ 388,748
37,921 Residential Funding Mortgage Securities,
5.630% due 02/25/10................................ 37,881
418,512 The Money Store Residential Trust,
6.480% due 06/15/10................................ 417,389
1,100,000 Toyota Auto Receivables Owner Trust,
5.800% due 12/17/01................................ 1,095,182
124,209 WFS Financial Owner Trust,
6.100% due 03/20/02................................ 124,174
108,927 WFS Financial Owner Trust,
6.250% due 03/20/02................................ 109,007
299,800 World Omni Automobile Lease Securitization,
6.080% due 11/25/03................................ 299,704
------------
Total Asset-Backed Securities (Cost $21,908,507).... 21,791,712
------------
U.S. TREASURY OBLIGATIONS -- 1.3%
Strip -- 0.1%
1,000,000 Strip 11/15/15...................................... 340,350
------------
U.S. Treasury Bonds -- 0.2%
875,000 8.750% due 08/15/20#................................ 1,060,115
------------
U.S. Treasury Notes -- 1.0%
600,000 7.500% due 02/15/05#................................ 625,782
3,500,000 6.000% due 08/15/09#................................ 3,390,625
------------
4,016,407
------------
Total U.S. Treasury Obligations (Cost $5,544,226)... 5,416,872
------------
AGENCY SECURITIES -- 1.6%
6,678,000 FHLMC 5.650% due 01/10/00#.......................... 6,668,567
------------
Total Agency Securities (Cost $6,668,567)........... 6,668,567
</TABLE> ------------
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.7% (Cost $6,975,000)
$ 6,975,000 Agreement with J.P. Morgan Securities, Inc., 3.000%
to be repurchased at $6,976,744 on 01/03/2000,
collateralized by $6,010,000 U.S. Treasury Bond
8.125% due 08/15/2021, market value $7,114,518..... $ 6,975,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost $356,631,691*).... 108.8% $451,489,646
OTHER ASSETS AND
LIABILITIES (Net)^ ..... (8.8)% (36,563,848)
------- ------------
NET ASSETS............... 100.0% $414,925,798
======= ============
NET ASSETS consist of:
Undistributed net investment
income.......................... $ 5,837,030
Accumulated net realized gain on
investments and futures
contracts....................... 31,743,188
Net unrealized appreciation of
investments and futures
contracts....................... 94,964,268
Paid-in capital.................. 282,381,312
------------
Total Net Assets................. $414,925,798
============
NET ASSET VALUE, offering price
and redemption price per share
of beneficial interest
outstanding..................... $ 22.89
============
Number of Portfolio shares
outstanding..................... 18,126,124
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $356,888,322.
+ 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 reg-
istration, normally to qualified institutional buyers.
# Rate represents annualized yield at date of purchase.^
## Security pledged as collateral for open futures contracts.
^ Other liabilities representing greater than 5% of total net assets include
the following:
<TABLE>
<S> <C> <C> <C>
Payable for
securities
purchased.... $37,633,051
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Money Market Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 69.4%
$4,000,000 Abbey National North America,
5.900% due 03/06/00#............................... $ 3,957,389
4,500,000 Anheuser-Busch Companies, Inc.,
5.950% due 02/18/00#............................... 4,464,300
4,000,000 ANZ (DE), Inc.,
5.830% due 01/20/00#............................... 3,987,692
4,000,000 Associates Corporation of North America,
5.920% due 03/03/00#............................... 3,959,218
4,000,000 AT&T Corporation,
5.840% due 02/28/00#............................... 3,962,364
4,400,000 Bank of America Corporation,
6.040% due 03/07/00#............................... 4,351,277
4,000,000 Bellsouth Capital Funding,
5.830% due 03/13/00#............................... 3,953,360
4,000,000 Chevron USA, Inc.,
5.940% due 01/21/00#............................... 3,986,800
4,000,000 CIT Group, Inc.,
5.920% due 01/20/00#............................... 3,987,502
4,000,000 Clorox Company,
6.150% due 01/20/00#............................... 3,986,333
3,900,000 DaimlerChrysler North America Holding,
5.740% due 01/31/00#............................... 3,881,345
4,100,000 Eastman Kodak Company,
5.840% due 01/20/00#............................... 4,087,363
4,000,000 Emerson Electric Company,
5.900% due 01/31/00#............................... 3,980,333
3,700,000 General Electric Capital Corporation,
5.760% due 02/22/00#............................... 3,669,216
4,000,000 Household Finance Corporation,
5.860% due 02/24/00#............................... 3,964,840
4,000,000 International Lease Finance Corporation,
5.970% due 02/22/00#............................... 3,965,507
4,300,000 Merrill Lynch & Company, Inc.,
5.910% due 02/29/00#............................... 4,258,351
4,000,000 Metlife Funding, Inc.,
5.940% due 02/29/00#............................... 3,961,060
2,300,000 Monsanto Company,
5.74% due 1/24/00#................................. 2,291,595
4,000,000 Motorola, Inc.,
5.72% due 3/24/00#................................. 3,946,419
4,000,000 National Rural Utilities
Cooperative Finance Corporation,
5.81% due 3/6/00#.................................. 3,957,750
4,000,000 Prudential Funding Corporation,
6.25% due 1/18/00#................................. 3,988,194
4,000,000 Toyota Motor Credit Corporation,
5.80% due 2/25/00#................................. 3,964,556
3,000,000 USAA Capital Corporation,
5.75% due 1/27/00#................................. 2,987,542
------------
</TABLE>
<TABLE>
<S> <C> <C>
Total Commercial Paper (Cost $93,500,306).. 93,500,306
----------
</TABLE>
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (Yankee) -- 2.2%
$ 1,000,000 Bank of Austria, New York,
5.04% due 1/12/00................................. $ 999,991
2,000,000 Commerzbank AG, New York,
5.09% due 2/16/00................................. 1,999,964
------------
Total Certificates of Deposit (Cost $2,999,955).... 2,999,955
------------
REPURCHASE AGREEMENTS -- 7.2% (Cost $9,702,000)
9,702,000 Agreement with J.P. Morgan Securities, Inc., 3.000%
to be repurchased at $9,702,809 on 01/03/2000,
collateralized by $8,360,000 U.S. Treasury Bond
8.125% due 08/15/21, market value $9,896,066 ..... 9,702,000
------------
U.S. GOVERNMENT AGENCY SECURITIES -- 23.6%
12,000,000 Federal Home Loan Bank (FHLB),
5.61% due 2/11/00#................................ 11,923,398
10,000,000 Federal Home Loan Mortgage Corporation (FHLMC),
5.59% due 2/8/00#................................. 9,940,995
10,000,000 Federal National Mortgage Association (FNMA),
5.59% due 2/24/00# ............................... 9,916,150
------------
Total U.S. Government Agency Securities
(Cost $31,780,543)................................ 31,780,543
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $137,982,804*)................... 102.4% 137,982,804
------------
OTHER ASSETS AND LIABILITIES (Net) ...................... (2.4%) (3,204,090)
------- ------------
NET ASSETS .............................................. 100.0% $134,778,714
======= ============
</TABLE>
<TABLE>
<S> <C>
NET ASSETS consist of:
Accumulated net realized gain on investments..................... $ 4,453
Paid-in capital.................................................. 134,774,261
------------
Total Net Assets................................................. $134,778,714
============
NET ASSET VALUE, offering price and redemption price per share of
beneficial interest outstanding................................. $ 1.00
============
Number of Portfolio shares outstanding........................... 134,774,261
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
# Rate represents annualized discount yield at date of purchase.
See Notes to Financial Statements.
47
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 95.2%
Aerospace and Defense -- 1.5%
112,100 Lockheed Martin Corporation......................... $ 2,452,187
28,400 TRW, Inc. .......................................... 1,475,025
------------
3,927,212
------------
Automotive -- 1.3%
25,300 Dana Corporation.................................... 757,419
15,000 General Motors Corporation.......................... 1,090,312
70,350 Genuine Parts Company............................... 1,745,559
------------
3,593,290
------------
Banking and Finance -- 6.7%
32,900 Bank of America Corporation......................... 1,651,169
63,282 Bank One Corporation................................ 2,028,979
10,564 Chase Manhattan Corporation......................... 820,691
67,473 Citigroup, Inc. .................................... 3,748,969
42,900 Firstar Corporation................................. 906,262
35,400 KeyCorp............................................. 783,225
50,300 Mercantile Bankshares Corporation................... 1,606,456
22,800 Morgan (J.P.) & Company, Inc. ...................... 2,887,050
51,500 National City Corporation........................... 1,219,906
52,030 Wells Fargo Company................................. 2,103,963
------------
17,756,670
------------
Building and Construction -- 0.6%
44,400 Armstrong World Industries, Inc. ................... 1,481,850
------------
Computer Service and Software -- 0.4%
40,900 Compaq Computer Corporation......................... 1,106,856
------------
Consumer Products -- 4.4%
89,800 Pall Corporation.................................... 1,936,312
81,100 Philip Morris Companies, Inc. ...................... 1,880,506
63,400 Stanley Works....................................... 1,909,925
42,400 Tupperware Corporation.............................. 718,150
29,500 Unilever NV, CVA.................................... 1,630,304
91,000 UST, Inc. .......................................... 2,292,062
20,800 Whirlpool Corporation............................... 1,353,300
------------
11,720,559
------------
Cosmetics and Toiletries -- 2.5%
74,500 International Flavors & Fragrances, Inc. ........... 2,812,375
57,200 Kimberly-Clark Corporation.......................... 3,732,300
------------
6,544,675
------------
Diversified -- 3.7%
106,300 Disney (Walt) Company............................... 3,109,275
42,300 Fortune Brands, Inc. ............................... 1,398,544
59,700 Hasbro, Inc. ....................................... 1,138,031
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Diversified -- (Continued)
13,288 Honeywell International, Inc. ...................... $ 766,523
26,900 PPG Industries, Inc. ............................... 1,682,931
79,200 Xerox Corporation................................... 1,796,850
------------
9,892,154
------------
Diversified Chemicals -- 2.2%
18,900 Dow Chemical Company................................ 2,525,513
50,000 du Pont (E.I.) de Nemours & Company................. 3,293,750
------------
5,819,263
------------
Electrical Equipment -- 2.6%
44,200 Boeing Company...................................... 1,837,063
34,207 Cooper Industries, Inc. ............................ 1,383,246
21,000 Hewlett-Packard Company............................. 2,392,688
43,600 Hubbell, Inc., Class B.............................. 1,188,100
------------
6,801,097
------------
Energy Services -- 1.8%
42,000 Duke Energy Corporation............................. 2,105,250
42,900 Niagara Mohawk Holdings, Inc.+ ..................... 597,919
50,600 Reliant Energy, Inc. ............................... 1,157,475
36,511 Scottish Power Plc.................................. 1,022,308
------------
4,882,952
------------
Financial Services -- 5.4%
41,800 American General Corporation........................ 3,171,575
38,300 Block (H&R), Inc. .................................. 1,675,625
50,900 Fannie Mae.......................................... 3,178,069
96,858 Fleet Boston Financial Corporation.................. 3,371,869
88,674 St. Paul Companies, Inc. ........................... 2,987,205
------------
14,384,343
------------
Food and Beverages -- 7.5%
37,100 Anheuser-Busch Companies, Inc. ..................... 2,629,462
33,700 Brown-Forman Corporation, Class B................... 1,929,325
43,500 Campbell Soup Company............................... 1,682,906
100,000 General Mills, Inc. ................................ 3,575,000
58,600 Heinz (H.J.) Company................................ 2,333,012
47,100 Hershey Foods Corporation........................... 2,237,250
39,600 Kellogg Company..................................... 1,220,175
70,500 McCormick & Company, Inc. .......................... 2,097,375
32,400 Quaker Oats Company................................. 2,126,250
------------
19,830,755
------------
Insurance -- 2.9%
34,900 Chubb Corporation................................... 1,965,306
36,400 Lincoln National Corporation........................ 1,456,000
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Insurance -- (Continued)
52,300 SAFECO Corporation.................................. $ 1,300,963
62,700 UnumProvident Corporation........................... 2,010,319
17,000 XL Capital Ltd., Class A............................ 881,875
------------
7,614,463
------------
Lodging -- 1.2%
127,100 Hilton Hotels Corporation........................... 1,223,338
80,126 Starwood Hotels and Resorts Worldwide, Inc. ........ 1,882,961
------------
3,106,299
------------
Media and Communications -- 2.2%
58,200 Dun & Bradstreet Corporation........................ 1,716,900
45,800 Knight-Ridder, Inc. ................................ 2,725,100
46,600 Reader's Digest Association, Inc., Class A.......... 1,363,050
------------
5,805,050
------------
Medical Supplies and Equipment -- 0.6%
20,600 Becton, Dickinson & Company......................... 551,050
317,700 Smith & Nephew Plc.................................. 1,077,680
------------
1,628,730
------------
Metals and Mining -- 3.3%
42,000 Inco, Ltd.+ ........................................ 987,000
31,600 Minnesota Mining & Manufacturing Company............ 3,092,850
57,836 Newmont Mining Corporation.......................... 1,416,982
23,500 Phelps Dodge Corporation............................ 1,577,438
21,100 Reynolds Metals Company............................. 1,616,788
------------
8,691,058
------------
Paper and Paper Products -- 3.3%
52,900 Consolidated Papers, Inc. .......................... 1,682,881
87,700 Fort James Corporation.............................. 2,400,788
83,993 International Paper Company......................... 4,740,355
------------
8,824,024
------------
Petroleum -- Domestic -- 2.2%
52,500 Atlantic Richfield Company (ARCO)................... 4,541,250
53,600 USX-Marathon Group.................................. 1,323,250
------------
5,864,500
------------
Petroleum -- International -- 11.0%
47,800 Amerada Hess Corporation............................ 2,712,650
74,474 BP Amoco Plc, Sponsored ADR......................... 4,417,239
42,000 Chevron Corporation................................. 3,638,250
107,462 Exxon Mobil Corporation............................. 8,657,387
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Petroleum -- International -- (Continued)
25,700 Phillips Petroleum Company........................ $ 1,207,900
50,400 Royal Dutch Petroleum Company, NY Shares.......... 3,046,050
56,700 Texaco, Inc. ..................................... 3,079,519
73,100 Unocal Corporation................................ 2,453,419
------------
29,212,414
------------
Pharmaceuticals -- 3.8%
47,100 Abbott Laboratories............................... 1,710,319
102,100 American Home Products Corporation................ 4,026,569
19,000 Merck & Company, Inc. ............................ 1,274,188
68,390 Pharmacia & Upjohn, Inc. ......................... 3,077,550
------------
10,088,626
------------
Photography Equipment and Supplies -- 1.2%
46,300 Eastman Kodak Company............................. 3,067,375
------------
Printing and Publishing -- 1.1%
48,200 Donnelley (R.R.) & Sons Company................... 1,195,962
25,300 Dow Jones & Company, Inc. ........................ 1,720,400
------------
2,916,362
------------
Railroads -- 2.0%
120,400 Norfolk Southern Corporation...................... 2,468,200
62,400 Union Pacific Corporation......................... 2,722,200
------------
5,190,400
------------
Real Estate -- 1.4%
52,200 Rouse Company..................................... 1,109,250
82,832 Simon Property Group, Inc. ....................... 1,899,959
20,600 Vornado Realty Trust.............................. 669,500
------------
3,678,709
------------
Retail -- 1.6%
39,650 May Department Stores Company..................... 1,278,712
33,600 Penney (J.C.) Company, Inc. ...................... 669,900
64,000 Rite Aid Corporation.............................. 716,000
102,700 Toys "R" Us, Inc.+................................ 1,469,894
------------
4,134,506
------------
Specialty Chemicals -- 2.3%
56,006 CK Witco Corporation.............................. 749,080
49,200 Great Lakes Chemical Corporation.................. 1,878,825
76,200 Hercules, Inc. ................................... 2,124,075
28,500 Imperial Chemical Industries Plc, Sponsored ADR... 1,213,031
------------
5,965,011
------------
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Telecommunications -- 8.4%
46,400 ALLTEL Corporation................................. $ 3,836,700
26,650 AT&T Corporation................................... 1,352,487
38,300 BCE, Inc. ......................................... 3,454,181
21,300 BellSouth Corporation.............................. 997,106
60,900 GTE Corporation.................................... 4,297,256
106,574 SBC Communications, Inc. .......................... 5,195,483
42,200 US West, Inc. ..................................... 3,038,400
------------
22,171,613
------------
Transportation Services -- 0.4%
26,100 Burlington Northern Santa Fe Corporation........... 632,925
14,700 GATX Corporation................................... 496,125
------------
1,129,050
------------
Utilities -- 5.0%
115,100 Baker Hughes, Inc. ................................ 2,424,294
51,100 Bell Atlantic Corporation.......................... 3,145,844
38,200 DQE, Inc. ......................................... 1,322,675
38,100 Entergy Corporation................................ 981,075
61,650 FirstEnergy Corporation............................ 1,398,684
73,600 Southern Company................................... 1,729,600
34,600 TECO Energy, Inc. ................................. 642,263
47,300 Unicom Corporation................................. 1,584,550
------------
13,228,985
------------
Waste Disposal -- 0.7%
104,162 Waste Management, Inc. ............................ 1,790,284
------------
Total Common Stock
(Cost $238,341,877)............................... 251,849,135
------------
<CAPTION>
Principal
Amount
-----------
<C> <S> <C>
COMMERCIAL PAPER -- 6.2%
$3,000,000 Aon Corporation,
6.550% due 02/04/00#.............................. 2,981,442
2,000,000 Corporate Asset Funding,
6.050% due 01/27/00#.............................. 1,991,261
3,000,000 Dexia Finance Company,
6.500% due 01/20/00#.............................. 2,989,708
3,923,000 Greenwich Funding Corporation, 6.000% due
02/07/00#......................................... 3,898,808
2,593,000 Harvard University,
5.000% due 01/03/00#.............................. 2,592,280
2,000,000 Motiva Enterprise,
6.500% due 01/13/00#.............................. 1,995,667
------------
Total Commercial Paper
(Cost $16,449,166)................................ 16,449,166
------------
</TABLE>
<TABLE>
<CAPTION>
Value (Note
1)
-----------
<C> <S> <C>
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $254,791,043*)..................... 101.4% $268,298,301
OTHER ASSETS AND LIABILITIES (Net)......................... (1.4%) (3,580,075)
------ ------------
NET ASSETS ................................................ 100.0% $264,718,226
====== ============
</TABLE>
<TABLE>
<S> <C> <C>
NET ASSETS consist of:
Undistributed net
investment income..... $ 5,076,774
Accumulated net
realized gain on
investments, foreign
currencies and net
other assets.......... 22,021,090
Net unrealized
appreciation of
investments, foreign
currencies and net
other assets.......... 13,506,678
Paid-in capital........ 224,113,684
------------
Total Net Assets....... $264,718,226
============
NET ASSET VALUE,
offering price and
redemption price per
share of beneficial
interest outstanding.. $ 19.50
============
Number of Portfolio
shares outstanding.... 13,575,001
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $254,960,366.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
50
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 96.1%
Banking and Finance -- 9.3%
25,530 Bank of America Corporation......................... $ 1,281,287
62,400 Bank of New York Company, Inc. ..................... 2,496,000
114,648 Citigroup, Inc. .................................... 6,370,129
40,700 Fannie Mae.......................................... 2,541,206
107,900 Firstar Corporation................................. 2,279,387
126,300 Freddie Mac......................................... 5,943,994
51,000 HSBC Holdings Plc................................... 715,122
57,900 Wells Fargo Company................................. 2,341,331
------------
23,968,456
------------
Business Services -- 0.9%
11,200 Lexmark International Group, Inc., Class A+......... 1,013,600
25,700 Randstad Holding N.V. .............................. 1,237,367
------------
2,250,967
------------
Computer Service and Software -- 18.5%
35,800 3Com Corporation+................................... 1,682,600
43,400 America Online, Inc.+............................... 3,273,987
40,000 Automatic Data Processing, Inc. .................... 2,155,000
36,400 BMC Software, Inc.+................................. 2,909,725
55,100 Ceridian Corporation+............................... 1,188,094
47,800 Cisco Systems, Inc.+................................ 5,120,575
9,600 Citrix Systems, Inc.+............................... 1,180,800
1,400 CMGI, Inc.+......................................... 387,625
40,700 Computer Associates International, Inc. ............ 2,846,456
74,300 Dell Computer Corporation+.......................... 3,789,300
32,000 Fujitsu, Ltd. ...................................... 1,459,528
6,666 Getronics N.V....................................... 531,775
41,000 Intel Corporation................................... 3,374,812
74,500 Microsoft Corporation+.............................. 8,697,875
28,400 Oracle Corporation+................................. 3,182,575
53,700 Parametric Technology Corporation+.................. 1,453,256
19,600 Sun Microsystems, Inc.+............................. 1,517,775
10,350 VERITAS Software Corporation+....................... 1,481,344
3,200 Yahoo!, Inc.+....................................... 1,384,600
------------
47,617,702
------------
Consumer Products -- 3.3%
13,400 Colgate-Palmolive Company........................... 871,000
28,300 Corning, Inc. ...................................... 3,648,931
9,100 Gillette Company.................................... 374,806
48,500 Masco Corporation................................... 1,230,687
19,000 NIKE, Inc., Class B................................. 941,687
56,800 Philip Morris Companies, Inc. ...................... 1,317,050
------------
8,384,161
------------
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Diversified -- 8.9%
3,500 American Express Company............................ $ 581,875
24 Berkshire Hathaway, Inc., Class A+.................. 1,346,400
38,400 First Data Corporation.............................. 1,893,600
35,600 General Electric Company............................ 5,509,100
22,700 Honeywell International, Inc. ...................... 1,309,506
219,100 Hutchison Whampoa, Ltd. ............................ 3,184,962
2,100 PE Corporation-PE Biosystems Group.................. 252,656
256,200 Rentokil Initial Plc................................ 934,244
27,800 Teleflex, Inc. ..................................... 870,487
183,260 Tomkins Plc......................................... 595,000
139,644 Tyco International, Ltd. ........................... 5,428,660
17,800 Waters Corporation+................................. 943,400
------------
22,849,890
------------
Electronic Components -- 7.1%
34,000 Altera Corporation+................................. 1,685,125
8,700 Epcos AG+........................................... 652,849
43,500 Flextronics International, Ltd.+.................... 2,001,000
19,600 Hewlett-Packard Company............................. 2,233,175
17,100 Koninklijke (Royal) Philips Electronics N.V. ....... 2,325,237
5,000 Kyocera Corporation................................. 1,296,858
52,500 Maxim Integrated Products, Inc.+.................... 2,477,344
25,700 Solectron Corporation+.............................. 2,444,712
3,000 Sony Corporation.................................... 889,694
23,000 Texas Instruments, Inc. ............................ 2,228,125
------------
18,234,119
------------
Entertainment and Leisure -- 1.0%
8,407 Disney (Walt) Company............................... 245,905
25,600 Fox Entertainment Group, Inc., Class A+............. 638,400
67,200 Mirage Resorts, Inc.+............................... 1,029,000
32,300 Starwood Hotels & Resorts Worldwide, Inc. .......... 759,050
------------
2,672,355
------------
Financial Services -- 2.6%
8,600 AMBAC Financial Group, Inc. ........................ 448,812
50,400 Associates First Capital Corporation, Class A....... 1,382,850
41,000 Capital One Financial Corporation................... 1,975,687
24,500 Hartford Financial Services Group (The), Inc. ...... 1,160,687
12,700 Morgan Stanley Dean Witter & Company................ 1,812,925
------------
6,780,961
------------
Food and Beverages -- 1.1%
90,000 Compass Group Plc................................... 1,235,705
49,000 PepsiCo, Inc. ...................................... 1,727,250
------------
2,962,955
------------
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Health Care Services -- 5.5%
36,200 American Home Products Corporation.................. $ 1,427,638
22,000 Amgen, Inc.+........................................ 1,321,375
43,800 Bristol-Myers Squibb Company........................ 2,811,413
30,600 IMS Health, Inc. ................................... 831,938
17,200 Johnson & Johnson................................... 1,601,750
22,800 Lilly (Eli) & Company............................... 1,516,200
36,100 United HealthCare Corporation....................... 1,917,813
41,500 Wellpoint Health Networks, Inc.+.................... 2,736,406
------------
14,164,533
------------
Insurance -- 1.7%
91,300 Ace Ltd. ........................................... 1,523,569
1,800 Fairfax Financial Holdings, Ltd.+................... 306,131
1,200 Fairfax Financial Holdings, Ltd.++.................. 204,087
40,632 Mutual Risk Management, Ltd. ....................... 683,126
19,800 PartnerRe, Ltd. .................................... 642,263
19,700 UnumProvident Corporation........................... 631,631
9,800 XL Capital, Ltd., Class A........................... 508,375
------------
4,499,182
------------
Machinery -- 2.9%
20,300 Applied Materials, Inc.+............................ 2,571,756
30,300 Danaher Corporation................................. 1,461,975
14,000 Mannesmann AG....................................... 3,412,564
------------
7,446,295
------------
Media and Communications -- 6.2%
5,000 AMFM, Inc.+......................................... 391,250
42,500 AT&T Corporation--Liberty Media Group, Class A+..... 2,411,875
27,500 Charter Communications, Inc., Class A+.............. 601,562
21,600 Clear Channel Communications, Inc.+................. 1,927,800
38,400 Comcast Corporation, Special
Class A............................................ 1,941,600
43,600 Infinity Broadcasting Corporation, Class A+......... 1,577,775
36,500 MediaOne Group, Inc.+............................... 2,803,656
30,800 Omnicom Group, Inc. ................................ 3,080,000
17,600 Time Warner, Inc. .................................. 1,274,900
------------
16,010,418
------------
Medical Products -- 0.7%
28,400 Baxter International, Inc. ......................... 1,783,875
------------
Oil and Gas -- 0.5%
58,100 Baker Hughes, Inc. ................................. 1,223,731
------------
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Paper and Paper Products -- 0.5%
19,528 Kimberly-Clark Corporation.......................... $ 1,274,202
------------
Petroleum -- International -- 2.7%
19,000 Chevron Corporation................................. 1,645,875
33,796 Exxon Mobil Corporation............................. 2,722,677
46,900 Royal Dutch Petroleum Company, NY Shares............ 2,834,519
------------
7,203,071
------------
Pharmaceuticals -- 4.3%
13,300 Genentech, Inc.+.................................... 1,788,850
29,800 Merck & Company, Inc. .............................. 1,998,463
66,000 Pfizer, Inc. ....................................... 2,140,875
50,100 Schering-Plough Corporation......................... 2,113,594
37,600 Warner-Lambert Company.............................. 3,080,850
------------
11,122,632
------------
Publishing -- 1.1%
16,800 Tribune Company..................................... 925,050
29,500 Ver Ned Uitgevers................................... 1,550,471
9,200 Wolters Kluwer N.V. ................................ 311,361
------------
2,786,882
------------
Real Estate -- 0.4%
28,100 Crescent Real Estate Equities Company............... 516,338
28,675 Security Capital U.S. Realty+....................... 403,242
------------
919,580
------------
Retail -- 7.1%
23,500 Cifra S.A. de CV, ADR, V Shares+.................... 470,000
42,418 CVS Corporation..................................... 1,694,069
20,400 Dayton Hudson Corporation........................... 1,498,125
54,000 Home Depot, Inc. ................................... 3,702,375
20,900 Koninklijke Ahold NV................................ 618,704
76,200 Kroger Company+..................................... 1,438,275
23,000 McDonald's Corporation.............................. 927,188
79,500 Safeway, Inc.+...................................... 2,827,219
43,000 Staples, Inc.+...................................... 892,250
62,500 Wal-Mart Stores, Inc. .............................. 4,320,313
------------
18,388,518
------------
Telecommunications -- 9.3%
44,600 CBS Corporation+.................................... 2,851,613
7,800 General Instrument Corporation+..................... 663,000
8,000 JDS Uniphase Corporation+........................... 1,290,500
39,390 Lucent Technologies, Inc. .......................... 2,946,864
76,331 MCI WorldCom, Inc.+................................. 4,050,287
19,500 Nextel Communications, Inc.,
Class A+........................................... 2,010,938
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Telecommunications -- (Continued)
48 Nippon Telegraph & Telephone Corporation........... $ 822,158
8,100 Nokia Corporation, Sponsored ADR................... 1,539,000
17,100 SBC Communications, Inc. .......................... 833,625
27,900 Sprint Corporation (FON Group)..................... 1,878,019
568,500 Telecom Italia Mobile (TIM) S.p.A. ................ 2,708,501
81,400 Telecom Italia S.p.A. ............................. 1,147,862
24,550 Vodafone AirTouch Plc, Sponsored ADR............... 1,215,225
------------
23,957,592
------------
Transportation -- 0.5%
17,600 Kansas City Southern Industries, Inc. ............. 1,313,400
------------
Total Common Stock (Cost $183,649,546)............. 247,815,477
------------
PREFERRED STOCK -- 0.8%
15,500 Telecomunicacoes Brasileiras S.A., Sponsored ADR+.. 1,991,750
------------
Total Preferred Stock (Cost $1,286,207)............ 1,991,750
------------
<CAPTION>
Principal
Amount
-----------
<C> <S> <C>
COMMERCIAL PAPER -- 3.4%
$3,000,000 Corporate Asset Funding,
6.050% due 01/27/2000#............................ 2,986,892
2,000,000 Greenwich Funding Corporation, 6.000% due
02/07/2000#....................................... 1,987,667
1,941,000 Harvard University,
5.000% due 01/03/2000#............................ 1,940,461
2,000,000 Sand Dollar Funding LLC,
6.00% due 02/28/2000#............................. 1,980,668
------------
Total Commercial Paper (Cost $8,895,687)........... 8,895,688
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $193,831,440*)..................................... 100.3% 258,702,915
OTHER ASSETS AND LIABILITIES (Net)........................ (0.3%) (823,850)
------ ------------
NET ASSETS................................................ 100.0% $257,879,065
====== ============
</TABLE>
<TABLE>
<S> <C> <C>
NET ASSETS consist of:
Undistributed net
investment income..... $ 254,339
Accumulated net
realized gain on
investments, foreign
currencies and net
other assets.......... 26,852,742
Net unrealized
appreciation of
investments, foreign
currencies and net
other assets.......... 64,871,186
Paid-in capital........ 165,900,798
------------
Total Net Assets....... $257,879,065
============
NET ASSET VALUE,
offering price and
redemption price per
share of beneficial
interest outstanding.. $ 28.73
============
Number of Portfolio
shares outstanding.... 8,975,031
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes, was $194,342,247.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
53
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 95.1%
Argentina -- 0.2%
7,806 Banco de Galicia y Buenos Aries S.A. de C.V., ADR.. $ 154,656
4,858 Banco Frances del Rio de la Plata S.A., Sponsored
ADR............................................... 115,074
7,150 Telefonos de Argentina S.A., Sponsored ADR......... 220,756
------------
490,486
------------
Australia -- 2.1%
13,000 Brambles Industries Ltd. .......................... 359,499
20,520 Broken Hill Proprietary Company Ltd. .............. 269,441
110,743 Colonial Ltd.+..................................... 495,106
34,064 Commonwealth Bank of Australia..................... 586,582
24,650 Lend Lease Corporation Ord. ....................... 345,339
1 National Australia Bank Ltd. ...................... 15
71,106 News Corporation (The) Ltd. ....................... 690,413
66,000 Publishing and Broadcasting Ltd. .................. 503,916
46,000 Tabcorp Holdings Ltd. ............................. 311,473
28,000 Telstra Corporation Ltd. .......................... 98,711
122,049 Telstra Corporation Ltd.+ ......................... 663,436
77,395 Westpac Banking Corporation........................ 533,859
------------
4,857,790
------------
Belgium -- 1.0%
445 Dexia Belgium (Credit Communal).................... 71,313
24,298 Fortis Class B..................................... 876,665
19,810 KBC Bancassurance Holding.......................... 1,067,519
1,100 Societe Europeenne des Satellites.................. 156,224
2,750 UCB S.A. .......................................... 119,246
------------
2,290,967
------------
Brazil -- 1.5%
9,895 Cemig-CIA Energetica Minas Gerais, Sponsored ADR... 221,836
10,959 Pao De Acucar ADS.................................. 354,113
21,305 Telecomunicacoes de Sao Paulo...................... 2,737,692
7,073 Unibanco-Uniao De Bancos Brasileirs, GDR........... 213,074
------------
3,526,715
------------
Canada -- 0.8%
7,210 Alcan Aluminum Ltd. ............................... 296,691
17,770 Celestica, Inc. ................................... 986,235
3,630 Nortel Networks Corporation........................ 366,772
3,920 Royal Bank of Canada............................... 172,442
------------
1,822,140
------------
China -- 0.1%
18,100 Huaneng Power International, Inc., ADR++........... 191,181
------------
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Denmark -- 0.3%
2,080 Den Danske Bank..................................... $ 228,018
4,980 Tele Danmark AS, Series B........................... 370,017
1,950 UniDanmark AS, Series A............................. 137,233
------------
735,268
------------
Finland -- 2.0%
25,590 Nokia AB, Class A................................... 4,639,596
------------
France -- 10.2%
5,946 Alcatel............................................. 1,365,517
6,280 Aventis S.A., Series A.............................. 364,983
9,710 Axa Company+........................................ 1,353,607
10,720 Banque Nationale de Paris........................... 989,071
3,790 Cap Gemini S.A. .................................... 962,005
10,790 Carrefour S.A. ..................................... 1,989,973
4,280 Compagnie de Saint-Gobain........................... 804,869
700 Danone.............................................. 164,988
1,813 Dexia France........................................ 300,401
7,292 Equant NV+.......................................... 827,767
3,620 Hermes International................................ 546,208
2,156 Lafarge S.A. Bearer Shares.......................... 251,041
3,633 Legrand S.A. ....................................... 864,702
302 L'OREAL............................................. 242,287
2,830 Pinault-Printemps-Redoute S.A. ..................... 746,836
27,316 Sanofi S.A. ........................................ 1,137,431
14,182 Schneider S.A. ..................................... 1,113,502
3,534 Societe Generale, Class A........................... 822,273
6,742 Sodexho Alliance S.A. .............................. 1,193,158
4,080 Television Francaise Shares......................... 2,136,982
18,620 Total Fina S.A., Class B............................ 2,485,037
29,364 Vivendi............................................. 2,651,569
------------
23,314,207
------------
Germany -- 6.3%
2,930 Allianz AG.......................................... 984,240
16,083 Bayer AG............................................ 761,381
19,512 Bayerische HypoVereinsbank.......................... 1,332,505
1 Celanese AG......................................... 17
13,611 Deutsche Bank AG.................................... 1,149,557
18,051 Deutsche Telekom AG................................. 1,285,458
18,086 Dresdner Bank AG.................................... 983,725
15,400 Gehe AG............................................. 597,199
5,430 Hoechst AG.......................................... 165,722
19,090 Mannesmann AG....................................... 4,653,274
7,226 Rhon-Klimikum AG.................................... 265,661
2,040 SAP AG.............................................. 1,004,793
4,808 Siemens AG.......................................... 611,653
13,511 VEBA AG............................................. 656,632
------------
14,451,817
------------
Hong Kong -- 2.9%
130,800 Cable and Wireless HKT Ltd. ........................ 377,753
53,000 Cheung Kong Holdings Ltd. .......................... 673,281
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Hong Kong -- (Continued)
307,000 China Telecom....................................... $ 1,919,367
92,000 CLP Holdings Ltd. .................................. 423,696
41,000 Dao Heng Bank Group Ltd. ........................... 211,501
82,000 Henderson Land Development Company.................. 526,378
110,000 Hutchison Whampoa Ltd. ............................. 1,599,022
71,000 New World Development Company Ltd. ................. 159,838
241,000 Pacific Century CyberWorks Ltd. .................... 561,150
28,000 Sun Hung Kai Properties Ltd. ....................... 291,760
------------
6,743,746
------------
India -- 0.6%
8,000 Hindustan Lever, Ltd. .............................. 413,793
24,833 ICICI Ltd., Sponsored ADR+.......................... 344,558
111,000 Mahanagar Telephone Niagam Ltd., GDR................ 601,494
------------
1,359,845
------------
Ireland -- 0.2%
12,099 CBT Group Plc, Sponsored ADR........................ 405,317
------------
Italy -- 5.0%
19,840 Assicurazioni Generali S.p.A. Shares................ 655,470
18,000 Banca Popolare di Brescia........................... 1,592,765
148,553 Credito Italiano.................................... 730,195
174,772 Ente Nazionale Idrocarburi.......................... 961,174
51,000 Instituto Nazional Assicurazioni Shares............. 135,102
34,740 Italgas (Societe Italiana II Gas) S.p.A. Shares..... 131,569
51,765 Mediolanum Shares................................... 677,824
52,384 San Paolo IMI....................................... 711,784
104,000 Seat-Pagine Gialle S.p.A. .......................... 341,498
102,600 Tecnost S.p.A. ..................................... 387,540
127,315 Telecom Italia S.p.A. .............................. 1,795,333
301,353 Tim S.p.A. ......................................... 3,366,235
------------
11,486,489
------------
Japan -- 22.6%
13,000 Bridgestone Corporation............................. 286,288
58,000 Canon, Inc. ........................................ 2,304,786
23,000 Citizen Watch Company............................... 146,325
12,000 Daichi Pharmaceutical Company....................... 156,093
40,000 Daiwa House Industry Company........................ 297,543
74 DDI Corporation..................................... 1,013,996
48,000 Denso Corporation................................... 1,146,325
94 East Japan Railway Company.......................... 506,939
7,700 Fanuc Ltd. ......................................... 980,493
27 Fuji Television Network, Inc. ...................... 369,972
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Japan -- (Continued)
43,000 Fujitsu Ltd. ....................................... $ 1,961,241
44,000 Hitachi Ltd. ....................................... 706,274
4,000 Honda Motor Company Ltd. ........................... 148,772
7,000 Ito-Yokado Company Ltd. ............................ 760,497
24,000 Kao Corporation..................................... 684,741
17,000 Kokuyo Company Ltd. ................................ 226,290
17,000 Komori Corporation.................................. 324,293
48,000 Kuraray Company Ltd. ............................... 486,248
17,000 Kyocera Corporation................................. 4,409,318
24,000 Makita Corporation.................................. 216,110
37,000 Marui Company Ltd. ................................. 552,628
71,000 Matsushita Electric Industrial Company.............. 1,966,624
44,000 Mitsubishi Corporation.............................. 339,787
203,000 Mitsubishi Heavy Industries Ltd. ................... 677,528
94,000 Mitsui Fudosan Company Ltd. ........................ 636,664
18,000 Murata Manufacturing Company Ltd. .................. 4,228,247
105,000 NEC Corporation..................................... 2,502,447
226 Nippon Telegraph & Telephone Corporation............ 3,870,999
71,000 Nomura Securities Company Ltd. ..................... 1,282,128
75 NTT Mobile Communications Network Shares............ 2,884,898
41,000 Sankyo Company Ltd. ................................ 842,713
58,000 Sekisui Chemical Company Ltd. ...................... 257,160
41,000 Sekisui House Ltd. ................................. 363,169
4,240 Seven-Eleven Japan Company Ltd. New................. 672,291
18,000 Shinetsu Chemical Company Ltd. ..................... 775,179
22,000 Shiseido Company Ltd. .............................. 320,838
300 SOFTBANK Corporation................................ 287,168
15,700 Sony Corporation.................................... 4,656,063
50,000 Sumitomo Bank Ltd. ................................. 684,643
78,000 Sumitomo Corporation................................ 756,563
73,000 Sumitomo Electric Industries Ltd. .................. 843,819
14,000 TDK Corporation..................................... 1,933,444
17,000 Tokio Marine & Fire Insurance Company............... 198,835
1,700 Tokyo Electron Ltd. ................................ 232,945
37,000 Toppan Printing Company Ltd. ....................... 369,384
152,000 Toshiba Corporation................................. 1,160,419
22,000 UNY Company Ltd. ................................... 215,112
21,000 Yamanouchi Pharmaceutical Company Ltd. ............. 733,777
------------
51,378,016
------------
Korea -- 1.2%
10,000 Korea Telecom Corporation, Sponsored ADR+........... 747,500
6,343 Pohang Iron & Steel Company Ltd., Sponsored ADR..... 222,005
5,601 Samsung Electronics Company......................... 1,312,079
100 Sk Telecom Company Ltd.............................. 358,432
------------
2,640,016
------------
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
Mexico -- 1.7%
16,124 Cemex S.A., Sponsored ADS........................... $ 449,457
33,180 Cemex S.A., de CV, Class A.......................... 53,228
16,590 Cemex S.A., de CV, Class B+......................... 26,614
128,340 FEMSA (Fomento Economico Mex S.A.), Units........... 572,959
75,944 Grupo Modelo S.A., de CV, Series C.................. 208,395
7,585 Grupo Televisa-GDR (2 Part Cert) ................... 517,676
69,076 Kimberly-Clark de Mexico, Class A................... 269,743
16,364 Telefonos de Mexicano S.A. de CV, ADS............... 1,840,950
------------
3,939,022
------------
Netherlands -- 7.8%
35,400 ABN Amro Holdings NV................................ 884,285
3,976 Akzo Nobel NV....................................... 199,440
19,660 ASM Lithography Holding NV+......................... 2,184,220
26,954 CSM CVA Non-Exchange Shares......................... 575,568
49,990 Elsevier NV......................................... 597,180
31,550 Fortis NV........................................... 1,136,090
6,254 Gucci Group NV-NY Shares............................ 716,083
41,790 ING Groep NV, CVA Shares............................ 2,523,054
4,254 Koninklijke KPN NV.................................. 415,201
16,248 Philips Electronics Shares.......................... 2,209,383
17,050 Royal Dutch Petroleum Company....................... 1,045,015
12,721 STMicroelectronics NV+.............................. 1,957,861
4,254 TNT Post Groep NV Shares............................ 121,904
2,726 United Pan-Europe Communications NV................. 348,712
13,670 VNU NV.............................................. 718,472
64,750 Wolters Kluwer NV................................... 2,191,374
------------
17,823,842
------------
New Zealand -- 0.2%
103,000 Telecom Corporation of New Zealand, Ltd.+........... 484,357
------------
Norway -- 0.5%
5,730 Norsk Hydro ASA..................................... 239,480
52,450 Orkla ASA, A Shares................................. 903,013
------------
1,142,493
------------
Portugal -- 0.3%
26,783 Jeronimo Martins SGPS............................... 685,220
------------
Singapore -- 0.7%
21,904 Singapore Press Holdings Ltd. (F)................... 474,773
104,000 Singapore Telecommunications Ltd.................... 214,806
109,272 United Overseas Bank Ltd. (F)....................... 964,454
------------
1,654,033
------------
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
Spain -- 2.9%
14,808 Argentaria S.A...................................... $ 347,975
20,970 Banco Bilbao Vizcaya+............................... 298,666
3,180 Banco Popular Espanol S.A........................... 207,398
103,712 Banco Santander Central Hispano S.A. (Banesto)...... 1,174,175
25,988 Endesa S.A.......................................... 515,937
13,767 Gas Natural S.D.G., S.A............................. 317,134
44,776 Iberdrola S.A....................................... 620,585
25,293 Repsol S.A.......................................... 586,466
100,937 Telefonica S.A...................................... 2,521,387
------------
6,589,723
------------
Sweden -- 3.2%
4,292 ABB AB+............................................. 523,132
11,060 Atlas Copco AB, Series B............................ 314,589
50,740 Electrolux Company AB, Series B..................... 1,276,253
14,280 Ericsson AB, Series B............................... 918,096
67,230 Hennes & Mauritz AB, Series B....................... 2,252,063
139,872 Nordbanken Holding AB............................... 822,003
15,380 Sandvik AB, Series B................................ 489,890
39,094 Securitas AB, Series B.............................. 707,625
------------
7,303,651
------------
Switzerland -- 4.4%
7,413 ABB Ltd.+........................................... 906,664
3,405 Adecco S.A.......................................... 2,651,636
4,220 Credit Suisse Group, Registered Shares.............. 838,806
1,316 Nestle S.A., Registered Shares...................... 2,410,835
136 Roche Holding AG, Genusch........................... 1,614,269
795 Swisscom............................................ 321,535
4,857 UBS AG, Registered Shares+.......................... 1,311,631
------------
10,055,376
------------
Taiwan -- 1.1%
130,720 Hon Hai Precision Industry Company Ltd.............. 1,235,678
207,000 Taiwan Semiconductor Manufacturing Company.......... 1,101,450
71,000 United Microelectronics Corporation Ltd............. 253,369
------------
2,590,497
------------
United Kingdom -- 15.3%
49,000 Abbey National Plc.................................. 783,582
35,433 AstraZeneca Group Plc............................... 1,469,793
50,980 B G Group Plc....................................... 329,395
96,000 BP Amoco Common Stock............................... 965,303
150,000 Cable & Wireless Plc................................ 2,541,675
162,436 Cadbury Schweppes Plc............................... 981,312
62,200 Caradon Plc......................................... 156,736
39,600 Centrica Plc+....................................... 112,260
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- (Continued)
United Kingdom -- (Continued)
135,000 Compass Group Plc................................... $ 1,853,557
125,064 Diageo Plc.......................................... 1,006,039
37,000 Electrocomponents Plc............................... 409,398
14,000 GKN Plc............................................. 220,488
81,000 Glaxo Wellcome Plc.................................. 2,289,688
9,100 Hays Plc............................................ 144,934
60,000 HSBC Holdings Plc................................... 841,320
186,000 Kingfisher Plc...................................... 2,064,063
80,000 Ladbroke Group Plc.................................. 256,187
28,000 Laing (John) Plc, Class A........................... 126,187
66,500 Marconi Plc......................................... 1,175,147
181,000 National Westminster Bank Plc....................... 3,888,512
21,470 Rank Group Plc...................................... 68,494
254,000 Reed International Plc.............................. 1,901,677
53,000 Rio Tinto Plc....................................... 1,279,883
55,000 Safeway, Inc........................................ 189,231
357,000 Shell Transport & Trading Company................... 2,966,927
58,000 Smith (David S.) Holdings Plc....................... 186,906
172,900 SmithKline Beecham Plc.............................. 2,206,355
221,800 Tesco Plc........................................... 674,450
240,364 Tomkins Plc......................................... 780,403
163,857 Unilever Plc........................................ 1,205,609
51,200 United News & Media Plc............................. 652,530
222,000 Vodafone AirTouch Plc............................... 1,099,995
------------
34,828,036
------------
Total Common Stock (Cost $142,474,117).............. 217,429,846
------------
PREFERRED STOCK -- 0.9%
Australia -- 0.2%
48,107 News Corporation (The) Ltd.......................... 412,148
------------
Brazil -- 0.6%
2,650,000 Banco Itau S.A. PN Shares of NPV.................... 227,373
5,860,036 Cemig-CIA Energetica Minas Gerais................... 131,376
2,896,549 Petroleo Brasiliero S.A. Petrobras.................. 737,566
9,567,586 Telecomunicacoes de Sao Paulo....................... 231,974
1,684,346 Telesp Celular S.A., Class B........................ 133,330
------------
1,461,619
------------
Germany -- 0.1%
2,042 Fielmann AG......................................... 61,086
870 Fresenius AG........................................ 159,488
------------
220,574
------------
Total Preferred Stock (Cost $1,625,487)............. 2,094,341
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
----------- ------------
<C> <S> <C>
FOREIGN BONDS -- 0.0%**
United Kingdom -- 0.0%**
$ 341 BG Transco Holdings Plc, 7.06% due 12/14/09......... $ 552
341 BG Transco Holdings Plc, 4.19% due 12/14/22......... 546
341 BG Transco Holdings Plc, 7.00% due 12/14/24......... 533
------------
Total Foreign Bonds (Cost $1,658)................... 1,631
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $144,101,262*)...................... 96.0% 219,525,818
------------
OTHER ASSETS AND LIABILITIES (Net).......................... 4.0% 9,129,021
------ ------------
NET ASSETS.................................................. 100.0% $228,654,839
====== ============
</TABLE>
<TABLE>
<S> <C>
NET ASSETS consist of:
Net investment loss.............................................. $ (69,077)
Accumulated net realized gain on investments, foreign currencies
and net other assets............................................ 21,933,209
Net unrealized appreciation of investments, foreign currencies
and net other assets............................................ 75,422,718
Paid-in capital.................................................. 131,367,989
------------
Total Net Assets................................................. $228,654,839
============
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding.............................. $ 20.88
============
Number of Portfolio shares outstanding........................... 10,952,677
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $144,302,331.
**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.
Abbreviations:
ADR -- American Depositary Receipt
ADS -- American Depositary Shares
(F) -- Foreign or Alien Shares
GDR -- Global Depositary Receipt
Ord. -- Ordinary
See Notes to Financial Statements.
57
<PAGE>
Statement of Net Assets
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
December 31, 1999
At December 31, 1999, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% of Value
Sector Diversification Net Assets (Note 1)
- ------------------------------------------------------- ---------- ------------
<S> <C> <C>
Common Stock:
Telecommunications..................................... 17.6% $ 40,217,113
Electronics and Instruments............................ 13.6 31,018,615
Banking................................................ 9.7 22,208,723
Multi-Industry......................................... 7.6 17,704,956
Health and Personal Care............................... 6.1 14,052,371
Broadcasting and Publishing............................ 5.4 12,295,076
Food and Grocery Products.............................. 4.7 10,970,455
Financial Services..................................... 4.6 10,564,878
Computers and Communication............................ 4.6 10,404,036
Diversified Industrial Manufacturing................... 4.0 9,141,789
Energy................................................. 3.0 6,801,784
Retail Trade........................................... 1.7 3,983,336
Household Products..................................... 1.7 3,899,576
Machinery and Engineering Services..................... 1.7 3,892,295
Insurance.............................................. 1.6 3,672,594
Transport and Storage.................................. 1.6 3,595,770
Utilities.............................................. 1.2 2,629,868
Real Estate............................................ 1.1 2,557,363
Construction and Building Materials.................... 0.8 1,789,244
Metals and Mining...................................... 0.7 1,576,575
Chemicals.............................................. 0.6 1,271,835
Textiles and Apparel................................... 0.6 1,262,291
Security Services...................................... 0.3 707,625
Forestry and Paper Products............................ 0.3 682,939
Entertainment and Leisure.............................. 0.2 379,967
Automotive............................................. 0.1 148,772
------ ------------
TOTAL COMMON STOCK..................................... 95.1 217,429,846
TOTAL PREFERRED STOCK.................................. 0.9 2,094,341
TOTAL BONDS............................................ 0.0# 1,631
------ ------------
TOTAL INVESTMENTS...................................... 96.0 219,525,818
OTHER ASSETS AND LIABILITIES........................... 4.0 9,129,021
------ ------------
NET ASSETS............................................. 100.0% $228,654,839
====== ============
</TABLE>
- -----------
#Amount represents less than 0.1%
See Notes to Financial Statements.
58
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Select 50 Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C> <C>
COMMON STOCK -- 90.5%
Aerospace and Defense -- 2.1%
11,500 Honeywell International, Inc.................... $ 663,406
7,200 Moog, Inc., Class A+............................ 194,400
------------
857,806
------------
Banking and Finance -- 3.8%
12,000 Bank of America Corporation..................... 602,250
30,300,000 Yapi Ve Kredi Bankasi........................... 935,703
------------
1,537,953
------------
Building and Construction -- 1.4%
18,700 Elcor Corporation............................... 563,337
------------
Business Services -- 1.3%
17,900 On Assignment, Inc.+............................ 534,762
------------
Computer Service and Software -- 6.5%
8,300 Equant NV, NY Registered Shares+................ 929,600
4,300 Hewlett-Packard Company......................... 489,931
7,800 MICROS Systems, Inc.+........................... 577,200
8,800 NIIT, Ltd....................................... 670,732
------------
2,667,463
------------
Computer Software -- 3.6%
14,900 Aftek Infosys, Ltd.............................. 728,216
1,200 Commerce One, Inc.+............................. 235,800
1,900 Macromedia, Inc.+............................... 138,937
20,000 Silverline Technologies, Ltd.................... 372,437
------------
1,475,390
------------
Diversified Chemicals -- 3.3%
6,400 Dow Chemical Company............................ 855,200
15,400 L.G. Chemical, Ltd. ............................ 486,887
------------
1,342,087
------------
Drugs -- 1.5%
10,900 Glaxo Wellcome Plc, Sponsored ADR............... 609,037
------------
Electronic Components -- 3.0%
2,800 Optical Coating Laboratory, Inc................. 828,800
69,400 Yageo Corporation, Sponsored GDR................ 399,050
------------
1,227,850
------------
Financial Services -- 1.5%
9,500 Fannie Mae...................................... 593,156
------------
</TABLE>
<TABLE>
<CAPTION>
Value (Note
Shares 1)
----------- ------------
<C> <S> <C> <C> <C> <C>
Food -- Packaged -- 1.0%
59,000 SQL Star International, Ltd.+........... $ 391,028
------------
Health Care Services -- 3.1%
46,500 First Health Group Corporation+......... 1,249,688
------------
Machinery -- 3.9%
9,400 Applied Power, Inc., Class A............ 345,450
17,700 Manitowoc Company, Inc.................. 601,800
2,700 Mannesmann AG........................... 658,137
------------
1,605,387
------------
Manufacturing -- 2.6%
16,000 Whirlpool Corporation................... 1,041,000
------------
Media -- Cable Television -- 3.4%
76,300 Globo Cabo S.A., Sponsored ADR.......... 1,373,400
------------
Media and Communications -- 7.7%
62,700 Avid Technology, Inc.+.................. 819,019
7,290 Canal Plus.............................. 1,061,042
41,850 Sri Adhikari Brothers Television
Network................................ 1,239,914
------------
3,119,975
------------
Metals and Mining -- 4.3%
17,100 Alcoa, Inc. ............................ 1,419,300
3,600 Rio Tinto Plc, Sponsored ADR............ 341,100
------------
1,760,400
------------
Paper and Paper Products -- 3.2%
13,000 International Paper Company............. 733,688
9,000 Kimberly-Clark Corporation.............. 587,250
------------
1,320,938
------------
Petroleum -- 5.0%
16,400 Amerada Hess Corporation................ 930,700
15,000 Coastal Corporation (The)............... 531,563
14,700 Halliburton Company..................... 591,675
------------
2,053,938
------------
Retail -- 6.1%
4,220 Carrefour S.A........................... 778,284
30,400 Duane Reade, Inc.+...................... 837,900
13,900 Linens 'n Things, Inc.+................. 411,788
17,900 Nordstrom, Inc. ........................ 468,756
------------
2,496,728
------------
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Select 50 Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C> <C>
COMMON STOCK -- (Continued)
Technology -- 1.5%
5,500 International Business Machines Corporation.... $ 594,000
------------
Telecommunications -- 15.1%
25,600 AT&T Canada, Inc.+............................. 1,030,400
1,000 COLT Telecom Group Plc, Sponsored ADR+......... 204,000
20,600 COLT Telecom Group Plc+........................ 1,054,491
21,500 Global TeleSystems Group, Inc.+................ 744,438
820 Magyar Tavkozlesi, Sponsored ADR............... 29,520
41,700 Magyar Tavkozlesi.............................. 291,735
7,780 Nokia Corporation, Sponsored ADR, Class A...... 1,478,200
12,000 SBC Communications, Inc........................ 585,000
29,600 Videsh Sanchar Nigam Ltd., GDR................. 757,291
------------
6,175,075
------------
Telephone -- 1.0%
3,800 Telefonos de Mexicano, Sponsored ADR........... 427,500
------------
Textiles and Apparel -- 2.3%
109,000 Chaus (Bernard), Inc.+......................... 258,875
6,000 Gucci Group NV, NY Shares...................... 687,000
------------
945,875
------------
Transportation -- 2.3%
22,500 FDX Corporation+............................... 921,093
------------
Total Common Stock (Cost $29,093,718).......... 36,884,866
------------
PREFERRED STOCK -- 2.0%
1,400,000 Telecomunicacoes Brasileiras S.A............... 184,058
4,800 Telecomunicacoes Brasileiras S.A., Sponsored
ADR........................................... 616,800
------------
Total Preferred Stock (Cost $521,904).......... 800,858
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 10.8% (Cost $4,412,000)
$4,412,000 Agreement with The Boston Company, 2.950% to be
repurchased at $4,413,085 on 01/03/2000,
collateralized by $3,830,000 U.S. Treasury Bond,
8.125% due 08/15/2019, market value $4,500,250..... $ 4,412,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $34,027,622*)....................................... 103.3% 42,097,724
------------
OTHER ASSETS AND LIABILITIES (Net)......................... (3.3)% (1,327,850)
------ ------------
NET ASSETS................................................. 100.0% $ 40,769,874
====== ============
</TABLE>
<TABLE>
<S> <C> <C>
NET ASSETS
consist of:
Net investment
loss.......... $ (43,507)
Accumulated net
realized gain
on
investments,
foreign
currencies and
net other
assets........ 4,727,474
Net unrealized
appreciation
of
investments,
foreign
currencies and
net other
assets........ 8,144,003
Paid-in
capital....... 27,941,904
------------
Total Net
Assets........ $ 40,769,874
============
NET ASSET
VALUE,
offering price
and redemption
price per
share of
beneficial
interest
outstanding... $ 15.77
============
Number of
Portfolio
shares
outstanding... 2,585,025
============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $34,113,837.
+ Non-income producing security.
Abbreviations:
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
See Notes to Financial Statements.
60
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- 88.0%
Aerospace and Defense -- 0.5%
$ 125,000 BE Aerospace, Senior Subordinate Notes,
8.000% due 03/01/08............................... $ 107,812
------------
Automotive -- 2.0%
50,000 Dura Operating Corporation, Senior Subordinate
Notes, 9.000% due 05/01/09........................ 47,000
Hayes Lemmerz International, Inc., Company
Guarantee:
45,000 11.000% due 07/15/06............................... 47,025
100,000 9.125% due 07/15/07................................ 96,750
75,000 Oxford Automotive, Inc., Company Guarantee,
10/125% due 06/15/07.............................. 70,500
150,000 Williams Scotsman, Inc., Company Guarantee,
9.875% due 06/01/07............................... 145,125
------------
406,400
------------
Broadcasting and Media -- 12.8%
75,000 Acme Television, Company Guarantee,
10.875% due 09/30/04.............................. 67,500
Adelphia Communications, Senior Notes:
150,000 8.375% due 02/01/08................................ 139,500
30,000 9.375% due 11/15/09................................ 29,400
100,000 Albritton Communication, Inc., Senior Subordinate
Notes, 8.875% due 02/01/08........................ 95,000
50,000 Avalon Cable Holdings, LLP, Senior Discount Notes,
11.875% due 12/01/08^............................. 32,625
75,000 Avalon Cable of Michigan, Senior Subordinate Notes,
9.375% due 12/01/08............................... 75,750
100,000 Chancellor Media Corporation, Company Guarantee,
8.750% due 06/15/07............................... 102,000
125,000 Chancellor Media Corporation, Senior Notes,
8.000% due 11/01/08............................... 125,000
110,000 Charter Communications Holdings LLC, Senior
Discount Notes,
9.920% due 04/01/11++............................. 64,487
250,000 Charter Communications Holdings LLC, Senior Notes,
8.250% due 04/01/07++............................. 230,625
70,000 Classic Cable, Inc., Company Guarantee,
9.875% due 08/01/08++............................. 70,087
</TABLE>
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
Broadcasting and Media -- (continued)
$50,000 CSC Holdings, Inc., Senior Subordinate Notes,
9.250% due 11/01/05............................... $52,125
100,000 Cumulus Media, Inc., Company Guarantee,
10.375% due 07/01/08.............................. 104,000
200,000 Echostar DBS Corporation, Senior Notes,
9.375% due 02/01/09++............................. 200,500
90,000 Fox/Liberty Networks LLC, Senior Notes,
8.875% due 08/15/07............................... 91,575
175,000 Frontiervision LP, Senior Notes,
11.000% due 10/15/06.............................. 185,500
Granite Broadcasting Corporation, Senior
25,000 Subordinate Notes: 10.375% due 05/15/05........... 25,500
100,000 8.875% due 05/15/08............................... 95,500
125,000 Hollinger International Publishing, Company
Guarantee,
9.250% due 03/15/07............................... 123,125
Lenfest Communications, Senior Subordinate Notes:
75,000 10.500% due 06/15/06.............................. 82,500
50,000 8.250% due 02/15/08............................... 50,250
140,000 Lin Holdings Corporation, Senior Discount Notes,
10.000% due 03/01/08^ ............................ 93,800
75,000 Satelites Mexicanos S.A., Senior Notes,
10.125% due 11/01/04 ............................. 51,094
125,000 Telemundo Holdings, Inc., Senior Discount Notes,
11.500% due 08/15/08^............................. 74,375
125,000 Time Warner Telecom LLC, Senior Notes,
9.750% due 07/15/08............................... 128,750
245,000 UnitedGlobalCom, Inc., Senior Discount Notes,
10.750% due 02/15/08^ ............................ 154,963
------------
2,545,531
------------
Building and Construction -- 2.0%
150,000 Formica Corporation, Senior Subordinate Notes,
10.875% due 03/01/09++ ........................... 138,000
80,000 MMI Products, Inc., Senior Subordinate Notes,
11.250% due 04/15/07.............................. 82,400
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Building and Construction -- (Continued)
$ 140,000 Nortek, Inc., Senior Notes, 9.250% due 03/15/07.... $ 136,500
50,000 Nortek, Inc., Senior Subordinate Notes,
9.875% due 03/01/04............................... 49,250
------------
406,150
------------
Capital Goods -- 0.6%
25,000 Johnstown America Industries, Inc., Company
Guarantee, 11.750% due 08/15/05................... 25,437
85,000 Johnstown America Industries, Inc., Senior
Subordinate Notes, 11.750% due 08/15/05........... 86,487
------------
111,924
------------
Chemicals -- 2.0%
55,000 Lyondell Chemical Company, 9.625% due 05/01/07..... 56,237
90,000 Lyondell Chemical Company, 9.875% due 05/01/07..... 92,250
50,000 NL Industries, Senior Notes, 11.750% due 10/15/03.. 51,750
125,000 PCI Chemicals Canada, Inc., Company Guarantee,
9.250% due 10/15/07............................... 95,937
25,000 Sterling Chemicals, Inc., Company Guarantee,
12.375% due 07/15/06++............................ 25,875
Sterling Chemicals, Inc., Senior Subordinate Notes:
50,000 11.750% due 08/15/06.............................. 37,500
50,000 11.250% due 04/01/07.............................. 36,000
------------
395,549
------------
Commercial Services -- 2.0%
90,000 Allied Waste North America, Senior Subordinate
Notes, 10.000% due 08/01/09++ .................... 80,325
30,000 Continental Resources, Senior Subordinate Notes,
10.250% due 08/01/08.............................. 26,400
Iron Mountain, Inc., Company Guarantee:
25,000 10.125% due 10/01/06.............................. 25,500
100,000 8.750% due 09/30/09............................... 96,000
100,000 Pierce Leahy Corporation, Senior Subordinate Notes,
9.125% due 07/15/07............................... 98,500
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
Commercial Services -- (Continued)
World Color Press, Inc., Senior Subordinate Notes:
$ 75,000 8.375% due 11/15/08............................... $ 73,687
5,000 7.750% due 02/15/09............................... 4,706
------------
405,118
------------
Computer Service and Software -- 2.9%
75,000 Anacomp, Inc., Senior Subordinate Notes,
10.875% due 04/01/04.............................. 74,812
45,000 Dialog Corporation, Plc, Senior Subordinate Notes,
11.000% due 11/15/07.............................. 21,600
Exodus Communications, Senior Notes:
100,000 11.250% due 07/01/08.............................. 103,250
75,000 10.750% due 12/15/09.............................. 76,312
PSI Net, Inc., Senior Notes:
25,000 10.500% due 12/01/06.............................. 25,187
40,000 11.500% due 11/01/08.............................. 41,800
150,000 11.000% due 08/01/09.............................. 154,500
Verio, Inc., Senior Notes:
25,000 10.375% due 04/01/05.............................. 25,500
50,000 10.625% due 11/15/09.............................. 51,250
------------
574,211
------------
Consumer Goods -- 0.7%
40,000 Fage Dairy Industries S.A., Senior Notes,
9.000% due 02/01/07............................... 36,200
100,000 Sealy Mattress Company , Senior Subordinate Notes,
9.875% due 12/15/07............................... 100,250
------------
136,450
------------
Containers -- 4.6%
60,000 Ball Corporation, Company Guarantee,
8.250% due 08/01/08............................... 57,600
Gaylord Container Corporation, Senior Notes:
175,000 9.750% due 06/15/07............................... 164,500
85,000 9.875% due 02/15/08............................... 73,100
250,000 Packaging Corporation of America, Senior
Subordinate Notes,
9.625% due 04/01/09............................... 255,312
175,000 Riverwood International, Company Guarantee,
10.250% due 04/01/06.............................. 177,625
100,000 Silgan Holdings, Inc., Senior Subordinate
Debentures,
9.000% due 06/01/09............................... 96,000
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Containers -- (Continued)
$ 90,000 U.S. Can Corporation, Company Guarantee,
10.125% due 10/15/06.............................. $ 92,025
------------
916,162
------------
Cosmetics -- 0.4%
100,000 Revlon Consumer Products, Inc., Senior Subordinate
Notes, 8.125% due 02/01/06........................ 72,500
------------
Educational -- 0.4%
90,000 Kindercare Learning Centers, Inc., Senior
Subordinate Notes, 9.500% due 02/15/09............ 86,625
------------
Engineering and Technology -- 3.7%
135,000 Applied Extrusion Technology, Senior Notes,
11.500% due 04/01/02.............................. 137,025
100,000 Argo-Tech Corporation, Company Guarantee,
8.625% due 10/01/07............................... 89,000
250,000 Building Materials Corporation, Senior Notes,
8.625% due 12/15/06............................... 239,375
80,000 General Binding Corporation, Company Guarantee,
9.375% due 06/01/08............................... 38,400
100,000 Moog, Inc., Senior Subordinate Notes,
10.000% due 05/01/06.............................. 101,500
125,000 Unisys Corporation, Senior Notes,
12.000% due 04/15/03.............................. 133,125
------------
738,425
------------
Entertainment and Leisure -- 3.9%
50,000 AMC Entertainment, Inc., Senior Subordinate Notes,
9.500% due 03/15/09............................... 44,125
150,000 Boyd Gaming Corporation, Senior Subordinate Notes,
9.500% due 07/15/07............................... 148,500
25,000 Eldorado Resorts LLC, Senior Subordinate Notes,
10.500% due 08/15/06.............................. 25,500
100,000 Hollywood Park, Inc., Senior Subordinate Notes,
9.250% due 02/15/07............................... 99,125
160,000 Isle of Capri Casinos, Company Guarantee,
8.750% due 04/15/09............................... 148,000
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
Entertainment and Leisure -- (Continued)
$ 85,000 Lady Luck Gaming, First Mortgage,
11.875% due 03/01/01.............................. $ 84,150
150,000 Park Place Entertainment, Senior Subordinate Notes,
7.875% due 12/15/05............................... 143,250
100,000 Station Casinos, Senior Subordinate Notes,
8.875% due 12/01/08............................... 95,500
------------
788,150
------------
Financial -- 1.9%
170,000 Ono Finance Plc, Company Guarantee,
13.000% due 05/01/09.............................. 175,100
75,000 PTC International Finance II, S.A., Company
Guarantee,
11.250% due 12/01/09.............................. 77,250
150,000 Willis Corroon Corporation, Senior Subordinate
Notes, 9.000% due 02/01/09........................ 124,875
------------
377,225
------------
Industrial -- 7.4%
200,000 American Standard Companies, Inc., Company
Guarantee,
7.375% due 02/01/08............................... 185,500
75,000 Blount, Inc., Senior Subordinate Notes,
13.000% due 08/01/09++............................ 79,125
75,000 Completel Europe NV, Company Guarantee,
14.000% due 02/15/09.............................. 44,250
75,000 Fairfield Manufacturing Company, Inc., Senior
Subordinate Notes, 9.625% due 10/15/08............ 70,500
75,000 Huntsman ICI Chemicals, Senior Subordinate Notes,
10.125% due 07/01/09++............................ 77,625
75,000 International Knife & Saw, Inc., Senior Notes,
11.375% due 11/15/06.............................. 54,750
100,000 Jorgensen (Earle M.) Company, Senior Notes,
9.500% due 04/01/05............................... 93,250
135,000 Kappa Beheer BV, Company Guarantee,
10.625% due 07/15/09.............................. 140,400
175,000 K & F Industries, Senior Subordinate Notes,
9.250% due 10/15/07............................... 168,000
25,000 Metal Management, Inc., Company Guarantee,
10.000% due 05/15/08.............................. 18,875
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Industrial -- (Continued)
$ 60,000 Numatics, Inc., Company Guarantee,
9.625% due 04/01/08............................... $ 45,000
50,000 Polymer Group, Inc., Company Guarantee,
9.000% due 07/01/07............................... 48,500
85,000 Simonds Industries, Company Guarantee,
10.250% due 07/01/08.............................. 68,425
Spectrasite Holdings, Inc., Senior Discount Notes:
55,000 12.000% due 07/15/08^ ++.......................... 32,862
150,000 11.250% due 04/15/09^ ............................. 80,625
82,500 Synthetic Industries, Inc.,
13.000% due 12/13/00.............................. 81,263
50,000 Thermadyne Holdings Corporation, Company Guarantee,
9.875% due 06/01/08............................... 43,562
85,000 Thermadyne Holdings Corporation, Debentures,
12.500% due 06/01/08^ ............................ 38,887
75,000 US Timberlands, Senior Notes, 9.625% due 11/15/07.. 68,625
50,000 Vlasic Foods International, Inc., Senior
Subordinate Notes,
10.250% due 07/01/09++ ........................... 47,625
------------
1,487,649
------------
Machinery and Material Handling -- 1.5%
25,000 Alaris Medical, Inc., Senior Discount Notes,
11.125% due 08/01/08^ ............................ 10,281
Buckeye Technologies, Inc., Senior Subordinate
Notes:
35,000 8.500% due 12/15/05............................... 34,037
100,000 8.000% due 10/15/10............................... 92,750
85,000 Columbus McKinnon Corporation, Company Guarantee,
8.500% due 04/01/08............................... 75,437
80,000 Motors and Gears, Inc., Senior Notes,
10.750% due 11/15/06.............................. 79,400
------------
291,905
------------
Medical Services and Supplies -- 1.4%
100,000 Prime Medical Services, Inc., Company Guarantee,
8.750% due 04/01/08............................... 92,000
200,000 Tenet Healthcare Corporation, Senior Notes,
8.000% due 01/15/05............................... 191,500
------------
283,500
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
Oil and Gas -- 4.5%
$ 180,000 Chesapeake Energy Corporation, Company Guarantee,
9.625% due 05/01/05............................... $ 171,000
25,000 Clark R&M, Inc., Senior Notes, 8.625% due
08/15/08.......................................... 15,500
100,000 Forest Oil Corporation, Company Guarantee,
10.500% due 01/15/06.............................. 101,000
100,000 HS Resources, Inc., Company Guarantee,
9.250% due 11/15/06............................... 99,250
50,000 HS Resources, Inc., Senior Subordinate Notes,
9.250% due 11/15/06............................... 49,500
50,000 International Utility Structures, Inc., Senior
Subordinate Notes, 10.750% due 02/01/08........... 42,000
125,000 Ocean Energy, Inc., Company Guarantee,
8.875% due 07/15/07............................... 123,750
200,000 P&L Coal Holdings Corporation, Company Guarantee,
9.625% due 05/15/08............................... 197,000
90,000 Pool Energy Services Company, Company Guarantee,
8.625% due 04/01/08............................... 90,675
15,000 Pride International, Inc., Senior Notes,
10.000% due 06/01/09.............................. 15,300
------------
904,975
------------
Restaurants and Lodging -- 1.9%
175,000 Aztar Corporation, Senior Subordinate Notes,
8.875% due 05/15/07............................... 168,000
150,000 Coast Hotels & Casino, Senior Subordinate Notes,
9.500% due 04/01/09++............................. 144,000
75,000 Prime Hospitality Corporation, Senior Subordinate
Notes, 9.750% due 04/01/07........................ 72,562
------------
384,562
------------
Retail -- 2.8%
60,000 Cole National Group, Inc., Senior Subordinate
Notes,
8.625% due 08/15/07............................... 43,050
80,000 Duane Reade, Inc., Company Guarantee,
9.250% due 02/15/08............................... 78,200
75,000 Finlay Enterprises, Inc., Company Guarantee,
9.000% due 05/01/08............................... 68,250
95,000 J Crew Operating Corporation, Senior Subordinate
Notes, 10.375% due 10/15/07....................... 80,750
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Retail -- (Continued)
Jitney-Jungle Stores of America, Inc., Company
$ 65,000 Guarantee: 12.000% due 03/01/06................... $ 13,650
10,000 10.375% due 09/15/07............................... 200
100,000 Musicland Group, Senior Subordinate Notes,
9.000% due 06/15/03............................... 96,500
Pathmark Stores, Inc., Senior Subordinate Notes:
45,000 11.625% due 06/15/02.............................. 14,850
10,000 9.625% due 05/01/03................................ 7,400
120,000 Samsonite Corporation, Senior Subordinate Notes,
10.750% due 06/15/08.............................. 101,400
75,000 Southland Corporation, Senior Subordinate
Debentures,
5.000% due 12/15/03............................... 64,500
------------
568,750
------------
Steel -- 3.0%
25,000 AK Steel Corporation, Company Guarantee,
7.875% due 02/15/09............................... 23,563
100,000 AK Steel Corporation, Senior Notes,
9.125% due 12/15/06............................... 101,500
75,000 Algoma Steel, Inc., First Mortgage, Yankee,
12.375% due 07/15/05.............................. 70,313
100,000 Commonwealth Aluminum, Senior Subordinate Notes,
10.750%, 10/01/06++............................... 100,250
65,000 Kaiser Aluminum & Chemical Corporation, Senior
Notes,
9.875% due 02/15/02............................... 64,350
50,000 NS Group, Inc., Senior Notes, 13.500% due
07/15/03.......................................... 51,500
50,000 Russell Metals, Inc., Units, Yankee, 10.000% due
06/01/09.......................................... 51,688
140,000 WCI Steel, Inc., Senior Notes, 10.000% due
12/01/04.......................................... 143,850
------------
607,014
------------
Telephone and Communications -- 24.8%
Allegiance Telecom, Inc., Senior Discount Notes:
40,000 11.750% due 02/15/08^ ............................ 28,600
135,000 12.875% due 05/15/08............................... 150,019
100,000 American Cellular Corporation, Senior Notes,
10.500% due 05/15/08++............................ 110,750
</TABLE>
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
Telephone and Communications -- (Continued)
$ 50,000 Bresnan Communications, Senior Discount Notes,
9.250% due 02/01/09^ ............................. $ 34,750
110,000 Bresnan Communications, Senior Notes,
8.000% due 02/01/09++............................. 111,238
135,000 Centennial Cellular, Senior Subordinate Notes,
10.750% due 12/15/08++............................ 144,450
250,000 Colt Telecom Group Plc, Senior Discount Notes,
12.000% due 12/15/06^ ............................ 215,000
110,000 Crown Castle International Corporation, Senior
Notes,
9.000% due 05/15/11............................... 108,350
125,000 Dolphin Telecom Plc, Senior Discount Notes,
11.500% due 06/01/08^ ++.......................... 57,188
125,000 Esat Telecom Group Plc, Senior Notes,
11.875% due 12/01/08++............................ 139,063
65,000 Esprit Telecom Group Plc, Senior Notes,
10.875% due 06/15/08.............................. 64,350
75,000 GCI, Inc., Senior Notes,
9.750% due 08/01/07............................... 68,813
50,000 Global Crossing Holdings Ltd., Company Guarantee,
9.625% due 05/15/08............................... 49,875
60,000 Globenet Communications Group, Ltd., Senior Notes,
13.000% due 07/15/07++............................ 61,125
100,000 Hermes Europe Railtel BV, Senior Notes,
10.375% due 01/15/09.............................. 99,000
150,000 Hyperion Telecommunications, Senior Subordinate
Notes,
12.000% due 11/01/07++............................ 158,250
200,000 ICG Holdings, Inc., Company Guarantee,
12.500% due 05/01/06^ ............................ 151,000
100,000 Insight Midwest/Insight Capital, Senior Notes,
9.750% due 10/01/09++............................. 103,250
225,000 Intermedia Communication Corporation, Senior Notes,
8.875% due 11/01/07............................... 209,250
ITC Deltacom, Inc., Senior Notes: 11.000% due
50,000 06/01/07.......................................... 52,500
90,000 9.750% due 11/15/08++.............................. 90,675
125,000 Jazztel Plc, Senior Notes,
14.000% due 04/01/09++............................ 128,438
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- (Continued)
Telephone and Communications -- (Continued)
$ 10,000 Keystone Consolidated Industries, Inc., Senior
Notes,
9.625% due 08/01/07............................... $ 8,900
105,000 L-3 Communications, Inc., Senior Subordinate Notes,
10.375% due 05/01/07.............................. 108,413
250,000 Level 3 Communications, Inc., Senior Notes,
9.125% due 05/01/08............................... 236,250
120,000 Metromedia Fiber Network, Senior Notes,
10.000% due 11/15/08++............................ 122,700
Metronet Communications, Inc., Senior Discount
150,000 Notes, Yankee: 10.750% due 11/01/07^ ............. 126,848
35,000 9.950% due 06/15/08^ .............................. 27,475
145,000 Millicom International Cellular, Inc., Senior
Discount Notes, 13.500% due 06/01/06^ ............ 119,625
85,000 MJD Communications, Inc., Senior Subordinate Notes,
9.500% due 05/01/08............................... 80,325
325,000 Nextel International, Inc., Senior Discount Notes,
9.950% due 02/15/08............................... 227,500
200,000 Nextlink Communications, Senior Notes,
10.750% due 06/01/09.............................. 206,000
25,000 Northeast Optic Network, Senior Notes,
12.750% due 08/15/08.............................. 26,750
NTL, Inc., Senior Notes:
65,000 9.750% due 04/01/08^ ++........................... 45,338
250,000 12.375% due 10/01/08^ ............................. 175,000
95,000 Pagemart Wireless, Inc., Senior Discount Notes,
11.250% due 02/01/08^ ............................ 32,300
50,000 Rural Cellular Corporation, Senior Subordinate
Notes, 9.625% due 05/15/08........................ 51,125
90,000 Tele1 Europe B.V., Senior Notes,
13.000% due 05/15/09.............................. 91,350
90,000 Telewest Communications Plc, Debentures,
9.625% due 10/01/06............................... 91,575
125,000 Telewest Communications Plc, Senior Discount Notes,
9.250% due 04/15/09^ ++........................... 78,750
45,000 Triton PCS, Inc., Company Guarantee,
11.000% due 05/01/08^ ............................ 31,838
</TABLE>
<TABLE>
<CAPTION>
Principal Value (Note
Amount 1)
--------- ------------
<C> <S> <C>
Telephone and Communications -- (Continued)
$ 200,000 United Pan-Europe Communications NV, Senior Notes,
10.875% due 08/01/09++............................ $ 204,500
35,000 US Unwired, Inc., Senior Discount Notes,
13.375% due 11/01/09.............................. 20,475
150,000 Versatel Telecom BV, Senior Notes, 13.250% due
05/15/08++........................................ 159,750
130,000 Viatel, Inc., Senior Discount Notes, 12.500% due
04/15/08^ ........................................ 82,550
125,000 Voicestream Wire Company, Senior Notes,
10.375% due 11/15/09.............................. 128,750
30,000 Western Wireless, Inc., Senior Subordinate Notes,
10.500% due 02/01/07.............................. 31,350
95,000 Worldwide Fiber, Inc., Senior Notes,
12.000% due 08/01/09++............................ 97,850
------------
4,949,221
------------
Textiles and Home Furnishings -- 0.3%
60,000 Simmons Company, Senior Subordinate Notes,
10.250% due 03/15/09.............................. 56,700
------------
Total Corporate Fixed Income Securities
(Cost $18,207,163)................................ 17,602,508
------------
AGENCY SECURITIES -- 7.5%
1,500,000 Federal Home Loan Bank (FHLB), 1.300% due
Shares 01/03/00#......................................... 1,499,892
------------
Total Agency Securities
(Cost $1,499,892)................................. 1,499,892
------------
<CAPTION>
Shares
------
<C> <S> <C>
COMMON STOCK -- 0.1%
537 Viatel, Inc........................................ 28,797
------------
Total Common Stock
(Cost $28,797).................................... 28,797
------------
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
Statements of Net Assets
Endeavor Series Trust
Endeavor High Yield Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
PREFERRED STOCK -- 1.4%
54,936 Crown Castle International Corporation,
12.750% due 12/15/10#.............................. $ 56,859
37,700 CSC Holdings, Inc., 11.125% due 04/01/08............ 41,470
50,000 Global Crossing Holdings Ltd., 10.500% due
12/01/08........................................... 50,250
1,400 Primedia, Inc., Series H, 8.625% due 04/01/10....... 121,800
-----------
Total Preferred Stock (Cost $269,104)............... 270,379
-----------
WARRANTS -- 0.9%
625 Jazztel Plc, Expire 04/01/09+....................... 116,875
170 Ono Finance Plc, Expire 05/31/09+................... 21,080
100 VersaTel Telecom BV, Expire 05/15/08+............... 45,463
-----------
Total Warrants (Cost $22,724)....................... 183,418
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $20,027,680*).................... 97.9% 19,584,994
OTHER ASSETS AND LIABILITIES
(Net)................................................... 2.1% 429,697
------ -----------
NET ASSETS............................................... 100.0% $20,014,691
====== ===========
NET ASSETS consist of:
Undistributed net investment income............................. $ 1,105,691
Accumulated net realized loss on investments ................... (257,042)
Net unrealized depreciation of investments...................... (442,686)
Paid-in capital................................................. 19,608,728
-----------
Total Net Assets................................................ $20,014,691
===========
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding............................. $ 10.09
===========
Number of Portfolio shares outstanding.......................... 1,982,931
===========
</TABLE>
- -----------
* Aggregate cost for federal tax purposes was $20,028,220.
+ 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 reg-
istration, normally to qualified institutional buyers.
# Rate represents annualized yield at date of purchase.
^ Zero coupon security as of December 31, 1999. The coupon shown is the
step-up rate.
See Notes to Financial Statements.
67
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Janus Growth Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
COMMON STOCK -- 87.5%
Broadcasting and Media -- 4.4%
305,955 AMFM, Inc.+ ........................................ $ 23,940,979
412,189 AT&T Corporation -- Liberty Media Group, Class A+... 23,391,726
------------
47,332,705
------------
Cable Television -- 0.6%
300,695 Charter Communications, Inc., Class A+.............. 6,577,703
------------
Computer Service and Software -- 17.9%
51,160 BEA Systems, Inc.+.................................. 3,578,003
593,180 Cisco Systems, Inc.+ ............................... 63,544,407
494,231 Dell Computer Corporation+ ......................... 25,205,781
62,280 EMC Corporation+.................................... 6,804,090
253,335 Fiserv, Inc.+ ...................................... 9,705,897
15,405 Juniper Networks, Inc.+ ............................ 5,237,700
643,326 Microsoft Corporation+ ............................. 75,108,311
6,435 Vignette Corporation+............................... 1,048,905
------------
190,233,094
------------
Consumer Staples -- 0.5%
90,941 Coca-Cola Company................................... 5,297,313
------------
Diversified Operations -- 4.3%
262,135 General Electric Company............................ 40,565,391
144,613 Tyco International, Ltd. ........................... 5,621,830
------------
46,187,221
------------
Drugs and Medical Products -- 2.1%
444,710 Medtronic, Inc...................................... 16,204,121
199,102 Pfizer, Inc. ....................................... 6,458,371
------------
22,662,492
------------
Electronics -- 6.0%
144,324 Lam Research Corporation+ .......................... 16,101,146
256,146 Texas Instruments, Inc.............................. 24,814,144
504,922 Xilinx, Inc.+....................................... 22,958,172
------------
63,873,462
------------
Entertainment and Leisure -- 0.6%
138,077 Royal Caribbean Cruises, Ltd. ...................... 6,808,922
------------
Financial -- 2.1%
136,681 American Express Company............................ 22,723,216
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
----------- ------------
<C> <S> <C>
Internet Services -- 14.8%
505,076 Amazon.com, Inc.+ ................................. $ 38,448,911
1,010,894 America Online, Inc.+ ............................. 76,259,316
79,873 eBay, Inc.+ ....................................... 9,999,101
243,140 Exodus Communications, Inc.+ ...................... 21,593,871
55,695 VeriSign, Inc.+ ................................... 10,634,264
------------
156,935,463
------------
Oil and Gas -- 1.9%
466,374 Enron Corporation.................................. 20,695,346
------------
Retail -- 7.1%
292,731 Costco Wholesale Corporation+...................... 26,711,704
493,212 Home Depot, Inc. .................................. 33,815,848
703,540 Staples, Inc.+..................................... 14,598,455
------------
75,126,007
------------
Telecommunications -- 25.2%
247,686 Comcast Corporation, Class A....................... 12,523,623
94,950 JDS Uniphase Corporation+.......................... 15,316,622
342,781 Lucent Technologies, Inc. ......................... 25,644,304
161,580 Nextel Communications, Inc., Class A+.............. 16,662,938
628,124 Nokia Corporation ADR.............................. 119,343,560
110,060 Nortel Networks Corporation........................ 11,116,060
141,531 NTL, Inc.+......................................... 17,656,023
485 NTT Mobile Communications Network, Inc. ........... 18,655,672
222,771 Time Warner, Inc. ................................. 16,136,974
296,190 Vodafone Airtouch Plc, ADR......................... 14,661,405
------------
267,717,181
------------
Total Common Stock (Cost $634,708,236)............. 932,170,125
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
CORPORATE FIXED INCOME SECURITIES -- 0.3%
$ 3,543,000 Charter Communications Holdings LLC, Senior Notes,
8.625% due 04/01/09+.............................. 3,299,419
------------
Total Corporate Fixed Income Securities
(Cost $3,628,118)................................. 3,299,419
------------
AGENCY SECURITIES -- 7.0%
Federal Home Loan Bank (FHLB) -- 1.4%
15,000,000 5.770% due 03/23/00#............................... 14,816,550
------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 4.7%
15,000,000 5.720% due 01/27/00................................ 14,938,033
25,000,000 5.808% due 02/15/00................................ 24,821,563
10,000,000 5.519% due 01/19/00................................ 9,972,400
------------
49,731,996
------------
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
Statement of Net Assets
Endeavor Series Trust
Endeavor Janus Growth Portfolio
December 31, 1999
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
----------- --------------
<C> <S> <C>
AGENCY SECURITIES -- (Continued)
Federal National Mortgage Association (FNMA) -- 0.9%
$10,000,000 FNMA,
5.480% due 01/28/00.............................. $ 9,958,900
--------------
Total Agency Securities (Cost $74,493,754)........ 74,507,446
--------------
COMMERCIAL PAPER -- 4.9%
51,800,000 Associates First Capital Corporation,
4.001% due 01/03/00.............................. 51,788,489
--------------
Total Commercial Paper (Cost $51,788,489)......... 51,788,489
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $764,618,597*).................................... 99.7% 1,061,765,479
OTHER ASSETS AND LIABILITIES (Net)....................... 0.3% 3,425,627
------ --------------
NET ASSETS............................................... 100.0% $1,065,191,106
====== ==============
</TABLE>
<TABLE>
<S> <C> <C>
NET ASSETS
consist of:
Accumulated net
realized loss
on
investments... $ (17,874,270)
Net unrealized
appreciation
of
investments,
foreign
currencies and
net other
assets........ 297,146,901
Paid-in
capital....... 785,918,475
--------------
Total Net
Assets........ $1,065,191,106
==============
NET ASSET
VALUE,
offering price
and redemption
price per
share of
beneficial
interest
outstanding... $ 95.37
==============
Number of
Portfolio
shares
outstanding... 11,168,702
==============
</TABLE>
- -----------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
# Rate represents annualized yield at date of purchase.
Abbreviation:
ADR -- American Depositary Receipt
See Notes to Financial Statements.
69
<PAGE>
Statements of Operations
Endeavor Series Trust
For the Period Ended December 31, 1999
<TABLE>
<CAPTION>
Dreyfus
Dreyfus U.S. Endeavor Endeavor Endeavor
Small Cap Government Enhanced Opportunity Value
Value Securities Index Value Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends................. $ 917,618 $ -- $ 1,439,888 $ 543,311 $ 3,214,571
Interest.................. 97,160 5,388,617 142,171 458,922 611,376
Foreign taxes withheld.... -- -- (305) -- (98)
----------- ----------- ----------- ---------- ------------
Total Investment Income.. 1,014,778 5,388,617 1,581,754 1,002,233 3,825,849
----------- ----------- ----------- ---------- ------------
EXPENSES:
Investment management fee
(Note 2)................. 1,300,689 560,715 782,584 364,453 1,856,971
Administration fees (Note
2)....................... 34,255 16,347 9,860 2,281 45,114
Custodian fees (Note 2)... 55,438 43,253 6,808 5,777 21,954
Transfer agent fees....... 607 324 341 166 804
Marketing fees paid
indirectly (Note 2)...... 519,184 -- -- 26,151 175,545
Professional fees......... 42,999 18,747 5,384 5,091 57,815
Amortization of
organization costs (Note
6)....................... -- 1,593 4,997 5,194 --
Trustees' fees and
expenses (Note 2)........ 13,021 5,206 2,516 754 16,306
Printing fees............. 6,792 4,148 917 3,106 13,196
Insurance fees............ 2,190 1,345 1,326 699 3,685
Other..................... 17,952 12,720 5,041 3,275 21,879
----------- ----------- ----------- ---------- ------------
Subtotal................. 1,993,127 664,398 819,774 416,947 2,213,269
Waiver/reimbursement (Note
2)....................... -- -- -- -- --
Fees paid indirectly (Note
2)....................... (519,184) -- -- (26,151) (175,545)
Credits allowed by the
custodian (Note 2)....... (2,345) (35,601) (124) (1,452) (4,998)
----------- ----------- ----------- ---------- ------------
Total net expenses....... 1,471,598 628,797 819,650 389,344 2,032,726
----------- ----------- ----------- ---------- ------------
NET INVESTMENT
INCOME/(LOSS)............ (456,820) 4,759,820 762,104 612,889 1,793,123
----------- ----------- ----------- ---------- ------------
REALIZED AND UNREALIZED
GAIN/(LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCY (Notes 1 and 3):
Net realized gain/(loss)
on:
Investments.............. 32,661,115 (3,597,495) 9,182,409 2,412,613 28,956,944
Futures contracts........ -- 1,758,399 357,634 -- --
Forward foreign exchange
contracts............... -- -- -- -- --
Foreign currencies and
net other assets........ -- -- -- -- --
----------- ----------- ----------- ---------- ------------
Net realized gain/(loss)
on investments and
foreign currency during
the period............... 32,661,115 (1,839,096) 9,540,043 2,412,613 28,956,944
----------- ----------- ----------- ---------- ------------
Net change in unrealized
appreciation/depreciation
of:
Investments.............. 9,954,170 (3,664,893) 7,367,422 (854,443) (37,139,113)
Futures contracts........ -- 11,853 138,719 -- --
Forward foreign exchange
contracts............... -- -- -- -- --
Foreign currencies and
net other assets........ -- -- -- -- 140
----------- ----------- ----------- ---------- ------------
Net change in unrealized
appreciation/depreciation
of investments and
foreign currency during
the period............... 9,954,170 (3,653,040) 7,506,141 (854,443) (37,138,973)
----------- ----------- ----------- ---------- ------------
Net realized and
unrealized gain/(loss) on
investments and foreign
currency during the
period................... 42,615,285 (5,492,136) 17,046,184 1,558,170 (8,182,029)
----------- ----------- ----------- ---------- ------------
NET INCREASE/(DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS............... $42,158,465 $ (732,316) $17,808,288 $2,171,059 $ (6,388,906)
=========== =========== =========== ========== ============
</TABLE>
- -----------
* Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
See Notes to Financial Statements.
70
<PAGE>
<TABLE>
<CAPTION>
T. Rowe T. Rowe T. Rowe
Endeavor Endeavor Price Price Price Endeavor
Asset Money Equity Growth International Endeavor Endeavor Janus
Allocation Market Income Stock Stock Select 50 High Yield Growth
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio*
----------- ---------- ------------ ----------- ------------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,473,780 $ -- $ 6,744,860 $ 1,866,778 $ 3,501,569 $ 282,301 $ -- $ 1,050,068
7,477,513 6,055,022 710,722 488,903 -- 88,923 1,291,829 2,960,821
-- -- (5,077) (25,201) (408,769) (8,596) -- (42)
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
8,951,293 6,055,022 7,450,505 2,330,480 3,092,800 362,628 1,291,829 4,010,847
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
2,772,660 580,293 2,160,124 1,712,439 1,697,527 291,700 120,397 4,168,779
75,318 16,387 53,809 42,322 16,229 44,433 41,139 80,523
73,867 9,870 36,091 42,918 146,535 33,826 9,091 61,430
1,366 413 1,013 796 706 95 51 1,758
76,797 -- 23,039 9,160 -- -- -- --
101,686 17,187 56,140 36,549 3,848 8,908 4,997 95,549
-- -- 2,444 2,444 -- 7,826 4,479 13,669
27,119 3,999 13,754 9,486 4,250 3,082 3,052 33,966
21,423 1,701 6,042 7,951 6,495 1,397 1,242 27,669
5,598 1,686 4,084 3,180 2,805 358 218 11,202
52,361 5,196 22,822 17,091 7,670 4,607 13,819 17,717
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
3,208,195 636,732 2,379,362 1,884,336 1,886,065 396,232 198,485 4,512,262
-- -- -- -- -- (834) (4,167) (6,667)
(76,797) -- (23,039) (9,160) -- -- -- --
(13,258) (1,761) (501) (74) (168,161) (1,347) (4,111) (11,079)
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
3,118,140 634,971 2,355,822 1,875,102 1,717,904 394,051 190,207 4,494,516
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
5,833,153 5,420,051 5,094,683 455,378 1,374,896 (31,423) 1,101,622 (483,669)
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
32,143,208 4,557 21,983,138 27,126,270 23,159,619 6,785,026 (172,330) (17,874,270)
583,688 -- -- -- -- -- -- --
-- -- -- -- -- (53,972) -- --
-- -- (49,233) (158,528) (371,032) (132,810) -- --
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
32,726,896 4,557 21,933,905 26,967,742 22,788,587 6,598,244 (172,330) (17,874,270)
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
50,033,364 -- (18,037,290) 18,359,238 34,111,927 5,341,055 (185,280) 297,146,882
110,279 -- -- -- -- -- -- --
-- -- -- 186 -- -- -- --
-- -- 27 324 4,032 (33,014) -- 19
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
50,143,643 -- (18,037,263) 18,359,748 34,115,959 5,308,041 (185,280) 297,146,901
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
82,870,539 4,557 3,896,642 45,327,490 56,904,546 11,906,285 (357,610) 279,272,631
----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------
$88,703,692 $5,424,608 $ 8,991,325 $45,782,868 $58,279,442 $11,874,862 $ 744,012 $278,788,962
=========== ========== ============ =========== =========== =========== ========== ============
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Statements of Changes in Net Assets
Endeavor Series Trust
For the Period Ended December 31, 1999
<TABLE>
<CAPTION>
Dreyfus
Dreyfus U.S. Endeavor Endeavor Endeavor Endeavor
Small Cap Government Enhanced Opportunity Value Asset
Value Securities Index Value Equity Allocation
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ----------- ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net investment
income/(loss)............ $ (456,820) $ 4,759,820 $ 762,104 $ 612,889 $ 1,793,123 $ 5,833,153
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) 9,540,043 2,412,613 28,956,944 32,726,896
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) 7,506,141 (854,443) (37,138,973) 50,143,643
------------ ----------- ------------ ----------- ------------ ------------
Net increase/(decrease) in
net assets resulting from
operations............... 42,158,465 (732,316) 17,808,288 2,171,059 (6,388,906) 88,703,692
Distributions to
shareholders from net
investment income........ -- (3,363,808) (185,617) (469,456) (2,612,496) (6,134,468)
Distributions to
shareholders from net
realized gains........... (16,262,533) (1,591,479) (4,083,582) (419,666) (9,660,903) (81,460,029)
Net increase/(decrease) in
net assets from Portfolio
share transactions
(Note 4)................. 3,244,813 6,575,501 76,369,906 (1,888,582) (17,786,277) 60,815,792
------------ ----------- ------------ ----------- ------------ ------------
Net increase/(decrease) in
net assets............... 29,140,745 887,898 89,908,995 (606,645) (36,448,582) 61,924,987
NET ASSETS:
Beginning of period....... 158,661,998 82,888,959 64,057,708 45,506,287 246,101,864 353,000,811
------------ ----------- ------------ ----------- ------------ ------------
End of period............. $187,802,743 $83,776,857 $153,966,703 $44,899,642 $209,653,282 $414,925,798
============ =========== ============ =========== ============ ============
Undistributed net
investment
income/(loss)............ $ -- $ 4,742,691 $ 766,661 $ 615,303 $ 1,792,867 $ 5,837,030
============ =========== ============ =========== ============ ============
</TABLE>
- -----------
* Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
See Notes to Financial Statements.
72
<PAGE>
<TABLE>
<CAPTION>
T. Rowe T. Rowe
Endeavor Price Price T. Rowe Price Endeavor
Money Equity Growth International Endeavor Endeavor Janus
Market Income Stock Stock Select 50 High Yield Growth
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio*
------------ ------------ ------------ ------------- ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
$ 5,420,051 $ 5,094,683 $ 455,378 $ 1,374,896 $ (31,423) $ 1,101,622 $ (483,669)
4,557 21,933,905 26,967,742 22,788,587 6,598,244 (172,330) (17,874,270)
-- (18,037,263) 18,359,748 34,115,959 5,308,041 (185,280) 297,146,901
------------ ------------ ------------ ------------ ------------ ------------ --------------
5,424,608 8,991,325 45,782,868 58,279,442 11,874,862 744,012 278,788,962
(5,420,092) (5,016,696) (515,433) (2,819,874) -- (252,489) --
-- (11,857,644) (16,771,400) (1,807,333) -- -- --
33,842,375 10,273,031 35,081,701 (9,853,746) 4,030,227 9,703,847 786,402,144
------------ ------------ ------------ ------------ ------------ ------------ --------------
33,846,891 2,390,016 63,577,736 43,798,489 15,905,089 10,195,370 1,065,191,106
100,931,823 262,328,210 194,301,329 184,856,350 24,864,785 9,819,321 --
------------ ------------ ------------ ------------ ------------ ------------ --------------
$134,778,714 $264,718,226 $257,879,065 $228,654,839 $ 40,769,874 $ 20,014,691 $1,065,191,106
============ ============ ============ ============ ============ ============ ==============
$ -- $ 5,076,774 $ 254,339 $ (69,077) $ (43,507) $ 1,105,691 $ --
============ ============ ============ ============ ============ ============ ==============
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Statements of Changes in Net Assets
Endeavor Series Trust
For the Period Ended December 31, 1998
<TABLE>
<CAPTION>
Dreyfus
Dreyfus U.S. Endeavor Endeavor Endeavor
Small Cap Government Enhanced Opportunity Value
Value Securities Index Value Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Net investment
income/(loss)............ $ (352,684) $ 3,392,493 $ 181,201 $ 462,621 $ 2,622,823
Net realized gain/(loss)
on investments, futures
contracts, forward
foreign exchange
contracts, foreign
currencies and net other
assets during the
period................... 14,911,403 1,454,088 3,975,442 418,980 9,505,824
Net change in unrealized
appreciation/depreciation
of investments, futures
contracts, forward
foreign exchange
contracts, foreign
currencies and net other
assets during the
period................... (18,149,967) (259,787) 6,695,474 547,081 4,084,777
------------ ----------- ----------- ----------- ------------
Net increase/(decrease) in
net assets resulting from
operations............... (3,591,248) 4,586,794 10,852,117 1,428,682 16,213,424
Distributions to
shareholders from net
investment income........ (227,013) (1,993,080) (41,306) (168,154) (2,379,221)
Distributions to
shareholders from net
realized gains........... (19,963,527) (14,764) (94,085) (273,333) (4,227,268)
Net increase/(decrease) in
net assets from Portfolio
share transactions
(Note 4)................. 36,248,665 33,768,028 33,529,696 17,717,122 20,456,351
------------ ----------- ----------- ----------- ------------
Net increase in net
assets................... 12,466,877 36,346,978 44,246,422 18,704,317 30,063,286
NET ASSETS:
Beginning of period....... 146,195,121 46,541,981 19,811,286 26,801,970 216,038,578
------------ ----------- ----------- ----------- ------------
End of period............. $158,661,998 $82,888,959 $64,057,708 $45,506,287 $246,101,864
============ =========== =========== =========== ============
Undistributed net
investment income........ $ -- $ 3,356,679 $ 185,177 $ 467,076 $ 2,612,240
============ =========== =========== =========== ============
</TABLE>
- -----------
* The Endeavor Select 50 Portfolio and Endeavor High Yield Portfolio commenced
operations on February 3, 1998, and June 1, 1998, respectively.
See Notes to Financial Statements.
74
<PAGE>
<TABLE>
<CAPTION>
T. Rowe T. Rowe T. Rowe
Endeavor Endeavor Price Price Price
Asset Money Equity Growth International Endeavor Endeavor
Allocation Market Income Stock Stock Select 50 High Yield
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio* Portfolio*
------------ ------------ ------------ ------------ ------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 6,431,715 $ 3,814,582 $ 5,087,108 $ 680,293 $ 1,356,902 $ 134,600 $ 249,387
80,203,003 1,020 11,839,723 16,344,563 1,625,036 (2,285,879) (84,649)
(31,774,719) -- 2,101,927 22,323,987 21,852,242 2,835,962 (257,406)
------------ ------------ ------------ ------------ ------------ ----------- -----------
54,859,999 3,815,602 19,028,758 39,348,843 24,834,180 684,683 (92,668)
(4,399,126) (3,814,561) (3,237,538) (304,122) (1,283,067) -- --
(28,024,060) -- (8,216,569) (6,475,158) (1,306,396) -- --
27,461,850 49,769,152 57,525,460 38,502,251 (1,948,591) 24,180,102 9,911,989
------------ ------------ ------------ ------------ ------------ ----------- -----------
49,898,663 49,770,193 65,100,111 71,071,814 20,296,126 24,864,785 9,819,321
303,102,148 51,161,630 197,228,099 123,229,515 164,560,224 -- --
------------ ------------ ------------ ------------ ------------ ----------- -----------
$353,000,811 $100,931,823 $262,328,210 $194,301,329 $184,856,350 $24,864,785 $ 9,819,321
============ ============ ============ ============ ============ =========== ===========
$ 6,409,743 $ 41 $ 5,103,379 $ 507,841 $ 1,612,898 $ -- $ 252,079
============ ============ ============ ============ ============ =========== ===========
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
Financial Highlights
Endeavor Series Trust
Dreyfus Small Cap Value Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/99 12/31/98 12/31/97 12/31/96++# 12/31/95
-------- -------- -------- ----------- --------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of year...... $ 14.14 $ 16.41 $ 14.69 $ 12.22 $ 10.98
-------- -------- -------- ------- -------
Net investment
income/(loss).......... (0.04) (0.03) 0.02 0.12 0.15
Net realized and
unrealized gain/(loss)
on investments......... 4.00 (0.13) 3.52 2.95 1.36
-------- -------- -------- ------- -------
Net increase/(decrease)
in net assets resulting
from investment
operations............. 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......... (1.59) (2.09) (1.72) (0.46) (0.17)
-------- -------- -------- ------- -------
Total distributions..... (1.59) (2.11) (1.82) (0.60) (0.27)
-------- -------- -------- ------- -------
Net asset value, end of
year................... $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22
======== ======== ======== ======= =======
Total return+........... 29.39% (2.18)% 25.56% 25.63% 14.05%
======== ======== ======== ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(in 000's)............. $187,803 $158,662 $146,195 $85,803 $52,597
Ratio of net investment
income/(loss) to
average net assets..... (0.28)% (0.23)% 0.20% 0.95% 1.56%
Ratio of net expenses to
average net assets..... 0.90% 0.86% 0.91% 0.92% 0.87%
Ratio of expenses to
average net assets..... 1.22% 0.94% 0.91% 0.92% 0.87%
Portfolio turnover
rate................... 216% 183% 127% 171% 75%
</TABLE>
- ---------------------------------
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the average share method
which more appropriately presents the per share data for the year since
use of the undistributed method did not accord with results of
operations.
# The Dreyfus Corporation became the Portfolio's Adviser effective
September 16, 1996.
See Notes to Financial Statements.
76
<PAGE>
Financial Highlights
Endeavor Series Trust
Dreyfus U.S. Government Securities Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/99 12/31/98 12/31/97 12/31/96++ 12/31/95
-------- -------- -------- ---------- --------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of
year........................ $ 12.32 $ 11.87 $ 11.23 $ 11.39 $ 9.96
------- ------- ------- ------- -------
Net investment income........ 0.62 0.40 0.39 0.62 0.30
Net realized and unrealized
gain/(loss) on investments.. (0.73) 0.46 0.61 (0.44) 1.25
------- ------- ------- ------- -------
Net increase/(decrease) in
net assets resulting from
investment operations....... (0.11) 0.86 1.00 0.18 1.55
------- ------- ------- ------- -------
Distributions:
Dividends from net investment
income...................... (0.46) (0.41) (0.36) (0.22) (0.12)
Distributions from net
realized gains.............. (0.22) -- -- (0.12) --
------- ------- ------- ------- -------
Total distributions.......... (0.68) (0.41) (0.36) (0.34) (0.12)
------- ------- ------- ------- -------
Net asset value, end of
year........................ $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39
------- ------- ------- ------- -------
Total return+................ (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)...................... $83,777 $82,889 $46,542 $24,727 $12,718
Ratio of net investment
income to average net
assets...................... 5.52% 5.21% 5.74% 5.68% 5.58%
Ratio of net expenses to
average net assets.......... 0.73% 0.72% 0.80% 0.82% 0.84%
Ratio of expenses to average
net assets.................. 0.77% 0.73% 0.80% 0.82% 0.84%
Portfolio turnover rate...... 596% 615% 185% 222% 161%
</TABLE>
- ---------------------------------
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the average share method
which more appropriately presents the per share data for the year since
use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements.
77
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Enhanced Index Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Period
Ended Ended Ended
12/31/99 12/31/98 12/31/97*
-------- -------- ---------
<S> <C> <C> <C>
Operating performance:
Net asset value, beginning of period......... $ 16.08 $ 12.29 $ 10.00
-------- ------- -------
Net investment income........................ 0.08 0.04 0.02
Net realized and unrealized gain on
investments................................. 2.78 3.81 2.27
-------- ------- -------
Net increase in net assets resulting from
investment operations....................... 2.86 3.85 2.29
-------- ------- -------
Distributions:
Dividends from net investment income......... (0.03) (0.02) --
Distributions from net realized gains........ (0.75) (0.04) --
-------- ------- -------
Total distributions.......................... (0.78) (0.06) --
-------- ------- -------
Net asset value, end of period............... $ 18.16 $ 16.08 $ 12.29
======== ======= =======
Total return++............................... 18.16% 31.39% 22.90%
======== ======= =======
Ratios to average net assets/supplemental
data:
Net assets, end of period (in 000's)......... $153,967 $64,058 $19,811
Ratio of net investment income to average net
assets...................................... 0.73% 0.48% 0.55%+
Ratio of net expenses to average net assets.. 0.78% 1.10% 1.30%+
Ratio of expenses to average net assets...... 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...................... 56% 78% 6%
</TABLE>
- ---------------------------------
* The Portfolio commenced operations on May 2, 1997.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements.
78
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Opportunity Value Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Year Period
Ended Ended Ended Ended
12/31/99 12/31/98 12/31/97 12/31/96*
-------- -------- -------- ---------
<S> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of
period............................ $ 12.22 $ 11.75 $ 10.06 $10.00
------- ------- ------- ------
Net investment income/(loss)....... 0.18 0.11 0.07 --
Net realized and unrealized gain on
investments....................... 0.41 0.50 1.62 0.06
------- ------- ------- ------
Net increase in net assets
resulting from investment
operations........................ 0.59 0.61 1.69 0.06
------- ------- ------- ------
Distributions:
Dividends from net investment
income............................ (0.13) (0.05) -- --
Distributions from net realized
gains............................. (0.12) (0.09) -- --
------- ------- ------- ------
Total distributions................ (0.25) (0.14) -- --
------- ------- ------- ------
Net asset value, end of period..... $ 12.56 $ 12.22 $ 11.75 $10.06
======= ======= ======= ======
Total return++..................... 4.79% 5.18% 16.81% 0.60%
======= ======= ======= ======
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's)............................ $44,900 $45,506 $26,802 $ 701
Ratio of net investment
income/(loss) to average net
assets............................ 1.34% 1.22% 1.34% (1.09)%+
Ratio of net expenses to average
net assets........................ 0.85% 0.98% 1.15% 1.30%+
Ratio of expenses to average net
assets............................ 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............ 48% 43% 44% 0%
</TABLE>
- ---------------------------------
* The Portfolio commenced operations on November 18, 1996.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements.
79
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Value Equity Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/99 12/31/98 12/31/97 12/31/96++ 12/31/95
-------- -------- -------- ---------- --------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning
of year.................. $ 21.68 $ 20.70 $ 17.21 $ 14.23 $ 10.69
-------- -------- -------- -------- -------
Net investment income..... 0.18 0.22 0.20 0.20 0.15
Net realized and
unrealized gain/(loss) on
investments.............. (0.72) 1.36 3.96 3.15 3.52
-------- -------- -------- -------- -------
Net increase/(decrease) in
net assets resulting from
investment operations.... (0.54) 1.58 4.16 3.35 3.67
-------- -------- -------- -------- -------
Distributions:
Dividends from net
investment income........ (0.24) (0.22) (0.14) (0.13) (0.09)
Distributions from net
realized gains........... (0.91) (0.38) (0.53) (0.24) (0.04)
-------- -------- -------- -------- -------
Total distributions....... (1.15) (0.60) (0.67) (0.37) (0.13)
-------- -------- -------- -------- -------
Net asset value, end of
year..................... $ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23
======== ======== ======== ======== =======
Total return+............. (3.06)% 7.56% 24.81% 23.84% 34.59%
======== ======== ======== ======== =======
Ratios to average net
assets/supplemental data:
Net assets, end of year
(in 000's)............... $209,653 $246,102 $216,039 $127,927 $68,630
Ratio of net investment
income to average net
assets................... 0.77% 1.10% 1.39% 1.29% 1.56%
Ratio of net expenses to
average net assets....... 0.88% 0.84% 0.89% 0.91% 0.86%
Ratio of expenses to
average net assets....... 0.95% 0.85% 0.89% 0.91% 0.86%
Portfolio turnover rate... 51% 19% 16% 27% 28%
</TABLE>
- ---------------------------------
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the average share method
which more appropriately presents the per share data for the year since
use of the undistributed method did not accord with results of
operations.
See Notes to Financial Statements.
80
<PAGE>
Financial HIghlights
Endeavor Series Trust
Endeavor Asset Allocation Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95
-------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of year....... $ 23.89 $ 22.34 $ 18.84 $ 16.28 $ 13.48
-------- -------- -------- -------- --------
Net investment income.... 0.34 0.43 0.32 0.27 0.33
Net realized and
unrealized gain on
investments............. 4.80 3.50 3.45 2.61 2.72
-------- -------- -------- -------- --------
Net increase in net
assets resulting from
investment operations... 5.14 3.93 3.77 2.88 3.05
-------- -------- -------- -------- --------
Distributions:
Dividends from net
investment income....... (0.43) (0.32) (0.27) (0.32) (0.25)
Distributions from net
realized gains.......... (5.71) (2.06) -- -- --
-------- -------- -------- -------- --------
Total distributions...... (6.14) (2.38) (0.27) (0.32) (0.25)
-------- -------- -------- -------- --------
Net asset value, end of
year.................... $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28
======== ======== ======== ======== ========
Total return+............ 26.39% 18.39% 20.14% 17.82% 22.91%
======== ======== ======== ======== ========
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(in 000's).............. $414,926 $353,001 $303,102 $240,210 $198,876
Ratio of net investment
income to average net
assets.................. 1.58% 1.97% 1.61% 1.59% 2.12%
Ratio of net expenses to
average net assets...... 0.84% 0.78% 0.84% 0.85% 0.84%
Ratio of expenses to
average net assets...... 0.87% 0.80% 0.84% 0.85% 0.84%
Portfolio turnover rate.. 220% 262% 67% 58% 93%
</TABLE>
- ---------------------------------
+ Total return represents aggregate total return for the years indicated.
# Morgan Stanley Asset Management became the Portfolio's Adviser effective
April 1, 1998.
See Notes to Financial Statements.
81
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Money Market Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95
-------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of year....... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Net investment income.... 0.0465 0.0485 0.0498 0.0479 0.0540
-------- -------- -------- -------- --------
Distributions:
Dividends from net
investment income....... (0.0465) (0.0485) (0.0498) (0.0479) (0.0540)
-------- -------- -------- -------- --------
Net asset value, end of
year.................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total return+............ 4.75% 4.96% 5.07% 4.91% 5.54%
======== ======== ======== ======== ========
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(in 000's).............. $134,779 $100,932 $ 51,162 $ 41,545 $ 27,551
Ratio of net investment
income to average net
assets.................. 4.67% 4.92% 4.99% 4.81% 5.37%
Ratio of net expenses to
average net assets...... 0.55% 0.60% 0.60% 0.60% 0.60%
Ratio of expenses to
average net assets...... 0.55% 0.60% 0.60% 0.60% 0.60%
</TABLE>
- ---------------------------------
+ Total return represents aggregate total return for the years indicated.
# Morgan Stanley Asset Management became the Portfolio's Adviser effective
April 1, 1998.
See Notes to Financial Statements.
82
<PAGE>
Financial Highlights
Endeavor Series Trust
T. Rowe Price Equity Income Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Year Year Period
Ended Ended Ended Ended Ended
12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++
-------- -------- -------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 20.04 $ 19.34 $ 15.49 $ 13.05 $ 10.00
-------- -------- -------- ------- -------
Net investment income... 0.38 0.35 0.25 0.41 0.34
Net realized and
unrealized gain on
investments............ 0.42 1.33 4.06 2.17 2.71
-------- -------- -------- ------- -------
Net increase in net
assets resulting from
investment operations.. 0.80 1.68 4.31 2.58 3.05
-------- -------- -------- ------- -------
Distributions:
Dividends from net
investment income...... (0.40) (0.28) (0.19) (0.10) --
Distributions from net
realized gains......... (0.94) (0.70) (0.27) (0.04) --
-------- -------- -------- ------- -------
Total distributions..... (1.34) (0.98) (0.46) (0.14) --
-------- -------- -------- ------- -------
Net asset value, end of
period................. $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05
======== ======== ======== ======= =======
Total return++.......... 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)...... $264,718 $262,328 $197,228 $78,251 $21,910
Ratio of net investment
income to average net
assets................. 1.89% 2.18% 2.47% 2.89% 3.24%+
Ratio of net expenses to
average net assets..... 0.87% 0.85% 0.94% 0.96% 1.15%+
Ratio of expenses to
average net assets..... 0.88% 0.85% 0.94% 0.96% 1.15%+
Portfolio turnover
rate................... 35% 20% 23% 19% 16%
</TABLE>
- ---------------------------------
* The Portfolio commenced operations on January 3, 1995.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
+++ Per share amounts have been calculated using the average share method
which more appropriately presents the per share data for the periods
since use of the undistributed method did not accord with results of
operations.
See Notes to Financial Statements.
83
<PAGE>
Financial Highlights
Endeavor Series Trust
T. Rowe Price Growth Stock Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Year Year Year Period
Ended Ended Ended Ended Ended
12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++
-------- -------- -------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period.... $ 25.60 $ 20.78 $ 16.29 $ 13.72 $ 10.00
-------- -------- -------- ------- -------
Net investment income... 0.03 0.06 0.04 0.11 0.08
Net realized and
unrealized gain on
investments............ 5.28 5.76 4.59 2.71 3.64
-------- -------- -------- ------- -------
Net increase in net
assets resulting from
investment operations.. 5.31 5.82 4.63 2.82 3.72
-------- -------- -------- ------- -------
Distributions:
Dividends from net
investment income...... (0.07) (0.05) (0.03) (0.01) --
Distributions from net
realized gains......... (2.11) (0.95) (0.11) (0.24) --
-------- -------- -------- ------- -------
Total distributions..... (2.18) (1.00) (0.14) (0.25) --
-------- -------- -------- ------- -------
Net asset value, end of
period................. $ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72
======== ======== ======== ======= =======
Total return++.......... 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)...... $257,879 $194,301 $123,230 $59,732 $21,651
Ratio of net investment
income to average net
assets................. 0.21% 0.43% 0.38% 0.75% 0.69%+
Ratio of net expenses to
average net assets..... 0.87% 0.87% 0.96% 1.01% 1.26%+
Ratio of expenses to
average net assets..... 0.88% 0.87% 0.96% 1.01% 1.26%+
Portfolio turnover
rate................... 66% 58% 41% 44% 64%
</TABLE>
- ---------------------------------
*The Portfolio commenced operations on January 3, 1995.
+Annualized.
++Total return represents aggregate total return for the periods indicated.
+++ Per share amounts have been calculated using the 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.
See Notes to Financial Statements.
84
<PAGE>
Financial Highlights
Endeavor Series Trust
T. Rowe Price International Stock Portfolio
For a Portfolio share outstanding throughout each year
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended*
12/31/99 12/31/98++ 12/31/97 12/31/96++ 12/31/95#
-------- ---------- -------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of year...... $ 16.19 $ 14.21 $ 13.95 $ 12.19 $ 11.31
-------- -------- -------- -------- -------
Net investment income... 0.10 0.12 0.10 0.09 0.09
Net realized and
unrealized gain on
investments............ 5.02 2.08 0.26 1.76 1.06
-------- -------- -------- -------- -------
Net increase in net
assets resulting from
investment operations.. 5.12 2.20 0.36 1.85 1.15
-------- -------- -------- -------- -------
Distributions:
Dividends from net
investment income...... (0.26) (0.11) (0.10) (0.09) --
Distributions from net
realized gains......... (0.17) (0.11) -- -- (0.27)
-------- -------- -------- -------- -------
Total distributions..... (0.43) (0.22) (0.10) (0.09) (0.27)
-------- -------- -------- -------- -------
Net asset value, end of
year................... $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19
======== ======== ======== ======== =======
Total return+........... 32.35% 15.44% 2.54% 15.23% 10.37%
======== ======== ======== ======== =======
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(000's)................ $228,655 $184,856 $164,560 $134,435 $92,352
Ratio of net investment
income to average net
assets................. 0.73% 0.76% 0.74% 0.73% 0.81%
Ratio of net expenses to
average net assets..... 0.91% 0.98% 1.07% 1.18% 1.15%
Ratio of expenses to
average net assets..... 1.00% 1.10% 1.12% 1.18% 1.15%
Portfolio turnover
rate................... 30% 21% 19% 11% 111%
</TABLE>
- ---------------------------------
* Effective March 24, 1995, the name of the Global Growth Portfolio was
changed to T. Rowe Price International Stock Portfolio, and the investment
objective was changed from investment on a global basis to investment on
an international basis (i.e., in non-U.S. companies).
+ Total return represents aggregate total return for the years indicated.
++ Per share amounts have been calculated using the 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.
See Notes to Financial Statements.
85
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Select 50 Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Period
Ended Ended
12/31/99 12/31/98*+++
-------- ------------
<S> <C> <C>
Operating performance:
Net asset value, beginning of period.................. $ 10.66 $ 10.00
------- -------
Net investment income/(loss).......................... (0.01) 0.07
Net realized and unrealized gain on investments....... 5.12 0.59
------- -------
Net increase in net assets resulting from investment
operations........................................... 5.11 0.66
------- -------
Net asset value, end of period........................ $ 15.77 $ 10.66
======= =======
Total return++........................................ 47.84% 6.60%
======= =======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................. $40,770 $24,865
Ratio of net investment income/(loss) to average net
assets............................................... (0.12)% 0.75%+
Ratio of net expenses to average net assets........... 1.48% 1.49%+
Ratio of expenses to average net assets............... 1.49% 1.49%+
Ratio of net expenses to average net assets before
waivers.............................................. 1.49% 1.55%+
Portfolio turnover rate............................... 157% 128%
</TABLE>
- ---------------------------------
* 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.
See Notes to Financial Statements.
86
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor High Yield Portfolio
For a Portfolio share outstanding throughout each period
<TABLE>
<CAPTION>
Year Period
Ended Ended
12/31/99 12/31/98*
-------- ---------
<S> <C> <C>
Operating performance:
Net asset value, beginning of period................... $ 9.69 $ 10.00
------- -------
Net investment income.................................. 0.47 0.25
Net realized and unrealized gain/(loss) on
investments........................................... 0.09 (0.56)
------- -------
Net increase/(decrease) in net assets resulting from
investment operations................................. 0.56 (0.31)
------- -------
Distributions:
Dividends from net investment income................... (0.16) --
------- -------
Total distributions.................................... (0.16) --
------- -------
Net asset value, end of period......................... $ 10.09 $ 9.69
======= =======
Total return++......................................... 5.82% (3.10)%
======= =======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................... $20,015 $ 9,819
Ratio of net investment income to average net assets... 7.07% 6.43%+
Ratio of net expenses to average net assets............ 1.22% 1.30%+
Ratio of expenses to average net assets................ 1.25% 1.43%+
Ratio of net expenses to average net assets before
waivers............................................... 1.27% 1.58%+
Portfolio turnover rate................................ 77% 26%
</TABLE>
- ---------------------------------
* The Portfolio commenced operations on June 1, 1998.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements.
87
<PAGE>
Financial Highlights
Endeavor Series Trust
Endeavor Janus Growth Portfolio
For a Portfolio share outstanding throughout the period
<TABLE>
<CAPTION>
Period
Ended
12/31/99*
----------
<S> <C>
Operating performance:
Net asset value, beginning of period.......................... $ 69.88
----------
Net investment loss........................................... (0.04)
Net realized and unrealized gain on investments............... 25.53
----------
Net increase in net assets resulting from investment
operations................................................... 25.49
----------
Net asset value, end of period................................ $ 95.37
==========
Total return++................................................ 36.48%
==========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).......................... $1,065,191
Ratio of net investment loss to average net assets............ (0.09)%+
Ratio of net expenses to average net assets................... 0.83%+
Ratio of expenses to average net assets....................... 0.83%+
Ratio of net expenses to average net assets before waivers.... 0.83%+
Portfolio turnover rate....................................... 43%
</TABLE>
- ---------------------------------
* The Portfolio commenced operations on May 1, 1999.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
See Notes to Financial Statements.
88
<PAGE>
Notes to Financial Statements
Endeavor Series Trust
December 31, 1999
1.Significant Accounting Policies
Endeavor Series Trust (the "Fund") was organized as a "Massachusetts business
trust" on November 19, 1988 under the laws of the Commonwealth of
Massachusetts. The Fund is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund offers thirteen
managed investment portfolios: Dreyfus Small Cap Value Portfolio, Dreyfus U.S.
Government Securities Portfolio, Endeavor Enhanced Index Portfolio, Endeavor
Opportunity Value Portfolio, Endeavor Value Equity Portfolio, Endeavor Asset
Allocation Portfolio, Endeavor Money Market Portfolio, T. Rowe Price Equity
Income Portfolio, T. Rowe Price Growth Stock Portfolio, T. Rowe Price
International Stock Portfolio, Endeavor Select 50 Portfolio, Endeavor High
Yield Portfolio, and Endeavor Janus Growth Portfolio (each a "Portfolio" and
collectively the "Portfolios"). The following is a summary of significant
accounting policies consistently followed by the Portfolios in the preparation
of their financial statements. The preparation of financial statements in
accordance with 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 Enhanced Index Portfolio, Endeavor Opportunity Value
Portfolio, Endeavor Value Equity Portfolio, Endeavor Asset Allocation
Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock
Portfolio, T. Rowe Price International Stock Portfolio, Endeavor Select 50
Portfolio, Endeavor High Yield Portfolio, and Endeavor Janus Growth Portfolio:
Generally, a Portfolio's investments are valued at market value or, in the
absence of market value with respect to any portfolio securities, at fair
value as determined by, or under the direction of, the Board of Trustees.
Portfolio securities for which the primary market is a domestic or foreign
exchange, or which are traded over-the-counter and quoted on the NASDAQ
System, are valued at the last sale price on the day of valuation or, if there
was no sale that day, at the last reported bid price using prices as of the
close of trading. Portfolio securities not quoted on the NASDAQ System that
are actively traded in the over-the-counter market, including listed
securities for which the primary market is believed to be over-the-counter,
are valued at the most recently quoted bid price provided by the principal
market makers. In the case of any securities 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.
89
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date. Interest income is not accrued
until settlement date.
Futures Contracts:
Certain of the Portfolios may engage in futures contracts for the purpose of
hedging against a decline in the value of the portfolio securities held or 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 December 31, 1999 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... (42) 30 Year U.S. Treasury Bond contracts $3,892,325 March 2000 $72,949
1 10 Year U.S. Treasury Note contract 97,750 March 2000 (1,891)
Endeavor Enhanced Index
Portfolio.............. 12 S&P 500 contracts 4,317,435 March 2000 135,161
Endeavor Asset
Allocation Portfolio... 56 2 Year U.S. Treasury Note contracts 11,183,809 March 2000 (61,683)
19 5 Year U.S. Treasury Note contracts 1,887,651 March 2000 (25,354)
(49) 10 Year U.S. Treasury Note contracts 4,787,176 March 2000 90,067
(29) 30 Year U.S. Treasury Bond contracts 2,740,471 March 2000 103,283
</TABLE>
Options:
Certain of the Portfolios may purchase or write options which are exchange
traded to hedge fluctuation risks in the prices of certain securities. When a
Portfolio writes a call or put option, an amount equal to the premium received
is reflected as a liability. The liability is subsequently "marked-to-market"
to reflect the current market value of the option written. The premium paid by
a Portfolio for the purchase of a call or put option is recorded as an
investment and subsequently "marked-to-market" to reflect the current market
value of the option purchased. The Portfolio is subject to the risk of an
imperfect correlation between movement in the price of the instrument and the
price of the underlying security or transaction. Risks may also arise due to
illiquid secondary markets for the instruments.
Forward Foreign Currency Contracts:
Dreyfus U.S. Government Securities Portfolio, Endeavor Opportunity Value
Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock
Portfolio, T. Rowe Price International Stock Portfolio, Endeavor Select 50
Portfolio, Endeavor High Yield Portfolio and Endeavor Janus Growth Portfolio
may engage in forward foreign currency exchange contracts. A Portfolio engages
in forward foreign currency exchange transactions to protect against changes
in future exchange rates. Forward foreign currency exchange contracts are
valued at the forward rate and are marked-to-market daily. The change in
market value is recorded by a Portfolio as an unrealized gain or loss. When
the contract is closed, a Portfolio records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of a Portfolio's securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that
might result should the value of the currency increase. In addition, a
Portfolio could be exposed to risks if the counterparties to the contracts are
unable to meet the terms of their contracts.
90
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
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 separately qualify 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
Enhanced Index Portfolio--.75%; Endeavor Opportunity Value Portfolio--.80%;
Endeavor Value Equity Portfolio--.80%; Endeavor Asset Allocation Portfolio--
.75%; Endeavor Money Market Portfolio--.50%; T. Rowe Price Equity Income
Portfolio--.80%, T. Rowe Price Growth Stock Portfolio--.80%; T. Rowe Price
International Stock Portfolio--.90%; Endeavor Select 50 Portfolio--1.10%;
Endeavor High Yield Portfolio--.775%; Endeavor Janus Growth Portfolio--.80%.
For the Endeavor Janus Growth Portfolio the Investment Manager limited its
annual fee to .775% of the Portfolio's average daily net assets for the period
ended December 31, 1999.
At December 31, 1999, the Fund had a liability for investment management fees
payable to the Investment Manager of $1,952,957.
Effective December 1, 1999, First Data Investor Services Group, Inc.
("Investor Services Group"), the Fund's Administrator and Transfer Agent,
became a majority-owned subsidiary of PNC Bank Corp. As a result of this
transaction, Investor Services Group is now known as PFPC ("PFPC").
91
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
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 assists the Investment Manager in the
performance of its administrative responsibilities to the Fund. As
compensation for these services, the Investment Manager pays PFPC a flat fee
of $770,000 per annum. In addition, if the aggregate net assets of the
thirteen Portfolios exceed $1 billion, PFPC shall also be entitled to receive
an additional fee of 0.01% of any net assets in excess of $1 billion. For the
first year of operations of Endeavor Select 50, Endeavor High Yield, and
Endeavor Janus Growth Portfolio, PFPC has agreed to waive $10,000 of its fees.
Prior to July 2, 1999, the Endeavor Select 50 Portfolio, Endeavor High Yield
Portfolio, and Endeavor Janus Growth Portfolio reimbursed the Investment
Manager $40,000 each on an annual basis. Effective July 2, 1999, each
Portfolio reimburses the Investment Manager for its proportionate share of the
administrative fees paid to PFPC. PFPC also serves as the Fund's transfer
agent.
The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank,
N.A., which is a wholly-owned subsidiary of Mellon Bank Corporation, serves as
the Adviser to Dreyfus Small Cap Value Portfolio and Dreyfus U.S. Government
Securities Portfolio. As compensation for its services as investment adviser,
the Manager pays Dreyfus a monthly fee based on a percentage of the average
daily net assets of each Portfolio at the following annual rates: Dreyfus
Small Cap Value Portfolio--.375% and Dreyfus U.S. Government Securities
Portfolio--.15%.
J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary
of J.P. Morgan and Co. Incorporated, serves as the Adviser to Endeavor
Enhanced Index Portfolio. As compensation for its services as investment
adviser, the Investment Manager pays Morgan a monthly fee at an annual rate of
.35% of the average daily net assets of the Portfolio.
OpCap Advisors ("OpCap"), a subsidiary of Oppenheimer Capital, serves as the
Adviser to Endeavor Opportunity Value Portfolio and Endeavor Value Equity
Portfolio pursuant to separate investment advisory agreements between the
Investment Manager and OpCap. As compensation for its services as investment
adviser, the Investment Manager pays OpCap a monthly fee at the annual rate of
.40% of the average daily net assets of each Portfolio.
Morgan Stanley Asset Management Inc. ("Morgan Stanley"), a subsidiary of
Morgan Stanley Dean Witter & Co., serves as the Adviser to Endeavor Asset
Allocation Portfolio and Endeavor Money Market Portfolio pursuant to separate
investment advisory agreements between the Investment Manager and Morgan
Stanley. As compensation for its services as investment adviser, the
Investment Manager pays Morgan Stanley a monthly fee based on a percentage of
the average daily net assets of each Portfolio at the following annual rates:
Endeavor Asset Allocation Portfolio--.375% and Endeavor Money Market
Portfolio--.25%.
T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to T.
Rowe Price Equity Income Portfolio and T. Rowe Price Growth Stock Portfolio.
As compensation for its services as investment adviser, the Investment Manager
pays T. Rowe Price a monthly fee at the annual rate of .40% of the average
daily net assets of each Portfolio.
Rowe Price-Fleming International, Inc. ("Price-Fleming"), a joint venture
between T. Rowe Price and Robert Fleming Holdings Limited, serves as the
Adviser to T. Rowe Price International Stock Portfolio. As compensation for
its services as investment adviser, the Investment Manager pays Price-Fleming
a monthly fee at the annual rate of .75% of the average daily net assets of
the Portfolio up to $20 million, .60% of the average daily net assets of the
Portfolio in excess of $20 million up to $50 million and .50% of the average
daily net assets of the Portfolio in excess of $50 million. At such time as
the average daily net assets of the Portfolio exceed $200 million, the fee
shall be .50% of total average daily net assets.
Montgomery Asset Management LLC ("Montgomery"), a wholly-owned subsidiary of
Commerzbank AG, serves as Adviser to Endeavor Select 50 Portfolio. As
compensation for its services as investment adviser, the Investment Manager
pays Montgomery a fee at the annual rate of .70% of the average daily net
assets of the Portfolio.
Massachusetts Financial Services Company ("MFS"), 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.
92
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
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
.50% of the average daily net assets of the Portfolio. For the period ended
December 31, 1999, Janus Capital waived .10% of the annual fee.
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 year ended
December 31, 1999, the Investment Manager has voluntarily undertaken to waive
its fees and has agreed to bear certain expenses so that total expenses do not
exceed the following percentages of the respective Portfolio's average daily
net assets: Dreyfus Small Cap Value Portfolio--1.30%, Dreyfus U.S. Government
Securities Portfolio--1.00%, Endeavor Enhanced Index Portfolio--1.30%,
Endeavor Opportunity Value Portfolio--1.30%, Endeavor Value Equity Portfolio--
1.30%, Endeavor Asset Allocation Portfolio--1.25%, Endeavor Money Market
Portfolio--.99%, T. Rowe Price Equity Income Portfolio--1.30%, T. Rowe Price
Growth Stock Portfolio--1.30%, T. Rowe Price International Stock Portfolio--
1.53%, Endeavor Select 50 Portfolio--1.50%, Endeavor High Yield Portfolio--
1.30% and Endeavor Janus Growth Portfolio--.87%.
Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of
Mellon Bank Corporation, serves as the Fund's custodian. Boston Safe Deposit
and Trust Company has agreed to compensate the Portfolios and decrease custody
fees for cash balances left uninvested by each Portfolio. For the year ended
December 31, 1999, the Fund's custodial expenses were reduced by $244,812.
For the year ended December 31, 1999, the Fund incurred total brokerage
commissions of $3,399,138, of which $917 was paid to Jardine Fleming Group
Ltd. and $3,153 was paid to Robert Fleming Holdings Ltd., brokers affiliated
with 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 year ended
December 31, 1999, the recaptured commissions amount to as follows: Dreyfus
Small Cap Value Portfolio--$519,184, Endeavor Opportunity Value Portfolio--
$26,151, Endeavor Value Equity Portfolio--$175,545, Endeavor Asset Allocation
Portfolio $76,797, T. Rowe Price Equity Income Portfolio--$23,039 and T. Rowe
Price Growth Stock Portfolio--$9,160.
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 Manager, the Advisers, PFPC or any of their affiliates
$18,000 per annum plus $2,500 per Board or Committee 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 year ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
------------------------- -------------------------
U. S. U.S.
Government Other Government Other
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio................ $350,381,128 $362,395,131
Dreyfus U.S. Government
Securities Portfolio..... $392,926,433 142,465,544 $368,951,193 148,931,095
Endeavor Enhanced Index
Portfolio................ 127,464,618 57,588,391
Endeavor Opportunity Value
Portfolio................ 17,828,009 23,412,456
Endeavor Value Equity
Portfolio................ 111,286,236 135,830,502
Endeavor Asset Allocation
Portfolio................ 618,420,317 252,915,155 617,672,393 271,015,419
T. Rowe Price Equity
Income Portfolio......... 89,645,248 92,847,727
T. Rowe Price Growth Stock
Portfolio................ 155,555,421 135,691,325
T. Rowe Price
International Stock
Portfolio................ 53,971,783 68,851,605
Endeavor Select 50
Portfolio................ 40,749,388 39,020,661
Endeavor High Yield
Portfolio................ 20,239,309 11,034,847
Endeavor Janus Growth
Portfolio................ 978,475,859 322,261,829
</TABLE>
93
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
4.Shares of Beneficial Interest
The Fund has authorized an unlimited number of shares of beneficial interest
without par value of one or more series. Shares of the Fund are presently
divided into thirteen series of shares, each series representing one of the
Fund's thirteen Portfolios. Since the Endeavor Money Market Portfolio has sold
shares, issued shares as reinvestment of dividends and redeemed shares only at
a constant net asset value of $1.00 per share, the number of shares
represented by such sales, reinvestments and redemptions is the same as the
amounts shown below for such transactions. Changes in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio:
Sold...................... 2,775,515 $ 41,416,787 2,899,864 $ 42,743,796
Issued as reinvestment of
dividends................ 1,103,293 16,262,533 1,295,096 20,190,540
Redeemed.................. (3,721,600) (54,434,507) (1,883,943) (26,685,671)
---------- ------------ ---------- ------------
Net increase.............. 157,208 $ 3,244,813 2,311,017 $ 36,248,665
========== ============ ========== ============
<CAPTION>
Year Ended
Year Ended 12/31/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Dreyfus U.S. Government
Securities Portfolio:
Sold...................... 2,044,213 $ 24,345,506 3,690,177 $ 44,539,243
Issued as reinvestment of
dividends................ 428,658 4,955,287 170,284 2,007,843
Redeemed.................. (1,935,546) (22,725,292) (1,053,685) (12,779,058)
---------- ------------ ---------- ------------
Net increase.............. 537,325 $ 6,575,501 2,806,776 $ 33,768,028
========== ============ ========== ============
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Endeavor Enhanced Index
Portfolio:
Sold...................... 5,587,298 $ 94,614,865 4,215,132 $ 59,485,332
Issued as reinvestment of
dividends................ 252,468 4,269,241 9,636 135,390
Redeemed.................. (1,344,272) (22,514,200) (1,853,116) (26,091,026)
---------- ------------ ---------- ------------
Net increase.............. 4,495,494 $ 76,369,906 2,371,652 $ 33,529,696
========== ============ ========== ============
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Endeavor Opportunity Value
Portfolio:
Sold...................... 632,016 $ 7,673,642 1,806,222 $ 22,044,219
Issued as reinvestment of
dividends................ 69,517 889,122 35,206 441,487
Redeemed.................. (850,716) (10,451,346) (398,330) (4,768,584)
---------- ------------ ---------- ------------
Net increase/(decrease)... (149,183) $ (1,888,582) 1,443,098 $ 17,717,122
========== ============ ========== ============
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
------------------------ ------------------------
Shares Amount Shares Amount
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Endeavor Value Equity
Portfolio:
Sold...................... 786,486 $ 16,486,204 1,927,902 $ 41,464,781
Issued as reinvestment of
dividends................ 548,164 12,273,399 297,346 6,606,489
Redeemed.................. (2,199,695) (46,545,880) (1,309,035) (27,614,919)
---------- ------------ ---------- ------------
Net increase/(decrease)... (865,045) $(17,786,277) 916,213 $ 20,456,351
========== ============ ========== ============
</TABLE>
94
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
<TABLE>
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
----------------------- -----------------------
Shares Amount Shares Amount
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Endeavor Asset Allocation
Portfolio:
Sold........................ 1,590,529 $34,131,322 1,760,590 $40,360,655
Issued as reinvestment of
dividends.................. 4,552,729 87,594,497 1,453,955 32,423,186
Redeemed.................... (2,795,981) (60,910,027) (2,003,298) (45,321,991)
---------- ----------- ---------- -----------
Net increase................ 3,347,277 $60,815,792 1,211,247 $27,461,850
========== =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
----------------- -----------------
Shares and Amount Shares and Amount
----------------- -----------------
<S> <C> <C>
Endeavor Money Market Portfolio:
Sold........................................ $ 326,363,081 $125,313,555
Issued as reinvestment of dividends......... 5,423,292 3,172,335
Redeemed.................................... (297,943,998) (78,716,738)
------------- ------------
Net increase................................ $ 33,842,375 $ 49,769,152
============= ============
</TABLE>
<TABLE>
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
-------------------------- ------------------------
Shares Amount Shares Amount
----------- ------------- ---------- ------------
<S> <C> <C> <C> <C>
T. Rowe Price Equity
Income Portfolio:
Sold.................... 1,719,791 $ 34,727,686 3,467,152 $ 68,060,919
Issued as reinvestment
of dividends........... 802,394 16,874,339 584,990 11,454,107
Redeemed................ (2,036,067) (41,328,994) (1,163,019) (21,989,566)
----------- ------------- ---------- ------------
Net increase............ 486,118 $ 10,273,031 2,889,123 $ 57,525,460
=========== ============= ========== ============
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
-------------------------- ------------------------
Shares Amount Shares Amount
----------- ------------- ---------- ------------
<S> <C> <C> <C> <C>
T. Rowe Price Growth
Stock Portfolio:
Sold.................... 2,044,360 $ 52,013,760 2,192,769 $ 50,311,764
Issued as reinvestment
of dividends........... 701,291 17,286,833 301,037 6,779,279
Redeemed................ (1,361,342) (34,218,892) (833,503) (18,588,792)
----------- ------------- ---------- ------------
Net increase............ 1,384,309 $ 35,081,701 1,660,303 $ 38,502,251
=========== ============= ========== ============
<CAPTION>
Year Ended Year Ended
12/31/99 12/31/98
-------------------------- ------------------------
Shares Amount Shares Amount
----------- ------------- ---------- ------------
<S> <C> <C> <C> <C>
T. Rowe Price
International Stock
Portfolio:
Sold.................... 14,257,730 $ 250,830,817 1,639,660 $ 25,500,438
Issued as reinvestment
of dividends........... 285,806 4,627,207 162,553 2,589,463
Redeemed................ (15,007,597) (265,311,770) (1,968,079) (30,038,492)
----------- ------------- ---------- ------------
Net decrease............ (464,061) $ (9,853,746) (165,866) $ (1,948,591)
=========== ============= ========== ============
<CAPTION>
Year Ended Period Ended
12/31/99 12/31/98#
-------------------------- ------------------------
Shares Amount Shares Amount
----------- ------------- ---------- ------------
<S> <C> <C> <C> <C>
Endeavor Select 50
Portfolio:
Sold.................... 1,033,646 $ 13,146,679 2,611,380 $ 27,024,440
Issued as reinvestment
of dividends........... -- -- -- --
Redeemed................ (780,428) (9,116,452) (279,573) (2,844,338)
----------- ------------- ---------- ------------
Net increase............ 253,218 $ 4,030,227 2,331,807 $ 24,180,102
=========== ============= ========== ============
<CAPTION>
Year Ended Period Ended
12/31/99 12/31/98##
-------------------------- ------------------------
Shares Amount Shares Amount
----------- ------------- ---------- ------------
<S> <C> <C> <C> <C>
Endeavor High Yield
Portfolio:
Sold.................... 1,433,947 $ 14,306,667 1,070,942 $ 10,468,162
Issued as reinvestment
of dividends........... 25,299 252,489 -- --
Redeemed................ (489,807) (4,855,309) (57,450) (556,173)
----------- ------------- ---------- ------------
Net increase............ 969,439 $ 9,703,847 1,013,492 $ 9,911,989
=========== ============= ========== ============
</TABLE>
95
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
<TABLE>
<CAPTION>
Year Ended
12/31/99###
------------------------
Shares Amount
---------- ------------
<S> <C> <C>
Endeavor Janus Growth Portfolio:
Sold................................................. 1,379,867 $105,431,394
Conversion proceeds from WRL Series Fund............. 10,610,293 741,495,920
Redeemed............................................. (821,458) (60,525,170)
---------- ------------
Net increase......................................... 11,168,702 $786,402,144
========== ============
</TABLE>
- -----------
#The Endeavor Select 50 Portfolio commenced operations on February 3, 1998.
##The Endeavor High Yield Portfolio commenced operations on June 1, 1998.
###The Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
5.Endeavor Series Trust Conversion
On May 1, 1999, the WRL Growth Portfolio converted 19.95% of its assets into
the Endeavor Janus Growth Portfolio in a taxable exchange. The net assets of
the WRL Growth Portfolio immediately before the conversion were
$3,716,778,810. At the time of this conversion 10,610,293 shares of Endeavor
Janus Growth Portfolio were issued. The net assets of Endeavor Janus Growth
Portfolio after the conversion were $741,495,920.
6.Organization Costs
Organization costs are amortized on a straight-line basis over a period of
five years from the commencement of operations of each Portfolio 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 Enhanced Index Portfolio--10 shares, Endeavor Opportunity
Value Portfolio--10 shares, Endeavor Value Equity Portfolio--10 shares,
Endeavor Asset Allocation Portfolio--10,000 shares, Endeavor Money Market
Portfolio--100,000 shares, T. Rowe Price Equity Income Portfolio--10 shares,
T. Rowe Price Growth Stock Portfolio--10 shares, T. Rowe Price International
Stock Portfolio--10,000 shares, Endeavor Select 50 Portfolio--10 shares,
Endeavor High Yield Portfolio--10 shares, and Endeavor Janus Growth
Portfolio--10 shares) owned by a separate account of PFL Life Insurance
Company are redeemed during such amortization period, the redemption proceeds
will be reduced for any unamortized organization costs in the same proportion
as the number of shares redeemed bears to the number of initial shares
outstanding at the time of the redemption. The Fund bears the expense of
registering and qualifying the shares of the various Portfolios for
distribution under Federal and state securities regulations. As of December
31, 1999, all such costs for the Dreyfus Small Cap Value Portfolio, Dreyfus
U.S. Government Securities Portfolio, Endeavor Value Equity Portfolio,
Endeavor Asset Allocation Portfolio, Endeavor Money Market Portfolio, T. Rowe
Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio, and T.
Rowe Price International Stock Portfolio have been fully amortized.
7.Concentration of Risk
The Portfolios may invest in foreign securities. Investing in securities of
foreign companies and foreign governments involves special risks and
considerations not typically associated with investing in the securities of
U.S. companies and the U.S. government. These risks include re-valuation of
currencies and future adverse political and economic developments. These risks
are heightened for investments in emerging market countries. Moreover,
securities of many foreign companies and foreign governments and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. companies and the U.S. government.
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
96
<PAGE>
Notes to Financial Statements -- (Continued)
Endeavor Series Trust
December 31, 1999
and principal only mortgage-backed securities, certain options traded in the
over-the-counter market and the securities to which such options relate. In
purchasing securities which cannot be sold by a Portfolio without registration
under the Securities Act of 1933, as amended, a Portfolio will endeavor to
obtain the right to registration at the expense of the issuer. There generally
will be a lapse of time between the decision by a Portfolio to sell any such
security and the registration of the security permitting the sale. During any
such period, the security will be subject to market fluctuations.
8.Federal Income Taxes
For the year ended December 31, 1999, permanent differences in book and tax
accounting have been reclassified at year end to undistributed net investment
income, accumulated realized gain/(loss) and paid-in capital as follows:
<TABLE>
<CAPTION>
Increase/(Decrease) Increase/(Decrease) Increase/(Decrease)
Paid-in Undistributed Net Accumulated
Capital Investment Income Realized Gain/(Loss)
------------------- ------------------- --------------------
<S> <C> <C> <C>
Dreyfus Small Cap Value
Portfolio.............. -- $ 456,820 $ (456,820)
Dreyfus U.S. Government
Securities Portfolio... -- (10,000) 10,000
Endeavor Enhanced Index
Portfolio.............. (4,997) 4,997 --
Endeavor Opportunity
Value Portfolio........ (4,794) 4,794 --
Endeavor Value Equity
Portfolio.............. -- -- --
Endeavor Asset
Allocation Portfolio... -- 11,440 (11,440)
Endeavor Money Market
Portfolio.............. -- -- --
T. Rowe Price Equity
Income Portfolio....... (2,361) (104,592) 106,953
T. Rowe Price Growth
Stock Portfolio........ (2,360) (193,447) 195,807
T. Rowe Price
International Stock
Portfolio.............. -- (236,997) 236,997
Endeavor Select 50
Portfolio.............. 50,138 (12,084) (38,054)
Endeavor High Yield
Portfolio.............. (4,479) 4,479 --
Endeavor Janus Growth... (483,669) 483,669 --
</TABLE>
At December 31, 1999, aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there was an excess
of tax cost over value were as follows:
<TABLE>
<CAPTION>
Tax Basis
Tax Basis Tax Basis Net Unrealized
Unrealized Unrealized Appreciation /
Appreciation Depreciation (Depreciation)
------------ ------------ --------------
<S> <C> <C> <C>
Dreyfus Small Cap Value Portfolio.... $ 21,256,668 $21,104,576 $ 152,092
Dreyfus U.S. Government Securities
Portfolio........................... 113,575 2,932,443 (2,818,868)
Endeavor Enhanced Index Portfolio.... 27,798,857 12,699,950 15,098,907
Endeavor Opportunity Value
Portfolio........................... 4,302,231 3,397,204 905,027
Endeavor Value Equity Portfolio...... 46,671,741 22,686,919 23,984,822
Endeavor Asset Allocation Portfolio.. 106,034,307 11,432,983 94,601,324
T. Rowe Price Equity Income
Portfolio........................... 38,334,035 24,996,100 13,337,935
T. Rowe Price Growth Stock
Portfolio........................... 74,584,106 10,223,438 64,360,668
T. Rowe Price International Stock
Portfolio........................... 83,352,616 8,129,129 75,223,487
Endeavor Select 50 Portfolio......... 9,283,220 1,299,333 7,983,887
Endeavor High Yield Portfolio........ 464,082 907,308 (443,226)
Endeavor Janus Growth Portfolio...... 304,728,186 7,581,304 297,146,882
</TABLE>
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>
97
<PAGE>
Report of Ernst & Young, LLP, Independent Auditors
Endeavor Series Trust
December 31, 1999
To the Shareholders and Board of Trustees
Endeavor Series Trust
We have audited the accompanying statements of net assets of Endeavor Series
Trust (comprising, respectively, the Dreyfus Small Cap Value, Dreyfus U.S.
Government Securities, Endeavor Enhanced Index, Endeavor Opportunity Value,
Endeavor Value Equity, Endeavor Asset Allocation, Endeavor Money Market, T.
Rowe Price Equity Income, T. Rowe Price Growth Stock, T. Rowe Price
International Stock, Endeavor Select 50, Endeavor High Yield, and Endeavor
Janus Growth Portfolios) (the "Funds") as of December 31, 1999, and the
related statements of operations, statements of changes in net assets and
financial highlights for each of the periods indicated therein. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements and financial highlights. Our
procedures included confirmation of securities owned as of December 31, 1999,
by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the above listed Funds constituting Endeavor Series Trust at December 31,
1999, and the results of their operations, changes in their net assets and
their financial highlights for each of the periods indicated therein, in
conformity with accounting principles generally accepted in the United States.
/s/ Ernst & Young LLP
Philadelphia, Pennsylvania
February 4, 2000
98
<PAGE>
Tax Information (Unaudited)
Endeavor Series Trust
December 31, 1999
The amounts of long term capital gain distributions paid for the fiscal year
ended December 31, 1999 were as follows:
<TABLE>
<S> <C>
Dreyfus Small Cap Value Portfolio.................................. $11,732,693
Dreyfus U.S. Government Securities Portfolio....................... $ 477,444
Endeavor Enhanced Index Portfolio.................................. $ 878,953
Endeavor Opportunity Value Portfolio............................... $ 419,666
Endeavor Value Equity Portfolio.................................... $ 9,660,903
Endeavor Asset Allocation Portfolio................................ $81,460,029
T. Rowe Price Equity Income Portfolio.............................. $ 8,766,549
T. Rowe Price Growth Stock Portfolio............................... $16,715,892
T. Rowe Price International Stock Portfolio........................ $ 1,807,333
</TABLE>
99
<PAGE>
Special Meeting of Shareholders (Unaudited)
Endeavor Series Trust
July 2, 1999
At a special meeting of the shareholders of the Portfolios (except Endeavor
Janus Growth Portfolio) of Endeavor Series Trust held on July 2, 1999:
(i) An amendment to the management agreement between Endeavor Series Trust and
the Investment Manager (all Portfolios except Endeavor Select 50 Portfolio and
Endeavor High Yield Portfolio) was approved by the shareholders as follows:
<TABLE>
<CAPTION>
Endeavor Asset Endeavor Money
Allocation Portfolio Market Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 89.940% (125,626,179.088) 93.233% (84,664,279.232)
Against...................... 3.994% (5,578,047.888) 2.460% (2,233,895.542)
Abstain...................... 6.066% (8,473,311.601) 4.307% (3,910,751.073)
<CAPTION>
T. Rowe Price
International Stock Endeavor Value
Portfolio Equity Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.301% (106,232,662.456) 89.928% (96,616,635.064)
Against...................... 3.006% (3,536,383.861) 3.446% (3,701,442.616)
Abstain...................... 6.693% (7,874,064.796) 6.626% (7,119,172.491)
<CAPTION>
Dreyfus U.S.
Dreyfus Small Cap Government Securities
Value Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 91.054% (74,499,463.227) 89.476% (62,713,924.370)
Against...................... 3.491% (2,856,321.729) 4.256% (2,983,440.123)
Abstain...................... 5.455% (4,463,024.137) 6.268% (4,392,977.441)
<CAPTION>
T. Rowe Price Equity T. Rowe Price Growth
Income Portfolio Stock Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 89.178% (111,353,457.047) 90.138% (70,619,761.642)
Against...................... 4.320% (5,394,255.509) 3.591% (2,813,164.820)
Abstain...................... 6.502% (8,118,607.436) 6.271% (4,913,019.623)
<CAPTION>
Endeavor Opportunity Endeavor Enhanced
Value Portfolio Index Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 91.012% (33,362,069.714) 92.778% (47,192,619.099)
Against...................... 2.606% (955,454.002) 2.043% (1,038,755.273)
Abstain...................... 6.382% (2,339,293.349) 5.179% (2,634,564.092)
(ii) A new management agreement between Endeavor Series Trust and the
Investment Manager relating to all the Portfolios was approved by the
shareholders as follows:
<CAPTION>
Endeavor Asset Endeavor Money
Allocation Portfolio Market Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.813% (126,845,345.437) 93.367% (84,785,811.417)
Against...................... 3.105% (4,336,759.787) 2.280% (2,070,080.105)
Abstain...................... 6.082% (8,495,433.353) 4.353% (3,953,034.325)
</TABLE>
100
<PAGE>
Special Meeting of Shareholders (Unaudited)
Endeavor Series Trust
July 2, 1999
<TABLE>
<CAPTION>
T. Rowe Price
International Stock Endeavor Value
Portfolio Equity Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.454% (106,413,406.324) 90.620% (97,359,539.017)
Against...................... 2.612% (3,073,490.969) 2.924% (3,141,466.038)
Abstain...................... 6.934% (8,157,213.820) 6.456% (6,936,245.116)
<CAPTION>
Dreyfus U.S.
Dreyfus Small Cap Government Securities
Value Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 91.377% (74,763,733.144) 90.020% (63,095,297.118)
Against...................... 3.040% (2,486,744.166) 3.701% (2,593,880.482)
Abstain...................... 5.583% (4,568,331.783) 6.279% (4,401,164.334)
<CAPTION>
Endeavor High Yield Endeavor Select 50
Portfolio Portfolio
%(Number) of %(Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 96.365% (14,040,553.988) 93.375% (19,916,743.536)
Against...................... 0.436% (63,525.984) 1.371% (292,432.186)
Abstain...................... 3.199% (466,100.059) 5.254% (1,120,670.099)
<CAPTION>
T. Rowe Price Equity T. Rowe Price Growth
Income Portfolio Stock Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.016% (112,399,591.809) 90.520% (70,918,460.378)
Against...................... 3.370% (4,208,316.391) 3.078% (2,411,950.537)
Abstain...................... 6.614% (8,258,411.792) 6.402% (5,015,535.170)
<CAPTION>
Endeavor Opportunity Endeavor Enhanced
Value Portfolio Index Portfolio
% (Number)of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 91.915% (33,692,942.048) 93.401% (47,509,280.972)
Against...................... 1.745% (639,929.575) 1.426% (725,171.674)
Abstain...................... 6.340% (2,323,945.442) 5.173% (2,631,485.818)
(iii) New investment advisory agreements between the Investment Manager and
each Portfolio's investment adviser were approved by the shareholders as
follows:
<CAPTION>
Endeavor Asset Endeavor Money
Allocation Portfolio Market Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.970% (127,064,611.711) 93.828% (85,204,065.440)
Against...................... 3.122% (4,361,127.367) 1.876% (1,703,925.128)
Abstain...................... 5.908% (8,251,799.499) 4.296% (3,900,935.279)
<CAPTION>
T. Rowe Price
International Stock Endeavor Value
Portfolio Equity Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.762% (106,774,719.513) 90.908% (97,669,068.513)
Against...................... 2.423% (2,851,109.816) 2.606% (2,799,381.511)
Abstain...................... 6.815% (8,017,281.784) 6.486% (6,968,800.147)
</TABLE>
101
<PAGE>
Special Meeting of Shareholders (Unaudited)
Endeavor Series Trust
July 2, 1999
<TABLE>
<CAPTION>
Dreyfus U.S.
Dreyfus Small Cap Government Securities
Value Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 91.601% (74,947,007.577) 90.123% (63,167,614.669)
Against...................... 2.880% (2,356,498.367) 3.658% (2,563,861.876)
Abstain...................... 5.519% (4,515,303.149) 6.219% (4,358,865.389)
<CAPTION>
T. Rowe Price Equity T. Rowe Price Growth
Income Portfolio Stock Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.535% (113,047,435.269) 91.125% (71,392,810.099)
Against...................... 2.839% (3,545,761.909) 2.571% (2,014,003.795)
Abstain...................... 6.626% (8,273,122.814) 6.304% (4,939,132.191)
<CAPTION>
Endeavor Opportunity Enhanced Index
Value Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 92.039% (33,738,586.364) 93.681% (47,651,529.333)
Against...................... 1.499% (549,312.321) 1.271% (646,899.233)
Abstain...................... 6.462% (2,368,918.380) 5.048% (2,567,509.898)
<CAPTION>
Endeavor High Yield Endeavor Select 50
Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 96.365% (14,040,553.988) 94.521% (20,161,183.569)
Against...................... 0.436% (63,525.984) 0.775% (165,306.305)
Abstain...................... 3.199% (466,100.059) 4.704% (1,003,355.947)
(iv) A proposal to permit the Investment Manager to hire and replace
investment advisers or to modify investment advisory agreements without
shareholder approval for all of the Portfolios was approved by the
shareholders as follows:
<CAPTION>
Endeavor Asset Endeavor Money
Allocation Portfolio Market Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 89.075% (124,417,423.287) 92.218% (83,742,144.461)
Against...................... 4.683% (6,541,173.805) 3.239% (2,941,015.474)
Abstain...................... 6.242% (8,718,941.485) 4.543% (4,125,765.912)
<CAPTION>
T. Rowe Price
International Stock Endeavor Value
Portfolio Equity Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 89.135% (104,861,372.073) 88.419% (94,994,506.501)
Against...................... 3.957% (4,654,791.246) 5.030% (5,405,062.371)
Abstain...................... 6.908% (8,126,947.794) 6.551% (7,037,681.299)
<CAPTION>
Dreyfus U.S.
Dreyfus Small Cap Government Securities
Value Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.154% (73,762,723.757) 88.574% (62,081,486.913)
Against...................... 4.215% (3,448,496.397) 4.921% (3,449,410.763)
Abstain...................... 5.631% (4,607,588.939) 6.505% (4,559,444.258)
</TABLE>
102
<PAGE>
Special Meeting of Shareholders (Unaudited)
Endeavor Series Trust
July 2, 1999
<TABLE>
<CAPTION>
T. Rowe Price Equity T. Rowe Price Growth
Income Portfolio Stock Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 88.044% (109,936,683.831) 88.420% (69,273,666.034)
Against...................... 4.997% (6,239,839.256) 5.028% (3,938,931.362)
Abstain...................... 6.959% (8,689,796.905) 6.552% (5,133,348.689)
<CAPTION>
Endeavor Opportunity Endeavor Enhanced
Value Portfolio Index Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.994% (33,355,369.118) 91.188% (46,383,643.922)
Against...................... 2.364% (866,578.909) 3.640% (1,851,543.209)
Abstain...................... 6.642% (2,434,869.038) 5.172% (2,630,751.333)
<CAPTION>
Endeavor High Yield Endeavor Select 50
Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 95.213% (13,872,705.514) 91.684% (19,556,055.844)
Against...................... 1.603% (233,559.985) 3.183% (678,928.992)
Abstain...................... 3.184% (463,914.532) 5.133% (1,094,860.985)
(v) The adoption of uniform policies concerning borrowing by all of the
Portfolios were approved by the shareholders as follows:
<CAPTION>
Endeavor Asset Endeavor Money
Allocation Portfolio Market Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 91.204% (127,392,019.364) 91.950% (83,499,240.668)
Against...................... 2.890% (4,036,485.433) 3.695% (3,354,771.279)
Abstain...................... 5.906% (8,249,033.780) 4.355% (3,954,913.900)
<CAPTION>
T. Rowe Price
International Stock Endeavor Value
Portfolio Equity Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.999% (107,054,451.781) 90.808% (97,561,374.287)
Against...................... 2.543% (2,991,465.333) 2.730% (2,932,912.937)
Abstain...................... 6.458% (7,597,193.999) 6.462% (6,942,962.947)
<CAPTION>
Dreyfus U.S.
Dreyfus Small Cap Government Securities
Value Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 92.020% (75,289,590.179) 91.889% (64,405,228.876)
Against...................... 2.759% (2,257,731.657) 2.076% (1,455,191.228)
Abstain...................... 5.221% (4,271,487.257) 6.035% (4,229,921.830)
<CAPTION>
T. Rowe Price Equity T. Rowe Price Growth
Income Portfolio Stock Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
------------------------ -----------------------
<S> <C> <C> <C> <C>
For.......................... 90.287% (112,737,672.759) 91.057% (71,339,161.816)
Against...................... 3.239% (4,044,811.177) 2.528% (1,980,543.182)
Abstain...................... 6.474% (8,083,836.056) 6.415% (5,026,241.087)
</TABLE>
103
<PAGE>
Special Meeting of Shareholders (Unaudited)
Endeavor Series Trust
July 2, 1999
<TABLE>
<CAPTION>
Endeavor Opportunity Endeavor Enhanced
Value Portfolio Index Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
----------------------- -----------------------
<S> <C> <C> <C> <C>
For........................... 91.580% (33,570,276.917) 93.653% (47,637,610.045)
Against....................... 2.109% (773,302.549) 1.389% (706,540.803)
Abstain....................... 6.311% (2,313,237.599) 4.958% (2,521,787.616)
<CAPTION>
Endeavor High Yield Endeavor Select 50
Portfolio Portfolio
% (Number) of % (Number) of
Shares Voting Shares Voting
----------------------- -----------------------
<S> <C> <C> <C> <C>
For........................... 96.721% (14,092,423.829) 94.660% (20,190,832.055)
Against....................... 0.123% (17,921.321) 0.695% (148,242.428)
Abstain....................... 3.156% (459,834.881) 4.645% (990,771.338)
</TABLE>
(vi) An amendment to the Dreyfus U. S. Government Securities Portfolio's
investment restriction regarding illiquid securities and a change of this
restriction to non-fundamental was approved by the shareholders as follows:
<TABLE>
<CAPTION>
Dreyfus U.S. Government
Securities Portfolio
% (Number) of
Shares Voting
-----------------------
<S> <C> <C>
For.................................................... 89.135% (62,475,339.529)
Against................................................ 3.911% (2,741,045.021)
Abstain................................................ 6.954% (4,873,957.384)
</TABLE>
(vii) The election of Trustees of Endeavor Series Trust was approved by the
shareholders of all Portfolios as follows:
<TABLE>
<CAPTION>
Withholding
For Authority
--------------- --------------
<S> <C> <C>
Vincent J. McGuinness, Jr. ...................... 885,021,631.109 49,089,393.084
Vincent J. McGuinness............................ 885,255,626.526 48,855,397.667
Timothy A. Devine................................ 885,084,429.411 49,026,594.782
Thomas J. Hawekotte.............................. 885,280,478.560 48,830,545.633
Steven L. Klosterman............................. 885,440,159.836 48,670,864.357
Halbert D. Lindquist............................. 885,303,777.866 48,807,246.327
Keith H. Wood.................................... 885,406,588.153 48,704,436.040
Peter F. Muratore................................ 885,085,137.672 49,025,886.521
</TABLE>
(viii) The ratification of the selection of Ernst & Young LLP as independent
auditors of Endeavor Series Trust was approved by the shareholders of all
Portfolios as follows:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
--- ------------- --------------
<S> <C> <C>
881,429,594.550 8,202,184.275 44,479,245.368
</TABLE>
104
<PAGE>
This report and the financial statements contained herein are submitted for the
general information of the policyholder of The Endeavor Variable Annuity. This
report is not authorized for distribution to prospective investors unless
preceded or accompanied by an effective prospectus.
