-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Bj0ovdaFaOT/rLg8Bq3QvYxzZ82k1s9xUZGYQQwmfGrpQWn5G2qGi7PRQIatFoB1 HmacF9JoCxOTW0Yxbq2Srw== /in/edgar/work/20000829/0000935069-00-000447/0000935069-00-000447.txt : 20000922 0000935069-00-000447.hdr.sgml : 20000922 ACCESSION NUMBER: 0000935069-00-000447 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20000630 FILED AS OF DATE: 20000829 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ENDEAVOR SERIES TRUST CENTRAL INDEX KEY: 0000847254 STANDARD INDUSTRIAL CLASSIFICATION: [0000 ] IRS NUMBER: 336070302 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05780 FILM NUMBER: 711984 BUSINESS ADDRESS: STREET 1: 1100 NEWPORT CENTER DR STE 200 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 BUSINESS PHONE: 6172483402 MAIL ADDRESS: STREET 1: 2101 EAST COAST HIGHWAY STREET 2: SUITE 300 CITY: CORONA DEL MAR STATE: CA ZIP: 92625 N-30D 1 0001.txt ENDEAVOR SERIES TRUST - -------------------------------------------------------------------------------- SHAREHOLDER LETTER - -------------------------------------------------------------------------------- Dear Shareholder: We are pleased to report the semi-annual financial statements for Endeavor Series Trust for the six months ended June 30, 2000. The period will be known as a reality check for investors. It is easy now to say things had gone a bit too far, a bit too fast. Valuations of some tech stocks reached triple digits. Dot-coms were being purchased indiscriminately. Speculation in the IPO market was rampant. Such high levels of returns were unsustainable. It is easy now to see that we had all the pins we needed to pop a speculative bubble. Well, it happened. After reaching a record 5048.62 on March 10, the NASDAQ Composite Index fell 37.3% to 3164.55 over the next 10 weeks. This chased much of the speculation out of the market. All of a sudden, earnings did matter, valuations were considered and interest rates became a concern. It is probably safe to say, that in varying degrees, we all became enamored with the high tech boom. But who could blame us? Technology--so magnificently symbolized by the Internet--is a shiny new toy, and it can do all sorts of amazing things. In a remarkably short period of time, online stores, instant messages, search engines and a dozen other convenient technologies have become indispensable to everyday life. Just try to imagine home or work now without e-mail. In one industry after another, increasingly powerful computer chips are turning the economic assumptions of the Industrial Age on their head. That the market struggles to set fair prices for the "new economy" really should surprise no one. After the strong corrections in the technology sector in March, April and May, the NASDAQ Composite Index recovered in June, finishing the six month period with a small loss. Most of the other markets took their cue from the tech correction and finished in negative territory for the period as well: Russell 2000 .................................... +3.0% S&P 500 ......................................... -0.4% NASDAQ Composite Index .......................... -2.5% MSCI EAFE Index ................................. -4.1% DJIA ............................................ -8.4% - -------------------------------------------------------------------------------- SHAREHOLDER LETTER (CONTINUED) - -------------------------------------------------------------------------------- With all of the "negativity" of the period, we are very pleased that six of the Endeavor portfolios provided shareholders positive net asset value returns (net of expenses) for the period: YTD 06/30/00 -------- Dreyfus Small Cap Value Portfolio ...................... 10.03% T. Rowe Price Growth Stock Portfolio ................... 7.88% Endeavor Asset Allocation Portfolio .................... 5.38% Dreyfus U.S. Government Securities Portfolio ........... 4.60% Endeavor Money Market Portfolio ........................ 2.80% Endeavor High Yield Portfolio .......................... 0.79% Endeavor Janus Growth Portfolio ........................ -1.86% Endeavor Enhanced Index Portfolio ...................... -1.98% Endeavor Opportunity Value Portfolio ................... -2.82% T. Rowe Price Equity Income Portfolio .................. -3.11% Endeavor Select Portfolio .............................. -4.41% T. Rowe Price International Stock Portfolio ............ -4.95% Endeavor Value Equity Portfolio ........................ -5.89% Our mission is to offer you well-balanced, diversified investment portfolios that utilize different investment styles managed by specialized investment firms to provide you the investment tools for your financial plan. We encourage you to sit down with your financial advisor and revisit your plans for diversification and asset allocation. Discipline comes hard in periods of extreme, but it is the exercise of discipline that separates investors from speculators. We appreciate the opportunity to help you carry out your financial plan. Sincerely, /S/ VINCENT MCGUINESS, JR. Vincent McGuinness, Jr. President Endeavor Series Trust July 30, 2000 2 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 99.0% BUSINESS SERVICES -- 2.0% 73,800 Interim Services, Inc.+........ $ 1,309,950 278,400 Modis Professional Services, Inc.+ ....................... 2,122,800 29,600 Superior Consultant Holdings Corporation.................. 140,600 96,500 Technology Solutions Company+.. 597,094 ----------- 4,170,444 ----------- CHEMICALS -- 5.3% 219,300 Crompton Corporation........... 2,686,425 116,300 Geon Company................... 2,151,550 203,000 M. A. Hanna Company............ 1,827,000 142,300 Solutia, Inc................... 1,956,625 164,500 Wellman, Inc................... 2,662,844 ----------- 11,284,444 ----------- COMPUTER SERVICE AND SOFTWARE -- 15.8% 29,100 BARRA, Inc.+................... 1,442,269 173,100 Hypercom Corporation+.......... 2,488,312 725,950 Informix Corporation+.......... 5,399,253 63,000 Inter-Tel, Inc................. 1,011,937 207,300 Keane, Inc.+................... 4,482,862 73,500 MarchFirst Inc................. 1,341,375 104,800 Mentor Graphics Corporation+... 2,082,900 573,300 Parametric Technology Corporation+................. 6,306,300 84,800 Perot Systems Corporation...... 932,800 351,400 Quantum Corporation - DLT & Storage Systems+........... 3,404,187 131,300 Structural Dynamics Research Corporation+................. 1,977,706 140,000 Systems & Computer Technology Corporation+................. 2,800,000 ----------- 33,669,901 ----------- COMPUTERS -- 6.4% 276,600 Ingram Micro, Inc., Class A+... 4,823,212 404,300 Maxtor Corporation+............ 4,270,419 255,400 Quantum Corporation............ 2,825,362 117,700 S3, Inc.+...................... 1,736,075 ----------- 13,655,068 ----------- CONSUMER PRODUCTS -- 0.4% 47,700 Fossil, Inc.+.................. 927,169 ----------- CONTAINERS -- 0.3% 274,800 Gaylord Container Corporation, Class A+..................... 738,525 ----------- ELECTRONICS -- 8.0% 96,400 Applied Power, Inc., Class A... 3,229,400 89,400 Arrow Electronics, Inc.+....... 2,771,400 86,400 Avnet, Inc..................... 5,119,200 63,200 Electronics for Imaging........ 1,599,750 VALUE SHARES (NOTE 1) ------ -------- ELECTRONICS -- (CONTINUED) 218,600 General Semiconductor, Inc.+... $ 3,224,350 30,700 Manufacturers' Services Limited 631,269 37,800 Ultratech Stepper, Inc.+....... 562,275 ----------- 17,137,644 ----------- ENTERTAINMENT AND LEISURE -- 0.2% 39,700 Midway Games, Inc.+............ 320,081 ----------- FINANCIAL SERVICES -- 4.8% 56,800 Block (H&R), Inc............... 1,838,900 117,300 Heller Financial, Inc.......... 2,404,650 105,300 Nationwide Financial Services, Inc., Class A................ 3,461,737 153,300 Profit Recovery Group International, Inc.+......... 2,548,612 ----------- 10,253,899 ----------- HEALTH CARE -- 0.8% 119,700 HEALTHSOUTH Corporation........ 860,344 93,500 Omnicare, Inc.................. 847,344 ----------- 1,707,688 ----------- INSURANCE -- 1.9% 122,000 Everest Reinsurance Holdings, Inc. ........................ 4,010,750 ----------- MANUFACTURING -- 9.6% 228,500 Abitibi-Consolidated, Inc...... 2,142,187 123,600 AGCO Corporation............... 1,514,100 180,800 Agrium, Inc.................... 1,559,400 174,317 AK Steel Holding Corporation... 1,394,536 2,300 Alberto-Culver Company, Class A 60,375 134,500 Flowserve Corporation.......... 2,025,906 205,600 IMC Global, Inc................ 2,672,800 55,700 NS Group, Inc.+................ 1,166,219 131,000 NBTY, Inc.+.................... 835,125 105,600 Polaroid Corporation........... 1,907,400 1,700 Rayovac Corporation+........... 38,038 61,400 Timken Company................. 1,143,575 169,700 UCAR International, Inc.+...... 2,216,706 99,000 Wolverine Tube, Inc.+.......... 1,683,000 ----------- 20,359,367 ----------- MEDIA AND COMMUNICATIONS -- 2.2% 182,200 Allen Telecom, Inc.+........... 3,222,662 155,800 Cumulus Media, Inc., Class A+.. 1,421,675 ----------- 4,644,337 ----------- MEDICAL AND SCIENTIFIC SUPPLIES -- 0.2% 26,700 Mylan Laboratories, Inc........ 487,275 ----------- OIL AND GAS -- 10.1% 36,200 Friede Goldman International, Inc.+ ....................... 323,537 29,000 Global Industries, Ltd.+....... 547,375 See Notes to Financial Statements. 3 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) OIL AND GAS -- (CONTINUED) 271,800 Key Energy Services, Inc.+..... $ 2,616,075 288,700 Newpark Resources, Inc.+....... 2,724,606 108,000 Noble Affiliates, Inc.......... 4,023,000 196,600 Ocean Energy, Inc.+............ 2,789,262 336,900 Santa Fe Snyder Corporation+... 3,832,237 114,100 Tidewater, Inc................. 4,107,600 20,400 Varco International, Inc....... 474,300 ----------- 21,437,992 ----------- PUBLISHING -- 1.0% 233,000 Ziff-Davis, Inc.+.............. 2,097,000 ----------- RESTAURANTS -- 0.2% 14,100 Papa John's International, Inc.+ 345,450 ----------- RETAIL -- 13.8% 222,200 Abercrombie & Fitch Company, Class A+..................... 2,708,063 73,500 American Eagle Outfitters, Inc.+ 1,029,000 146,200 Ames Department Stores, Inc.... 1,133,050 91,600 AnnTaylor Stores Corporation+.. 3,034,250 54,000 Brown Shoe Company, Inc. 702,000 123,100 Burlington Coat Factory Warehouse Corporation.................. 1,331,019 160,600 Consolidated Stores Corporation+ 1,927,200 63,100 Finlay Enterprises, Inc.+...... 820,300 85,400 Fleming Companies, Inc......... 1,115,538 285,400 Heilig-Meyers Company.......... 338,913 375,000 OfficeMax, Inc.+............... 1,875,000 99,800 Pacific Sunwear of California, Inc.+ ....................... 1,871,250 96,100 Reebok International, Limited+. 1,531,594 67,900 Ross Stores, Inc............... 1,158,544 52,700 School Specialty, Inc.......... 978,244 94,700 ShopKo Stores, Inc.+........... 1,456,013 210,900 Sunglass Hut International, Inc.+ ....................... 1,733,334 454,000 Venator Group, Inc............. 4,653,500 ----------- 29,396,812 ----------- SERVICES -- 5.3% 32,900 CDI Corporation+............... 670,338 153,100 Fluor Corporation.............. 4,841,788 294,500 Foster Wheeler Corporation..... 2,540,063 214,700 Kforce.com, Inc................ 1,489,481 81,800 Regis Corporation.............. 1,022,500 53,400 Sylvan Learning Systems, Inc.+. 734,250 ----------- 11,298,420 ----------- TECHNOLOGY -- 6.7% 124,600 Artesyn Technologies, Inc.+.... 3,465,438 122,600 J. D. Edwards & Company........ 1,846,663 117,500 Tech Data Corporation+......... 5,118,594 177,600 Thermo Electron Corporation+... 3,740,700 ----------- 14,171,395 ----------- VALUE SHARES (NOTE 1) ------ -------- TEXTILES AND APPAREL -- 1.6% 6,900 Phillips-Van Heusen Corporation $ 65,550 266,900 Tommy Hilfiger Corporation+.... 2,001,750 136,600 Wolverine World Wide, Inc...... 1,348,925 ----------- 3,416,225 ----------- TRANSPORTATION -- 2.4% 106,900 Offshore Logistics, Inc........ 1,536,688 144,700 Trico Marine Services, Inc.+... 1,844,925 120,200 Yellow Corporation+............ 1,772,950 ----------- 5,154,563 ----------- Total Common Stock (Cost $210,261,117).......... 210,684,449 ----------- PRINCIPAL AMOUNT --------- COMMERCIAL PAPER -- 1.2% $ 2,591,000 General Electric Capital, 6.900% due 07/03/00.......... 2,591,000 ----------- Total Commercial Paper (Cost $2,591,000)............ 2,591,000 ----------- TOTAL INVESTMENTS (COST $212,852,117*).............. 100.2% 213,275,449 OTHER ASSETS AND LIABILITIES (NET)............................. (0.2)% (347,320) ------ ------------ NET ASSETS........................... 100.0% $212,928,129 ======= ============ NET ASSETS CONSIST OF: Accumulated net realized gain on investments 19,020,109 Net unrealized appreciation of investments... 423,332 Paid-in capital.............................. 193,484,688 ------------ TOTAL NET ASSETS............................. $212,928,129 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding....................... $ 15.48 =========== Number of Portfolio shares outstanding....... 13,756,898 =========== - -------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. See Notes to Financial Statements. 4 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- AGENCY SECURITIES -- 36.1% FEDERAL HOME LOAN BANK (FHLB) -- 0.7% $ 550,000 5.590% due 01/05/01........... $ 546,304 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.3% 83,003 9.500% due 07/25/22........... 87,230 101,955 9.500% due 12/01/22........... 106,830 ----------- 194,060 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 17.1% 63,929 7.000% due 08/01/03........... 63,182 103,299 7.500% due 06/01/09........... 103,432 550,860 6.500% due 02/01/13........... 531,921 369,977 6.500% due 03/01/13........... 357,258 664,228 6.000% due 08/01/13........... 628,107 669,220 6.000% due 11/01/13........... 632,828 505,796 6.000% due 11/01/13........... 478,290 918,269 6.000% due 11/01/13........... 869,766 816,234 6.000% due 11/01/13........... 773,121 808,902 6.000% due 12/01/13........... 764,914 35,723 7.000% due 07/01/22........... 34,843 100,771 7.000% due 07/01/23........... 97,967 158,840 6.500% due 02/01/26........... 150,550 126,111 7.000% due 09/01/26........... 122,091 6,980,000 7.500% due 07/15/30........... 6,880,744 ----------- 12,489,014 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 9.4% 138,779 8.000% due 07/15/17........... 141,336 88,419 8.500% due 12/15/21........... 90,712 136,934 9.000% due 12/15/21........... 142,239 162,645 7.000% due 11/15/23........... 158,680 239,139 7.500% due 12/15/23........... 238,168 220,410 8.000% due 06/15/27........... 222,890 210,462 8.000% due 07/15/27........... 212,830 988,869 8.000% due 08/15/27........... 999,994 595,359 7.000% due 09/20/28........... 575,872 1,013,421 7.000% due 01/20/29........... 980,249 1,077,617 7.000% due 07/20/29........... 1,042,345 2,108,587 7.000% due 09/20/29........... 2,039,568 ----------- 6,844,883 ----------- SMALL BUSINESS ADMINISTRATION (SBA) -- 3.8% 811,823 6.300% due 05/01/18........... 751,812 941,273 5.500% due 10/01/18........... 826,993 1,384,924 5.800% due 12/01/18........... 1,239,076 ----------- 2,817,881 ----------- TENNESSEE VALLEY AUTHORITY (TVA) -- 4.8% 3,778,775 TVA, Bonds, 3.375% due 01/15/07.......... 3,504,209 ----------- Total Agency Securities (Cost $26,981,694)........... 26,396,351 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- CORPORATE FIXED INCOME SECURITIES -- 21.1% AIRLINES -- 1.8% $ 1,500,000 Delta Air Lines, 8.300% due 12/15/29.......... $ 1,311,525 ----------- CHEMICALS -- 2.7% 2,000,000 ICI Wilmington, Company Guarantee, 6.950% due 09/15/04.......... 1,928,532 ----------- COMMUNICATIONS -- 1.2% 934,000 CSC Holdings, Inc., Debentures, 8.125% due 08/15/09.......... 907,913 ----------- FEDERAL AGENCY AND GOVERNMENT -- 1.5% 1,068,060 WI Treasury Security, 3.625% due 07/15/02.......... 1,060,712 ----------- FINANCIAL -- 3.3% 1,500,000 Bombardier Capital, Ltd., Notes, 7.500% due 08/15/04.......... 1,487,592 949,000 Morgan Stanley Dean Witter, 7.750% due 06/15/05.......... 955,558 ----------- 2,443,150 ----------- FORESTRY -- 0.3% 250,000 Tembec Industries, Inc., Company Guarantee, 8.625% due 06/30/09.......... 240,000 ----------- INDUSTRIAL -- 0.9% 672,000 Lowe's Companies, Inc., 8.250% due 06/01/10.......... 689,042 ----------- INSURANCE -- 1.4% 1,005,000 Mony Group, Inc. 8.350% due 03/15/10.......... 990,086 ----------- OIL AND GAS -- 0.0%** 30,000 Norcen Energy Resources, Debentures, 7.375% due 05/15/06.......... 29,322 ----------- RESTAURANTS -- 2.2% 1,750,000 Tricon Global Restaurant, Senior Notes, 7.450% due 05/15/05.......... 1,616,615 ----------- RETAIL -- 0.9% 750,000 Saks, Inc., Company, 8.250% due 11/15/08.......... 666,172 ----------- TELECOMMUNICATIONS -- 2.7% 2,000,000 Cable & Wireless, 8.000% due 06/22/10++........ 1,979,080 ----------- See Notes to Financial Statements. 5 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) TELEPHONE -- 2.2% $ 2,000,000 Qwest Communications International, Senior Discount Notes,^ 8.290% due 02/01/08.......... $ 1,604,120 ----------- Total Corporate Fixed Income Securities (Cost $15,626,745)........... 15,466,269 ----------- U.S. TREASURY OBLIGATIONS -- 46.4% STRIP -- 3.9% 1,876,000 3.625% due 07/15/02^.......... 1,707,029 1,191,094 3.875% due 04/15/29^.......... 1,186,258 ----------- 2,893,287 ----------- U.S. TREASURY BONDS -- 28.0% 2,500,000 12.000% due 08/15/13.......... 3,375,000 2,900,000 11.250% due 02/15/15.......... 4,276,137 705,000 6.125% due 08/15/29........... 712,050 7,998,000 6.250% due 05/15/30........... 8,391,662 3,020,000 7.500% due 07/01/30........... 2,980,834 1,000,000 6.550% due 11/15/04........... 760,300 ----------- 20,495,983 ----------- U.S. TREASURY NOTES -- 14.5% 500,000 6.375% due 08/15/02##......... 499,530 5,000,000 6.375% due 06/30/02........... 5,001,563 5,000,000 6.750% due 05/15/05........... 5,116,400 ----------- 10,617,493 ----------- Total U.S. Treasury Obligations (Cost $34,023,999)........... 34,006,763 ----------- REPURCHASE AGREEMENT -- 11.5% 8,408,000 Agreement with The Boston Company, 6.530 % to be repurchased at $8,412,575 on 07/03/00, collaterized by $7,725,400 U.S. Treasury Bond 6.750% due 08/15/26, market value $8,576,160...... ............ 8,408,000 ----------- Total Repurchase Agreement (Cost $8,408,000)............ 8,408,000 ----------- TOTAL INVESTMENTS (COST $85,040,438*)............... 115.1% 84,277,383 OTHER ASSETS AND LIABILITIES (NET)............................. (15.1)% (11,075,059) ------- ----------- NET ASSETS........................... 100.0% $73,202,324 ======= =========== VALUE (NOTE 1) -------- NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 2,138,617 Accumulated net realized loss on investments and futures contracts...................... (2,517,153) Net unrealized depreciation of investments and futures contracts...................... (874,696) Paid-in capital.............................. 74,455,556 ----------- TOTAL NET ASSETS............................. $73,202,324 =========== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ..... $ 11.28 =========== Number of Portfolio shares outstanding....... 6,489,488 =========== - -------------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ^ Zero coupon security as of June 30, 2000. The coupon shown is the set-up rate. ## Security pledged as collateral for open futures contracts. See Notes to Financial Statements. 6 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 72.9% AEROSPACE AND DEFENSE -- 0.9% 73,500 General Dynamics Corporation... $ 3,840,375 ----------- BANKING AND FINANCIAL SERVICES -- 4.5% 68,200 American Express Company....... 3,554,925 109,100 Bank of New York Company, Inc.. 5,073,150 91,825 Citigroup, Inc................. 5,532,456 45,900 Fannie Mae..................... 2,395,406 63,300 FleetBoston Financial Corporation 2,152,200 ----------- 18,708,137 ----------- COMPUTER SERVICES AND SOFTWARE -- 7.7% 19,000 ASM Lithography Holding N.V.+.. 838,375 26,400 EMC Corporation+............... 2,031,150 16,100 Hewlett-Packard Company........ 2,010,487 8,500 Inktomi Corporation+........... 1,005,125 25,700 International Business Machines Corporation (IBM)............ 2,815,756 12,000 Juniper Networks, Inc.+........ 1,746,750 110,600 Microsoft Corporation+......... 8,848,000 66,000 Oracle Corporation+............ 5,548,125 14,800 Seagate Technology, Inc........ 814,000 4,100 Storagenetworks, Inc........... 370,025 47,300 Sun Microsystems, Inc.+........ 4,301,344 2,600 VeriSign, Inc.+................ 458,900 9,000 Yahoo!, Inc.+.................. 1,114,875 ----------- 31,902,912 ----------- CONSUMER NON-DURABLES -- 1.0% 91,100 Philip Morris Companies, Inc... 2,419,844 29,700 Procter & Gamble Company....... 1,700,325 ----------- 4,120,169 ----------- CONSUMER SERVICES -- 0.2% 21,800 TV Guide Inc., Class A+........ 746,650 ----------- DIVERSIFIED OPERATIONS -- 12.4% 3,200 Capstone Turbine Corporation... 144,200 9,900 Corning, Inc................... 2,671,762 265,000 General Electric Company....... 14,045,000 17,200 Omnicom Group, Inc............. 1,531,875 16,200 PE Corporation-PE Biosystems Group........................ 1,067,175 45,300 Textron, Inc................... 2,460,356 371,400 Tyco International, Ltd........ 17,595,075 206,900 United Technologies Corporation 12,181,237 ----------- 51,696,680 ----------- ELECTRONICS -- 3.6% 8,000 Analog Devices+................ 608,000 7,600 Broadcom Corporation, Class A+. 1,663,925 10,900 General Motors Corporation, Class H...................... 956,475 26,600 Intersil Holding Corporation+.. 1,438,062 1,400 Marvell Technology Group Ltd... 79,800 56,600 Maxim Integrated Products, Inc.+ 3,845,262 VALUE SHARES (NOTE 1) ------ -------- ELECTRONICS -- (CONTINUED) 3,300 PMC-Sierra, Inc.+.............. $ 586,369 81,200 Texas Instruments, Inc......... 5,577,425 ----------- 14,755,318 ----------- FOOD AND BEVERAGES -- 1.9% 40,900 Anheuser-Busch Companies, Inc.. 3,054,719 22,200 Keebler Foods Company+......... 824,175 68,600 PepsiCo, Inc................... 3,048,412 15,800 Quaker Oats Company............ 1,186,975 ----------- 8,114,281 ----------- INSURANCE -- 0.8% 28,700 American International Group, Inc. ........................ 3,372,250 ----------- MEDIA AND ENTERTAINMENT -- 5.0% 43,000 AMFM, Inc.+.................... 2,967,000 182,800 AT&T Corporation - Liberty Media Group, Class A+.............. 4,432,900 52,300 Clear Channel Communications, Inc.+........ 3,922,500 87,100 Time Warner, Inc............... 6,619,600 39,819 Viacom, Inc., Class B.......... 2,715,158 ----------- 20,657,158 ----------- MEDICAL SERVICES AND SUPPLIES -- 9.8% 26,000 Abbott Laboratories............ 1,158,625 77,300 American Home Products Corporation.................. 4,541,375 19,500 Amgen, Inc.+................... 1,369,875 38,800 Bristol-Myers Squibb Company... 2,260,100 2,800 Genentech, Inc.+............... 481,600 36,500 HCA-Healthcare Company......... 1,108,687 46,200 Johnson & Johnson.............. 4,706,625 13,800 Lilly (Eli) & Company.......... 1,378,275 12,600 MedImmune, Inc.+............... 932,400 42,600 Merck & Company, Inc........... 3,264,225 373,100 Pfizer, Inc.................... 17,908,800 21,100 Schering-Plough Corporation.... 1,065,550 14,000 Spectrasite Holdings, Inc...... 397,250 7,400 Tularik, Inc................... 218,300 ----------- 40,791,687 ----------- RETAIL -- 4.9% 17,600 Brinker International, Inc.+... 514,800 40,000 Costco Wholesale Corporation... 1,320,000 176,347 Home Depot, Inc................ 8,806,328 68,500 Intimate Brands, Inc........... 1,352,875 53,400 Limited (The), Inc............. 1,154,775 45,900 Safeway, Inc.+................. 2,071,237 16,200 Tiffany & Company.............. 1,093,500 69,500 Wal-Mart Stores, Inc........... 4,004,937 ----------- 20,318,452 ----------- See Notes to Financial Statements. 7 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) TECHNOLOGY -- 8.9% 6,141 Agilent Technologies, Inc...... $ 452,865 68,100 Applied Materials, Inc.+....... 6,171,562 11,400 CIENA Corporation+............. 1,900,237 212,700 Cisco Systems, Inc.+........... 13,519,744 19,700 Genuity, Inc................... 180,378 14,900 Infineon Technologies AG, ADR+. 1,180,825 101,400 Intel Corporation.............. 13,555,912 ----------- 36,961,523 ----------- TELECOMMUNICATIONS -- 11.1% 1,100 Accelerated Networks........... 46,406 74,200 American Tower Corporation, Class A+..................... 3,093,212 49,305 AT&T Corporation............... 1,559,271 25,700 AT&T Wireless Group............ 716,387 15,100 BellSouth Corporation.......... 643,637 50,500 Comcast Corporation, Class A+.. 2,045,250 17,900 Comcast Corporation, Class H... 695,863 50,700 Crown Castle International Corporation+................. 1,850,550 4,200 Exfo Electro-Optical Engineering, Inc. ........................ 184,275 28,890 Global Crossing, Ltd.+......... 760,158 72,000 GTE Corporation................ 4,482,000 52,700 Lucent Technologies, Inc....... 3,122,475 140,400 Motorola, Inc.................. 4,080,375 18,400 Nextel Communications, Inc., Class A+............... 1,125,850 8,400 NEXTLINK Communications, Inc., Class A+............... 318,675 109,300 Nortel Networks Corporation.... 7,459,725 77,085 Pharmacia Corporation.......... 3,984,331 20,000 Pinnacle Holdings, Inc......... 1,080,000 35,300 Sprint Corporation............. 1,800,300 5,200 Stratos Lightwave, Inc......... 144,950 34,200 Uniphase Corporation........... 4,099,725 58,500 Worldcom, Inc.................. 2,683,688 ----------- 45,977,103 ----------- UTILITIES -- 0.2% 21,600 Montana Power Company.......... 762,750 ----------- Total Common Stock (Cost $208,833,499).......... 302,725,445 ----------- PRINCIPAL AMOUNT --------- AGENCY SECURITIES -- 18.8% FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.6% $ 4,050,000 6.625% due 09/15/09........... 3,911,409 411,135 9.500% due 01/01/17........... 425,568 473,703 11.500% due 05/01/20.......... 513,973 247,546 6.138% due 06/15/20........... 245,994 1,000,000 7.500% due 07/01/30........... 986,563 450,000 8.000% due 07/01/30........... 452,354 ----------- 6,535,861 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 12.5% $ 2,020,000 6.340% due 02/04/08........... $ 1,891,851 7,800,000 5.250% due 01/15/09........... 6,874,998 449,664 10.000% due 11/01/18.......... 477,920 443,180 11.000% due 09/01/19.......... 480,571 45,688 7.356% due 03/25/24........... 46,131 462,969 9.000% due 07/01/25........... 477,994 503,844 9.000% due 04/01/26........... 518,954 356,255 7.049% due 04/18/28........... 354,670 1,627,478 6.000% due 05/01/29........... 1,489,647 9,963,318 6.000% due 05/01/29........... 9,119,524 3,895,000 6.250% due 05/15/29........... 3,502,462 5,000,000 7.125% due 01/15/30........... 5,036,700 2,700,000 6.500% due 07/01/30........... 2,545,587 1,150,000 7.000% due 07/01/30........... 1,110,291 19,875,000 6.000% due 07/01/30........... 18,188,805 ----------- 52,116,105 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 4.7% 148,738 10.500% due 12/15/14.......... 159,223 88,449 9.500% due 04/15/17........... 93,092 113,667 9.500% due 05/15/17........... 119,633 164,941 9.500% due 08/15/17........... 173,599 470,936 10.000% due 08/15/17.......... 499,032 79,360 9.500% due 10/15/17........... 83,525 59,537 9.500% due 11/15/17........... 62,662 361,699 9.500% due 12/15/17........... 378,055 104,394 9.500% due 07/15/18........... 109,841 354,400 9.500% due 10/15/18........... 373,002 148,675 9.500% due 09/15/19........... 156,386 323,097 9.000% due 12/15/19........... 336,021 472,061 9.500% due 06/15/20........... 496,547 484,841 10.000% due 12/15/20.......... 514,688 448,067 9.500% due 12/15/21........... 471,447 387,655 10.000% due 07/15/22.......... 411,174 643,340 7.375% due 01/20/25........... 645,251 250,037 10.000% due 02/15/25.......... 265,429 157,956 7.375% due 02/20/25........... 158,425 486,456 6.875% due 03/20/25........... 487,750 58,134 6.375% due 04/20/25........... 58,225 458,020 6.875% due 04/20/25........... 457,289 67,238 6.875% due 05/20/25........... 67,110 504,343 6.375% due 06/20/25........... 505,129 280,477 6.375% due 06/20/25........... 281,004 293,333 6.750% due 07/20/25........... 295,075 271,736 6.625% due 09/20/27........... 272,755 153,471 7.125% due 10/20/27........... 153,951 377,533 7.125% due 11/20/27........... 378,715 125,170 7.125% due 12/20/27........... 125,542 11,050,000 7.000% due 07/01/30........... 10,740,932 ----------- 19,330,509 ----------- Total Agency Securities (Cost $79,024,420)........... 77,982,475 ----------- See Notes to Financial Statements. 8 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- CORPORATE FIXED INCOME SECURITIES -- 8.7% $ 350,000 Albertsons, Inc., Debentures, 7.450% due 08/01/29.......... $ 320,982 180,000 American General Corporation, Notes, 7.500% due 07/15/25.......... 170,287 210,000 American General Finance, Senior Notes, 6.750% due 11/15/04.......... 202,085 250,000 Anthem Insurance, Senior Notes, 9.000% due 04/01/27++........ 201,801 190,000 Associates Corporation of North America, Senior Notes, 6.000% due 07/15/05.......... 177,606 435,000 AT&T Corporation 6.500% due 03/15/29##........ 364,316 390,000 AXA Financial, Inc., Senior Notes, 6.500% due 04/01/08.......... 359,307 130,000 Bank of America Corporation, Senior Notes, 5.875% due 02/15/09.......... 114,472 200,000 Bank of America Corporation, Subordinate Notes, 6.800% due 03/15/28.......... 170,119 165,000 Bank Of Boston Corporation 6.625% due 12/01/05.......... 156,144 485,000 Bank One Corporation, Subordinate Notes, 6.000% due 02/17/09.......... 421,979 Becton, Dickinson, Debentures: 110,000 7.000% due 08/01/27.......... 98,751 160,000 6.700% due 08/01/28.......... 137,936 440,000 BellSouth Telecommunications, Inc., Debentures, 6.375% due 06/01/28.......... 365,429 295,000 BT Institutional Capital Trust 8.090% due 12/01/26++........ 263,072 Burlington Northern Santa Fe, Debentures: 115,000 6.875% due 12/01/27.......... 98,990 425,000 6.700% due 08/01/28.......... 357,302 Chase Manhattan Corporation, Subordinate Notes: 300,000 6.000% due 02/15/09.......... 265,562 105,000 7.000% due 11/15/09.......... 99,674 545,000 Chevron Corporation 6.625% due 10/01/04.......... 535,419 495,000 CIT Group, Inc., Senior Notes, 5.910% due 11/23/05.......... 452,767 580,000 CitiCorp, Subordinate Notes, 6.375% due 11/15/08.......... 536,500 450,000 CMS Panhandle Holding Company, Senior Notes, 7.000% due 07/15/29.......... 380,009 265,000 Comcast Cable Communications, Inc., 8.375% due 05/01/07.......... 273,027 350,000 Comdisco, Inc. 6.375% due 11/30/01.......... 338,657 645,000 Conoco, Inc., Senior Notes, 6.950% due 04/15/29.......... 586,331 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- Continental Airlines, Inc., Pass Through Certificates: $ 298,229 6.648% due 09/15/17.......... $ 269,796 170,430 6.545% due 02/02/19.......... 153,478 545,000 DaimlerChrysler North America Holding Corporation, Company Guarantee, 7.200% due 09/01/09.......... 524,666 Dayton Hudson Corporation, Debentures: 180,000 6.750% due 01/01/28.......... 155,093 300,000 6.650% due 08/01/28.......... 254,892 450,000 Delphi Auto Systems Corporation, Debentures, 7.125% due 05/01/29.......... 386,160 EOP Operating LP: 245,000 7.500% due 04/19/29.......... 212,881 240,000 7.250% due 06/15/28++........ 201,475 250,000 Equitable Life Assurance 6.950% due 12/01/05++........ 245,383 640,000 Farmers Exchange Capital Insurance 7.050% due 07/15/28++........ 524,858 Federated Department Stores, Debentures: 420,000 6.900% due 04/01/29++........ 348,016 55,000 7.000% due 02/15/28.......... 46,252 338,234 Fifty Seventh Street Association 7.125% due 06/01/17.......... 283,751 145,000 FleetBoston Financial Corporation, Subordinate Notes, 6.625% due 02/01/04.......... 139,734 570,000 Florida Windstorm 7.125% due 02/25/19++........ 521,472 710,000 Ford Motor Company 6.625% due 10/01/28.......... 597,856 215,000 Ford Motor Credit Company 7.375% due 10/28/09.......... 207,963 485,000 General Electric Capital Corporation 7.250% due 05/03/04.......... 486,314 490,000 General Electric Capital Corporation, Notes, Series A, 7.375% due 01/19/10.......... 495,909 705,000 General Motors Acceptance Corporation, Notes, 7.750% due 01/19/10.......... 700,833 210,000 Goldman Sachs Group 6.500% due 02/25/09.......... 190,806 665,000 GTE Corporation, Debentures, 6.940% due 04/15/28.......... 588,618 405,000 Hartford Life Insurance Company, Debentures, 7.650% due 06/15/27.......... 382,928 440,000 Hertz Corporation, Senior Notes, 7.625% due 08/15/07.......... 434,887 585,000 Home Depot, Inc., Senior Notes, 6.500% due 09/15/04++........ 579,526 120,000 Honeywell International, Notes, 7.500% due 03/01/10.......... 120,241 600,000 Household Finance Corporation, 6.375% due 08/01/10.......... 532,974 See Notes to Financial Statements. 9 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - --------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) $ 330,000 Hyatt Equities LLC, 9.250% due 05/15/05++........ $ 339,242 570,000 IBM Corporation, Debentures, 6.500% due 01/15/28.......... 513,889 630,000 John Hancock, Notes, 7.375% due 02/15/24.......... 576,954 560,000 Johnson and Johnson, Debentures, 6.625% due 09/01/09.......... 539,521 140,000 Kroger Company, Company Guarantee, 8.050% due 02/01/10.......... 139,123 415,000 Kroger Company, Debentures, 7.700% due 06/01/29++........ 381,442 350,000 Lehman Brothers, Inc., Senior Subordinate Notes, 7.125% due 07/15/02.......... 345,832 430,000 Lockheed Martin Corporation, Notes, 8.200% due 12/01/09.......... 435,229 Lowe's Companies, Inc., Debentures: 340,000 6.875% due 02/15/28.......... 287,705 180,000 6.500% due 03/15/29++........ 145,510 645,000 Lucent Technologies, Inc., Debentures, 6.450% due 03/15/29.......... 565,394 35,000 May Department Stores Company, 7.875% due 03/01/30.......... 33,915 560,000 May Department Stores Company, 6.700% due 09/15/28.......... 470,366 15,000 May Department Stores Company, Company Guarantee, 9.750% due 02/15/21.......... 16,965 255,000 Merck & Company, Inc., Debentures, 5.950% due 12/01/28.......... 213,922 Metropolitan Life Insurance Company: 250,000 7.450% due 11/01/23++........ 217,080 250,000 7.800% due 11/01/25++........ 235,164 625,000 Monsanto Company, 6.600% due 12/01/28.......... 552,586 250,000 Nationwide Mutual Insurance, 7.500% due 02/15/24++........ 205,510 390,000 Neiman Marcus Group, Inc., Senior Notes, 6.650% due 06/01/08.......... 355,922 250,000 News America , Inc., Debentures, 7.280% due 06/30/28.......... 215,540 300,000 News America Holdings, Inc., Senior Notes, 8.500% due 02/15/05.......... 308,679 375,000 Norfolk Southern Corporation, Senior Notes, 6.200% due 04/15/09.......... 333,720 550,000 Northern Trust Company, 6.625% due 10/01/03.......... 537,836 350,000 Norwest Corporation, Medium Term Notes, 6.125% due 10/15/00.......... 349,188 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- $ 190,000 Norwest Financial, Inc., Senior Notes, 5.625% due 02/03/09.......... $ 164,422 125,000 Phillips Petroleum, 8.750% due 05/25/10.......... 131,678 PNC Funding Corporation, Company Guarantee: 295,000 6.125% due 02/15/09.......... 261,444 335,000 7.500% due 11/01/09.......... 326,015 425,000 Prime Property Funding II, 6.800% due 08/15/02++........ 415,214 Procter and Gamble Company: 990,000 6.600% due 12/15/04.......... 970,238 270,000 6.875% due 09/15/09.......... 263,122 575,000 Prudential Insurance Company, 8.300% due 07/01/25++........ 588,168 160,000 Raytheon Company, 8.300% due 03/01/10.......... 162,939 270,000 Raytheon Company, Notes, 8.200% due 03/01/06++........ 273,983 425,000 Rockwell International Corporation, Debentures, 6.700% due 01/15/28.......... 372,869 535,000 Scotia Pacific Company LLC, Collateralized Notes, 7.710% due 01/20/14.......... 374,500 165,000 Southern Energy, Senior Notes, 7.900% due 07/15/09++........ 150,869 225,000 State Street Corporation, 7.650% due 06/15/10.......... 224,604 215,000 Sun Microsystems, Inc., Senior Notes, 7.650% due 08/15/09.......... 211,038 235,000 Suntrust Banks, Inc., 7.750% due 05/01/10.......... 233,642 130,000 Time Warner Entertainment Company, Debentures, 7.250% due 09/01/08.......... 125,737 90,000 Time Warner, Inc., Company Guarantee, 6.625% due 05/15/29.......... 74,289 235,000 Times Mirror Company, 7.450% due 10/15/09.......... 230,735 290,000 TRW, Inc., 8.750% due 05/15/06.......... 296,319 355,000 United Parcel Service, Debentures, 8.375% due 04/01/20.......... 380,851 535,000 United Technologies Corporation, 6.700% due 08/01/28.......... 473,700 524,367 US Airways, Inc., Pass Through Certificates, 6.850% due 01/30/18.......... 465,648 205,000 US Airways, Pass Thru Certificates, Class G, 8.110% due 02/20/17.......... 204,254 520,000 US West Communications, 7.625% due 06/09/03.......... 518,617 990,000 Wal-Mart Stores, Inc., Senior Notes, 6.875% due 08/10/09.......... 967,101 205,000 Washington Mutual, Inc., 8.250% due 04/01/10.......... 202,670 See Notes to Financial Statements. 10 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - --------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) $ 345,000 Washington Mutual, Inc., Company Guarantee, 8.375% due 06/01/27.......... $ 305,891 885,000 World Financial Properties, Inc., Pass Through Certificates, 6.950% due 09/01/13++........ 813,952 715,000 WorldCom, Inc., Senior Notes, 6.950% due 08/15/28.......... 631,713 ----------- Total Corporate Fixed Income Securities (Cost $38,859,722)........... 36,167,742 ----------- ASSET BACKED SECURITIES -- 3.3% 384,441 Arcadia Auto Recreation Trust, 5.900% due 11/15/02.......... 383,242 632,091 Arcadia Automobile Receivables Trust, 6.375% due 01/15/03.......... 629,973 110,289 BankBoston Home Equity Trust, 6.280% due 11/25/10.......... 109,645 390,859 BMW Vehicle Owner Trust, 6.160% due 12/25/01.......... 389,742 Centex Home Equity: 161,773 6.070% due 03/25/18.......... 160,673 298,873 5.910% due 04/25/19.......... 295,669 190,526 ContiMortgage Home Equity Loan Trust, 6.010% due 12/25/13.......... 189,240 222,575 Daimler-Benz Auto Grantor Trust, 6.050% due 03/31/05.......... 221,190 5,474 Daimler-Benz Vehicle Trust, 5.230% due 12/20/01.......... 5,472 581,192 EQCC Home Equity Loan Trust, 6.548% due 04/25/10.......... 575,014 153,561 First Security Auto Grantor Trust, 6.100% due 04/15/03.......... 152,896 First Security Auto Owner Trust: 118,457 5.492% due 04/15/02.......... 118,322 169,270 5.970% due 04/15/04.......... 167,635 525,000 First USA Credit Card Master Trust, 6.739% due 09/17/03#......... 525,163 Ford Credit Auto Owner Trust: 544,674 5.470% due 09/15/01.......... 543,138 761,051 5.770% due 11/15/01.......... 758,433 842,631 6.200% due 04/15/02.......... 839,733 289,466 Green Point Manufactured Housing, 5.780% due 12/15/09.......... 286,508 Green Tree Financial Corporation: 105,759 5.850% due 11/01/29.......... 105,562 371,755 5.990% due 07/15/30.......... 370,477 579,857 5.510% due 02/01/31.......... 577,573 Green Tree Home Equity Loan Trust: 155,851 6.040% due 06/15/29.......... 155,519 411,426 5.600% due 12/01/30.......... 406,925 358,352 HFC Home Equity Loan, 6.830% due 12/20/16.......... 356,446 150,264 Honda Auto Receivables Grantor Trust, 5.850% due 02/15/03.......... 149,862 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- $ 96,429 Honda Auto Receivables Owner Trust, 5.186% due 06/15/01.......... $ 96,314 1,943 IMC Home Equity Loan Trust, 6.310% due 12/20/12.......... 1,936 540,000 MBNA Master Credit Card Trust, Class A, 7.350% due 07/16/07.......... 544,185 503,295 MMCA Automobile Trust, 6.300% due 06/15/02.......... 502,097 325,374 Navistar Financial Corporation Owner Trust, 5.550% due 02/15/02.......... 324,316 546,037 New Holland Equipment Receivables Trust, 6.390% due 10/15/02.......... 542,264 Nissan Auto Receivables Grantor Trust: 110,201 6.150% due 02/15/03.......... 109,513 419,696 5.450% due 04/15/04.......... 414,185 600,000 Peco Energy Trans Trust, 7.625% due 03/01/10.......... 603,219 656,848 Premier Auto Trust, 5.820% due 02/08/02.......... 654,588 400,000 Rental Car Finance Corporation, 6.450% due 08/25/05.......... 389,456 183,978 The Money Store Residential Trust, 6.480% due 06/15/10.......... 183,392 767,049 Toyota Auto Receivables Owner Trust, 5.800% due 12/17/01.......... 765,369 ----------- Total Asset Backed Securities (Cost $13,670,987)........... 13,604,886 ----------- U.S. TREASURY NOTES -- 0.0% 6,258 3.375% due 01/15/07#........... 6,002 ----------- Total U.S. Treasury Notes (Cost $6,258)................ 6,002 ----------- REPURCHASE AGREEMENT -- 4.0% 16,796,000 Agreement with J.P. Morgan Securities, Inc., 6.300% to be repurchased at $16,804,818 on 07/03/00, collateralized by $15,141,000 U.S. Treasury Bonds 7.250%-7.500% due 05/15/10-11/15/16, market value $17,131,941..... 16,796,000 ----------- Total Repurchase Agreement (Cost $16,796,000)........... 16,796,000 ----------- TOTAL INVESTMENTS (COST $357,190,886*).............. 107.7% 447,282,550 OTHER ASSETS AND LIABILITIES (NET)............................. (7.7)% (31,936,400) ------- ----------- NET ASSETS........................... 100.0% $415,346,150 ======= ============ See Notes to Financial Statements. 11 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE (NOTE 1) -------- NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 2,986,599 Accumulated net realized gain on investments and futures contracts...................... 23,149,498 Net unrealized appreciation of investments and futures contracts...................... 89,861,878 Paid-in capital.............................. 299,348,175 ------------ TOTAL NET ASSETS............................. $415,346,150 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 21.81 =========== Number of Portfolio shares outstanding....... 19,045,802 =========== -------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Rate represents annualized yield at date of purchase. ## Security pledged as collateral for open futures contracts. Abbreviations: ADR -- American Depositary Receipt. See Notes to Financial Statements. 12 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 97.6% BASIC INDUSTRY -- 2.2% 12,900 Air Products and Chemicals, Inc. $ 397,481 32,900 Alcoa, Inc..................... 954,100 2,900 Allegheny Technologies, Inc.... 52,200 5,800 Dow Chemical Company........... 175,088 7,800 Fort James Corporation......... 180,375 2,700 Georgia-Pacific Group.......... 70,875 4,700 IMC Global, Inc................ 61,100 15,800 International Paper Company.... 471,037 800 Nucor Corporation.............. 26,550 6,600 PPG Industries, Inc............ 292,462 7,300 Praxair, Inc................... 273,294 12,900 Rohm and Haas Company.......... 445,050 8,000 Smurfit-Stone Container Corporation+................. 103,000 1,900 Temple-Inland, Inc............. 79,800 800 USG Corporation................ 24,300 4,347 Visteon Corporation............ 52,706 ----------- 3,659,418 ----------- BIOTECHNOLOGY -- 0.0%** 500 Incyte Pharmaceuticals, Inc.+.. 41,094 ----------- CAPITAL GOODS -- 0.8% 13,600 Caterpillar, Inc............... 460,700 4,100 Cooper Industries, Inc......... 133,506 4,800 Eaton Corporation.............. 321,600 300 Emerson Electric Company....... 18,112 100 Grainger (W.W.), Inc........... 3,081 2,900 PACCAR, Inc.................... 115,094 8,900 Rockwell International Corporation ................. 280,350 ----------- 1,332,443 ----------- CONSUMER STAPLES -- 3.7% 7,600 Bestfoods...................... 526,300 7,200 Clorox Company................. 322,650 11,800 Coca-Cola Company.............. 677,762 3,100 General Mills, Inc............. 118,575 32,000 Gillette Company............... 1,118,000 10,700 Heinz (H.J.) Company.......... 468,125 12,300 Kellogg Company................ 365,925 200 Nabisco Holdings Corporation, Class A...................... 10,500 32,300 Procter & Gamble Company....... 1,849,175 4,000 Quaker Oats Company............ 300,500 4,300 Ralston Purina Group........... 85,731 12,000 Unilever NV, NY Shares......... 516,000 ----------- 6,359,243 ----------- CYCLICAL -- 1.8% 39,900 Cendant Corporation+........... 558,600 7,600 Dana Corporation............... 161,025 18,800 Delphi Automotive Systems Corporation.................. 273,775 33,200 Ford Motor Company............. 1,427,600 5,900 Goodyear Tire & Rubber Company. 118,000 VALUE SHARES (NOTE 1) -------- -------- CYCLICAL -- (CONTINUED) 5,200 Hasbro, Inc.................... $ 78,325 2,100 International Game Technology.. 55,650 2,100 Johnson Controls, Inc.......... 107,756 4,900 Jones Apparel Group, Inc.+ 115,150 15,700 Mattel, Inc.................... 207,044 ---------- 3,102,925 ---------- DIVERSIFIED OPERATIONS -- 2.9% 11,200 Eastman Kodak Company.......... 666,400 7,100 Ingersoll-Rand Company......... 285,775 10,300 Lockheed Martin Corporation.... 255,569 5,200 Parker Hannifin................ 178,100 19,500 Seagram Company, Ltd........... 1,131,000 7,400 The Williams Companies, Inc.... 308,487 42,600 Tyco International, Ltd........ 2,018,175 ---------- 4,843,506 ---------- DRUGS -- 11.0% 25,700 Abbott Laboratories............ 1,145,256 11,100 ALZA Corporation+.............. 656,287 25,500 American Home Products Corporation.................. 1,498,125 44,200 Bristol-Myers Squibb Company... 2,574,650 3,600 Forest Laboratories, Inc.+..... 363,600 1,400 Genzyme Corporation+........... 83,212 6,700 Johnson & Johnson.............. 682,562 30,100 Lilly (Eli) and Company........ 3,006,237 19,100 Merck & Company, Inc........... 1,463,537 46,300 Pfizer, Inc.................... 2,222,400 26,200 Pharmacia Corporation.......... 1,354,212 80,700 Philip Morris Companies, Inc... 2,143,594 26,200 Schering-Plough Corporation.... 1,323,100 2,600 Watson Pharmaceuticals, Inc.+.. 139,750 ---------- 18,656,522 ---------- ENERGY -- 6.1% 1,900 Apache Corporation............. 111,744 5,400 Baker Hughes, Inc.............. 172,800 11,400 Chevron Corporation............ 966,862 1,900 Columbia Energy Group.......... 124,687 10,100 Conoco, Inc., Class B.......... 248,081 800 Cooper Cameron Corporation+.... 52,800 1,500 Devon Energy Corporation....... 84,281 2,500 Dynegy Inc., Class A........... 170,781 5,000 El Paso Natural Gas Company.... 254,687 59,200 Exxon Mobil Corporation........ 4,647,200 3,600 Global Marine, Inc.+........... 101,475 4,300 PPL Corporation................ 94,331 37,400 Royal Dutch Petroleum Company, NY Shares.................... 2,302,437 10,400 Texaco, Inc.................... 553,800 8,700 TXU Corporation................ 256,650 9,100 Union Pacific Resources Group, Inc. ........................ 200,200 ---------- 10,342,816 ---------- See Notes to Financial Statements. 13 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) FINANCIAL SERVICES -- 10.6% 3,400 Ameritrade Holding Corporation, Class A+..................... $ 39,525 1,400 Associated Banc Corporation.... 30,537 18,800 Associates First Capital Corporation, Class A......... 419,475 16,500 Bank One Corporation........... 438,281 1,400 Banknorth Group, Inc........... 21,437 3,300 Bear Stearns Companies, Inc.... 137,362 100 Capital One Financial Corporation 4,462 6,200 Charter One Financial, Inc. 142,600 3,300 Chase Manhattan Corporation (The) 152,006 7,200 CIT Group, Inc., Class A....... 117,000 61,800 Citigroup, Inc................. 3,723,450 3,600 Comerica, Inc.................. 161,550 5,000 Dime Bancorp, Inc.............. 78,750 8,300 E*TRADE Group, Inc.+*.......... 136,950 1,600 A. G. Edwards, Inc............. 62,400 22,400 Fannie Mae..................... 1,169,000 2,100 First Merit Corporation........ 44,887 3,600 First Tennessee National Corporation ................. 59,625 28,100 First Union Corporation........ 697,231 15,400 Firstar Corporation............ 324,362 20,700 FleetBoston Financial Corporation 703,800 6,800 Franklin Resources, Inc........ 206,550 19,700 Freddie Mac.................... 797,850 3,500 Golden West Financial Corporation 142,844 12,500 Goldman Sachs Group, Inc....... 1,185,937 3,500 GreenPoint Financial Corporation 65,625 3,700 Hibernia Corporation, Class A.. 40,237 14,200 John Hancock Financial Services+ 336,362 13,600 KeyCorp........................ 239,700 3,400 Lehman Brothers Holdings, Inc.. 321,512 9,900 Lincoln National Corporation... 357,637 3,400 Marshall & Ilsley Corporation.. 141,100 1,600 Mercantile Bankshares Corporation 47,700 11,000 Merrill Lynch & Company........ 1,265,000 7,600 Morgan Stanley Dean Witter & Company.................... 632,700 5,400 North Fork Bancorporation, Inc. 81,675 800 Pacific Century Financial Corporation.................. 11,700 2,900 Paine Webber Group, Inc........ 131,950 6,600 PNC Bank Corporation........... 309,375 3,400 Providian Financial Corporation 306,000 4,400 Regions Financial Corporation.. 87,450 38,101 Schwab (Charles) Corporation... 1,281,146 5,100 Southtrust Corporation......... 115,387 3,800 Sovereign Bancorp, Inc......... 26,719 3,900 Summit Bancorp................. 96,038 1,900 TCF Financial Corporation...... 48,806 10,600 TD Waterhouse Group+........... 183,513 6,200 Torchmark Corporation.......... 153,063 18,400 U.S. Bancorp................... 354,200 12,000 Washington Mutual, Inc......... 346,500 ----------- 17,978,966 ----------- VALUE SHARES (NOTE 1) ------ -------- HEALTH SERVICES -- 1.9% 5,600 Aetna, Inc..................... $ 359,450 400 Baxter International, Inc...... 28,125 12,300 Becton, Dickinson and Company.. 352,856 5,400 CIGNA Corporation.............. 504,900 1,100 C.R. Bard, Inc................. 52,938 600 Guidant Corporation+........... 29,700 11,600 HCA-Healthcare Company......... 352,350 800 Human Genome Sciences, Inc.+... 106,700 11,300 Medtronic, Inc................. 562,881 500 PE Corporation-PE Biosystems Group............. 32,938 5,400 St. Jude Medical, Inc.+........ 247,725 13,400 Tenet Healthcare Corporation+.. 361,800 200 United Healthcare Corporation.. 17,150 4,200 Wellpoint Health Networks, Inc.+ 304,238 ----------- 3,313,751 ----------- INSURANCE -- 2.2% 38,200 Allstate Corporation+.......... 849,950 3,500 AMBAC, Inc..................... 191,844 6,100 American International Group, Inc. 716,750 2,100 Aon Corporation................ 65,231 15,400 AXA Financial, Inc............. 523,600 300 Financial Security Assurance Holdings, Ltd................ 22,763 8,600 Hartford Financial Services Group, Inc................... 481,063 4,900 MBIA, Inc...................... 236,119 30,900 Metlife, Inc................... 650,831 ----------- 3,738,151 ----------- PAPER AND ALLIED PRODUCTS -- 0.3% 7,700 Kimberly-Clark Corporation..... 441,788 ----------- RETAIL -- 6.0% 5,000 Circuit City Stores-Circuit City Group........................ 165,938 2,500 Estee Lauder Companies, Inc., Class A...................... 123,594 6,800 Federated Department Stores, Inc.+ ....................... 229,500 27,500 Gap Stores, Inc................ 859,375 15,900 General Motors Corporation..... 923,194 21,900 Home Depot, Inc................ 1,093,631 26,100 Kroger Company+................ 575,831 12,000 Limited, Inc................... 259,500 10,400 Lowe's Companies Inc........... 427,050 10,700 May Department Stores Company.. 256,800 1,200 Nordstrom, Inc................. 28,950 7,200 J. C. Penney Company, Inc. 132,750 1,000 Safeway, Inc.+................. 45,125 9,200 Sears Roebuck & Company........ 300,150 14,200 Target Corporation............. 823,600 10,100 TJX Companies, Inc............. 189,375 65,100 Wal-Mart Stores, Inc........... 3,751,388 ----------- 10,185,751 ----------- See Notes to Financial Statements. 14 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) SERVICES -- 4.4% 45,300 America Online, Inc.+.......... $ 2,389,575 18,400 Comcast Corporation, Class A... 745,200 6,400 Fox Entertainment Group, Inc., Class A+..................... 194,400 13,600 Gannett Company, Inc........... 813,450 2,500 Knight Ridder, Inc............. 132,969 7,600 Marriott International, Inc., Class A...................... 274,075 20,200 McDonald's Corporation......... 665,338 800 New York Times Company, Class A 31,600 7,400 Starwood Hotels and Resorts Worldwide, Inc............... 240,963 25,600 Time Warner, Inc............... 1,945,600 ----------- 7,433,170 ----------- TECHNOLOGY -- 27.3% 2,100 Adobe Systems, Inc............. 273,000 3,300 Advanced Micro Devices, Inc.... 254,925 6,600 Agilent Technologies, Inc...... 486,750 2,400 Altera Corporation............. 244,650 7,600 Apple Computer, Inc.+.......... 398,050 17,300 Applied Materials, Inc.+....... 1,567,813 700 Autodesk, Inc.................. 24,281 5,200 BMC Software, Inc.+............ 189,719 4,500 Citrix Systems, Inc.+.......... 85,219 27,100 Compaq Computer Corporation.... 692,744 14,300 Computer Associates International, Inc........... 731,981 2,100 Corning, Inc................... 566,737 32,700 Dell Computer Corporation+..... 1,612,519 3,000 DoubleClick, Inc.+............. 114,375 6,000 Electronic Data Systems Corporation.................. 247,500 10,600 EMC Corporation+............... 815,538 130,000 General Electric Company....... 6,890,000 14,600 Hewlett-Packard Company........ 1,823,175 31,100 Honeywell International, Inc... 1,047,681 57,300 Intel Corporation.............. 7,660,294 9,400 International Business Machines Corporation.................. 1,029,888 3,800 ITT Industries, Inc............ 115,425 100 JDS Uniphase Corporation....... 11,988 1,200 Lattice Semiconductor Corporation 82,950 3,000 Lexmark International Group, Inc., Class A+..................... 201,750 92,800 Microsoft Corporation+......... 7,424,000 46,800 Motorola, Inc.................. 1,360,125 4,100 National Semiconductor Corporation+................. 232,675 2,400 Network Associates, Inc.+...... 48,900 16,800 Oracle Corporation+............ 1,412,250 3,300 QUALCOMM, Inc.+................ 198,000 8,100 Seagate Technology, Inc.+...... 445,500 4,500 Siebel Systems, Inc.+.......... 736,031 37,000 Sun Microsystems, Inc.+........ 3,364,688 1,300 Symantec Corporation+.......... 70,119 36,200 Texas Instruments, Inc......... 2,486,488 VALUE SHARES (NOTE 1) ------ -------- TECHNOLOGY -- (CONTINUED) 3,200 TIBCO Software, Inc............ $ 343,150 5,300 VERITAS Software Corporation... 598,983 3,500 Xerox Corporation.............. 72,625 3,900 Yahoo!, Inc.+.................. 483,113 ----------- 46,445,599 ----------- TELEPHONE -- 14.5% 2,000 Allegiance Telecommunication, Inc.+........................ 128,000 4,000 ALLTEL Corporation............. 247,750 52,495 AT&T Corporation............... 1,660,154 14,800 AT&T Corporation - Liberty Media Group, Class A+.............. 358,900 19,900 Bell Atlantic Corporation...... 1,011,169 119,000 Cisco Systems, Inc.+........... 7,563,938 21,300 Global Crossing, Ltd.+......... 560,456 23,900 GTE Corporation................ 1,487,775 3,900 Level 3 Communications, Inc.+.. 343,200 14,000 Lucent Technologies, Inc....... 829,500 65,400 Nortel Networks Corporation.... 4,463,550 59,100 SBC Communications, Inc........ 2,556,075 3,600 Sprint Corporation (PCS Group)+ 214,200 9,600 Tellabs, Inc................... 657,000 1,300 US West, Inc................... 111,475 52,700 Worldcom, Inc.................. 2,417,613 ----------- 24,610,755 ----------- TRANSPORTATION -- 0.5% 13,400 Burlington Northern Santa Fe Corporation.................. 307,363 400 C.H. Robinson Worldwide, Inc... 19,800 4,300 CSX Corporation................ 91,106 7,100 Norfolk Southern Corporation... 105,613 1,100 Northwest Airlines Corporation+ 33,481 9,500 Union Pacific Corporation...... 353,281 ----------- 910,644 ----------- UTILITIES -- 1.4% 1,300 Allegheny Energy, Inc.......... 35,588 4,900 Cinergy Corporation............ 124,644 3,300 CMS Energy Corporation......... 73,013 5,700 Consolidated Edison............ 168,863 9,200 C P & L Energy, Inc............ 293,825 5,900 Dominion Resources, Inc........ 252,963 5,500 DTE Energy Company............. 168,094 10,100 Edison International........... 207,050 6,600 Entergy Corporation............ 179,438 5,500 FPL Group, Inc................. 272,250 3,900 GPU, Inc....................... 105,544 3,700 Nisource, Inc.................. 68,913 11,800 PG&E Corporation............... 290,575 2,600 Pinnacle West Capital Corporation 88,075 3,400 Wisconsin Energy Corporation... 67,363 ----------- 2,396,198 ----------- Total Common Stock (Cost $152,661,241).......... 165,792,740 ----------- See Notes to Financial Statements. 15 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- U.S. TREASURY OBLIGATIONS -- 2.7% U.S. TREASURY BILLS -- 2.5% $ 2,700,000 5.555% due 08/03/00#.......... $ 2,686,544 718,000 5.004% due 07/13/00#.......... 716,832 936,000 5.368% due 07/20/00#.......... 933,401 ----------- 4,336,777 ----------- U.S. TREASURY NOTES -- 0.2% 300,000 5.625% due 02/28/01##......... 298,500 ----------- Total U.S. Treasury Obligations (Cost $4,635,501)............ 4,635,277 ----------- TOTAL INVESTMENTS (COST $157,296,742*).............. 100.3% 170,428,017 OTHER ASSETS AND LIABILITIES (NET)............................. (0.3)% (497,900) ------- ----------- NET ASSETS........................... 100.0% $169,930,117 ======= ============ NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 496,394 Distributions in excess of net realized gains on investments and futures contracts....... (1,206,036) Net unrealized appreciation of investments and futures contracts.......................... 13,084,946 Paid-in capital.............................. 157,554,813 ------------ TOTAL NET ASSETS............................. $169,930,117 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 16.65 ============ Number of Portfolio shares outstanding....... 10,206,910 ============ ------------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-income producing security. # Rate represents annualized yield at date of purchase. ## Security pledged as collateral for open futures contracts. See Notes to Financial Statements. 16 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- CORPORATE FIXED INCOME SECURITIES -- 89.2% AEROSPACE AND DEFENSE -- 0.5% $ 125,000 BE Aerospace, Senior Subordinate Notes, 8.000% due 03/01/08.......... $ 105,625 ----------- AUTOMOTIVES -- 1.5% Hayes Lemmerz International, Inc., Company Guarantees: 45,000 11.000% due 07/15/06......... 44,212 100,000 9.125% due 07/15/07.......... 89,250 50,000 Oxford Automotive, Inc., Company Guarantee, 10.125% due 06/15/07......... 43,500 180,000 Williams Scotsman, Inc., Company Guarantee, 9.875% due 06/01/07.......... 162,000 ----------- 338,962 ----------- BROADCASTING AND MEDIA -- 14.8% 75,000 Acme Television, Company Guarantee, 10.875% due 09/30/04......... 71,625 Adelphia Communications, Senior Notes: 150,000 8.375% due 02/01/08.......... 132,000 30,000 9.375% due 11/15/09.......... 27,750 100,000 Albritton Communication, Inc., Senior Subordinate Notes, 8.875% due 02/01/08.......... 91,500 50,000 Avalon Cable Holdings, LLP, Senior Discount Notes, 11.875% due 12/01/08^........ 32,500 150,000 Benedek Communications Corporation, Senior Discount Notes, 13.250% due 05/15/06^........ 117,000 125,000 Callahan Nordrhein, 14.000% due 07/15/10++....... 125,225 100,000 Chancellor Media Corporation, Company Guarantee, 8.750% due 06/15/07.......... 100,125 325,000 Chancellor Media Corporation, Senior Notes, 8.000% due 11/01/08.......... 326,219 Charter Communications Holdings LLC, Senior Notes, 110,000 9.920% due 04/01/11++........ 62,425 250,000 8.250% due 04/01/07++........ 220,625 125,000 Citadel Broadcasting Company, 9.250% due 11/15/08.......... 121,875 50,000 CSC Holdings, Inc., Senior Subordinate Notes, 9.250% due 11/01/05.......... 50,250 100,000 Cumulus Media, Inc., Company Guarantee, 10.375% due 07/01/08......... 84,500 200,000 Echostar DBS Corporation, Senior Notes, 9.375% due 02/01/09++........ 193,000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- BROADCASTING AND MEDIA -- (CONTINUED) $ 90,000 Fox/Liberty Networks LLC, Senior Notes, 8.875% due 08/15/07.......... $ 89,550 175,000 Frontiervision LP, Senior Notes, 11.000% due 10/15/06......... 176,750 Granite Broadcasting Corporation, Senior Subordinate Notes: 9,000 10.375% due 05/15/05......... 8,550 50,000 8.875% due 05/15/08.......... 42,250 90,000 Hollinger International Publishing, Company Guarantee, 9.250% due 03/15/07.......... 88,650 Lenfest Communications, Senior Subordinate Notes: 75,000 10.500% due 06/15/06......... 82,875 50,000 8.250% due 02/15/08.......... 49,644 315,000 Lin Holdings Corporation, Senior Discount Notes, 10.000% due 03/01/08......... 204,750 190,000 Paxson Communications Corporation, Senior Subordinate Notes, 11.625% due 10/01/02......... 194,275 75,000 Satelites Mexicanos S.A., Senior Notes, 10.125% due 11/01/04......... 50,344 125,000 Telemundo Holdings, Inc., Senior Discount Notes, 11.500% due 08/15/08^........ 86,250 Telewest Communications Plc, Senior Notes: 75,000 11.375% due 02/01/10++....... 40,125 20,000 9.875% due 02/01/10++........ 18,600 125,000 Time Warner Telecom LLC, Senior Notes, 9.750% due 07/15/08.......... 120,937 245,000 UnitedGlobalCom, Inc., Senior Discount Notes, 10.750% due 02/15/08^........ 164,150 105,000 XM Satellite Radio, Inc., 14.000% due 03/15/10......... 92,400 50,000 Young Broadcasting Inc., Company Guarantee, 8.750% due 06/15/07.......... 45,750 ----------- 3,312,469 ----------- BUILDING AND CONSTRUCTION -- 1.7% 150,000 Formica Corporation, Senior Subordinate Notes, 10.875% due 03/01/09++....... 117,000 80,000 MMI Products, Inc., Senior Subordinate Notes, 11.250% due 04/15/07......... 78,800 Nortek, Inc., Senior Notes: 140,000 9.250% due 03/15/07.......... 130,900 30,000 9.875% due 03/01/04.......... 28,425 20,000 8.875% due 08/01/08.......... 18,100 ----------- 373,225 ----------- See Notes to Financial Statements. 17 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) CHEMICALS -- 3.1% $ 190,000 Huntsman ICI Chemicals Ltd. Liability Corporation, 10.125% due 07/01/09......... $ 190,950 Lyondell Chemical Company: 55,000 9.625% due 05/01/07.......... 54,450 90,000 9.875% due 05/01/07.......... 89,100 50,000 10.875% due 05/01/09......... 49,625 50,000 NL Industries, Senior Notes, 11.750% due 10/15/03......... 51,000 65,000 PCI Chemicals Canada, Inc., Company Guarantee, 9.250% due 10/15/07.......... 42,900 90,000 Sovereign Specialty Chemicals, Senior Subordinate Notes, 11.875% due 03/15/10++....... 92,700 50,000 Sterling Chemicals, Inc., Company Guarantee, 12.375% due 07/15/06++....... 50,750 Sterling Chemicals, Inc., Senior Subordinate Notes: 40,000 11.750% due 08/15/06......... 32,400 50,000 11.250% due 04/01/07......... 39,500 ----------- 693,375 ----------- COMMERCIAL SERVICES -- 1.6% 40,000 Allied Waste North America, Inc., Company Guarantee, 10.000% due 08/01/09++....... 33,800 60,000 Allied Waste North America, Inc. 7.625% due 01/01/06.......... 52,200 30,000 Continental Resources, Senior Subordinate Notes, 10.250% due 08/01/08......... 26,400 80,000 Iron Mountain, Inc., Company Guarantee, 8.750% due 09/30/09.......... 73,600 100,000 Pierce Leahy Corporation, Senior Subordinate Notes, 9.125% due 07/15/07.......... 94,000 World Color Press, Inc., Senior Subordinate Notes: 75,000 8.375% due 11/15/08.......... 72,451 5,000 7.750% due 02/15/09.......... 4,624 ----------- 357,075 ----------- COMPUTER SERVICE AND SOFTWARE -- 2.7% 75,000 Anacomp, Inc., Senior Subordinate Notes, 10.875% due 04/01/04......... 46,500 Exodus Communications Inc., Senior Notes: 25,000 10.750% due 12/15/09......... 24,125 100,000 11.250% due 07/01/08......... 99,000 95,000 Globix Corporation, 12.500% due 02/01/10......... 78,850 65,000 Northpoint Communications Group, Inc., 12.875% due 02/15/10++....... 46,800 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- COMPUTER SERVICE AND SOFTWARE -- (CONTINUED) PSINet, Inc., Senior Notes: $ 40,000 11.500% due 11/01/08++....... $ 37,600 200,000 11.000% due 08/01/09++....... 185,000 25,000 10.500% due 12/01/06......... 23,625 65,000 Verio, Inc., Senior Notes, 10.375% due 04/01/05......... 68,250 ----------- 609,750 ----------- CONSUMER GOODS -- 0.6% 40,000 Fage Dairy Industries S.A., Senior Notes, 9.000% due 02/01/07.......... 32,200 100,000 Sealy Mattress Company, Senior Subordinate Notes, 9.875% due 12/15/07.......... 95,500 ----------- 127,700 ----------- CONTAINERS -- 3.2% 110,000 Ball Corporation, Company Guarantee, 8.250% due 08/01/08.......... 103,400 Gaylord Container Corporation, Senior Notes: 175,000 9.750% due 06/15/07.......... 136,500 85,000 9.875% due 02/15/08.......... 55,250 40,000 Huntsman Packaging-Unit, 13.000% due 06/01/10++....... 40,000 175,000 Riverwood International, Company Guarantee, 10.250% due 04/01/06......... 166,250 120,000 Silgan Holdings, Inc., Senior Subordinate Debentures, 9.000% due 06/01/09.......... 113,400 90,000 U.S. Can Corporation, Company Guarantee, 10.125% due 10/15/06......... 92,025 ----------- 706,825 ----------- EDUCATIONAL -- 0.6% 150,000 Kindercare Learning Centers, Inc., Senior Subordinate Notes, 9.500% due 02/15/09.......... 138,000 ----------- ENERGY -- 0.4% 100,000 NRG South Central, LLC, Senior Notes, 8.962% due 03/15/16++........ 100,852 ----------- ENGINEERING AND TECHNOLOGY -- 2.4% 135,000 Applied Extrusion Technology, Senior Notes, 11.500% due 04/01/02......... 136,012 100,000 Argo-Tech Corporation, Company Guarantee, 8.625% due 10/01/07.......... 70,000 215,000 Building Materials Corporation, Senior Notes, 8.625% due 12/15/06.......... 178,987 See Notes to Financial Statements. 18 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) ENGINEERING AND TECHNOLOGY -- (CONTINUED) $ 80,000 General Binding Corporation, Company Guarantee, 9.375% due 06/01/08.......... $ 52,000 100,000 Moog, Inc., Senior Subordinate Notes, 10.000% due 05/01/06......... 99,500 ----------- 536,499 ----------- ENTERTAINMENT AND LEISURE -- 6.7% 160,000 Argosy Gaming Company, Company Guarantee, 10.750% due 06/01/09......... 166,000 150,000 Boyd Gaming Corporation, Senior Subordinate Notes, 9.500% due 07/15/07.......... 144,000 15,000 Eldorado Resorts LLC, Senior Subordinate Notes, 10.500% due 08/15/06......... 14,962 90,000 Hollywood Park, Inc., Senior Subordinate Notes, 9.250% due 02/15/07.......... 89,550 110,000 Horseshoe Gaming Holdings, Company Guarantee, 8.625% due 05/15/09.......... 103,400 160,000 Isle of Capri Casinos, Company Guarantee, 8.750% due 04/15/09.......... 148,800 160,000 MGM Grand, Inc., 9.750% due 06/01/07.......... 162,400 150,000 Park Place Entertainment, Senior Subordinate Notes, 7.875% due 12/15/05.......... 141,000 125,000 Station Casinos, Senior Subordinate Notes, 8.875% due 12/01/08.......... 119,062 185,000 Unicom Corporation, 8.450% due 12/01/08.......... 171,125 200,000 United Pan Europ Comm NV, 10.875% due 08/01/09......... 174,000 80,000 United Pan Europ Comm, Series B, 11.250% due 02/01/10......... 69,400 ----------- 1,503,699 ----------- FINANCIAL -- 1.5% 40,000 Madison River Financial, Senior Notes, 13.250% due 03/01/10++....... 36,000 195,000 Ono Finance Plc, Company Guarantee, 13.000% due 05/01/09^........ 185,250 125,000 Willis Corroon Corporation, Senior Subordinate Notes, 9.000% due 02/01/09.......... 105,000 ----------- 326,250 ----------- INDUSTRIAL -- 5.9% 200,000 American Standard Companies, Inc., Company Guarantee, 7.375% due 02/01/08.......... 181,500 125,000 Blount, Inc. 13.000% due 08/01/09......... 127,500 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- INDUSTRIAL -- (CONTINUED) $ 75,000 Completel Europe NV, Company Guarantee, 14.000% due 02/15/09......... $ 37,500 75,000 International Knife & Saw, Inc., Senior Notes, 11.375% due 11/15/06......... 39,000 100,000 Jorgensen (Earle M.) Company, Senior Notes, 9.500% due 04/01/05.......... 92,750 175,000 K & F Industries, Senior Subordinate Notes, 9.250% due 10/15/07.......... 165,375 100,000 Metal Management, Inc., Company Guarantee, 10.000% due 05/15/08......... 55,000 85,000 Numatics, Inc., Company Guarantee, 9.625% due 04/01/08.......... 68,000 95,000 P&L Coal Holdings Corporation, 8.875% due 05/15/08.......... 88,350 50,000 Polymer Group, Inc., Company Guarantee, 9.000% due 07/01/07.......... 42,500 85,000 Simonds Industries, Company Guarantee, 10.250% due 07/01/08......... 70,231 Spectrasite Holdings, Inc., Senior Discount Notes: 150,000 11.250% due 04/15/09^........ 88,500 55,000 12.000% due 07/15/08^++...... 38,225 82,500 Synthetic Industries, Inc., 13.000% due 12/13/00......... 81,262 50,000 Thermadyne Holdings Corporation, Company Guarantee, 9.875% due 06/01/08.......... 38,437 85,000 Thermadyne Holdings Corporation, Debentures, 12.500% due 06/01/08^........ 30,600 75,000 US Timberlands, Senior Notes, 9.625% due 11/15/07.......... 66,000 ----------- 1,310,730 ----------- INTERNET SOFTWARE -- 0.9% 135,000 Kappa Beheer BV, 10.625% due 07/15/09......... 137,700 50,000 Verio, Inc., Senior Notes, 10.625% due 11/15/09......... 55,437 ----------- 193,137 ----------- MACHINERY AND MATERIAL HANDLING -- 1.0% 25,000 Alaris Medical, Inc., Senior Discount Notes, 11.125% due 08/01/08^........ 3,812 Buckeye Technologies, Inc., Senior Subordinate Notes: 35,000 8.500% due 12/15/05.......... 33,512 100,000 8.000% due 10/15/10.......... 90,750 85,000 Columbus McKinnon Corporation, Company Guarantee, 8.500% due 04/01/08.......... 73,950 35,000 Motors and Gears, Inc., Senior Notes, 10.750% due 11/15/06......... 33,688 ----------- 235,712 ----------- See Notes to Financial Statements. 19 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) MEDICAL SERVICES AND SUPPLIES -- 1.5% $ 100,000 Alaris Medical Systems, Inc., 9.750% due 12/01/06.......... $ 66,000 100,000 Prime Medical Services, Inc., Company Guarantee, 8.750% due 04/01/08.......... 83,000 200,000 Tenet Healthcare Corporation, Senior Notes, 8.000% due 01/15/05.......... 192,000 ----------- 341,000 ----------- OIL AND GAS -- 5.5% 220,000 Chesapeake Energy Corporation, Company Guarantee, 9.625% due 05/01/05.......... 215,050 25,000 Clark R&M, Inc., Senior Notes, 8.625% due 08/15/08.......... 19,625 100,000 Forest Oil Corporation, Company Guarantee, 10.500% due 01/15/06......... 101,750 125,000 Gulfmark Offshore, Inc. 8.750% due 06/01/08.......... 115,938 100,000 HS Resources, Inc., Company Guarantee, 9.250% due 11/15/06.......... 98,000 50,000 HS Resources, Inc., Senior Subordinate Notes, 9.250% due 11/15/06.......... 48,625 50,000 International Utility Structures, Inc., Senior Subordinate Notes, 10.750% due 02/01/08......... 41,000 190,000 Ocean Energy, Inc., Company Guarantee, 8.875% due 07/15/07.......... 189,050 200,000 P&L Coal Holdings Corporation Company Guarantee, 9.625% due 05/15/08.......... 185,500 95,000 Pioneer Natural Resources 9.625% due 04/01/10.......... 97,850 15,000 Pride International, Inc., Senior Notes, 10.000% due 06/01/09......... 15,450 100,000 R&B Falcon Corporation 9.500% due 12/15/08.......... 100,500 ----------- 1,228,338 ----------- RESTAURANTS AND LODGING -- 1.8% 175,000 Aztar Corporation, Senior Subordinate Notes, 8.875% due 05/15/07.......... 164,500 150,000 Coast Hotels & Casino, Senior Subordinate Notes, 9.500% due 04/01/09++........ 143,250 100,000 Prime Hospitality Corporation, Senior Subordinate Notes, 9.750% due 04/01/07.......... 96,000 ----------- 403,750 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- RETAIL -- 2.6% $ 80,000 Duane Reade, Inc., Company Guarantee, 9.250% due 02/15/08.......... $ 72,300 75,000 Finlay Enterprises, Inc., Company Guarantee, 9.000% due 05/01/08.......... 67,125 140,000 J Crew Operating Corporation, Senior Subordinate Notes, 10.375% due 10/15/07......... 121,800 Jitney-Jungle Stores of America, Inc., Company Guarantee: 65,000 12.000% due 03/01/06......... 14,219 10,000 10.375% due 09/15/07......... 175 100,000 Musicland Group, Senior Subordinate Notes, 9.000% due 06/15/03.......... 91,000 45,000 Pathmark Stores, Inc., Senior Subordinate Notes, 11.625% due 06/15/02......... 13,950 25,000 Polaroid Corporation 11.500% due 02/15/06......... 25,937 120,000 Samsonite Corporation, Senior Subordinate Notes, 10.750% due 06/15/08......... 99,900 75,000 Southland Corporation, Senior Subordinate Debentures 5.000% due 12/15/03.......... 66,585 ----------- 572,991 ----------- STEEL -- 2.5% 100,000 AK Steel Corporation, Senior Notes, 9.125% due 12/15/06.......... 95,750 85,000 Commonwealth Aluminum, Senior Subordinate Notes, 10.750% due 10/01/06++....... 84,150 165,000 Kaiser Aluminum & Chemical Corporation, Senior Notes, 9.875% due 02/15/02.......... 158,400 50,000 NS Group, Inc., Senior Notes, 13.500% due 07/15/03......... 51,375 100,000 Russell Metals, Inc., Units, 10.000% due 06/01/09......... 95,125 70,000 WCI Steel, Inc., Senior Notes, 10.000% due 12/01/04......... 66,325 ----------- 551,125 ----------- TELEPHONE AND COMMUNICATIONS -- 25.5% Allegiance Telecom, Inc., Senior Discount Notes, 135,000 12.875% due 05/15/08......... 146,138 140,000 11.750% due 02/15/08^........ 101,500 115,000 AMSC Acquisition Company, Inc., Company Guarantee, 12.250% due 04/01/08......... 89,700 175,000 Centennial Cellular, Senior Subordinate Notes, 10.750% due 12/15/08++....... 169,969 See Notes to Financial Statements. 20 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) TELEPHONE AND COMMUNICATIONS -- (CONTINUED) $ 60,000 Classic Cable, Inc. 10.500% due 03/01/10......... $ 55,200 250,000 Colt Telecom Group Plc, Senior Discount Notes, 12.000% due 12/15/06^........ 220,313 210,000 Crown Castle International Corporation, Senior Notes, 10.750% due 08/01/11......... 212,100 65,000 Dobson Communication Corporation, Senior Notes, 10.875% due 07/01/10++....... 65,163 Dolphin Telecom Plc, Senior Discount Notes: 10,000 14.000% due 05/15/09++....... 3,300 125,000 11.500% due 06/01/08^++...... 39,375 85,000 Energis Plc 9.750% due 06/15/09.......... 83,725 125,000 Esat Telecom Group Plc, Senior Notes, 11.875% due 12/01/08++....... 147,121 65,000 Esprit Telecom Group Plc, Senior Notes, 10.875% due 06/15/08......... 46,800 100,000 Exodus Communications 11.625% due 07/15/10++....... 100,250 Focal Communications Corporation, Senior Notes: 55,000 12.125% due 02/15/08++....... 37,125 80,000 11.875% due 01/15/10++....... 80,600 210,000 Global Crossing Holdings Ltd., Company Guarantee, 9.625% due 05/15/08.......... 204,750 35,000 Globenet Communications Group Ltd., Senior Notes, 13.000% due 07/15/07++....... 35,350 200,000 GT Group Telecommunications 13.250% due 02/01/10^++...... 111,000 100,000 Hermes Europe Railtel BV, Senior Notes, 10.375% due 01/15/09......... 84,000 140,000 Hyperion Telecommunications, Senior Subordinate Notes, 12.000% due 11/01/07++....... 130,200 150,000 ICG Holdings, Inc., Company Guarantee, 12.500% due 05/01/06^........ 124,125 175,000 Insight Midwest L.P./Insight Capital, Inc. 9.750% due 10/01/09.......... 171,500 225,000 Intermedia Communication Corporation, Senior Notes, 8.875% due 11/01/07.......... 211,500 50,000 ITC Deltacom, Inc., Senior Notes, 11.000% due 06/01/07......... 50,000 90,000 ITC Deltacom, Inc., Senior Notes, 9.750% due 11/15/08++........ 85,500 PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- TELEPHONE AND COMMUNICATIONS -- (CONTINUED) $ 125,000 Jazztel Plc, Senior Notes, 14.000% due 04/01/09++....... $ 113,750 L-3 Communications, Inc., Senior Subordinate Notes: 25,000 10.750% due 03/15/08......... 22,914 105,000 10.375% due 05/01/07......... 106,838 250,000 9.125% due 05/01/08.......... 224,375 75,000 McCaw International, Ltd. 13.000% due 04/15/07......... 55,125 170,000 Metromedia Fiber Network, Senior Notes, 10.000% due 11/15/08++....... 167,875 35,000 Metronet Communications, Inc., Senior Note, 9.950% due 06/15/08^......... 28,453 155,000 MGC Communications, Inc., Senior Notes, 13.000% due 04/01/10++....... 144,150 115,000 Millicom International Cellular, Inc., Senior Notes, 13.500% due 06/01/06^........ 98,900 85,000 MJD Communications, Inc., Senior Subordinate Notes, 9.500% due 05/01/08.......... 75,650 400,000 Nextel International, Inc., Senior Notes, 9.950% due 02/15/08.......... 293,000 230,000 Nextlink Communications, Senior Notes, 10.750% due 06/01/09......... 227,125 25,000 Northeast Optic Network, Senior Notes, 12.750% due 08/15/08......... 23,875 NTL, Inc., Senior Notes: 230,000 12.375% due 10/01/08^........ 150,650 200,000 9.750% due 04/01/08^++....... 125,000 55,000 PTC International Finance II SA, 11.250% due 12/01/09......... 55,962 50,000 Rural Cellular Corporation, Senior Notes, 9.625% due 05/15/08.......... 48,500 35,000 Spectrasite Holdings, Inc. 10.750% due 03/15/10......... 34,825 190,000 Tele1 Europe B.V., Senior Notes, 13.000% due 05/15/09......... 192,850 Telewest Communication Plc 125,000 9.250% due 04/15/09.......... 67,813 45,000 11.000% due 10/01/07^........ 42,863 40,000 9.625% due 10/01/06.......... 37,600 45,000 Triton PCS, Inc., Company Guarantee, 11.000% due 05/01/08^........ 32,625 175,000 Versatel Telecom BV, Senior Notes, 13.250% due 05/15/08++....... 178,063 130,000 Viatel, Inc., Senior Notes, 12.500% due 04/15/08^........ 58,500 100,000 Voicestream Wire Company 10.375% due 11/15/09......... 103,000 See Notes to Financial Statements. 21 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) TELEPHONE AND COMMUNICATIONS -- (CONTINUED) $ 30,000 Western Wireless, Inc., Senior Notes, 10.500% due 02/01/07......... $ 30,600 180,000 Worldwide Fiber, Inc., 12.000% due 08/01/09......... 170,100 ----------- 5,717,285 ----------- TEXTILES AND HOME FURNISHINGS -- 0.7% 145,000 Simmons Company, Senior Notes, 10.250% due 03/15/09......... 129,775 45,000 Westpoint Stevens, Inc., Senior Notes, 7.875% due 06/15/05^......... 37,575 ----------- 167,350 ----------- Total Corporate Fixed Income Securities (Cost $21,164,508)........... 19,951,724 ----------- AGENCY SECURITIES -- 6.7% 1,500,000 Federal Home Loan Mortgage Corporation (FHLMC) 6.086% due 07/03/00#......... 1,499,453 ----------- Total Agency Securities (Cost $1,499,453)............ 1,499,453 ----------- SHARES ------ COMMON STOCK -- 0.5% 3,750 Completel Europe NV+........... 45,000 1,309 Versatel Telecom International NV, ADR+......................... 56,451 537 Viatel, Inc.+.................. 15,338 ----------- Total Common Stock (Cost $1,530)................ 116,789 ----------- PREFERRED STOCK -- 1.7% 60,358 Crown Castle International Corporation, 12.750% due 12/15/10......... 60,962 138,500 CSC Holdings, Inc., Series M, 11.125% due 04/01/08......... 145,425 50,000 Global Crossing Holdings Ltd., 10.500% due 12/01/08......... 48,250 1,400 Primedia, Inc., Series H, 8.625% due 04/01/10.......... 120,400 ----------- Total Preferred Stock (Cost $381,991).............. 375,037 ----------- SHARES ------ WARRANTS -- 0.2% 115 Motient Corporation, Expire 3/31/08++............. $ 4,600 145 Jazztel Plc, Expire 04/01/09+............. 13,413 170 Ono Finance Plc, Expire 05/31/09+............. 25,458 ----------- Total Warrants (Cost $21,695)............... 43,471 ----------- TOTAL INVESTMENTS (COST $23,069,177*)............... 98.3% 21,986,474 OTHER ASSETS AND LIABILITIES (NET)............................. 1.7% 381,855 ------- ----------- NET ASSETS........................... 100.0% $22,368,329 ======= =========== NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 790,823 Accumulated net realized loss on investments. (256,710) Net unrealized depreciation of investments... (1,082,703) Paid-in capital.............................. 22,916,919 ----------- TOTAL NET ASSETS............................. $22,368,329 =========== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 9.63 =========== Number of Portfolio shares outstanding....... 2,323,835 =========== - -------------------- * Aggregate cost for federal tax purposes. # Rate represents annualized yield at date of purchase. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ^ Zero coupon security as of June 30, 2000. The coupon shown is the set-up rate. See Notes to Financial Statements. 22 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR JANUS GROWTH PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 92.2% BROADCASTING AND MEDIA -- 5.9% 412,225 AMFM, Inc.+.................... $28,443,525 850,398 AT&T Corporation - Liberty Media Group, Class A+.............. 20,622,151 226,840 Viacom, Inc., Class B+......... 15,467,652 ----------- 64,533,328 ----------- COMPUTER SERVICES AND SOFTWARE -- 18.4% 482,510 BEA Systems, Inc.+............. 23,854,088 55,530 Check Point Software Technologies Ltd.+........... 11,758,477 1,158,795 Cisco Systems, Inc.+........... 73,655,907 187,850 EMC Corporation+............... 14,452,709 482,726 Microsoft Corporation+......... 38,618,080 104,740 Sapient Corporation+........... 11,200,634 246,315 VERITAS Software Corporation+.. 27,837,444 ----------- 201,377,339 ----------- DIVERSIFIED OPERATIONS -- 5.7% 1,180,335 General Electric Company....... 62,557,755 ----------- DRUGS AND MEDICAL PRODUCTS -- 2.5% 50,840 Genentech, Inc.+............... 8,744,480 374,605 Medtronic, Inc................. 18,660,012 ----------- 27,404,492 ----------- ELECTRONICS -- 9.1% 376,885 Conexant Systems, Inc.+........ 18,326,033 467,607 Lam Research Corporation+...... 17,535,262 462,202 Texas Instruments, Inc......... 31,747,500 390,162 Xilinx, Inc.+.................. 32,212,750 ----------- 99,821,545 ----------- FINANCIAL -- 1.9% 410,043 American Express Company....... 21,373,491 ----------- INTERNET SERVICES -- 12.5% 469,436 Amazon.com, Inc.+.............. 17,046,395 891,604 America Online, Inc.+.......... 47,032,111 379,356 eBay, Inc.+.................... 20,603,773 619,860 Exodus Communications, Inc.+... 28,552,301 134,982 VeriSign, Inc.+................ 23,824,323 ----------- 137,058,903 ----------- OIL AND GAS -- 1.3% 226,969 Enron Corporation.............. 14,639,500 ----------- RETAIL -- 3.9% 334,912 Costco Wholesale Corporation+.. 11,052,096 493,212 Home Depot, Inc................ 24,629,774 375,690 Staples, Inc.+................. 5,776,234 27,155 Starbucks Corporation.......... 1,036,982 ----------- 42,495,086 ----------- TELECOMMUNICATIONS -- 31.0% 276,960 3Com Corporation+.............. 15,959,820 331,496 Comcast Corporation, Class A... 13,425,588 VALUE SHARES (NOTE 1) ------ -------- TELECOMMUNICATIONS -- (CONTINUED) 402,770 EchoStar Communications Corporation, Class A......... $ 13,335,463 196,780 JDS Uniphase Corporation+...... 23,589,003 474,090 Nextel Communications, Inc., Class A+............... 29,008,382 1,944,726 Nokia Corporation ADR.......... 97,114,755 289,770 Nortel Networks Corporation.... 19,776,803 227,074 NTL, Inc.+..................... 13,596,041 695 NTT Mobile Communications Network, Inc................. 18,800,603 133,005 Telefonica S.A., Sponsored ADR. 8,520,633 328,090 Tellabs, Inc.+................. 22,453,659 526,431 Time Warner, Inc............... 40,008,756 577,970 Vodafone Airtouch Plc, ADR..... 23,949,632 ------------- 339,539,138 ------------- Total Common Stock (Cost $760,564,847).......... 1,010,800,577 ------------- PRINCIPAL AMOUNT -------- AGENCY SECURITIES -- 3.6% FEDERAL HOME LOAN BANK (FHLB)-- 3.6% $10,000,000 6.480% due 07/03/00#.......... 9,996,472 20,000,000 8.839% due 07/20/00#.......... 19,934,028 10,000,000 6.157% due 08/14/00#.......... 9,921,289 ------------ 39,851,789 ------------ Total Agency Securities (Cost $39,851,789)........... 39,851,789 ------------ COMMERCIAL PAPER -- 4.3% 46,700,000 Associates Corporation, 6.850% due 07/03/00.......... 46,682,228 ------------ Total Commercial Paper (Cost $46,682,228)........... 46,682,228 ------------ TOTAL INVESTMENTS (COST $847,098,864*)............. 100.1% 1,097,334,594 OTHER ASSETS AND LIABILITIES (NET)............................ (0.1)% (1,594,788) ------- -------------- NET ASSETS.......................... 100.0% $1,095,739,806 ======= ============== NET ASSETS CONSIST OF: Accumulated net realized gain on investments $ 7,368,932 Net unrealized appreciation on investments... 250,235,730 Paid-in capital.............................. 838,135,144 -------------- TOTAL NET ASSETS............................ $1,095,739,806 ============== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ...............................$ 93.60 ============== Number of Portfolio shares outstanding....... 11,706,862 ============== - -------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. # Rate represents annualized yield at date of purchase. Abbreviations: ADR -- American Despositary Receipt See Notes to Financial Statements. 23 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR MONEY MARKET PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- COMMERCIAL PAPER -- 65.0% $ 5,000,000 American Express Credit Corporation, 6.658% due 07/05/00#......... $ 4,996,372 5,000,000 American General Corporation, 6.678% due 08/02/00#......... 4,971,111 5,000,000 Associates Corporation, 6.560% due 08/01/00.......... 4,971,756 5,000,000 Chevron USA, Inc., 6.700% due 07/06/00.......... 4,995,347 5,000,000 CIT Group, Inc., 6.728% due 07/24/00#......... 4,979,013 5,000,000 Coca-Cola Company, 6.740% due 08/07/00#......... 4,966,186 5,000,000 Daimler Chrysler, 6.670% due 08/30/00.......... 4,944,417 5,000,000 Ford Motor Credit Corporation, 6.510% due 07/06/00.......... 4,995,479 5,000,000 General Electric Capital Corporation, 6.570% due 10/05/00.......... 4,912,400 5,000,000 General Motors Acceptance Corporation, 6.214% due 07/10/00#......... 4,992,525 5,000,000 IBM Credit Corporation, 6.510% due 07/31/00.......... 4,972,858 3,000,000 LaSalle Bank of North America 6.500% due 11/03/00#......... 3,000,000 5,000,000 Merrill Lynch & Company, 6.220% due 07/10/00#......... 4,992,500 5,000,000 Norwest Financial, Inc., 6.728% due 07/31/00#......... 4,972,542 5,000,000 Prudential Funding Corporation, 6.660% due 08/21/00.......... 4,952,825 3,000,000 Societe Generale North America, 6.517% due 11/22/00#......... 2,926,440 ----------- Total Commercial Paper (Cost $75,541,771)........... 75,541,771 ----------- CERTIFICATE OF DEPOSIT -- 11.2% 5,000,000 Bank Of America Corporation, 6.200% due 09/05/00#......... 5,000,000 3,000,000 Banq Paribas New York, 6.650% due 07/05/00.......... 3,000,000 5,000,000 Harris Trust & Savings, Certificates of Deposit, 6.570% due 07/07/00.......... 4,999,999 ----------- Total Certificates of Deposit (Cost $12,999,999)........... 12,999,999 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- U.S. GOVERNMENT AGENCY SECURITIES -- 24.0% $ 7,000,000 Fannie Mae, 6.470% due 09/07/00.......... $ 6,914,452 Federal Home Loan Bank: 12,370,000 6.500% due 07/03/00.......... 12,365,533 627,000 6.450% due 07/21/00.......... 624,753 5,000,000 Freddie Mac, 6.440% due 08/08/00.......... 4,966,011 3,000,000 Sallie Mae, 6.094% due 10/19/00.......... 3,000,000 ----------- Total U.S. Government Agency Securities (Cost $27,870,749)........... 27,870,749 ----------- TOTAL INVESTMENTS (COST $116,412,519*).............. 100.2% 116,412,519 OTHER ASSETS AND LIABILITIES (NET)............................. (0.2)% (211,458) ------- ----------- NET ASSETS........................... 100.0% $116,201,061 ======= ============ NET ASSETS CONSIST OF: Accumulated net realized loss on investments. $ (235) Paid-in capital.............................. 116,201,296 ------------ TOTAL NET ASSETS............................. $116,201,061 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 1.00 ============ Number of Portfolio shares outstanding....... 116,201,394 ============ ------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. # Rate represents annualized discount yield at date of purchase. See Notes to Financial Statements. 24 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR OPPORTUNITY VALUE PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 66.0% AEROSPACE AND DEFENSE -- 3.6% 35,400 Boeing Company................. $ 1,480,162 ----------- ALUMINUM -- 0.9% 12,000 Alcoa, Inc..................... 348,000 ----------- BANKING -- 9.1% 15,625 Citigroup, Inc................. 941,406 2,400 M&T Bank Corporation........... 1,080,000 44,500 Wells Fargo Company............ 1,724,375 ----------- 3,745,781 ----------- COMPUTER SERVICES AND SOFTWARE -- 6.0% 30,300 Computer Associates International, Inc........... 1,550,981 20,700 Compuware Corporation+......... 214,762 2,500 Dell Computer Corporation+..... 123,281 3,500 Electronic Data Systems Corporation ................. 144,375 1,000 Intel Corporation.............. 133,687 2,000 International Business Machines Corporation (IBM)............ 219,125 5,500 Unisys Corporation+............ 80,094 ----------- 2,466,305 ----------- DIVERSIFIED -- 0.3% 2,750 Solectron Corporation+......... 115,156 ----------- DIVERSIFIED CHEMICALS -- 3.9% 36,500 duPont (E.I.) de Nemours & Company.................... 1,596,875 ----------- DRUGS AND MEDICAL PRODUCTS -- 7.3% 24,800 American Home Products Corporation.................. 1,457,000 5,100 Bristol-Myers Squibb Company... 297,075 23,800 Pharmacia Corporation.......... 1,230,163 ----------- 2,984,238 ----------- FINANCIAL SERVICES -- 8.8% 15,350 FleetBoston Financial Corporation ................. 521,900 45,000 Freddie Mac.................... 1,822,500 27,300 Household International, Inc... 1,134,656 6,100 John Hancock Financial Services, Inc.+ ....................... 144,494 ----------- 3,623,550 ----------- INSURANCE -- 1.3% 9,511 XL Capital Ltd., Class A....... 514,783 ----------- LEISURE -- 0.1% 3,100 Carnival Corporation........... 60,450 ----------- VALUE SHARES (NOTE 1) ------ -------- MANUFACTURING AND MINING -- 4.8% 5,400 Emerson Electric Company....... $ 326,025 9,300 Minnesota Mining & Manufacturing Company...................... 767,250 16,000 Textron, Inc................... 869,000 ----------- 1,962,275 ----------- MEDIA -- 0.3% 3,000 News Corporation (The), Ltd., Sponsored ADR................ 142,500 ----------- OIL / GAS -- DOMESTIC -- 0.4% 5,350 Tosco Corporation.............. 151,472 ----------- OIL AND GAS EXPLORATION -- 4.5% 5,100 Anadarko Petroleum Corporation. 251,494 14,000 Chevron Corporation............ 1,187,375 10,400 Unocal Corporation............. 344,500 2,400 USX-Marathon Group............. 60,150 ----------- 1,843,519 ----------- RESTAURANTS -- 4.6% 57,600 McDonald's Corporation......... 1,897,200 ----------- RETAIL -- 3.5% 1,500 CVS Corporation................ 60,000 62,000 Kroger Company+................ 1,367,875 ----------- 1,427,875 ----------- TELECOMMUNICATIONS -- 4.7% 7,000 AT&T Corporation............... 221,375 21,800 Bell Atlantic Corporation...... 1,107,713 2,000 Motorola, Inc.................. 58,125 7,000 Sprint Corporation............. 357,000 4,000 Worldcom, Inc.................. 183,500 ----------- 1,927,713 ----------- TRANSPORTATION -- 0.3% 5,000 AMR Corporation................ 132,188 ----------- TRAVEL SERVICES -- 0.9% 12,913 Sabre Holdings Corporation+.... 368,021 ----------- WASTE DISPOSAL -- 0.7% 14,100 Waste Management, Inc.......... 267,900 ----------- Total Common Stock (Cost $26,802,872)........... 27,055,963 ----------- See Notes to Financial Statements. 25 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR OPPORTUNITY VALUE PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- AGENCY SECURITIES -- 29.1% FEDERAL HOME LOAN BANK (FHLB) -- 9.8% $4,027,000 FHLB Discount Note, 6.086% due 07/03/2000#....... $ 4,025,530 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 19.3% 4,000,000 6.453% due 07/11/2000#....... 3,992,922 4,000,000 6.500% due 08/15/2004........ 3,923,120 ----------- 7,916,042 ----------- Total Agency Securities (Cost $11,975,929)........... 11,941,572 ----------- TOTAL INVESTMENTS (COST $38,778,801*)............... 95.1% 38,997,535 OTHER ASSETS AND LIABILITIES (NET)............................. 4.9% 2,011,126 ------- ----------- NET ASSETS........................... 100.0% $41,008,661 ======= =========== NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 450,669 Accumulated net realized loss on investments. (771,360) Net unrealized depreciation of investments... (46,329) Paid-in capital.............................. 41,375,681 ----------- TOTAL NET ASSETS............................. $41,008,661 =========== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 11.32 ============ Number of Portfolio shares outstanding....... 3,621,159 ============ - -------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. # Rate represents annualized yield at date of purchase. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 26 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR SELECT PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 91.1% BANKING AND FINANCE -- 6.4% 172,000 Arab Malaysian Merchant Bank... $ 574,842 13,500,000 Banco Bradesco S.A............. 117,521 87,800 Banco Comercial................ 456,857 12,150 Chase Manhattan Corporation.... 559,659 5,500 Consors Discount Broker Ag..... 490,980 265,000 Grupo Financiero Banamex Accival SA de CV, Series O+.......... 1,114,373 2,300 Merrill Lynch and Company...... 264,500 ----------- 3,578,732 ----------- BUILDING AND CONSTRUCTION -- 0.7% 4,500 Vivendi........................ 397,200 ----------- COMPUTER SERVICES AND SOFTWARE-- 12.2% 9,900 America Online, Inc. +......... 522,225 6,200 Apple Computer, Inc.+.......... 324,725 13,100 Asiainfo Hldgs, Inc............ 585,406 12,600 Cisco Systems, Inc............. 800,887 20,500 Compaq Computer Corporation.... 524,031 9,300 Dell Computer Corporation+..... 458,606 10,600 EMC Corporation+............... 815,537 71,400 Freeserve Plc.................. 347,874 5,800 Intel Corporation.............. 775,388 9,600 Oracle Corporation+............ 807,000 9,100 Sun Microsystems, Inc.+........ 827,531 ----------- 6,789,210 ----------- DIVERSIFIED OPERATIONS -- 1.2% 13,600 Tyco International, Ltd........ 644,300 ----------- DRUGS -- 4.2% 15,300 Elan Corporation Plc, ADR+..... 741,094 8,400 Lilly (Eli) and Company........ 838,950 15,900 Pfizer, Inc.................... 763,200 ----------- 2,343,244 ----------- ELECTRONIC COMPONENTS -- 13.1% 5,000 Flextronics International, Ltd.+ 343,438 66,000 Hon Hai Precision Industry Company Ltd.................. 597,168 8,440 Infineon Technologies AG+...... 668,821 67,800 RAO Unified Energy Systems, Sponsored ADR................ 779,700 1,700 Rohm Company Ltd............... 496,725 6,035 Samsung Electronics............ 1,997,188 748 Serono Sa - B.................. 623,582 179,200 Taiwan Semiconductor Manufacturing Company........ 851,528 4,500 Texas Instruments, Inc......... 309,094 242,000 United Microelectronics Corporation Ltd.............. 673,426 ----------- 7,340,670 ----------- VALUE SHARES (NOTE 1) ------ -------- FINANCIAL SERVICES -- 3.8% 6,900 American International Group, Inc.......................... $ 810,750 13,600 Citigroup, Inc................. 819,400 1,460 Muenchener Rueckversicherungs-Gesellschaft 463,483 ----------- 2,093,633 ----------- FOOD - PACKAGED -- 5.1% 51,000 Diageo......................... 457,607 8,600 Fomento Economico Mexicano..... 370,337 28,600 Pao De Acucar.................. 918,775 15,400 PepsiCo, Inc................... 684,338 9,100 Safeway, Inc.+................. 410,638 ----------- 2,841,695 ----------- HEALTH CARE SERVICES -- 1.0% 11,200 Medtronic, Inc................. 557,900 ----------- MANUFACTURING -- 2.5% 17,900 General Electric Company....... 948,700 123,700 Invensys Plc................... 464,183 ----------- 1,412,883 ----------- MEDIA -- CABLE TELEVISION -- 1.3% 6,120 ABB Ltd.+...................... 732,479 ----------- MEDIA AND COMMUNICATIONS -- 2.4% 10,500 Enron Corporation.............. 677,250 20,200 Pearson........................ 641,857 600 Sri Adhikari Brothers Television Network...................... 7,736 ----------- 1,326,843 ----------- METALS / MINING -- 3.1% 66,000 Grupo Mexico SA, Series B...... 185,698 41,200 Impala Platinum Holdings Ltd... 1,560,560 ----------- 1,746,258 ----------- PAPER AND PAPER PRODUCTS -- 1.5% 43,300 Aracruz Celulose S.A., ADR..... 836,231 ----------- PETROLEUM -- 2.4% 5,800 Exxon Mobil Corporation........ 455,300 30,000 Petroleo Brasileiro SA......... 881,286 ----------- 1,336,586 ----------- See Notes to Financial Statements. 27 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR SELECT PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK (CONTINUED) RETAIL -- 6.6% 2,030 Castorama Dubois Investissement SA............ $ 501,979 7,200 CVS Corporation................ 288,000 7,100 Kohl's Corporation+............ 394,938 48,000 Next Plc....................... 421,610 157,000 Organizacion Soriana S.A. de C.V. 625,130 348,000 Wal-Mart de Mexico S.A. de C.V., Series V+.................... 816,536 11,100 Wal-Mart Stores, Inc........... 639,638 ----------- 3,687,831 ----------- TELECOMMUNICATIONS -- 21.5% 9,400 Alcatel SA, ADR................ 625,100 245,900 Cable and Wirelsss Optus Ltd... 732,361 130,000 China Telecom.................. 1,146,495 66,000 China Unicom................... 140,119 6,300 Comverse Technology, Inc....... 585,900 57,400 Embratel Participacoes S.A., ADR+ ........................ 1,356,075 45,500 FLAG Telecom Holdings, Ltd.+... 676,813 6,900 Global Crossing, Ltd.+......... 181,556 24,420 Nokia Oyj...................... 1,246,186 11,600 Nortel Networks Corporation, New Com...................... 791,700 19 NTT Mobile Communications Network, Inc................. 513,973 63,400 ScottishPower.................. 537,211 2,690 Sk Telecom Company Ltd......... 880,563 13,200 Sonera Group Oyj............... 601,779 13,200 Sprint Corporation (PCS Group)+ 785,400 562 Tele Norte Leste Participacoes SA, ADR...................... 13,278 80 Telesp Celular Participacoes S.A.+ ....................... 1 14,900 Versatel Telecom International NV+ ......................... 625,934 147,604 Vodafone AirTouch Plc.......... 596,317 ----------- 12,036,761 ----------- TELEPHONE -- 2.1% 20,300 Telefonos de Mexicano, Sponsored ADR................ 1,159,638 ----------- Total Common Stock (Cost $49,429,575)........... 50,862,094 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) --------- -------- REPURCHASE AGREEMENT -- 8.7% $ 4,889,000 Agreement with The Boston Company, 6.530% to be repurchased at $4,891,660 on 07/03/00, collaterized by $4,529,000 U.S. Treasury Bond, 6.750% due 08/15/26, market value $4,987,561...... $ 4,889,000 ----------- Total Repurchase Agreement (Cost $4,889,000)............ 4,889,000 ----------- TOTAL INVESTMENTS (COST $54,318,575*)............... 99.8% 55,751,094 OTHER ASSETS AND LIABILITIES (NET)............................. 0.2% 108,117 ------- ----------- NET ASSETS........................... 100.0% $55,859,211 ======= =========== NET ASSETS CONSIST OF: Accumulated net realized gain on investments, foreign currencies and net other assets.... $ 4,007,137 Net realized appreciation of investments, foreign currencies and net other assets.... 1,444,311 Paid-in capital.............................. 50,407,763 ----------- TOTAL NET ASSETS............................. $55,859,211 =========== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 13.63 =========== Number of Portfolio shares outstanding....... 4,097,235 =========== - -------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 28 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR VALUE EQUITY PORTFOLIO JUNE 30, 2000 (UNAUDITED) COMMON STOCK -- 99.5% BANKING AND FINANCE -- 6.9% 30,750 Chase Manhattan Corporation (The) ....................... $ 1,416,422 143,000 FleetBoston Financial Corporation ................. 4,862,000 150,000 Wells Fargo Company............ 5,812,500 ----------- 12,090,922 ----------- COMMUNICATIONS -- 15.2% 75,000 AMFM, Inc.+.................... 5,175,000 70,000 Bell Atlantic Corporation...... 3,556,875 50,000 Motorola, Inc.................. 1,453,125 140,000 News Corporation (The), Ltd., Sponsored ADR................ 6,650,000 86,000 Sprint Corporation............. 4,386,000 121,500 Worldcom, Inc.................. 5,573,812 ----------- 26,794,812 ----------- DIVERSIFIED OPERATIONS -- 6.1% 84,000 Minnesota Mining & Manufacturing Company...... 6,930,000 70,000 Textron, Inc................... 3,801,875 ----------- 10,731,875 ----------- DIVERSIFIED CHEMICALS -- 2.5% 100,000 duPont (E.I.) de Nemours & Company.................... 4,375,000 ----------- DRUGS AND MEDICAL PRODUCTS -- 9.0% 120,000 American Home Products Corporation.................. 7,050,000 125,000 Becton, Dickinson & Company.... 3,585,937 100,000 Pharmacia Corporation.......... 5,168,750 ----------- 15,804,687 ----------- ELECTRONICS -- 5.2% 100,000 Emerson Electric Company....... 6,037,500 100,000 Rockwell International Corporation ................. 3,150,000 ----------- 9,187,500 ----------- FINANCIAL SERVICES -- 14.6% 125,000 Citigroup, Inc................. 7,531,250 140,000 Countrywide Credit Industries, Inc. ........................ 4,243,750 180,000 Freddie Mac.................... 7,290,000 160,000 Household International, Inc... 6,650,000 ----------- 25,715,000 ----------- FOOD AND BEVERAGES -- 3.7% 185,000 Diageo Plc, Sponsored ADR...... 6,579,062 ----------- INSURANCE -- 9.3% 180,000 Ace, Ltd....................... 5,040,000 100,000 AFLAC, Inc..................... 4,593,750 125,000 XL Capital, Ltd., Class A...... 6,765,625 ----------- 16,399,375 ----------- MACHINERY -- 4.6% 120,000 Caterpillar, Inc............... 4,065,000 100,000 Dover Corporation.............. 4,056,250 ----------- 8,121,250 ----------- VALUE SHARES (NOTE 1) ------ -------- MANUFACTURING AND ENGINEERING -- 1.7% 100,000 Alcoa, Inc..................... $ 2,900,000 ----------- RESTAURANTS -- 3.1% 165,000 McDonald's Corporation......... 5,434,688 ----------- RETAIL -- 4.8% 200,000 Kroger Company+................ 4,412,500 170,000 May Department Stores Company.. 4,080,000 ----------- 8,492,500 ----------- TECHNOLOGY -- 6.0% 150,000 Compaq Computer Corporation.... 3,834,375 130,000 Computer Association International, Inc........... 6,654,375 ----------- 10,488,750 ----------- TRANSPORTATION -- 3.4% 100,000 AMR Corporation+............... 2,643,750 130,000 Canadian Pacific, Ltd.......... 3,404,375 ----------- 6,048,125 ----------- TRAVEL SERVICES -- 1.2% 72,265 Sabre Holdings Corporation+.... 2,059,553 ----------- WASTE TREATMENT SYSTEMS -- 2.2% 201,000 Waste Management, Inc.......... 3,819,000 ----------- Total Common Stock (Cost $156,415,771).......... 175,042,099 ----------- PRINCIPAL AMOUNT -------- AGENCY SECURITIES -- 0.5% FEDERAL HOME LOAN BANK (FHLB) -- 0.5% $ 828,000 FHLB Discount Note, 6.500% due 07/03/00.......... 827,698 ----------- Total U.S. Government Agency Securities (Cost $827,698).............. 827,698 ----------- TOTAL INVESTMENTS (COST $157,243,469*).............. 100.0% 175,869,797 OTHER ASSETS AND LIABILITIES (NET)**........................... 0.0% 21,120 ------- ------------ NET ASSETS........................... 100.0% $175,890,917 ======= ============ NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 657,573 Accumulated net realized loss on investments. (7,334,850) Net unrealized appreciation of investments... 18,626,328 Paid-in capital.............................. 163,941,866 ------------ TOTAL NET ASSETS............................. $175,890,917 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 15.68 ============ Number of Portfolio shares outstanding....... 11,217,766 ============ - -------------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-income producing security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 29 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 95.0% AEROSPACE AND DEFENSE -- 1.3% 127,100 Lockheed Martin Corporation.... $ 3,153,669 ----------- AUTOMOTIVES -- 0.9% 21,400 Dana Corporation............... 453,412 78,850 Genuine Parts Company.......... 1,577,000 ----------- 2,030,412 ----------- BANKING AND FINANCE -- 6.8% 31,000 Bank of America Corporation.... 1,333,000 86,882 Bank One Corporation........... 2,307,803 53,473 Citigroup, Inc................. 3,221,748 53,200 Firstar Corporation............ 1,120,525 23,800 KeyCorp........................ 419,475 58,300 Mercantile Bankshares Corporation ................. 1,738,069 24,500 Morgan (J.P.) & Company, Inc... 2,698,062 61,100 National City Corporation...... 1,042,519 57,630 Wells Fargo Company............ 2,233,162 ----------- 16,114,363 ----------- BUILDING AND CONSTRUCTION -- 0.3% 44,400 Armstrong Holdings, Inc........ 679,875 ----------- COMMUNICATIONS -- 0.7% 34,100 Motorola, Inc.................. 991,031 17,800 Vodafone Airtouch Plc, ADR..... 737,587 ----------- 1,728,618 ----------- COMPUTER SERVICES AND SOFTWARE -- 0.5% 48,400 Compaq Computer Corporation.... 1,237,225 ----------- CONSUMER PRODUCTS -- 4.3% 107,400 Pall Corporation............... 1,986,900 76,200 Philip Morris Companies, Inc... 2,024,062 24,900 Procter & Gamble Company....... 1,425,525 71,100 Stanley Works.................. 1,688,625 27,600 Tupperware Corporation......... 607,200 23,800 Unilever NV, CVA............... 1,091,842 95,800 UST, Inc....................... 1,407,062 ----------- 10,231,216 ----------- COSMETICS AND TOILETRIES -- 2.9% 38,100 Gillette Company............... 1,331,119 78,400 International Flavors & Fragrances, Inc............ 2,366,700 56,800 Kimberly-Clark Corporation..... 3,258,900 ----------- 6,956,719 ----------- DIVERSIFIED -- 4.0% 71,400 Disney (Walt) Company.......... 2,771,212 19,000 Eaton Corporation.............. 1,273,000 59,500 Fortune Brands, Inc............ 1,372,219 69,300 Hasbro, Inc.................... 1,043,831 24,900 PPG Industries, Inc............ 1,103,381 88,600 Xerox Corporation.............. 1,838,450 ----------- 9,402,093 ----------- VALUE SHARES (NOTE 1) ------ -------- DIVERSIFIED CHEMICALS -- 1.5% 35,400 Dow Chemical Company........... $ 1,068,637 56,800 du Pont (E.I.) de Nemours & Company.................... 2,485,000 ----------- 3,553,637 ----------- DRUGS -- 1.6% 71,272 Pharmacia Corporation.......... 3,683,871 ----------- ELECTRICAL EQUIPMENT -- 1.4% 23,800 Boeing Company................. 995,137 17,807 Cooper Industries, Inc......... 579,840 67,300 Hubbell, Inc., Class B......... 1,716,150 ----------- 3,291,127 ----------- ENERGY SERVICES -- 2.5% 43,800 Duke Energy Corporation........ 2,469,225 57,900 Niagara Mohawk Holdings, Inc.+. 806,981 50,600 Reliant Energy, Inc............ 1,495,863 30,911 Scottish Power Plc............. 1,033,587 ----------- 5,805,656 ----------- FINANCIAL SERVICES -- 5.5% 45,500 American General Corporation... 2,775,500 39,200 Block (H&R), Inc............... 1,269,100 56,700 Fannie Mae..................... 2,959,031 104,058 FleetBoston Financial Corporation 3,537,972 71,674 St. Paul Companies, Inc........ 2,445,875 ----------- 12,987,478 ----------- FOOD AND BEVERAGES -- 8.1% 19,000 Anheuser-Busch Companies, Inc.. 1,419,063 36,000 Brown-Forman Corporation, Class B ..................... 1,935,000 58,500 Campbell Soup Company.......... 1,703,813 116,500 General Mills, Inc............. 4,456,125 73,700 Heinz (H.J.) Company........... 3,224,375 65,300 Hershey Foods Corporation...... 3,167,050 34,400 Kellogg Company................ 1,023,400 65,600 McCormick & Company, Inc....... 2,132,000 ----------- 19,060,826 ----------- INSURANCE -- 3.2% 38,500 Chubb Corporation.............. 2,367,750 42,000 Lincoln National Corporation... 1,517,250 65,500 SAFECO Corporation............. 1,301,813 112,600 UnumProvident Corporation...... 2,259,038 ----------- 7,445,851 ----------- LODGING -- 1.8% 146,100 Hilton Hotels Corporation...... 1,369,688 91,426 Starwood Hotels and Resorts Worldwide, Inc............... 2,977,059 ----------- 4,346,747 ----------- See Notes to Financial Statements. 30 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) MANUFACTURING -- 0.7% 52,400 Rockwell International Corporation ................. $ 1,650,600 ----------- MEDIA AND COMMUNICATIONS -- 2.3% 58,200 Dun & Bradstreet Corporation... 1,665,975 43,600 Knight-Ridder, Inc............. 2,318,975 37,000 Reader's Digest Association, Inc., Class A................ 1,470,750 ----------- 5,455,700 ----------- MEDICAL SUPPLIES AND EQUIPMENT -- 0.5% 41,600 Becton, Dickinson & Company.... 1,193,400 ----------- METALS / MINING -- 2.1% 36,900 Minnesota Mining & Manufacturing Company...... 3,044,250 42,836 Newmont Mining Corporation..... 926,329 23,500 Phelps Dodge Corporation....... 873,906 ----------- 4,844,485 ----------- PAPER AND PAPER PRODUCTS -- 2.3% 6,000 Consolidated Papers, Inc....... 219,375 112,400 Fort James Corporation......... 2,599,250 89,193 International Paper Company.... 2,659,066 ----------- 5,477,691 ----------- PETROLEUM - DOMESTIC -- 0.6% 54,000 USX-Marathon Group............. 1,353,375 ----------- PETROLEUM - INTERNATIONAL -- 12.0% 35,700 Amerada Hess Corporation....... 2,204,475 120,774 BP Amoco Plc, Sponsored ADR.... 6,831,279 43,400 Chevron Corporation............ 3,680,863 78,261 Exxon Mobil Corporation........ 6,143,489 55,600 Royal Dutch Petroleum Company, NY Shares.................... 3,422,875 63,700 Texaco, Inc.................... 3,392,025 81,000 Unocal Corporation............. 2,683,125 ----------- 28,358,131 ----------- PHARMACEUTICALS -- 3.6% 57,600 Abbott Laboratories............ 2,566,800 74,600 American Home Products Corporation.................. 4,382,750 19,000 Merck & Company, Inc........... 1,455,875 ----------- 8,405,425 ----------- PHOTOGRAPHY EQUIPMENT AND SUPPLIES -- 1.3% 49,900 Eastman Kodak Company.......... 2,969,050 ----------- PRINTING AND PUBLISHING -- 1.2% 64,500 Donnelley (R.R.) & Sons Company 1,455,281 18,900 Dow Jones & Company, Inc....... 1,384,425 ----------- 2,839,706 ----------- VALUE SHARES (NOTE 1) ------ -------- RAILROADS -- 1.9% 120,400 Norfolk Southern Corporation... $ 1,790,950 71,000 Union Pacific Corporation...... 2,640,313 ----------- 4,431,263 ----------- REAL ESTATE -- 1.5% 64,500 Rouse Company.................. 1,596,375 82,832 Simon Property Group, Inc...... 1,837,835 ----------- 3,434,210 ----------- RETAIL -- 2.0% 48,150 May Department Stores Company.. 1,155,600 43,100 Penney (J.C.) Company, Inc..... 794,656 191,100 Toys "R" Us, Inc.+............. 2,782,894 ----------- 4,733,150 ----------- SPECIALTY CHEMICALS -- 1.5% 52,800 Great Lakes Chemical Corporation 1,663,200 82,200 Hercules, Inc.................. 1,155,938 23,900 Imperial Chemical Industries Plc, Sponsored ADR........... 736,419 ----------- 3,555,557 ----------- TECHNOLOGY -- 1.5% 28,600 BMC Software, Inc.+............ 1,043,453 23,800 Microsoft Corporation+......... 1,904,000 38,400 Unisys Corporation+............ 559,200 ----------- 3,506,653 ----------- TELECOMMUNICATIONS -- 6.8% 55,000 ALLTEL Corporation............. 3,406,563 46,850 AT&T Corporation............... 1,481,631 38,100 BellSouth Corporation.......... 1,624,013 61,600 GTE Corporation................ 3,834,600 110,774 SBC Communications, Inc. 4,790,976 11,900 US West, Inc................... 1,020,425 ----------- 16,158,208 ----------- UTILITIES -- 5.0% 60,500 Baker Hughes, Inc.............. 1,936,000 59,100 Bell Atlantic Corporation...... 3,003,019 38,100 Entergy Corporation............ 1,035,844 75,050 FirstEnergy Corporation........ 1,754,294 83,200 Southern Company............... 1,939,600 52,400 Unicom Corporation............. 2,027,225 ----------- 11,695,982 ----------- WASTE DISPOSAL -- 0.9% 112,362 Waste Management, Inc.......... 2,134,878 ----------- Total Common Stock (Cost $233,012,396).......... 223,906,847 ----------- See Notes to Financial Statements. 31 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO JUNE 30, 2000 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- COMMERCIAL PAPER -- 2.1% Corporate Asset Funding: $ 3,475,000 6.550% due 07/12/00........... $ 3,468,045 1,500,000 6.600% due 08/29/00........... 1,483,775 ----------- Total Commercial Paper (Cost $4,951,820)............ 4,951,820 ----------- SHARES ------ MUTUAL FUNDS -- OPEN END -- 2.7% 6,472,279 Reserve Investment Fund 5.499% due 07/03/00.......... 6,472,279 ----------- Total Mutual Funds - Open End (Cost $6,472,279)............ 6,472,279 ----------- TOTAL INVESTMENTS (COST $244,436,495*).............. 99.8% 235,330,946 OTHER ASSETS AND LIABILITIES (NET)............................. 0.2% 421,052 ------- ------------ NET ASSETS........................... 100.0% $235,751,998 ======= ============ NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 2,759,509 Accumulated net realized gains on investments, foreign currencies and net other assets.... 11,348,811 Net unrealized depreciation of investments, foreign currencies and net other assets.... (9,109,766) Paid-in capital.............................. 230,753,444 ------------ TOTAL NET ASSETS............................. $235,751,998 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 16.84 ============ Number of Portfolio shares outstanding....... 13,997,672 ============ - -------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 32 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 96.9% BANKING AND FINANCE -- 6.9% 50,800 Bank of New York Company, Inc.. $ 2,362,200 11,250 Chase Manhattan Corporation (The) ....................... 518,203 87,848 Citigroup, Inc................. 5,292,842 43,600 Fannie Mae..................... 2,275,375 104,000 Firstar Corporation............ 2,190,500 122,300 Freddie Mac.................... 4,953,150 12,400 State Street Corporation....... 1,315,175 28,400 Wells Fargo Company............ 1,100,500 ----------- 20,007,945 ----------- BUSINESS SERVICES -- 0.8% 6,100 Lexmark International Group, Inc., Class A+............... 410,225 50,700 Randstad Holding N.V........... 1,875,725 ----------- 2,285,950 ----------- COMMUNICATIONS -- 3.5% 48,900 Nortel Networks Corporation.... 3,337,425 8,600 PMC-Sierra, Inc.+.............. 1,528,112 10,300 QUALCOMM, Inc.+................ 618,000 104,830 Worldcom, Inc.................. 4,809,076 ----------- 10,292,613 ----------- COMPUTER SERVICES AND SOFTWARE -- 17.7% 60,800 America Online, Inc.+.......... 3,207,200 23,300 Ariba, Inc.+................... 2,284,492 49,900 Automatic Data Processing, Inc. 2,672,769 53,900 BMC Software, Inc.+............ 1,966,508 39,700 Ceridian Corporation+.......... 955,281 122,300 Cisco Systems, Inc.+........... 7,773,694 16,700 Computer Associates International, Inc........... 854,831 96,300 Dell Computer Corporation+..... 4,748,794 37,300 Intel Corporation.............. 4,986,544 90,000 Microsoft Corporation+......... 7,200,000 54,500 Oracle Corporation+............ 4,581,406 18,400 Peregrine Systems, Inc.+....... 638,250 15,300 Siebel Systems, Inc.+.......... 2,502,506 3,200 SOFTBANK Corporation........... 434,328 17,700 Sun Microsystems, Inc.+........ 1,609,594 22,575 VERITAS Software Corporation+.. 2,551,328 16,700 Vitria Technology, Inc.+....... 1,020,787 11,400 Yahoo!, Inc.+.................. 1,412,175 ----------- 51,400,487 ----------- CONSUMER PRODUCTS -- 2.6% 17,700 Corning, Inc................... 4,776,787 21,600 Gillette Company............... 754,650 35,000 Masco Corporation.............. 632,187 55,300 Philip Morris Companies, Inc... 1,468,906 ----------- 7,632,530 ----------- VALUE SHARES (NOTE 1) ------ -------- DIVERSIFIED OPERATIONS -- 7.2% 57,900 First Data Corporation......... $ 2,873,287 98,400 General Electric Company....... 5,215,200 208,010 Hutchison Whampoa, Ltd......... 2,614,968 14,100 PE Corporation-PE Biosystems Group........................ 928,837 17,100 Teleflex, Inc.................. 611,325 257,260 Tomkins Plc.................... 834,963 116,844 Tyco International, Ltd........ 5,535,484 18,100 Waters Corporation+............ 2,259,106 ----------- 20,873,170 ----------- ELECTRONIC COMPONENTS -- 10.0% 916 Agilent Technologies, Inc...... 67,555 27,600 Altera Corporation+............ 2,813,475 8,800 Analog Devices+................ 668,800 12,000 Applied Micro Circuits......... 1,185,000 21,500 Atmel Corporation+............. 792,812 54,900 Flextronics International, Ltd.+ 3,770,944 14,400 Hewlett-Packard Company........ 1,798,200 7,400 Kyocera Corporation............ 1,254,781 42,400 Maxim Integrated Products, Inc.+ 2,880,550 70,000 Philips Electronics Nv......... 3,301,524 6,100 Samsung Electronics............ 2,018,699 4,600 SDL, Inc. +.................... 1,311,862 70,900 Solectron Corporation+......... 2,968,937 15,100 Sony Corporation............... 1,409,020 41,400 Texas Instruments, Inc......... 2,843,662 ----------- 29,085,821 ----------- ENTERTAINMENT AND LEISURE -- 0.8% 16,900 Electronic Arts, Inc.+......... 1,232,644 30,500 Starwood Hotels & Resorts Worldwide, Inc............... 993,156 ----------- 2,225,800 ----------- FINANCIAL SERVICES -- 3.7% 13,500 AMBAC Financial Group, Inc..... 739,969 57,500 Associates First Capital Corporation, Class A......... 1,282,969 47,800 Capital One Financial Corporation ................. 2,133,075 56,600 Concord EFS, Inc.+............. 1,471,600 28,700 Hartford Financial Services Group (The), Inc............. 1,605,406 25,400 Morgan Stanley Dean Witter & Company.................... 2,114,550 14,100 Providian Financial Corporation 1,269,000 ----------- 10,616,569 ----------- FOOD AND BEVERAGES -- 1.7% 25,700 Coca-Cola Company.............. 1,476,144 71,000 Compass Group Plc.............. 935,179 59,500 PepsiCo, Inc................... 2,644,031 ----------- 5,055,354 ----------- See Notes to Financial Statements. 33 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) GAMING -- 0.7% 62,000 MGM Private Placement.......... $ 1,891,620 ----------- HEALTH CARE SERVICES -- 4.6% 41,000 American Home Products Corporation.................. 2,408,750 12,300 Amgen, Inc.+................... 864,075 20,700 Bristol-Myers Squibb Company... 1,205,775 34,500 Lilly (Eli) & Company.......... 3,445,687 33,600 Unitedhealth Group, Inc........ 2,881,200 37,200 Wellpoint Health Networks, Inc.+ 2,694,675 ----------- 13,500,162 ----------- INSURANCE -- 2.1% 119,000 Ace Ltd........................ 3,332,000 1,800 Fairfax Financial Holdings, Ltd.+ 197,027 2,700 Fairfax Financial Holdings, Ltd.++ 295,541 6,800 Marsh & McLennan Companies, Inc. 710,175 30,532 Mutual Risk Management, Ltd.... 528,585 12,500 PartnerRe, Ltd................. 442,969 9,800 XL Capital, Ltd., Class A...... 530,425 ----------- 6,036,722 ----------- MACHINERY -- 1.5% 35,600 Applied Materials, Inc.+....... 3,226,250 25,400 Danaher Corporation............ 1,255,712 ----------- 4,481,962 ----------- MEDIA AND COMMUNICATIONS -- 4.1% 85,000 AT&T Corporation - Liberty Media Group, Class A+.............. 2,061,250 23,700 Clear Channel Communications, Inc.+........................ 1,777,500 75,000 Comcast Corporation, Special Class A+............. 3,037,500 47,200 Infinity Broadcasting Corporation, Class A+........ 1,719,850 4,800 Macromedia, Inc.+.............. 464,100 20,100 Omnicom Group, Inc............. 1,790,156 15,200 Time Warner, Inc............... 1,155,200 ----------- 12,005,556 ----------- MEDICAL PRODUCTS -- 1.9% 47,300 Baxter International, Inc...... 3,325,781 44,061 Pharmacia Corporation.......... 2,277,403 ----------- 5,603,184 ----------- OIL AND GAS -- 0.9% 76,800 Baker Hughes, Inc.............. 2,457,600 ----------- PAPER AND PAPER PRODUCTS -- 0.3% 17,428 Kimberly-Clark Corporation..... 999,932 ----------- PETROLEUM - INTERNATIONAL -- 2.8% 25,000 Chevron Corporation............ 2,120,313 35,995 Exxon Mobil Corporation........ 2,825,608 52,500 Royal Dutch Petroleum Company, NY Shares.................... 3,232,031 ----------- 8,177,952 ----------- VALUE SHARES (NOTE 1) ------ -------- PHARMACEUTICALS -- 5.6% 14,100 Genentech, Inc.+............... $ 2,425,200 24,900 MedImmune, Inc.+............... 1,842,600 13,800 Merck & Company, Inc........... 1,057,425 196,850 Pfizer, Inc.................... 9,448,800 32,000 Schering-Plough Corporation.... 1,616,000 ----------- 16,390,025 ----------- PUBLISHING -- 1.4% 15,500 Ver Ned Uitgevers.............. 800,605 49,150 Viacom, Inc., Class B+......... 3,351,416 ----------- 4,152,021 ----------- RETAIL -- 6.7% 28,600 Circuit City Stores-Circuit City Group........................ 949,163 61,318 CVS Corporation................ 2,452,720 50,600 Home Depot, Inc................ 2,526,838 82,000 Kroger Company+................ 1,809,125 29,800 Lowe's Companies, Inc.......... 1,223,663 11,800 McDonald's Corporation......... 388,663 19,200 Priceline.com Inc.+............ 729,300 82,700 Safeway, Inc.+................. 3,731,838 20,400 Target Corporation............. 1,183,200 47,600 Wal Mart De Mexico Spons ADR... 1,117,077 57,600 Wal-Mart Stores, Inc........... 3,319,200 ----------- 19,430,787 ----------- TECHNOLOGY -- 0.9% 23,000 Sandisk Corporation+........... 1,407,313 17,800 United Technologies Corporation 1,047,975 ----------- 2,455,288 ----------- TELECOMMUNICATIONS -- 7.9% 72,000 China Telecom.................. 634,982 42,600 China Unicom - ADR............. 905,250 7,100 Crown Castle International Corporation+................. 259,150 75,400 Ericsson Lm, B Shares.......... 1,491,927 29,100 JDS Uniphase Corporation+...... 3,488,363 19,200 Motorola, Inc.................. 558,000 59,600 Nextel Communications, Inc., Class A+..................... 3,646,775 46,000 NEXTLINK Communications, Inc., Class A+..................... 1,745,125 49,900 Nokia Corporation, Sponsored ADR 2,491,881 33,600 Sprint Corporation (PCS Group)+ 1,999,200 1 Tele Norte Leste Participacoes SA, ADR...................... 21 9,120 Telecomunicacoes de Sao Paulo SA (Telesp), ADR................ 168,720 24,000 Telesp Celular Participacoes, ADR ......................... 1,077,000 876,104 Vodafone AirTouch Plc.......... 3,539,439 23,550 Vodafone AirTouch Plc, Sponsored ADR................ 975,853 ----------- 22,981,686 ----------- See Notes to Financial Statements. 34 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) TRANSPORTATION -- 0.6% 19,500 Kansas City Southern Industries, Inc.......................... $ 1,729,406 ----------- Total Common Stock (Cost $216,491,933).......... 281,770,142 ----------- PRINCIPAL AMOUNT -------- COMMERCIAL PAPER -- 2.4% Corporate Asset Funding $ 855,000 6.703% due 07/12/00#......... 853,289 3,415,000 6.600% due 08/29/00.......... 3,378,061 2,600,000 Park Avenue Receivables 6.580% due 07/20/00.......... 2,590,971 ----------- Total Commercial Paper (Cost $6,822,321)............ 6,822,321 ----------- SHARES ------ MUTUAL FUNDS -- OPEN END -- 0.7% 2,159,000 Reserve Investment Fund 5.499% due 07/03/00.......... 2,159,000 ----------- Total Mutual Funds - Open End (Cost $2,159,000)............ 2,159,000 ----------- TOTAL INVESTMENTS (COST $225,473,254*).............. 100.0% 290,751,463 OTHER ASSETS AND LIABILITIES (NET)**........................... (0.0)% (29,420) ------- ------------ NET ASSETS........................... 100.0% $290,722,043 ======= ============ NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 25,115 Accumulated net realized gains on investments, foreign currencies and net other assets.... 20,113,585 Net unrealized appreciation of investments, foreign currencies and net other assets.... 65,279,630 Paid-in capital.............................. 205,303,713 ------------ TOTAL NET ASSETS............................. $290,722,043 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 27.78 ============ Number of Portfolio shares outstanding....... 10,466,815 ============ - -------------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Rate represents annualized yield at date of purchase. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 35 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- 95.2% ARGENTINA -- 0.1% 7,150 Telefonos de Argentina S.A., Sponsored ADR................ $ 254,967 ----------- AUSTRALIA -- 1.9% 21,000 Brambles Industries Ltd........ 644,731 36,064 Commonwealth Bank of Australia. 597,220 23,650 Lend Lease Corporation Ord..... 301,378 89,106 News Corporation (The) Ltd..... 1,225,666 72,000 Publishing and Broadcasting Ltd. 553,316 43,000 Tabcorp Holdings Ltd........... 246,875 28,000 Telstra Corporation Ltd........ 63,633 137,049 Telstra Corporation Ltd.+...... 555,703 ----------- 4,188,522 ----------- BELGIUM -- 0.7% 3,672 Dexia Belgium (Credit Communal) 541,652 24,838 Fortis Class B................. 722,805 1,032 Societe Europeenne des Satellites 169,965 2,750 UCB S.A........................ 101,032 ----------- 1,535,454 ----------- BRAZIL -- 1.6% 10,000 Embratel Participacoes S.A., ADR+ 236,250 1 Tele Norte Leste Participacoes SA, ADR...................... 14 4,661 Tele Sudeste Celular Participacoes SA, ADR........ 217,584 23,305 Telecomunicacoes de Sao Paulo.. 2,263,498 23,305 Telecomunicacoes de Sao Paulo SA (Telesp), ADR................ 646,871 8,073 Unibanco-Uniao De Bancos Brasileirs, GDR.......................... 232,099 ----------- 3,596,316 ----------- CANADA -- 1.2% 7,210 Alcan Aluminum Ltd............. 224,095 23,995 Celestica, Inc................. 1,190,752 13,930 Nortel Networks Corporation.... 966,629 3,920 Royal Bank of Canada........... 200,635 ----------- 2,582,111 ----------- DENMARK -- 0.1% 4,490 Tele Danmark AS, Series B...... 302,206 ----------- FINLAND -- 2.9% 124,720 Nokia Oyj...................... 6,364,632 ----------- VALUE SHARES (NOTE 1) ------ -------- FRANCE -- 11.9% 39,810 Alcatel........................ $ 2,611,190 1,720 Altran Technologies S.A........ 336,809 3,363 Aventis S.A.+.................. 241,133 25,869 Aventis S.A., Series A......... 1,888,194 17,317 Axa Company+................... 2,728,011 22,280 Banque Nationale de Paris...... 2,144,200 1,110 Canal Plus..................... 186,520 3,370 Cap Gemini S.A................. 593,630 3,020 Carrefour S.A.................. 206,447 4,170 Compagnie de Saint-Gobain...... 563,753 6,732 Equant NV+..................... 273,549 1,400 Groupe Danone.................. 185,794 2,680 Hermes International........... 362,060 302 L'OREAL........................ 261,519 1,215 Lafarge S.A. Bearer Shares..... 94,426 3,573 Legrand S.A.................... 801,660 1,274 LVMH (Louis Vuitton Moet Hennessy) ................... 525,342 30,786 Sanofi S.A..................... 1,466,707 3,192 Schneider S.A.................. 222,472 6,746 Societe Generale A............. 405,767 1,594 Sodexho Alliance S.A........... 289,155 46,500 Societe Television Francaise 1. 3,240,898 23,740 Total Fina S.A., Class B....... 3,640,120 38,254 Vivendi........................ 3,376,551 ----------- 26,645,907 ----------- GERMANY -- 4.6% 3,690 Allianz AG..................... 1,338,750 6,873 Bayer AG....................... 267,729 22,012 Bayerische HypoVereinsbank..... 1,431,186 18,791 Deutsche Bank AG............... 1,550,077 19,171 Deutsche Telekom AG............ 1,090,889 10,050 Gehe AG........................ 321,440 14,567 Infineon Technologies AG+...... 1,154,351 3,746 Rhon-Klimikum AG............... 148,424 11,940 SAP AG......................... 1,784,055 840 SAP AG-Vorzug+................. 155,185 2,488 Siemens AG..................... 374,128 15,081 VEBA AG........................ 740,087 ----------- 10,356,301 ----------- HONG KONG -- 3.4% 164,400 Cable and Wireless HKT Ltd..... 361,678 105,000 Cheung Kong Holdings Ltd....... 1,161,728 217,000 China Telecom.................. 1,913,764 324,000 China Unicom................... 687,858 103,000 Dao Heng Bank Group Ltd........ 455,840 89,000 Henderson Land Development Company...................... 391,598 136,900 Hutchison Whampoa Ltd.......... 1,721,019 339,000 Pacific Century CyberWorks Ltd. 669,694 28,000 Sun Hung Kai Properties Ltd.... 201,142 ----------- 7,564,321 ----------- See Notes to Financial Statements. 36 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) INDIA -- 1.3% 21,175 Global Tele-Systems Ltd........ $ 634,823 16,000 Hindustan Lever Ltd............ 1,016,385 24,833 ICICI Ltd.,Sponsored ADR+...... 465,619 109,000 ICICI Ltd...................... 306,250 95,000 Mahanagar Telephone Niagam Ltd., GDR.......................... 456,489 ----------- 2,879,566 ----------- IRELAND -- 0.2% 9,569 SmartForce Plc, Sponsored ADR+ 459,312 ----------- ITALY -- 5.5% 60,000 Alleanza Assicurazioni......... 790,533 471,362 Banca Intesa S.p.A............. 2,110,653 110,000 Bipop-Carire S.p.A............. 863,285 225,553 Credito Italiano............... 1,081,040 194,772 Ente Nazionale Idrocarburi..... 1,123,189 17,000 Mediaset S.p.A................. 260,341 54,765 Mediolanum Shares.............. 895,151 8,384 San Paolo IMI.................. 148,406 88,600 Tecnost S.p.A.................. 336,671 133,315 Telecom Italia S.p.A........... 1,829,049 271,353 Tim S.p.A...................... 2,779,866 ----------- 12,218,184 ----------- JAPAN -- 19.2% 13,000 Bridgestone Corporation........ 275,084 60,000 Canon, Inc..................... 2,986,003 35 DDI Corporation................ 336,491 42 East Japan Railway Company..... 243,857 8,100 Fanuc Ltd...................... 823,781 175,000 Fuji Bank (The), Ltd........... 1,329,469 89 Fuji Television Network, Inc... 1,392,526 41,000 Fujitsu Ltd.................... 1,418,257 26,000 Hitachi Ltd.................... 374,947 7,000 Ito-Yokado Company Ltd......... 420,943 12,000 Kao Corporation................ 366,464 17,000 Kokuyo Company Ltd............. 278,646 9,000 Komori Corporation............. 157,274 15,000 Kyocera Corporation............ 2,543,475 24,000 Makita Corporation............. 228,701 35,000 Marui Company Ltd.............. 669,683 75,000 Matsushita Electric Industrial Company...................... 1,944,012 108,000 Mitsui Fudosan Company Ltd..... 1,170,649 18,000 Murata Manufacturing Company Ltd.......................... 2,582,214 92,000 NEC Corporation................ 2,887,601 231 Nippon Telegraph & Telephone Corporation.................. 3,069,984 77,000 Nomura Securities Company Ltd.. 1,883,359 88 NTT Mobile Communications Network Shares............... 2,380,508 25,000 Sankyo Company Ltd............. 564,353 13,240 Seven-Eleven Japan Company Ltd., New.................... 1,106,921 VALUE SHARES (NOTE 1) ------ -------- JAPAN (CONTINUED) 13,000 Shinetsu Chemical Company Ltd.......................... $ 659,220 32,000 Shiseido Company Ltd........... 494,651 5,100 SOFTBANK Corporation........... 692,210 29,300 Sony Corporation............... 2,734,059 111,000 Sumitomo Bank Ltd.............. 1,360,102 48,000 Sumitomo Corporation........... 539,743 17,000 Sumitomo Electric Industries Ltd. 291,305 6,000 TDK Corporation................ 861,869 209,000 Toshiba Corporation............ 2,358,009 27,000 Yamanouchi Pharmaceutical Company Ltd.................. 1,473,491 ----------- 42,899,861 ----------- KOREA -- 1.5% 16,600 Korea Telecom Corporation, Sponsored ADR+............... 803,025 5,343 Pohang Iron & Steel Company Ltd., Sponsored ADR................ 128,232 7,001 Samsung Electronics Company.... 2,316,871 ----------- 3,248,128 ----------- MEXICO -- 2.3% 121,340 FEMSA (Fomento Economico Mex S.A.), Units............. 517,652 16,000 Grupo Iusacell ADR............. 250,000 30,285 Grupo Televisa-GDR (2 Part Cert) 2,087,772 38,728 Telefonos de Mexicano S.A. de CV, ADS.......................... 2,212,337 ----------- 5,067,761 ----------- NETHERLANDS -- 6.9% 10,250 ABN Amro Holdings NV........... 251,113 2,296 Akzo Nobel NV.................. 97,549 38,030 ASM Lithography, Holding NV+... 1,634,637 10,964 CSM CVA Non-Exchange Shares.... 215,638 36,960 Fortis NV...................... 1,075,917 1,619 Gucci Group NV-NY Shares....... 153,400 38,040 ING Groep NV, CVA Shares....... 2,571,362 13,228 Koninklijke KPN NV............. 591,689 57,472 Philips Electronics NV......... 2,710,646 22,420 Royal Dutch Petroleum Company.. 1,393,497 19,943 STMicroelectronics NV+......... 1,256,678 2,234 TNT Post Groep NV Shares....... 60,255 14,108 United Pan-Europe Communications NV........................... 368,933 46,220 VNU NV......................... 2,387,353 22,748 Wolters Kluwer NV.............. 605,950 ----------- 15,374,617 ----------- NEW ZEALAND -- 0.1% 97,000 Telecom Corporation of New Zealand, Ltd.+............... 338,995 ----------- NORWAY -- 0.2% 24,730 Orkla ASA, A Shares............ 469,894 ----------- See Notes to Financial Statements. 37 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE SHARES (NOTE 1) ------ -------- COMMON STOCK -- (CONTINUED) PORTUGAL -- 0.1% 15,213 Jeronimo Martins SGPS.......... $ 250,695 ----------- SINGAPORE -- 0.4% 128,272 United Overseas Bank Ltd. (F).. 839,301 ----------- SPAIN -- 3.1% 107,063 Banco Bilbao Vizcaya+.......... 1,599,717 121,367 Banco Santander Central Hispano S.A. (Banesto)............... 1,280,420 59,798 Endesa S.A..................... 1,158,399 29,353 Repsol S.A..................... 584,316 108,967 Telefonica S.A................. 2,340,815 ----------- 6,963,667 ----------- SWEDEN -- 3.3% 4,642 ABB AB+........................ 537,944 5,550 Atlas Copco AB, Series B....... 103,838 22,740 Electrolux Company AB, Series B 351,968 140,390 Ericsson Lm, B Shares.......... 2,777,872 31,350 Hennes & Mauritz AB, Series B.. 654,088 153,221 Nordbanken Holding AB.......... 1,155,370 24,773 Nordic Baltic Holding.......... 180,685 7,410 Sandvik AB, Series B........... 155,443 73,774 Securitas AB, Series B......... 1,564,320 ----------- 7,481,528 ----------- SWITZERLAND -- 3.8% 7,863 ABB Ltd.+...................... 941,092 2,785 Adecco S.A..................... 2,366,145 4,620 Credit Suisse Group, Registered Shares............ 918,987 1,026 Nestle S.A., Registered Shares. 2,053,447 59 Roche Holding AG, Genusch..... 574,322 675 Swisscom....................... 233,779 9,924 UBS AG, Registered Shares+..... 1,453,910 ----------- 8,541,682 ----------- TAIWAN -- 1.0% 109,000 Hon Hai Precision Industry Company Ltd.................. 986,233 245,840 Taiwan Semiconductor Manufacturing Company........ 1,168,190 ----------- 2,154,423 ----------- UNITED KINGDOM -- 17.9% 26,000 Abbey National Plc............. 310,791 34,433 AstraZeneca Group Plc.......... 1,607,302 27,980 B G Group Plc.................. 180,777 66,000 Baltimore Tech Ord............. 502,319 107,000 BP Amoco Common Stock.......... 1,026,457 163,000 Cable & Wireless Plc........... 2,759,848 94,436 Cadbury Schweppes Plc.......... 620,147 28,000 Celltech Group Plc+............ 542,295 41,600 Centrica Plc+.................. 138,794 153,000 Compass Group Plc.............. 2,015,244 VALUE SHARES (NOTE 1) ------ -------- UNITED KINGDOM -- (CONTINUED) 114,064 Diageo Plc..................... $ 1,023,460 31,000 Electrocomponents Plc.......... 318,258 7,000 GKN Plc........................ 89,288 135,900 Glaxo Wellcome Plc............. 3,962,495 18,200 Hays Plc....................... 101,479 26,000 HSBC Holdings Plc.............. 296,838 91,000 Kingfisher Plc................. 828,218 45,000 Ladbroke Group Plc............. 157,968 64,500 Marconi Plc.................... 839,316 286,000 Reed International Plc......... 2,488,292 62,000 Rio Tinto Plc.................. 1,013,172 184,520 Royal Bank of Scotland Group Plc 3,087,920 370,000 Shell Transport & Trading Company ..................... 3,087,555 42,000 Smith (David S.) Holdings Plc.. 100,727 166,900 SmithKline Beecham Plc......... 2,184,439 58,000 Standard Chartered Plc......... 722,263 124,800 Tesco Plc...................... 388,056 176,364 Tomkins Plc.................... 572,407 84,857 Unilever Plc................... 513,588 32,200 United News & Media Plc........ 462,857 1,457,634 Vodafone AirTouch Plc.......... 5,888,806 145,000 WPP Group Plc.................. 2,117,205 ----------- 39,948,581 ----------- Total Common Stock (Cost $166,419,600).......... 212,526,932 ----------- PREFERRED STOCK -- 1.8% AUSTRALIA -- 0.9% 163,107 News Corporation (The) Ltd..... 1,967,018 ----------- BRAZIL -- 0.9% 2,204,000 Banco Itau S.A. PN Shares of NPV 193,698 50,535 Petroleo Brasiliero S.A. Petrobras ................... 1,527,133 9,567,586 Telecomunicacoes de Sao Paulo.. 179,681 8,552,056 Telesp Celular Participacoes S.A.+ ....................... 154,587 ----------- 2,055,099 ----------- Total Preferred Stock (Cost $3,255,664)............ 4,022,117 ----------- TOTAL INVESTMENTS (COST $169,675,264*).............. 97.0% 216,549,049 OTHER ASSETS AND LIABILITIES (NET)............................. 3.0% 6,768,641 ------- ------------ NET ASSETS........................... 100.0% $223,317,690 ======= ============ See Notes to Financial Statements. 38 - ------------------------------- STATEMENT OF NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2000 (UNAUDITED) VALUE (NOTE 1) -------- NET ASSETS CONSIST OF: Undistributed net investment income.......... $ 116,319 Accumulated net realized gains on investments, foreign currencies and net other assets.... 18,211,725 Net unrealized appreciation of investments, foreign currencies and net other assets.... 46,882,027 Paid-in capital.............................. 158,107,619 ------------ TOTAL NET ASSETS............................. $223,317,690 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ............................... $ 17.64 ============ Number of Portfolio shares outstanding....... 12,657,026 ============ - -------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. Abbreviations: ADR -- American Depositary Receipt ADS -- American Depositary Shares (F) -- Foreign or Alien Shares GDR -- Global Depositary Receipt Ord.-- Ordinary At June 30, 2000, sector diversification of the Portfolio was as follows: % OF VALUE SECTOR DIVERSIFICATION NET ASSETS (NOTE 1) - ---------------------- ---------- -------- COMMON STOCK: Telecommunications.................. 21.9% $49,008,796 Electronics and Instruments......... 12.7% 28,257,076 Health and Personal Care............ 9.8% 21,996,427 Banking............................. 9.5% 21,295,851 Broadcasting and Publishing......... 7.2% 16,045,842 Financial Services.................. 7.0% 15,690,737 Energy.............................. 5.5% 12,371,358 Multi Industry...................... 5.4% 12,168,825 Insurance........................... 3.4% 7,551,167 Food and Grocery Products........... 2.4% 5,254,220 Computers and Communication......... 2.3% 5,063,666 Retail Trade........................ 1.6% 3,467,312 Utilities........................... 1.4% 3,115,631 Real Estate......................... 1.3% 2,925,117 Metals and Mining................... 0.6% 1,365,499 Machinery and Engineering Services.. 0.6% 1,350,783 Diversified Industrial Manufacturing 0.6% 1,342,916 Construction and Building Materials. 0.5% 1,085,106 Entertainment and Leisure........... 0.4% 930,185 Household Products.................. 0.4% 865,556 Textiles and Apparel................ 0.2% 515,460 Chemicals........................... 0.2% 365,278 Transport and Storage............... 0.1% 304,112 Forestry and Paper Products......... 0.0%# 100,727 Automotive.......................... 0.0%# 89,285 ------ ------------ TOTAL COMMON STOCK.................. 95.2% 212,526,932 TOTAL PREFERRED STOCK............... 1.8% 4,022,117 ------ ------------ TOTAL INVESTMENTS................... 97.0% 216,549,049 OTHER ASSETS AND LIABILITIES........ 3.0% 6,768,641 ------ ------------ NET ASSETS.......................... 100.0% $223,317,690 ====== ============ - -------------------- # Amount represents less than 0.1% See Notes to Financial Statements. 39 - ------------------------------- STATEMENTS OF OPERATIONS - ------------------------------- ENDEAVOR SERIES TRUST FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
---------- ---------- ---------- DREYFUS U.S. ENDEAVOR ENDEAVOR SMALL CAP GOVERNMENT ASSET ENHANCED ENDEAVOR VALUE SECURITIES ALLOCATION INDEX HIGH YIELD PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ---------- --------- ---------- INVESTMENT INCOME: Dividends ............................. $ 701,539 $ -- $ 913,721 $ 1,051,070 $ -- Interest .............................. 61,607 2,424,771 3,798,308 112,568 903,659 Foreign taxes withheld ................ -- -- -- (4,320) -- ----------- ----------- ----------- ----------- ----------- Total Investment Income ............ 763,146 2,424,771 4,712,029 1,159,318 903,659 ----------- ----------- ----------- ----------- ----------- EXPENSES: Investment management fee (Note 2) .... 803,686 249,446 1,538,756 597,123 80,012 Administration fees (Note 2) .......... 20,290 12,295 47,051 17,166 18,151 Custodian fees (Note 2) ............... 28,361 33,590 35,780 20,222 4,432 Transfer agent fees ................... 313 198 697 191 25 Marketing fees paid indirectly (Note 2) 347,174 -- 30,190 -- -- Professional fees ..................... 21,175 9,746 51,181 10,851 2,386 Amortization of organization costs (Note 5) -- -- -- 2,492 2,675 Trustees' fees and expenses (Note 2) .. 5,968 2,337 12,021 3,503 1,253 Printing fees ......................... 4,380 1,969 10,149 1,897 500 Insurance fees ........................ 2,906 1,328 6,496 2,097 295 Other ................................. 8,851 4,202 21,698 6,512 5,222 ----------- ----------- ----------- ----------- ----------- Subtotal ........................... 1,243,104 315,111 1,754,019 662,054 114,951 Fees paid indirectly (Note 2) ......... (347,174) -- (30,190) -- -- Credits allowed by the custodian (Note 2) -- (29,579) -- -- (2,244) ----------- ----------- ----------- ----------- ----------- Total net expenses ................. 895,930 285,532 1,723,829 662,054 112,707 ----------- ----------- ----------- ----------- ----------- NET INVESTMENT INCOME/(LOSS) .......... (132,784) 2,139,239 2,988,200 497,264 790,952 ----------- ----------- ----------- ----------- ----------- REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY (NOTES 1 AND 3): Net realized gain/(loss) on: Investments ........................ 20,631,248 (135,539) 23,447,696 (454,221) (1,012) Futures contracts .................. -- (441,520) 65,855 (407,407) -- Forward foreign exchange contracts . -- -- -- -- 1,172 Foreign currencies and net other assets -- -- -- -- 172 ----------- ----------- ----------- ----------- ----------- Net realized gain/(loss) on investments and foreign currency during the period 20,631,248 (577,059) 23,513,551 (861,628) 332 ----------- ----------- ----------- ----------- ----------- Net change in unrealized appreciation/ depreciation of: Investments ........................ (1,339,040) 1,984,314 (4,766,291) (2,175,764) (640,017) Futures contracts .................. -- (182,699) (336,099) (181,468) -- Forward foreign exchange contracts . -- -- -- -- -- Foreign currencies and net other assets -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Net change in unrealized appreciation/depreciation of investments and foreign currency during the period (1,339,040) 1,801,615 (5,102,390) (2,357,232) (640,017) ----------- ----------- ----------- ----------- ----------- Net realized and unrealized gain/(loss) on investments and foreign currency during the period .................. 19,292,208 1,224,556 18,411,161 (3,218,860) (639,685) ----------- ----------- ----------- ------------ ----------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $19,159,424 $ 3,363,795 $21,399,361 $(2,721,596) $ 151,267 =========== =========== =========== =========== =========== ----------- ----------- -----------
See Notes to Financial Statements. 40
----------- ----------- ---------- ------------- T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE JANUS MONEY OPPORTUNITY ENDEAVOR VALUE EQUITY GROWTH INTERNATIONAL GROWTH MARKET VALUE SELECT EQUITY INCOME STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- --------- ----------- ---------- --------- --------- --------- ------------- $ 925,325 $ -- $ 233,018 $ 119,256 $ 1,461,019 $ 3,409,885 $ 960,548 $ 1,798,108 2,747,903 3,552,360 401,789 87,598 40,149 288,123 253,837 3,194 (445) -- -- (3,493) -- (10,204) (20,550) (198,259) ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ 3,672,783 3,552,360 634,807 203,361 1,501,168 3,687,804 1,193,835 1,603,043 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ 4,332,242 290,027 166,852 264,346 754,390 967,745 1,074,294 1,012,716 44,123 11,378 4,201 22,377 24,586 33,232 28,732 21,876 32,539 6,449 3,957 20,667 10,301 18,639 25,582 209,439 945 198 100 49 448 497 399 381 -- -- 16,528 -- 28,844 1,652 5,635 -- 66,474 9,391 2,909 4,128 27,000 25,946 17,462 20,213 -- -- 2,590 4,676 -- -- -- -- 19,599 3,296 708 1,343 7,458 6,143 4,715 5,447 16,654 895 1,088 636 6,465 3,711 5,622 4,193 16,444 1,790 692 655 3,387 3,999 4,033 3,496 15,370 3,935 1,542 1,690 9,055 10,761 7,882 15,906 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ 4,544,390 327,359 201,167 320,567 871,934 1,072,325 1,174,356 1,293,667 -- -- (16,528) -- (28,844) (1,652) (5,635) -- (1,764) (569) (752) (3,872) (357) -- (753) (201,037) ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ 4,542,626 326,790 183,887 316,695 842,733 1,070,673 1,167,968 1,092,630 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ (869,843) 3,225,570 450,920 (113,334) 658,435 2,617,131 25,867 510,413 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ 25,232,056 (235) (771,253) 4,171,471 (7,333,523) 11,529,080 20,762,414 19,015,331 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 11,146 -- -- (77,702) -- (9,172) (163,978) (139,150) ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ 25,243,202 (235) (771,253) 4,093,769 (7,333,523) 11,519,908 20,598,436 18,876,181 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ (46,911,171) -- (951,356) (6,711,478) (5,358,784) (22,612,808) 406,735 (28,551,452) -- -- -- -- -- -- -- -- -- -- -- -- -- -- (5,285) -- -- -- -- 11,786 -- (3,636) 6,994 10,761 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ (46,911,171) -- (951,356) (6,699,692) (5,358,784) (22,616,444) 408,444 (28,540,691) ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ (21,667,969) (235) (1,722,609) (2,605,923) (12,692,307) (11,096,536) 21,006,880 (9,664,510) ------------ ------------ ------------ ------------ ------------ ----------- ------------ ------------ $(22,537,812) $ 3,225,335 $ (1,271,689) $(2,719,257) $(12,033,872) $(8,479,405) $ 21,032,747 $ (9,154,097) ============ ============ ============ =========== ============ =========== ============ ============ ----------- ----------- ---------- -------------
See Notes to Financial Statements. 41 - ------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - ------------------------------- ENDEAVOR SERIES TRUST FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
----------- ----------- ----------- DREYFUS U.S. ENDEAVOR ENDEAVOR SMALL CAP GOVERNMENT ASSET ENHANCED ENDEAVOR VALUE SECURITIES ALLOCATION INDEX HIGH YIELD PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ------------ ----------- ------------ ----------- Net investment income/(loss) ................ $ (132,784) $ 2,139,239 $ 2,988,200 $ 497,264 $ 790,952 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ........................ 20,631,248 (577,059) 23,513,551 (861,628) 332 Net change in unrealized appreciation/ depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ........... (1,339,040) 1,801,615 (5,102,390) (2,357,232) (640,017) ------------ ------------ ------------- ------------ ------------ Net increase/(decrease) in net assets resulting from operations ................ 19,159,424 3,363,795 21,399,361 (2,721,596) 151,267 Distributions to shareholders from net investment income ........................ -- (4,743,313) (5,838,631) (767,531) (1,105,820) Distributions to shareholders from net realized gains ....................... (31,946,414) -- (32,107,241) (9,775,182) -- Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ................................. 37,912,376 (9,195,015) 16,966,863 29,227,723 3,308,191 ------------ ------------ ------------- ------------ ------------ Net increase/(decrease) in net assets ....... 25,125,386 (10,574,533) 420,352 15,963,414 2,353,638 NET ASSETS: Beginning of period ......................... 187,802,743 83,776,857 414,925,798 153,966,703 20,014,691 ------------ ------------ ------------- ------------ ------------ End of period ............................... $212,928,129 $ 73,202,324 $ 415,346,150 $169,930,117 $ 22,368,329 ============ ============ ============= ============ ============ Undistributed net investment income/(loss)............................. $ (132,784) $ 2,138,617 $ 2,986,599 $ 496,394 $ 790,823 ============ ============ ============= ============ ============ ----------- ----------- -----------
- --------------------- See Notes to Financial Statements. 42
----------- ----------- ---------- ------------- T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE JANUS MONEY OPPORTUNITY ENDEAVOR VALUE EQUITY GROWTH INTERNATIONAL GROWTH MARKET VALUE SELECT EQUITY INCOME STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------- $ (869,843) $ 3,225,570 $ 450,920 $ (113,334) $ 658,435 $ 2,617,131 $ 25,867 $ 510,413 25,243,202 (235) (771,253) 4,093,769 (7,333,523) 11,519,908 20,598,436 18,876,181 (46,911,171) -- (951,356) (6,699,692) (5,358,784) (22,616,444) 408,444 (28,540,691) - -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ (22,537,812) 3,225,335 (1,271,689) (2,719,257) (12,033,872) (8,479,405) 21,032,747 (9,154,097) -- (3,225,570) (615,554) -- (1,793,729) (4,934,396) (255,091) (325,017) -- (4,551) (2,412,034) (4,814,106) (28,955,230) (22,192,187) (27,337,593) (22,597,665) 53,086,512 (18,572,867) 408,296 22,622,700 9,020,466 6,639,760 39,402,915 26,739,630 - -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ 30,548,700 (18,577,653) (3,890,981) 15,089,337 (33,762,365) (28,966,228) 32,842,978 (5,337,149) 1,065,191,106 134,778,714 44,899,642 40,769,874 209,653,282 264,718,226 257,879,065 228,654,839 - -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ $1,095,739,806 $116,201,061 $ 41,008,661 $ 55,859,211 $175,890,917 $ 235,751,998 $290,722,043 $223,317,690 ============== ============ ============ ============ ============ ============= ============ ============ $ (869,843) $ -- $ 450,669 $ (156,841) $ 657,573 $ 2,759,509 $ 25,115 $ 116,319 ============== ============ ============ ============ ============ ============= ============ ============ ----------- ----------- ---------- -------------
See Notes to Financial Statements. 43 - -------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------- ENDEAVOR SERIES TRUST FOR THE PERIOD ENDED DECEMBER 31, 1999
----------- ------------ ---------- DREYFUS U.S. ENDEAVOR ENDEAVOR SMALL CAP GOVERNMENT ASSET ENHANCED ENDEAVOR VALUE SECURITIES ALLOCATION INDEX HIGH YIELD PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------ ------------- ------------ ------------ Net investment income/(loss) ................ $ (456,820) $ 4,759,820 $ 5,833,153 $ 762,104 $ 1,101,622 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ........................ 32,661,115 (1,839,096) 32,726,896 9,540,043 (172,330) Net change in unrealized appreciation/ depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ........... 9,954,170 (3,653,040) 50,143,643 7,506,141 (185,280) ------------ ------------ ------------- ------------ ------------ Net increase/(decrease) in net assets resulting from operations ................ 42,158,465 (732,316) 88,703,692 17,808,288 744,012 Distributions to shareholders from net investment income ........................ -- (3,363,808) (6,134,468) (185,617) (252,489) Distributions to shareholders from net realized gains ....................... (16,262,533) (1,591,479) (81,460,029) (4,083,582) -- Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ................................. 3,244,813 6,575,501 60,815,792 76,369,906 9,703,847 ------------ ------------ ------------- ------------ ------------ Net increase/(decrease) in net assets ....... 29,140,745 887,898 61,924,987 89,908,995 10,195,370 NET ASSETS: Beginning of period ......................... 158,661,998 82,888,959 353,000,811 64,057,708 9,819,321 ------------ ------------ ------------- ------------ ------------ End of period ............................... $187,802,743 $ 83,776,857 $ 414,925,798 $153,966,703 $ 20,014,691 ============ ============ ============= ============ ============ Undistributed net investment income/(loss) ............................ $ -- $ 4,742,691 $ 5,837,030 $ 766,661 $ 1,105,691 ============ ============ ============= ============ ============ ----------- ------------ ---------- - -------------------- * Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
See Notes to Financial Statements. 44
----------- ----------- ---------- ------------- T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR ENDEAVOR PRICE PRICE PRICE JANUS MONEY OPPORTUNITY ENDEAVOR VALUE EQUITY GROWTH INTERNATIONAL GROWTH MARKET VALUE SELECT EQUITY INCOME STOCK STOCK PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------- $ (483,669) $ 5,420,051 $ 612,889 $ (31,423) $ 1,793,123 $ 5,094,683 $ 455,378 $ 1,374,896 (17,874,270) 4,557 2,412,613 6,598,244 28,956,944 21,933,905 26,967,742 22,788,587 297,146,901 -- (854,443) 5,308,041 (37,138,973) (18,037,263) 18,359,748 34,115,959 -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ 278,788,962 5,424,608 2,171,059 11,874,862 (6,388,906) 8,991,325 45,782,868 58,279,442 -- (5,420,092) (469,456) -- (2,612,496) (5,016,696) (515,433) (2,819,874) -- -- (419,666) -- (9,660,903) (11,857,644) (16,771,400) (1,807,333) 786,402,144 33,842,375 (1,888,582) 4,030,227 (17,786,277) 10,273,031 35,081,701 (9,853,746) -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ 1,065,191,106 33,846,891 (606,645) 15,905,089 (36,448,582) 2,390,016 63,577,736 43,798,489 -- 100,931,823 45,506,287 24,864,785 246,101,864 262,328,210 194,301,329 184,856,350 -------------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ $1,065,191,106 $134,778,714 $ 44,899,642 $ 40,769,874 $209,653,282 $ 264,718,226 $257,879,065 $228,654,839 ============== ============ ============ ============ ============ ============= ============ ============ $ -- $ -- $ 615,303 $ (43,507) $ 1,792,867 $ 5,076,774 $ 254,339 $ (69,077) ============== ============ ============ ============ ============ ============= ============ ============ ----------- ----------- ---------- -------------
See Notes to Financial Statements. 45 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/00 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++# 12/31/95 ------------ ------------ ------------- ------------ ------------ ----------- OPERATING PERFORMANCE: Net asset value, beginning of period ..... $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22 $ 10.98 ------------ ------------ ------------- ---------- ------------ ---------- Net investment income/(loss) (0.01) (0.04) (0.03) 0.02 0.12 0.15 Net realized and unrealized gain/(loss) on investments ........................ 1.71 4.00 (0.13) 3.52 2.95 1.36 ------------ ------------ ------------- ---------- ------------ ---------- Net increase/(decrease) in net assets resulting from investment operations ... 1.70 3.96 (0.16) 3.54 3.07 1.51 ------------ ------------ ------------- ---------- ------------ ---------- DISTRIBUTIONS: Dividends from net investment income ..... -- -- (0.02) (0.10) (0.14) (0.10) Distributions from net realized gains .... (2.73) (1.59) (2.09) (1.72) (0.46) (0.17) ------------ ------------ ------------- ---------- ------------ ---------- Total distributions ...................... (2.73) (1.59) (2.11) (1.82) (0.60) (0.27) ------------ ------------ ------------- ---------- ------------ ---------- Net asset value, end of period ........... $ 15.48 $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22 ============ ============ ============= ========== ============ ========== Total return++ ........................... 10.03% 29.39% (2.18)% 25.56% 25.63% 14.05% ============ ============ ============= ========== ============ ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ..... $ 212,928 $ 187,803 $ 158,662 $ 146,195 $ 85,803 $ 52,597 Ratio of net investment income/(loss) to average net assets ................. (0.13)%+ (0.28)% (0.23)% 0.20% 0.95% 1.56% Ratio of net expenses to average net assets 0.89%+ 0.90% 0.86% 0.91% 0.92% 0.87% Ratio of expenses to average net assets .. 1.24%+ 1.22% 0.94% 0.91% 0.92% 0.87% Portfolio turnover rate .................. 95% 216% 183% 127% 171% 75% ============================================= + Annualized. ++ Total return represents aggregate total return for the years indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. # The Dreyfus Corporation became the Portfolio's Adviser effective September 16, 1996.
See Notes to Financial Statements. 46 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/00 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++# 12/31/95 ------------ ----------- ---------- --------- ------------ --------- OPERATING PERFORMANCE: Net asset value, beginning of period ... $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39 $ 9.96 ---------- --------- ---------- --------- --------- --------- Net investment income .................. 0.43 0.62 0.40 0.39 0.62 0.30 Net realized and unrealized gain/(loss) on investments ...................... 0.07 (0.73) 0.46 0.61 (0.44) 1.25 ---------- --------- ---------- --------- --------- --------- Net increase/(decrease) in net assets resulting from investment operations . 0.50 (0.11) 0.86 1.00 0.18 1.55 ---------- --------- ---------- --------- --------- --------- DISTRIBUTIONS: Dividends from net investment income ... (0.75) (0.46) (0.41) (0.36) (0.22) (0.12) Distributions from net realized gains .. -- (0.22) -- -- (0.12) -- ---------- --------- ---------- --------- --------- --------- Total distributions .................... (0.75) (0.68) (0.41) (0.36) (0.34) (0.12) ---------- --------- ---------- --------- --------- --------- Net asset value, end of period ......... $ 11.28 $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39 ========== ========= ========== ========= ========= ========= Total return++ ......................... 4.60% (0.87)% 7.38% 9.15% 1.81% 15.64% ========== ========= ========== ========= ========= ========= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ... $ 73,202 $83,777 $ 82,889 $ 46,542 $ 24,727 $12,718 Ratio of net investment income to average net assets ................ 5.57%+ 5.52% 5.21% 5.74% 5.68% 5.58% Ratio of net expenses to average net assets 0.74%+ 0.73% 0.72% 0.80% 0.82% 0.84% Ratio of expenses to average net assets 0.82%+ 0.77% 0.73% 0.80% 0.82% 0.84% Portfolio turnover rate ................ 413% 596% 615% 185% 222% 161% - ------------------------------------------- + Annualized. ++ Total return represents aggregate total return for the years indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 47 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/00 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95 ----------- ----------- ----------- ---------- --------- ---------- OPERATING PERFORMANCE: Net asset value, beginning of period ... $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28 $ 13.48 ----------- ----------- ----------- ---------- ----------- ---------- Net investment income .................. 0.17 0.34 0.43 0.32 0.27 0.33 Net realized and unrealized gain on investments ...................... 0.92 4.80 3.50 3.45 2.61 2.72 ----------- ----------- ----------- ---------- ----------- ---------- Net increase in net assets resulting from investment operations ................ 1.09 5.14 3.93 3.77 2.88 3.05 ----------- ----------- ----------- ---------- ----------- ---------- DISTRIBUTIONS: Dividends from net investment income (0.33) (0.43) (0.32) (0.27) (0.32) (0.25) Distributions from net realized gains .. (1.84) (5.71) (2.06) -- -- -- ----------- ----------- ----------- ---------- ----------- ---------- Total distributions .................... (2.17) (6.14) (2.38) (0.27) (0.32) (0.25) Net asset value, end of period ......... $ 21.81 $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28 =========== =========== =========== ========== =========== ========== Total return++ ......................... 5.38% 26.39% 18.39% 20.14% 17.82% 22.91% =========== =========== =========== ========== =========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ... $ 415,346 $ 414,926 $ 353,001 $ 303,102 $ 240,210 $ 198,876 Ratio of net investment income to average net assets .......................... 1.45%+ 1.58% 1.97% 1.61% 1.59% 2.12% Ratio of net expenses to average net assets 0.84%+ 0.84% 0.78% 0.84% 0.85% 0.84% Ratio of expenses to average net assets 0.85%+ 0.87% 0.80% 0.84% 0.85% 0.84% Portfolio turnover rate ................ 74% 220% 262% 67% 58% 93% =========================================== + Annualized. ++ 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. 48 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR PERIOD 06/30/00 ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98 12/31/97* ------------ ---------- ---------- ----------- OPERATING PERFORMANCE: Net asset value, beginning of period ......................... $18.16 $ 16.08 $ 12.29 $ 10.00 --------- ----------- ---------- ---------- Net investment income ........................................ 0.04 0.08 0.04 0.02 Net realized and unrealized gain/(loss) on investments ...... (0.44) 2.78 3.81 2.27 --------- ----------- ---------- ---------- Net increase/(decrease) in net assets resulting from investment operations ................................ (0.40) 2.86 3.85 2.29 --------- ----------- ---------- ---------- DISTRIBUTIONS: Dividends from net investment income ......................... (0.08) (0.03) (0.02) -- Distributions from net realized gains ........................ (1.03) (0.75) (0.04) -- --------- ----------- ---------- ---------- Total distributions .......................................... (1.11) (0.78) (0.06) -- --------- ----------- ---------- ---------- Net asset value, end of period ............................... $ 16.65 $ 18.16 $ 16.08 $ 12.29 ========= =========== ========== ========== Total return++ ............................................... (1.98)% 18.16% 31.39% 22.90% ========= =========== ========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ......................... $ 169,930 $ 153,967 $ 64,058 $ 19,811 Ratio of net investment income to average net assets ......... 0.62%+ 0.73% 0.48% 0.55%+ Ratio of net expenses to average net assets .................. 0.83%+ 0.78% 1.10% 1.30%+ Ratio of expenses to average net assets ...................... 0.83%+ 0.78% 1.10% 1.30%+ Ratio of net expenses to average net assets before waivers ... -- 0.78% 1.10% 1.56%+ Portfolio turnover rate ...................................... 27% 56% 78% 6% ==================================================== * The Portfolio commenced operations on May 2, 1997. + Annualized. ++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements. 49 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR PERIOD 06/30/00 ENDED ENDED (UNAUDITED) 12/31/99 12/31/98* ----------- --------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ......................... $ 10.09 $ 9.69 $ 10.00 ----------- --------- --------- Net investment income ........................................ 0.31 0.47 0.25 Net realized and unrealized gain/(loss) on investments ....... (0.24) 0.09 (0.56) ----------- --------- --------- Net increase/(decrease) in net assets resulting from investment operations ...................................... 0.07 0.56 (0.31) ----------- --------- --------- DISTRIBUTIONS: Dividends from net investment income ......................... (0.53) (0.16) -- ----------- --------- --------- Total distributions .......................................... (0.53) (0.16) -- ----------- --------- --------- Net asset value, end of period ............................... $ 9.63 $ 10.09 $ 9.69 =========== ========= ========== Total return++ ............................................... 0.79% 5.82% (3.10)% =========== ========= ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ......................... $ 22,368 $ 20,015 $ 9,819 Ratio of net investment income to average net assets ......... 7.64%+ 7.07% 6.43%+ Ratio of net expenses to average net assets .................. 1.09%+ 1.22% 1.30%+ Ratio of expenses to average net assets ...................... 1.11%+ 1.25% 1.43%+ Ratio of net expenses to average net assets before waivers ... -- 1.27% 1.58%+ Portfolio turnover rate ...................................... 31% 77% 26% ====================================================== * The Portfolio commenced operations on June 1, 1998. + Annualized. ++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements. 50 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR JANUS GROWTH PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED PERIOD 06/30/00 ENDED (UNAUDITED) 12/31/99* ------------ --------- OPERATING PERFORMANCE: Net asset value, beginning of period ...................................... $ 95.37 $ 69.88 ------------ ----------- Net investment loss ....................................................... (0.07) (0.04) Net realized and unrealized gain/(loss) on investments .................... (1.70) 25.53 ------------ ----------- Net increase/(decrease) in net assets resulting from investment operations .............................................................. (1.77) 25.49 ------------ ----------- Net asset value, end of period ............................................ $ 93.60 $ 95.37 ============= =========== Total return++ ............................................................ (1.86)% 36.48% ============= =========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ...................................... $ 1,095,740 $1,065,191 Ratio of net investment loss to average net assets ........................ (0.16)%+ (0.09)%+ Ratio of net expenses to average net assets ............................... 0.82%+ 0.83%+ Ratio of expenses to average net assets ................................... 0.82%+ 0.83%+ Ratio of net expenses to average net assets before waivers ................ -- 0.83%+ Portfolio turnover rate ................................................... 22% 43% ====================================================== * The Portfolio commenced operations on May 1, 1999. + Annualized. ++ Total return represents aggregate total return for the period indicated.
See Notes to Financial Statements. 51 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR MONEY MARKET PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/00 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95 ----------- ---------- --------- -------- ---------- -------- OPERATING PERFORMANCE: Net asset value, beginning of period ... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ----------- ---------- ---------- ---------- ---------- ---------- Net investment income .................. 0.0277 0.0465 0.0485 0.0498 0.0479 0.0540 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS: Dividends from net investment income ... (0.0277) (0.0465) (0.0485) (0.0498) (0.0479) (0.0540) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period ......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 =========== ========== ========== ============ ========== ========== Total return++ ......................... 2.80% 4.75% 4.96% 5.07% 4.91% 5.54% =========== ========== ========== ========== ========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ... $ 116,201 $ 134,779 $ 100,932 $ 51,162 $ 41,545 $ 27,551 Ratio of net investment income to average net assets .................. 5.55%+ 4.67% 4.92% 4.99% 4.81% 5.37% Ratio of net expenses to average net assets 0.56%+ 0.55% 0.60% 0.60% 0.60% 0.60% Ratio of expenses to average net assets 0.56%+ 0.55% 0.60% 0.60% 0.60% 0.60% =================================================== + Annualized. ++ 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. 52 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR OPPORTUNITY VALUE PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR PERIOD 06/30/00 ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96* ---------- --------- ---------- ---------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ............. $ 12.56 $ 12.22 $ 11.75 $ 10.06 $ 10.00 ---------- --------- ---------- ---------- --------- Net investment income/(loss) ..................... 0.14 0.18 0.11 0.07 -- Net realized and unrealized gain/(loss) on investments ................................. (0.48) 0.41 0.50 1.62 0.06 ---------- --------- ---------- ---------- --------- Net increase/(decrease) in net assets resulting from investment operations ..................... (0.34) 0.59 0.61 1.69 0.06 ---------- --------- ---------- ---------- --------- DISTRIBUTIONS: Dividends from net investment income ............. (0.18) (0.13) (0.05) -- -- Distributions from net realized gains ............ (0.72) (0.12) (0.09) -- -- ---------- --------- ---------- ---------- --------- Total distributions .............................. (0.90) (0.25) (0.14) -- -- ---------- --------- ---------- ---------- --------- Net asset value, end of period ................... $ 11.32 $ 12.56 $ 12.22 $ 11.75 $ 10.06 ========== ========= ========== ========== ========= Total return++ ................................... (2.82)% 4.79% 5.18% 16.81% 0.60% ========== ========= ========== ========== ========= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ............. $ 41,009 $ 44,900 $ 45,506 $ 26,802 $ 701 Ratio of net investment income/(loss) to average net assets ...................................... 2.16%+ 1.34% 1.22% 1.34% (1.09)%+ Ratio of net expenses to average net assets ....... 0.88%+ 0.85% 0.98% 1.15% 1.30%+ Ratio of expenses to average net assets ........... 0.96%+ 0.91% 1.00% 1.15% 1.30%+ Ratio of net expenses to average net assets before waivers .................................. -- 0.91% 1.00% 1.16% 12.69%+ Portfolio turnover rate ........................... 38% 48% 43% 44% 0% ================================================== * The Portfolio commenced operations on November 18, 1996. + Annualized. ++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements. 53 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR SELECT PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR PERIOD 06/30/00 ENDED ENDED (UNAUDITED) 12/31/99 12/31/98*+++ ----------- -------- ------------- OPERATING PERFORMANCE: Net asset value, beginning of period ................. $ 15.77 $ 10.66 $ 10.00 ---------- ---------- ---------- Net investment income/(loss) ......................... (0.04) (0.01) 0.07 Net realized and unrealized gain/(loss) on investments (0.74) 5.12 0.59 ---------- ---------- ---------- Net increase/(decrease) in net assets resulting from investment operations .............................. (0.78) 5.11 0.66 ---------- ---------- ---------- DISTRIBUTIONS: Distributions from net realized gains ................ (1.36) -- -- ---------- ---------- ---------- Total distributions .................................. (1.36) -- -- ---------- ---------- ---------- Net asset value, end of period ....................... $ 13.63 $ 15.77 $ 10.66 ========== ========== ========== Total return++ ....................................... (4.41)% 47.84% 6.60% ========== ========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................. $ 55,859 $ 40,770 $ 24,865 Ratio of net investment income/(loss) to average net assets (0.45)%+ (0.12)% 0.75%+ Ratio of net expenses to average net assets .......... 1.27%+ 1.48% 1.49%+ Ratio of expenses to average net assets .............. 1.29%+ 1.49% 1.49%+ Ratio of net expenses to average net assets before waivers ............................................ -- 1.49% 1.55%+ Portfolio turnover rate .............................. 162% 157% 128% ================================================== * 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. 54 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST ENDEAVOR VALUE EQUITY PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/00 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95 ----------- ----------- ----------- ----------- ------------ -------- OPERATING PERFORMANCE: Net asset value, beginning of period .......$ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23 $ 10.69 ----------- ---------- ---------- ----------- ----------- ---------- Net investment income ...................... 0.08 0.18 0.22 0.20 0.20 0.15 Net realized and unrealized gain/(loss) on investments .......................... (1.15) (0.72) 1.36 3.96 3.15 3.52 ----------- ---------- ---------- ----------- ----------- ---------- Net increase/(decrease) in net assets resulting from investment operations ..... (1.07) (0.54) 1.58 4.16 3.35 3.67 ----------- ---------- ---------- ----------- ----------- ---------- DISTRIBUTIONS: Dividends from net investment income ....... (0.19) (0.24) (0.22) (0.14) (0.13) (0.09) Distributions from net realized gains ...... (3.05) (0.91) (0.38) (0.53) (0.24) (0.04) ----------- ---------- ---------- ----------- ----------- ---------- Total distributions ........................ (3.24) (1.15) (0.60) (0.67) (0.37) (0.13) ----------- ---------- ---------- ----------- ----------- ---------- Net asset value, end of period .............$ 15.68 $ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23 =========== ========== ========== =========== =========== ========== Total return++ ............................. (5.89)% (3.06)% 7.56% 24.81% 23.84% 34.59% =========== ========== ========== =========== =========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) .......$ 175,891 $ 209,653 $ 246,102 $ 216,039 $ 127,927 $ 68,630 Ratio of net investment income to average net assets ...................... 0.70%+ 0.77% 1.10% 1.39% 1.29% 1.56% Ratio of net expenses to average net assets 0.90%+ 0.88% 0.84% 0.89% 0.91% 0.86% Ratio of expenses to average net assets .... 0.93%+ 0.95% 0.85% 0.89% 0.91% 0.86% Portfolio turnover rate .................... 1% 51% 19% 16% 27% 28% ================================================ + Annualized. ++ Total return represents aggregate total return for the years indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 55 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR PERIOD 06/30/00 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++ ----------- ---------- ----------- ---------- ------------- -------------- OPERATING PERFORMANCE: Net asset value, beginning of period ... $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05 $ 10.00 ----------- ----------- ----------- ----------- ---------- ---------- Net investment income .................. 0.21 0.38 0.35 0.25 0.41 0.34 Net realized and unrealized gain/(loss) on investments ...................... (0.72) 0.42 1.33 4.06 2.17 2.71 ------------ ------------ ----------- ----------- ---------- ---------- Net increase/(decrease) in net assets resulting from investment operations .......... (0.51) 0.80 1.68 4.31 2.58 3.05 ------------ ------------ ----------- ----------- ---------- ---------- DISTRIBUTIONS: Dividends from net investment income ... (0.39) (0.40) (0.28) (0.19) (0.10) -- Distributions from net realized gains .. (1.76) (0.94) (0.70) (0.27) (0.04) -- ----------- ----------- ----------- ----------- ---------- ---------- Total distributions .................... (2.15) (1.34) (0.98) (0.46) (0.14) -- ----------- ----------- ----------- ----------- ---------- ---------- Net asset value, end of period ......... $ 16.84 $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05 =========== =========== =========== =========== ========== ========== Total return++ ......................... (3.11)% 3.47% 8.81% 28.27% 19.88% 30.50% =========== =========== =========== =========== ========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 235,752 $ 264,718 $ 262,328 $ 197,228 $ 78,251 $ 21,910 Ratio of net investment income to average net assets .................. 2.17%+ 1.89% 2.18% 2.47% 2.89% 3.24%+ Ratio of net expenses to average net assets 0.89%+ 0.87% 0.85% 0.94% 0.96% 1.15%+ Ratio of expenses to average net assets 0.89%+ 0.88% 0.85% 0.94% 0.96% 1.15%+ Portfolio turnover rate ................ 20% 35% 20% 23% 19% 16% ================================================= * 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. 56 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR PERIOD 06/30/00 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++ ------------- ---------- ---------- ---------- ------------ -------------- OPERATING PERFORMANCE: Net asset value, beginning of period .....$ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72 $ 10.00 ----------- ----------- ----------- ----------- ---------- ---------- Net investment income .................... 0.01 0.03 0.06 0.04 0.11 0.08 Net realized and unrealized gain on investments ........................ 2.00 5.28 5.76 4.59 2.71 3.64 ----------- ----------- ----------- ----------- ---------- ---------- Net increase in net assets resulting from investment operations ............. 2.01 5.31 5.82 4.63 2.82 3.72 ----------- ----------- ----------- ----------- ---------- ---------- DISTRIBUTIONS: Dividends from net investment income ..... (0.03) (0.07) (0.05) (0.03) (0.01) -- Distributions from net realized gains .... (2.93) (2.11) (0.95) (0.11) (0.24) -- ----------- ----------- ----------- ----------- ---------- ---------- Total distributions ...................... (2.96) (2.18) (1.00) (0.14) (0.25) -- ----------- ----------- ----------- ----------- ---------- ---------- Net asset value, end of period ...........$ 27.78 $ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72 =========== =========== =========== =========== ========== ========== Total return++ ........................... 7.88% 22.19% 28.67% 28.57% 20.77% 37.20% =========== =========== =========== =========== ========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) .....$ 290,722 $ 257,879 $ 194,301 $ 123,230 $ 59,732 $ 21,651 Ratio of net investment income to average net assets ................. 0.02%+ 0.21% 0.43% 0.38% 0.75% 0.69%+ Ratio of net expenses to average net assets 0.87%+ 0.87% 0.87% 0.96% 1.01% 1.26%+ Ratio of expenses to average net assets .. 0.87%+ 0.88% 0.87% 0.96% 1.01% 1.26%+ Portfolio turnover rate .................. 40% 66% 58% 41% 44% 64% ================================================= * 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. 57 - ------------------------------- FINANCIAL HIGHLIGHTS - ------------------------------- ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/00 ENDED ENDED ENDED ENDED ENDED* (UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95## ------------- ---------- ---------- ---------- ------------- ------------ OPERATING PERFORMANCE: Net asset value, beginning of period ..... $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19 $ 11.31 ----------- ---------- ----------- ----------- ---------- ---------- Net investment income .................... 0.05 0.10 0.12 0.10 0.09 0.09 Net realized and unrealized gain/(loss) on investments ............ (1.24) 5.02 2.08 0.26 1.76 1.06 ----------- ---------- ----------- ----------- ---------- ---------- Net increase/(decrease) in net assets resulting from investment operations.... (1.19) 5.12 2.20 0.36 1.85 1.15 ----------- ---------- ----------- ----------- ---------- ---------- DISTRIBUTIONS: Dividends from net investment income ..... (0.03) (0.26) (0.11) (0.10) (0.09) -- Distributions from net realized gains .... (2.02) (0.17) (0.11) -- -- (0.27) ----------- ---------- ----------- ----------- ---------- ---------- Total distributions ...................... (2.05) (0.43) (0.22) (0.10) (0.09) (0.27) ----------- ---------- ----------- ----------- ---------- ---------- Net asset value, end of period ........... $ 17.64 $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19 =========== ========== =========== =========== ========== ========== Total return++. .......................... (4.95)% 32.35% 15.44% 2.54% 15.23% 10.37% =========== ========== =========== =========== ========== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000's) ........ $ 223,318 $ 228,655 $ 184,856 $ 164,560 $ 134,435 $ 92,352 Ratio of net investment income to average net assets ................. 0.45%+ 0.73% 0.76% 0.74% 0.73% 0.81% Ratio of net expenses to average net assets 0.97%+ 0.91% 0.98% 1.07% 1.18% 1.15% Ratio of expenses to average net assets .. 1.15%+ 1.00% 1.10% 1.12% 1.18% 1.15% Portfolio turnover rate .................. 35% 30% 21% 19% 11% 111% ================================================= * Effective March 24, 1995, the name of the Global Growth Portfolio was changed to T. Rowe Price International Stock Portfolio, and the investment objective was changed from investment on a global basis to investment on an international basis (i.e., in non-U.S. companies). + Annualized. ++ Total return represents aggregate total return for the years indicated. +++ Per share amounts have been calculated using the monthly average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. ## Rowe Price-Fleming International, Inc. became the Portfolio's Adviser effective January 3, 1995.
See Notes to Financial Statements. 58 - -------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------- ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES Endeavor Series Trust (the "Fund") was organized as a "Massachusetts business trust" on November 19, 1988 under the laws of the Commonwealth of Massachusetts. The Fund is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The Fund offers thirteen managed investment portfolios: Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Asset Allocation Portfolio, Endeavor Enhanced Index Portfolio, Endeavor High Yield Portfolio, Endeavor Janus Growth Portfolio, Endeavor Money Market Portfolio, Endeavor Opportunity Value Portfolio, Endeavor Select Portfolio, Endeavor Value Equity Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio, and T. Rowe Price International Stock Portfolio (each a "Portfolio" and collectively the "Portfolios"). The following is a summary of significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. PORTFOLIO VALUATION: DREYFUS SMALL CAP VALUE PORTFOLIO, DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO, ENDEAVOR ASSET ALLOCATION PORTFOLIO, ENDEAVOR ENHANCED INDEX PORTFOLIO, ENDEAVOR HIGH YIELD PORTFOLIO, ENDEAVOR JANUS GROWTH PORTFOLIO, ENDEAVOR OPPORTUNITY VALUE PORTFOLIO, ENDEAVOR SELECT PORTFOLIO, ENDEAVOR VALUE EQUITY PORTFOLIO, T. ROWE PRICE EQUITY INCOME PORTFOLIO, T.ROWE PRICE GROWTH STOCK PORTFOLIO AND T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO. Generally, a Portfolio's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value as determined by or under the direction of the Board of Trustees. Portfolio securities for which the primary market is a domestic or foreign exchange, or which are traded over-the-counter and quoted on the NASDAQ System, are valued at the last sale price on the day of valuation or, if there was no sale that day, at the last reported bid price using prices as of the close of trading. Portfolio securities not quoted on the NASDAQ System that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed to be over-the-counter, are valued at the most recently quoted bid price provided by the principal market makers. In the case of any securities which are not actively traded, such investments are stated at fair value as determined under the direction of the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost. Foreign securities traded outside the United States are generally valued as of the time their trading is complete, which is usually different from the close of the New York Stock Exchange. Occasionally, events affecting the value of such securities may occur between such times and the close of the New York Stock Exchange that will not be reflected in the computation of a Portfolio's net asset value. If events materially affecting the value of such securities occur during such period, these securities will be valued at their fair value according to procedures decided upon in good faith by the Fund's Board of Trustees. All securities and other assets of a Portfolio initially expressed in foreign currencies will be converted to U.S. dollar values at the mean of the bid and offer prices of such currencies against U.S. dollars last quoted on a valuation date by any recognized dealer. ENDEAVOR MONEY MARKET PORTFOLIO: The Endeavor Money Market Portfolio's investments are valued on the basis of amortized cost under the guidance of the Board of Trustees, based on their determination that this constitutes fair value. Amortized cost involves valuing a portfolio instrument at its cost initially and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the instrument. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 59 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Interest income is not accrued until settlement date. FUTURES CONTRACTS: Certain Portfolios may engage in futures contracts for the purpose of hedging against a decline in the value of the portfolio securities held or a rise in the price of the securities a Portfolio intends to purchase, or in order to maintain liquidity. Upon entering into a futures contract, a Portfolio is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by the Portfolio each day, depending on the daily fluctuation of the value of the contract. The daily changes in the contract are recorded as unrealized gain or loss. The Portfolio recognizes a realized gain or loss when the contract is closed. The change in net unrealized appreciation/depreciation, if any, is shown in the Statement of Operations. There are several risks in connection with the use of futures contracts as a hedging device. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the hedged investments. In addition, there is the risk that the Portfolio may not be able to enter into a closing transaction because of an illiquid secondary market. Financial futures contracts open at June 30, 2000 were as follows:
NUMBER OF NOTIONAL CONTRACTS COST EXPIRATION UNREALIZED PURCHASED/(SOLD) DESCRIPTION AMOUNT DATE GAIN/(LOSS) ------------------ ------------------------ ------------ ------------- ------------- Dreyfus U.S. Government Securities Portfolio ............ (21) 10 Year U.S. Treasury Bond contracts $ 2,057,828 September 2000 $(10,344) (50) U.S. Long Bond contracts 4,765,891 September 2000 (101,297) Endeavor Asset Allocation Portfolio (78) 10 Year U.S. Treasury Bond contracts 7,497,810 September 2000 (183,971) (95) U.S. Long Bond contracts 9,093,804 September 2000 (153,852) 72 2 Year U.S. Treasury Note contracts 14,154,713 September 2000 108,037 Endeavor Enhanced Index Portfolio... 8 S&P 500 Index contracts 2,982,507 September 2000 (46,307)
OPTIONS: Certain Portfolios may purchase or write options which are exchange traded to hedge fluctuation risks in the prices of certain securities. When a Portfolio writes a call or put option, an amount equal to the premium received is reflected as a liability. The liability is subsequently "marked-to-market" to reflect the current market value of the option written. The premium paid by a Portfolio for the purchase of a call or put option is recorded as an investment and subsequently "marked-to-market" to reflect the current market value of the option purchased. The Portfolio is subject to the risk of an imperfect correlation between movement in the price of the instrument and the price of the underlying security or transaction. Risks may also arise due to illiquid secondary markets for the instruments. FORWARD FOREIGN CURRENCY CONTRACTS: Dreyfus U.S. Government Securities Portfolio, Endeavor High Yield Portfolio, Endeavor Janus Growth Portfolio, Endeavor Opportunity Value Portfolio, Endeavor Select Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio and T. Rowe Price International Stock Portfolio may engage in forward foreign currency exchange contracts. A Portfolio engages in forward foreign currency exchange transactions to protect against changes in future exchange rates. Forward foreign currency exchange contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Portfolio as an unrealized gain or loss. When the contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of a Portfolio's securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, a Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. 60 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) FOREIGN CURRENCY: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investment securities and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses which result from changes in foreign currency exchange rates have been included in the unrealized appreciation/(depreciation) of investments and net other assets. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gains and losses on investment securities sold. REPURCHASE AGREEMENTS: The Portfolios may enter into repurchase agreements with a bank, broker-dealer or other financial institution, which are secured by obligations of the U.S. government. Each repurchase agreement is at least 100% collateralized. However, in the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral may be subject to certain costs, losses or delays. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends, if any, from net investment income of all Portfolios except Endeavor Money Market Portfolio are declared and paid at least annually. Dividends from net investment income of the Endeavor Money Market Portfolio are declared daily and paid monthly. For all Portfolios, all net realized long-term or short-term capital gains, if any, will be declared and distributed at least annually. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income, gains and losses on various investment securities held by a Portfolio, timing differences in the recognition of income, gains and losses and differing characterizations of distributions made by the Portfolios. FEDERAL INCOME TAXES: The Fund intends that each Portfolio qualify annually as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and by distributing substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. 2. INVESTMENT MANAGEMENT FEE, ADMINISTRATIVE FEE, INVESTMENT ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS The Fund is managed by Endeavor Management Co. (the "Investment Manager") pursuant to a management agreement. The Investment Manager is responsible for providing investment management and administrative services to the Fund, including selecting the investment advisers (the "Advisers") for the Fund's Portfolios. As compensation for these services, the Fund pays the Investment Manager a monthly fee based on a percentage of the average daily net assets of each Portfolio at the following annual rates: Dreyfus Small Cap Value Portfolio--.80%; Dreyfus U.S. Government Securities Portfolio--.65%; Endeavor Asset Allocation Portfolio--.75%; Endeavor Enhanced Index Portfolio--.75%; Endeavor High Yield Portfolio--.775%; Endeavor Janus Growth Portfolio--.80%; Endeavor Money Market Portfolio--.50%; Endeavor Opportunity Value Portfolio--.80%; Endeavor Select Portfolio--1.00%; Endeavor Value Equity Portfolio--.80%; T. Rowe Price Equity Income Portfolio--.80%, T. Rowe Price Growth Stock Portfolio--.80%; T. Rowe Price International Stock Portfolio--.90%. For Endeavor Janus Growth Portfolio, the Investment Manager limited its annual fee to .775% of the Portfolio's average daily net assets for the period January 1, 2000 until April 30, 2000. For Endeavor Select Portfolio, the Investment Manager reduced its annual fee from 1.10% of the Portfolio's average daily net assets, effective May 1, 2000. At June 30, 2000, the Fund had a liability for investment management fees payable to the Investment Manager of $2,027,785. 61 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) From the management fees, the Investment Manager pays the expenses of providing investment advisory services to the Portfolios, including the fees of the Adviser of each Portfolio. PFPC Inc. ("PFPC"), a wholly owned subsidiary of PNCBank assists the Investment Manager in the performance of its administrative responsibilities to the Fund. As compensation for these services, PFPC receives a flat fee $770,000 per annum. In addition, if the aggregate net assets of the thirteen Portfolios exceed $1 billion, PFPCshall also be entitled to receive an additional fee of 0.01% of any net assets in excess of $1 billion. The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Bank, serves as the Adviser to Dreyfus Small Cap Value Portfolio and Dreyfus U.S. Government Securities Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Dreyfus a monthly fee based on a percentage of the average daily net assets of each Portfolio at the following annual rates: Dreyfus Small Cap Value Portfolio--.375% and Dreyfus U.S. Government Securities Portfolio--.15%. Morgan Stanley Dean Witter Investment Management Inc. ("Morgan Stanley"), a subsidiary of Morgan Stanley Dean Witter & Company, serves as the Adviser to Endeavor Asset Allocation Portfolio and Endeavor Money Market Portfolio pursuant to separate investment advisory agreements between the Investment Manager and Morgan Stanley. As compensation for its services as investment adviser, the Investment Manager pays Morgan Stanley a monthly fee based on a percentage of the average daily net assets of each Portfolio at the following annual rates: Endeavor Asset Allocation Portfolio--.375% and Endeavor Money Market Portfolio--.25%. J.P. Morgan Investment Management Inc. ("J.P. Morgan"), a wholly-owned subsidiary of J.P. Morgan and Co. Inc., serves as the Adviser to Endeavor Enhanced Index Portfolio. As compensation for its services as investment adviser, the Investment Manager pays J.P. Morgan a monthly fee at an annual rate of .35% of the average daily net assets of the Portfolio. Massachusetts Financial Services Company ("MFS"), a subsidiary of Sun Life Assurance Company of Canada (U.S.), serves as the Adviser to Endeavor High Yield Portfolio. As compensation for its services as investment adviser, the Investment Manager pays MFS a fee at the annual rate of .375% of the average daily net assets of the Portfolio. Janus Capital Corporation ("Janus Capital") serves as the Adviser to Endeavor Janus Growth Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Janus Capital a fee at the annual rate of .40% of the average daily net assets of the Portfolio. OpCap Advisors ("OpCap"), a subsidiary of Oppenheimer Capital, serves as the Adviser to Endeavor Opportunity Value Portfolio and Endeavor Value Equity Portfolio pursuant to separate investment advisory agreements between the Investment Manager and OpCap. As compensation for its services as investment adviser, the Investment Manager pays OpCap a monthly fee at the annual rate of .40% of the average daily net assets of each Portfolio. Montgomery Asset Management LLC ("Montgomery"), a wholly-owned subsidiary of Commerzbank AG, serves as Adviser to Endeavor Select Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Montgomery a fee at the annual rate of .60% of the average daily net assets of the Portfolio. Prior to May 1, 2000, Montgomery had received a fee at the annual rate of .70%. T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to T. Rowe Price Equity Income Portfolio and T. Rowe Price Growth Stock Portfolio. As compensation for its services as investment adviser, the Investment Manager pays T. Rowe Price a monthly fee at the annual rate of .40% of the average daily net assets of each Portfolio. Rowe Price-Fleming International, Inc. ("Price-Fleming"), a joint venture between T. Rowe Price and Robert Fleming Holdings Limited, serves as the Adviser to T. Rowe Price International Stock Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Price-Fleming a monthly fee at the annual rate of .75% of the average daily net assets of the Portfolio up to $20 million, .60% of the average daily net assets of the Portfolio in excess of $20 million up to $50 million and .50% of the average daily net assets of the Portfolio in excess of $50 million. At such time as the average daily net assets of the Portfolio exceed $200 million, the fee shall be .50% of total average daily net assets. 62 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) From time to time the Investment Manager may waive a portion or all of the fees otherwise payable to it and/or reimburse expenses. For the period January 1, 2000 through April 30, 2000, the Investment Manager has voluntarily undertaken to waive its fees and has agreed to bear certain expenses so that total expenses do not exceed the following percentages of the respective Portfolio's average daily net assets: Dreyfus Small Cap Value Portfolio--1.30%, Dreyfus U.S. Government Securities Portfolio--1.00%, Endeavor Asset Allocation Portfolio--1.25%, Endeavor Enhanced Index Portfolio--1.30%, Endeavor High Yield Portfolio-- 1.30%, Endeavor Janus Growth Portfolio--.87%, Endeavor Money Market Portfolio--.99%, Endeavor Opportunity Value Portfolio--1.30%, Endeavor Select Portfolio--1.50%, Endeavor Value Equity Portfolio-- 1.30%, T. Rowe Price Equity Income Portfolio--1.30%, T. Rowe Price Growth Stock Portfolio--1.30%, and T. Rowe Price International Stock Portfolio-- 1.53%. As of May 1, 2000, expense reimbursements are no longer in effect. Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of Mellon Bank Corporation, serves as the Fund's custodian. Boston Safe Deposit and Trust Company has agreed to compensate the Portfolios and decrease custody fees for cash balances left uninvested by each Portfolio. For the six months ended June 30, 2000, the Fund's custodial expenses were reduced by $240,927. For the six months ended June 30, 2000, the Fund incurred total brokerage commissions of $2,080,630, of which $2,066 was paid to Jardine Fleming Group Ltd., and $11,652 was paid to Robert Fleming Holdings Ltd., brokers affiliated with Rowe Price-Fleming, adviser to T. Rowe Price International Stock Portfolio. The Fund has asked the Advisers to direct certain portfolio trades, subject to obtaining the best price and execution, to brokers who have agreed to share the brokerage commissions with the Fund's distributor. The recaptured commissions are used solely to promote the marketing of the Fund's shares. For the six months ended June 30, 2000, the recaptured commissions were as follows: Dreyfus Small Cap Value Portfolio--$347,174, Endeavor Asset Allocation Portfolio--$30,190, Endeavor Opportunity Value Portfolio--$16,528, Endeavor Value Equity Portfolio--$28,844, Endeavor T. Rowe Price Equity Portfolio--$1,652 and Endeavor T. Rowe Price Growth Stock Portfolio--$5,635. No director, officer or employee of the Investment Manager, the Advisers or PFPC received any compensation from the Fund for serving as an officer or Trustee of the Fund. The Fund pays each Trustee who is not a director, officer or employee of the Investment Manager, the Advisers, PFPC or any of their affiliates $18,000 per annum plus $2,500 per Board meeting attended and reimburses them for travel and out-of-pocket expenses. 3. PURCHASES AND SALES OF SECURITIES Purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended June 30, 2000 were as follows:
PURCHASES SALES -------------------------------- ------------------------------ U. S. U.S. GOVERNMENT OTHER GOVERNMENT OTHER ---------- -------------- ------------ ------------- Dreyfus Small Cap Value Portfolio ........................ -- $ 457,491,015 -- $ 451,038,260 Dreyfus U.S. Government Securities Portfolio ............. $211,178,304 364,123,085 $214,834,876 362,741,212 Endeavor Asset Allocation Portfolio ...................... 6,258 1,502,744,648 5,403,503 1,520,312,108 Endeavor Enhanced Index Portfolio ........................ 297,891 101,015,546 200,000 86,687,963 Endeavor High Yield Portfolio ............................ -- 179,502,238 -- 176,484,300 Endeavor Janus Growth Portfolio .......................... -- 5,833,351,872 -- 5,778,744,979 Endeavor Opportunity Value Portfolio ..................... -- 695,185,953 -- 696,479,500 Endeavor Select Portfolio ................................ -- 658,564,108 -- 642,416,063 Endeavor Value Equity Portfolio .......................... -- 176,416,202 -- 197,435,937 T. Rowe Price Equity Income Portfolio .................... -- 303,737,201 -- 326,003,602 T. Rowe Price Growth Stock Portfolio ..................... -- 348,909,077 -- 338,091,755 T. Rowe Price International Stock Portfolio .............. -- 82,168,062 -- 75,608,711
63 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) At June 30, 2000, aggregate gross unrealized appreciation for all securities in which there was an excess of value over cost and aggregate gross unrealized depreciation for all securities in which there was an excess of cost over value were as follows:
NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION / APPRECIATION DEPRECIATION (DEPRECIATION) -------------- -------------- ---------------- Dreyfus Small Cap Value Portfolio ........................ $ 23,623,194 $(23,199,862) $ 423,332 Dreyfus U.S. Government Securities Portfolio ............. 553,388 (1,316,443) (763,055) Endeavor Asset Allocation Portfolio ...................... 99,124,506 (9,032,842) 90,091,664 Endeavor Enhanced Index Portfolio ........................ 27,289,888 (14,158,613) 13,131,275 Endeavor High Yield Portfolio ............................ 363,743 (1,445,979) (1,082,236) Endeavor Janus Growth Portfolio .......................... 296,239,794 (46,004,057) 250,235,737 Endeavor Opportunity Value Portfolio ..................... 2,170,428 (1,951,694) 218,734 Endeavor Select Portfolio ................................ 3,849,252 (2,416,733) 1,423,519 Endeavor Value Equity Portfolio .......................... 32,902,192 (14,275,864) 18,626,328 T. Rowe Price Equity Income Portfolio .................... 20,711,457 (29,817,006) (9,105,549) T. Rowe Price Growth Stock Portfolio ..................... 73,090,387 (7,812,178) 65,278,209 T. Rowe Price International Stock Portfolio .............. 53,693,224 (6,819,439) 46,873,785
4. SHARES OF BENEFICIAL INTEREST The Fund has authorized an unlimited number of shares of beneficial interest without par value of one or more series. Shares of the Fund are presently divided into thirteen series of shares, each series representing one of the Fund's thirteen Portfolios. Since Endeavor Money Market Portfolio has sold shares, issued shares as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown below for such transactions. Changes in shares of beneficial interest were as follows:
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 -------------------------- ---------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ DREYFUS SMALL CAP VALUE PORTFOLIO: Sold .......................................... 3,450,976 $ 57,996,843 2,775,515 $ 41,416,787 Issued as reinvestment of dividends ........... 2,029,632 31,946,414 1,103,293 16,262,533 Redeemed ...................................... (3,101,852) (52,030,881) (3,721,600) (54,434,507) --------- ------------ ---------- ------------ Net increase .................................. 2,378,756 $ 37,912,376 157,208 $ 3,244,813 ========= ============ ========== ============
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 -------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- ---------- ----------- DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO: Sold .......................................... 375,219 $ 4,314,607 2,044,213 $24,345,506 Issued as reinvestment of dividends ........... 436,769 4,743,313 428,658 4,955,287 Redeemed ...................................... (1,586,312) (18,252,935) (1,935,546) (22,725,292) ---------- ----------- ---------- ----------- Net increase/(decrease) ....................... (774,324) $(9,195,015) 537,325 $ 6,575,501 ========== =========== ========== ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 --------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- ---------- ------------ ENDEAVOR ASSET ALLOCATION PORTFOLIO: Sold .......................................... 570,784 $13,021,212 1,590,529 $ 34,131,322 Issued as reinvestment of dividends ........... 1,847,413 37,945,873 4,552,729 87,594,497 Redeemed ...................................... (1,498,519) (34,000,222) (2,795,98) (60,910,027) ---------- ----------- ---------- ------------ Net increase .................................. 919,678 $16,966,863 3,347,277 $ 60,815,792 ========== =========== ========== ============
64 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) SIX MONTHS ENDED YEAR ENDED
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 -------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT --------- ----------- ---------- ----------- ENDEAVOR ENHANCED INDEX PORTFOLIO: Sold .......................................... 1,988,867 $34,413,114 5,587,298 $94,614,865 Issued as reinvestment of dividends ........... 651,992 10,542,714 252,468 4,269,241 Redeemed ...................................... (913,008) (15,728,105) (1,344,272) (22,514,200) --------- ----------- ---------- ----------- Net increase .................................. 1,727,851 $29,227,723 4,495,494 $76,369,906 ========= =========== ========== ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 -------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT --------- ----------- ---------- ----------- ENDEAVOR HIGH YIELD PORTFOLIO: Sold .......................................... 551,950 $ 5,487,882 1,433,947 $14,306,667 Issued as reinvestment of dividends ........... 116,525 1,105,820 25,299 252,489 Redeemed ...................................... (327,571) (3,285,511) (489,807) (4,855,309) --------- ----------- ---------- ----------- Net increase .................................. 340,904 $ 3,308,191 969,439 $ 9,703,847 ========= =========== ========== ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 ------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT --------- ----------- ---------- ----------- ENDEAVOR JANUS GROWTH PORTFOLIO: Sold .......................................... 1,162,499 $112,417,004 1,379,867 $105,431,394 Conversion proceeds from WRL Series Fund ...... -- -- 10,610,293 741,495,920 Redeemed ...................................... (624,339) (59,330,492) (821,458) (60,525,170) --------- ----------- ---------- ------------ Net increase .................................. 538,160 $53,086,512 11,168,702 $786,402,144 ========= =========== ========== ============
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 --------------------- --------------------- SHARES AND AMOUNT SHARES AND AMOUNT --------------------- --------------------- ENDEAVOR MONEY MARKET PORTFOLIO: Sold .......................................... $345,123,343 $326,363,081 Issued as reinvestment of dividends ........... 3,232,159 5,423,292 Redeemed ...................................... (366,928,369) (297,943,998) ------------ ------------ Net increase/(decrease) ....................... $(18,572,867) $33,842,375 ============ ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 ------------------------- ------------------------- SHARES AMOUNT SHARES AMOUNT -------- ----------- -------- ----------- ENDEAVOR OPPORTUNITY VALUE PORTFOLIO: Sold .......................................... 222,897 $ 2,671,935 632,016 $ 7,673,642 Issued as reinvestment of dividends ........... 261,676 3,027,588 69,517 889,122 Redeemed ...................................... (437,378) (5,291,227) (850,716) (10,451,346) -------- ----------- -------- ----------- Net increase/(decrease) ....................... 47,195 $ 408,296 (149,183) $(1,888,582) ======== =========== ======== ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 --------------------------- -------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- --------- ----------- ENDEAVOR SELECT PORTFOLIO: Sold .......................................... 2,319,616 $35,500,907 1,033,646 $13,146,679 Issued as reinvestment of dividends ........... 373,766 4,814,106 -- -- Redeemed ...................................... (1,181,172) (17,692,313) (780,428) (9,116,452) ---------- ----------- --------- ----------- Net increase .................................. 1,512,210 $22,622,700 253,218 $ 4,030,227 ========== =========== ========= ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 --------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- ---------- ----------- ENDEAVOR VALUE EQUITY PORTFOLIO: Sold .......................................... 241,688 $ 4,241,651 786,486 $ 16,486,204 Issued as reinvestment of dividends ........... 1,898,084 30,748,959 548,164 12,273,399 Redeemed ...................................... (1,408,053) (25,970,144) (2,199,695) (46,545,880) ---------- ----------- ---------- ------------ Net increase/(decrease) ....................... 731,719 $ 9,020,466 (865,045) $(17,786,277) ========== =========== ========== ============
65 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED)
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 -------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT --------- ----------- ---------- ----------- T. ROWE PRICE EQUITY INCOME PORTFOLIO: Sold .......................................... 613,864 $11,090,235 1,719,791 $34,727,686 Issued as reinvestment of dividends ........... 1,536,047 27,126,583 802,394 16,874,339 Redeemed ...................................... (1,727,240) (31,577,058) (2,036,067) (41,328,994) ---------- ----------- ---------- ----------- Net increase .................................. 422,671 $ 6,639,760 486,118 $10,273,031 ========= =========== ========== ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 -------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT --------- ----------- ---------- ----------- T. ROWE PRICE GROWTH STOCK PORTFOLIO: Sold .......................................... 848,353 $24,261,761 2,044,360 $52,013,760 Issued as reinvestment of dividends ........... 1,080,794 27,592,678 701,291 17,286,833 Redeemed ...................................... (437,363) (12,451,524) (1,361,342) (34,218,892) --------- ----------- ---------- ----------- Net increase .................................. 1,491,784 $39,402,915 1,384,309 $35,081,701 ========= =========== ========== ===========
SIX MONTHS ENDED YEAR ENDED 06/30/00 12/31/99 ---------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- ----------- ---------- ----------- T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO: Sold .......................................... 14,425,882 $278,760,779 14,257,730 $250,830,817 Issued as reinvestment of dividends ........... 1,401,999 22,922,682 285,806 4,627,207 Redeemed ...................................... (14,123,532) (274,943,831) (15,007,597) (265,311,770) ----------- ------------ ----------- ------------ Net decrease .................................. 1,704,349 $ 26,739,630 (464,061) $ (9,853,746) =========== ============ =========== ============ ============================= # Endeavor Janus Growth Portfolio commenced operations on May 1, 1999.
5. ORGANIZATION COSTS Organization costs are amortized on a straight-line basis over a period of five years from the commencement of operations of each Portfolio for Portfolios which commenced operations prior to July 1, 1998. For Portfolios commencing operations after July 1, 1998, organization costs are expensed as they occur. In the event that any of the initial shares (Dreyfus Small Cap Value Portfolio--10 shares, Dreyfus U.S. Government Securities Portfolio--10 shares, Endeavor Asset Allocation Portfolio--10,000 shares, Endeavor Enhanced Index Portfolio--10 shares, Endeavor High Yield Portfolio--10 shares, Endeavor Money Market Portfolio--100,000 shares, Endeavor Opportunity Value Portfolio--10 shares, Endeavor Select Portfolio--10 shares, Endeavor Value Equity Portfolio--10 shares, T. Rowe Price Equity Income Portfolio--10 shares, T. Rowe Price Growth Stock Portfolio--10 shares, and T. Rowe Price International Stock Portfolio--10,000 shares) owned by a separate account of PFL Life Insurance Company are redeemed during such amortization period, the redemption proceeds will be reduced for any unamortized organization costs in the same proportion as the number of shares redeemed bears to the number of initial shares outstanding at the time of the redemption. The Fund bears the expense of registering and qualifying the shares of the various Portfolios for distribution under Federal and state securities regulations. As of June 30, 2000, all such costs for Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Asset Allocation Portfolio, Endeavor Money Market Portfolio, Endeavor Value Equity Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio and T. Rowe Price International Stock Portfolio have been fully amortized. 6. CONCENTRATION OF RISK The Portfolios may invest in foreign securities. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in the securities of U.S. companies and the U.S. government. These risks include re-valuation of currencies and future adverse political and economic developments. These risks are heightened for investments in emerging market countries. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. 66 - ------------------------------------------------ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) - ------------------------------------------------ ENDEAVOR SERIES TRUST JUNE 30, 2000 (UNAUDITED) The Endeavor High Yield Portfolio invests in securities offering high current income which generally will be in the lower rating categories of recognized ratings agencies (so-called "junk bonds"). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. Each Portfolio may invest up to 15% (10% with respect to Endeavor Money Market Portfolio) of its net assets in illiquid securities, including securities that are not readily marketable, securities that are restricted as to disposition under Federal securities laws or otherwise, repurchase agreements maturing in more than seven days, interest only and principal only mortgage-backed securities, certain options traded in the over-the-counter market and the securities to which such options relate. In purchasing securities which cannot be sold by a Portfolio without registration under the Securities Act of 1933, as amended, a Portfolio will endeavor to obtain the right to registration at the expense of the issuer. There generally will be a lapse of time between the decision by a Portfolio to sell any such security and the registration of the security permitting the sale. During any such period, the security will be subject to market fluctuations. 7. FEDERAL INCOME TAXES As of December 31, 1999, the Portfolios had available for federal tax purposes unused capital loss carryforwards as follows:
EXPIRING IN 2007 EXPIRING IN 2006 --------------------- -------------------- Dreyfus U.S. Government Securities Portfolio ............. $ 1,797,536 -- Endeavor High Yield Portfolio ............................ 149,375 $84,613 Endeavor Janus Growth Portfolio .......................... 16,306,322 --
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