-----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, SoIVR0CFXjwXLDbll8LnhaPsiIwrAWo4MXdrZKVAQ1cuZSwCAxJ+78xvI3vy4JCi P4RtVq+vu0cYNp2fkurFhQ== 0000935069-01-000128.txt : 20010307 0000935069-01-000128.hdr.sgml : 20010307 ACCESSION NUMBER: 0000935069-01-000128 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20001231 FILED AS OF DATE: 20010228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ENDEAVOR SERIES TRUST CENTRAL INDEX KEY: 0000847254 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [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: 1557206 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 ANNUAL REPORT 12/00 ================================================================================ SHAREHOLDER LETTER ================================================================================ Dear Shareholders: The year 2000 will be remembered for many reasons: the dawn of the new millennium, the Y2K non-event, and the roller coaster ride in the financial markets. It is my pleasure to report to you the performance, commentary and holdings for Endeavor Series Trust ("EST") for the year ended December 31, 2000. The year 2000 was a year of complete contrast to 1999. It was the year that all of the investment lingo cliches of caution finally came home to roost: "What goes around, comes around." "Reversion to the mean." "Diversification is key to mitigating risk." "Markets do not go up forever." "Valuation will matter again, someday." "Value investing will have its day again." THE CONTRAST OF 1999 VS. 2000
1999 2000 ---- ---- [BULLET] Record 5th consecutive year that S&P 500 [BULLET] S&P 500 Index lost over 10%, the worst return Index returned 20% or more. since 1977. [BULLET] Record high year for NASDAQ Composite [BULLET] Record low year for NASDAQ Composite Index of +85.6%. Index of -39.3%. [BULLET] International stock indices returned over [BULLET] International stock indices lost close to 30% for the best year in the last six years. 20% for the year. [BULLET] 2nd worst year for bonds ever since 1973. [BULLET] Treasury bonds outperformed all other stock and bond fund categories. [BULLET] Growth Stocks [ARROW POINTING UP] * [BULLET] Growth Stocks [ARROW POINTING DOWN] * [BULLET] Technology Stocks [ARROW POINTING UP] [BULLET] Technology Stocks [ARROW POINTING DOWN] [BULLET] Value Stocks [ARROW POINTING DOWN] [BULLET] Value Stocks [ARROW POINTING UP] [BULLET] Small Cap Stocks [ARROW POINTING UP] [BULLET] Small Cap Stocks [ARROW POINTING UP] [BULLET] International Stocks [ARROW POINTING UP] [BULLET] International Stocks [ARROW POINTING DOWN] [BULLET] US Treasury Bonds [ARROW POINTING DOWN] [BULLET] US Treasury Bonds [ARROW POINTING UP] [BULLET] High Yield Bonds [ARROW POINTING UP] [BULLET] High Yield Bonds [ARROW POINTING DOWN] *Key = [ARROW POINTING UP] Relatively Good Year [ARROW POINTING DOWN] Relatively Poor Year
================================================================================ SHAREHOLDER LETTER (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST CALENDAR 2000 PERFORMANCE Endeavor Series Trust and related indices returns for 2000 were as follows:
T. Rowe Price Equity Income Portfolio 12.31% Dreyfus Small Cap Value Portfolio 11.02% Dreyfus U.S. Government Securities Portfolio 10.16% Endeavor Money Market Portfolio 5.95% Endeavor Value Equity Portfolio/Capital Guardian Value Portfolio* 5.57% Capital Guardian U.S. Equity Portfolio* 1.00% T. Rowe Price Growth Stock Portfolio -0.51% Russell 2000 Index -4.20% Endeavor High Yield Portfolio -5.18% Endeavor Asset Allocation Portfolio -5.93% Dow Jones Industrial Average -6.18% S&P 500 Index -10.14% Endeavor Enhanced Index Portfolio -10.92% Endeavor Opportunity Value Portfolio/Jennison Growth Portfolio* -11.58% Endeavor Select Portfolio/Capital Guardian Global Portfolio* -15.42% Dow Jones World Index -17.36% T. Rowe Price International Stock Portfolio -18.26% Endeavor Janus Growth Portfolio -29.39% NASDAQ Composite Index -39.29% * Effective 10/09/2000 four portfolio changes were made within Endeavor Series Trust: Capital Guardian Trust Company was named the new adviser of Endeavor Select and Endeavor Value Equity Portfolios, which were renamed Capital Guardian Global and Capital Guardian Value Portfolios, respectively. Capital Guardian Trust Company was also named the new adviser to former PFL Insurance Company separate accounts (Dow Target 5 and Dow Target 10 accounts) that were terminated and combined to create a new, additional portfolio in Endeavor Series Trust named Capital Guardian U.S. Equity Portfolio. Jennison Associates became the new adviser of Endeavor Opportunity Value Portfolio, which was renamed Jennison Growth Portfolio.
Yes, 2000 was extraordinary, to say the least. The carnage in technology, particularly the internet sector, put the brakes on some of the greatest mania the market has ever seen. The NASDAQ Composite Index loss of 39.29% for 2000 marks its worst annual return since the index was created in 1971, effectively reducing the record +86% return of 1999. The only other time that the market has experienced any greater loss was in the 1973-1974 bear market when the DJIA lost 45%, the S&P 500 48% and the NASDAQ 60%. The unabated speculation with price-to-earnings ratios into the hundreds and the dot.com IPOs' expected rocket rides to riches received serious lessons in stock market dynamics. It appears that valuation always matters, eventually. It seems as well that once "the greater fool" gets an inkling that he is the latest fool, the exit can create a cascade of selling. Paper losses from the NASDAQ high to low in 2000 amounted to a loss of $3.3 trillion, or equivalent to the value of one-third of the homes in America. We are very excited about some major changes we made to Endeavor Series Trust this year. On October 9, 2000, we implemented the following portfolio name and adviser changes in addition to adding a new portfolio: PREVIOUS PORTFOLIO NAME/ NEW PORTFOLIO NAME/ INVESTMENT ADVISER INVESTMENT ADVISER - ------------------ ------------------ Endeavor Value Equity/ Capital Guardian Value/ Oppenheimer Capital Inc. Capital Guardian Trust Co. Endeavor Select/ Capital Guardian Global/ Montgomery Asset Management Capital Guardian Trust Co. Endeavor Opportunity Value/ Jennison Growth/ Oppenheimer Capital Inc. Jennison Associates 2 ================================================================================ SHAREHOLDER LETTER (CONTINUED) ================================================================================ Dow Targets 5 & 10/ Capital Guardian U.S. Equity/ First Trust Advisors Capital Guardian Trust Co. (Four EMC managed but non-EST funds - January Dow Target 5, (New, additional portfolio to January Dow Target 10, July Dow Target 5 & Endeavor Series Trust) July Dow Target 10 - were liquidated as PFL Life Insurance Company separate accounts and the collective proceeds went into the new EST portfolio) The investment program for Endeavor Series Trust is managed by Endeavor Management Co. ("EMC"), which has overall responsibility for the general management and administration of all the Portfolios. EMC monitors and evaluates the performance of the various advisers it hires to manage the investment portfolios that are offered by Endeavor Series Trust. EMC's evaluation process for advisers includes critiquing evaluation of performance (compared to market benchmarks, Lipper and Morningstar indices), process (the investment management company, the portfolio manager, investment process and style loyalty), and various marketing and business partnering criteria that are important to protect or increase shareholder value. It was through the implementation of this process that changes were made during the year. We are confident that the changes made this year offer you better portfolios, a better investment process and the prospect for better long-standing wealth building. Jennison Associates is a major institutional investment adviser. It is based in New York City, is a wholly owned subsidy of Prudential Insurance Co. and was founded in 1969. Jennison Associates manages over $86 billion, of which more than $44 billion is in the large cap growth style that they bring to Jennison Growth Portfolio. Capital Guardian Trust Company is also a major institutional investment adviser. It is primarily based in California, is part of The Capital Group Companies (which includes Capital Research & Management Co. which advises The American Funds mutual fund family) and manages over $130 billion in assets. In conclusion, 2000 was a wild ride for many investors while just another year for others. When considering equity funds, risk and diversification sit on the opposite ends of the proverbial "teeter totter" -- as one side moves higher, the other moves lower. The array of investment returns for 1999 and 2000 for the portfolios in Endeavor Series Trust gives me confidence that we are capturing the a broad market spectrum in our investment offerings. Of course, your account's return depends on how you have allocated your investment dollars across those offerings. The combined years of 1999 and 2000 gave you an excellent opportunity to revisit your "asset allocation" with your financial adviser and measure it against your risk tolerance. Those of you that loved 1999 and hated 2000 may be taking too much risk and may need to adjust your asset allocation. If you have a long time horizon, are a "buy and hold" investor, are non-emotional when it comes to market downturns as experienced in 2000 and truly believe that over the long term you will be rewarded, then you are a good candidate for owning more volatile equity funds. Until next time, thank you for your confidence and your business. We at Endeavor Series Trust look forward to continuing to serve you as your partner in wealth accumulation and preservation. Sincerely, /S/SIGNATURE Vincent J. (VJ) McGuinness, Jr. President Endeavor Series Trust February 7, 2001 3 ================================================================================ CAPITAL GUARDIAN GLOBAL PORTFOLIO ================================================================================ MARKET REVIEW The fourth quarter of 2000 was the mirror image of the fourth quarter of 1999. There was a continuation of the sector rotation in global markets away from technology-related stocks and into more defensive names. In the U.S., Nasdaq lost one-third of its value over the quarter, capping off its worst year ever, and making the 10% loss for the S&P 500 look small in comparison. Beyond U.S. borders, Europe was mixed while the Pacific markets (particularly Japan) bore the brunt of the downturn. Around the world, companies in traditionally defensive businesses provided healthy returns, as investors gravitated to names with more visible earnings and less sensitivity to a possible economic hard landing. Large market indexes were driven in the fourth quarter by healthcare and pharmaceutical companies along with consumer staples, food, tobacco, materials, and utilities groups all experiencing strong gains. Interest-rate-sensitive businesses such as banks and insurance companies in the U.S. and Europe generally saw positive results, aided by the widely held view near the close of the quarter that central banks will lower short-term interest rates early in 2001. Significant currency shifts were also in the news. One of the major developments of the quarter was the bottoming of the value of the euro vis-a-vis the U.S. dollar in late October and the common currency's subsequent appreciation. This added to the currency returns of dollar-based investors and was regarded as a clear sign the U.S. economic growth engine was finally slowing. PORTFOLIO REVIEW For the two month period ended December 31, 2000 the Fund returned (4.90)% versus the benchmark MSCI World Index return of (4.53)%. While we were underweight certain technology industries, our overweight in semiconductor-related companies like ASM Lithography and PMC-Sierra, hurt returns. As stock prices fell, we added selectively to semiconductor and semiconductor equipment names as these stocks neared cyclical lows. In telecommunications, we have favored the wireless industry (companies like Vodafone Group and NTT DoCoMo) while de-emphasizing incumbent wireline operators and competitive local exchange carriers. Although stock selection in U.S. software stocks such as Peoplesoft and Novellus proved additive to results, our investments in the communications services and equipment areas hurt returns (WorldCom and Sprint), prompting us to sell a number of these holdings as the quarter progressed. Not all the news was bad, as stock selection in the European telecommunications and telecommunications equipment areas proved beneficial (Swisscom). Over the quarter we increased our holdings in the food, beverage, and drug areas as these stocks helped Portfolio returns. We also maintained our focus on Japanese companies, primarily in the auto industry, focusing on real restructuring and change. OUTLOOK AND STRATEGY Going forward, we expect continued volatility in markets around the world. Certainly, there will be extremely difficult earnings comparisons in the first quarter for many industries. While earnings estimates may be lowered further for technology-related companies in the short term, we believe in the long-term prospects of many of these companies and we plan to take advantage of the lower valuations of those names where we have the most conviction. Despite some slowdown in economic growth around the world, we still expect strong corporate spending on servers and data storage as large companies expand their Internet strategies and IT budgets resume normal growth after the Y2K boom/bust cycle of spending. Beyond technology, many companies are recovering from several years of underperformance and are likely to benefit from central bank easing in the first quarter. We also believe credible restructuring stories in the Japanese auto, consumer financial, and retailing industries are just beginning and we are encouraged by nascent signs of change even in once moribund areas such as banking. Capital Guardian Trust Company 4 ================================================================================ CAPITAL GUARDIAN GLOBAL PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN CAPITAL GUARDIAN GLOBAL PORTFOLIO VS. LIPPER VAGLOBAL INDEX, S&P 500STOCK INDEX, BLENDED INDEX AND MSCI WORLD INDEX+ FEBRUARY 3, 1998 THROUGH DECEMBER 31, 2000 [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Capital Guardian Lipper VA Global Portfolio* Global Index* S&P 500 Stock Index* Blended Index* MSCI World Index* 2/3/98 $10,000 $10,000 $10,000 $10,000 $10,000 2/28/98 10,500 10,711.4 10,720.8 10,773.3 10,651.2 3/98 11,140 11,241.5 11,269.4 11,242.7 11,001 4/98 11,500 11,406.9 11,384.8 11,293.5 11,086.4 5/98 11,240 11,303.8 11,189.4 10,771.1 11,028.7 6/98 11,050 11,385.9 11,643.5 10,767.5 11,087.3 7/98 10,750 11,334.8 11,520.5 10,624 11,159.8 8/98 8,760 9,602.15 9,856.04 8,775.01 9,734.52 9/98 9,070 9,610.51 10,488 9,173.12 9,456.48 10/98 9,650 10,224.4 11,339.8 9,926.15 10,441 11/98 10,260 10,768.5 12,026.8 10,527.6 10,970 12/98 10,660 11,341.9 12,719.3 10,983.3 11,390.9 1/99 10,790 11,598.6 13,251 11,189.4 11,393.1 2/99 10,440 11,187.1 12,839.3 10,823.1 11,106.4 3/99 10,707 11,587.5 13,352.8 11,362.7 11,569.8 4/99 11,590 12,105.4 13,869.9 12,057.1 12,065.9 5/99 11,510 11,751.5 13,542.7 11,819.4 11,456.4 6/99 12,390 12,399.5 14,292.3 12,533.4 11,904.2 7/99 12,370 12,408 13,847.9 12,305.6 12,246.9 8/99 12,120 12,420 13,779.4 12,229.3 12,281.7 9/99 12,030 12,375.7 13,402.1 12,028.4 12,414.3 10/99 12,350 12,919.9 14,249.8 12,514.8 12,894 11/99 13,540 13,958 14,539.5 13,038.8 13,344.8 12/99 15,760 15,606 15,394.6 14,169.2 14,571.9 1/00 15,180 15,009.2 14,621.3 13,652.2 13,686.5 2/00 16,080 16,185 14,344.8 14,041.1 14,074.5 3/00 16,630 16,400.6 15,747.2 14,542.6 14,652.2 4/00 15,730 15,399.7 15,273.6 13,783.5 13,892.1 5/00 14,380.4 14,680.9 14,960.5 13,346.7 13,555.5 6/00 15,065.7 15,377.5 15,328.9 13,882.1 14,141.4 7/00 14,911 15,024.2 15,089.5 13,461.9 13,600.8 8/00 15,474.7 15,696.5 16,026.2 14,054.1 13,778.5 9/00 14,369.3 14,727.6 15,180.4 13,302 13,064.7 10/00 14,015.6 14,267.9 15,115.9 12,947.3 12,708.5 11/00 12,998.7 13,157.1 13,925.1 11,956.6 12,196.5 12/00 13,330.3 13,482.5 13,993.4 12,298 12,623.5
+ THE LIPPER VA GLOBAL INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF GLOBAL FUNDS UNDERLYING 10 VARIABLE ANNUITIES. THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE BLENDED INDEX IS A HYPOTHETICAL INDEX COMPRISED: 40% S&P 500 STOCK INDEX, 20% RUSSELL 2000, 20% MSCI EAFE AND 20% MSCI EM FREE INDEX. THE MSCI WORLD INDEX IS A CAPITALIZATION WEIGHTED INDEX THAT MONITORS PERFORMANCE OF STOCK FROM AROUND THE WORLD. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. THE PORTFOLIO HAS CHANGED ITS BENCHMARK INDEX FROM S&P 500 STOCK INDEX AND BLENDED INDEX TO THE MSCI WORLD INDEX TO PROVIDE A MORE APPROPRIATE COMPARISON TO INVESTMENT OBJECTIVES OF THE PORTFOLIO. NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* CAPITAL GUARDIAN GLOBAL PORTFOLIO --------------------------------- Year Ended 12/31/00 (15.42)% Inception (02/03/98) through 12/31/00 10.37% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 5 ================================================================================ CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO ================================================================================ MARKET REVIEW The fourth quarter of 2000 was the mirror image of the fourth quarter of 1999. Stock prices tumbled as the abrupt economic slowdown, triggered by higher energy prices and higher short-term interest rates, placed earnings forecasts under suspicion. Spending by consumers and corporations leveled off, and investors were reminded of the cyclical nature of technology stocks. Technology, media, and telecommunications related shares led the way down as many companies fell short of earnings expectations or provided downward guidance for future quarters. As a result, Nasdaq lost one-third of its value over the quarter, capping off its worst year ever, and making the 10% loss for the S&P 500 look small in comparison. Nasdaq has been halved from its peak in March. Young technology companies with little revenue and no earnings experienced the most dramatic declines and were left to sink or swim, no longer able to count on low-cost capital from investment banks. While the aggregate numbers looked bleak, not all stocks were down. The Dow Jones Industrial Average and the Russell 1000 Value Index both reported positive results for the fourth quarter. Companies in traditionally defensive businesses provided healthy returns, with the healthcare providers along with the food and tobacco industries all experiencing gains of over 20%. Companies that typically perform well in the early stages of an economic cycle also had an exceptional quarter. The materials group, along with industries such as construction and engineering, posted returns in excess of 25%, albeit from a depressed level. Interest-rate-sensitive businesses such as banks and insurance companies generally saw positive results, aided by the widely held view that the Federal Reserve will lower interest rates early in 2001. Retailers, which stole headlines with sales increases that were below expectations, were only slightly negative as a group. PORTFOLIO REVIEW For the two month period ended December 31, 2000 the Fund returned (1.75)% versus the benchmark S&P 500 Index return of (7.43)%. Owning significantly less in technology-related stocks than the index was very beneficial to returns. Holding several software stocks like Peoplesoft and Novellus that bucked the downward trend also helped. Our investments in the communications services and equipment areas hurt returns, particularly Sprint and WorldCom, and we sold a number of these holdings as the quarter progressed. Over the quarter we increased our holdings in the food (Kellogg), beverage (PepsiCo), and drug (Pfizer) areas. We also added to our positions in semiconductor-related companies (Applied Materials) on weakness. OUTLOOK AND STRATEGY We continue to be concerned about the technology, media, and telecommunications areas, and another downturn would not surprise us. Earnings estimates may be lowered further given the cooler economic environment. We do believe, however, the long-term prospects for many of these companies are good and we are likely to buy selected names on weakness. Another negative in the first quarter of 2001 will be extremely difficult earnings comparisons. Earnings in the first quarter of 2000 were outstanding, and probably the best we will see for a long time. We are particularly wary in the auto industry. We are also cautious regarding energy and oil services stocks. While the price of oil might remain volatile (and largely dependent on the weather) through the winter, we think oil prices will continue to decline in 2001. On the positive side, many companies outside the technology, media, and telecommunications areas are recovering from several years of underperformance and are likely to benefit from Fed easing in the first quarter. Many of these companies will be helped by a relatively benign environment and by the redistribution of assets away from technology. Capital Guardian Trust Company 6 ================================================================================ CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO VS. LIPPER VA GROWTH & INCOME INDEX AND S&P 500 STOCK INDEX+ OCTOBER 9, 2000 THROUGH DECEMBER 31, 2000 [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Capital Guardian U.S. Lipper VA Growth Equity Portfolio* & Income Index* S&P 500 Stock Index* 10/9/00 $10,000 $10,000 $10,000 10/31/2000 10,280 10,058.2 9,957.52 11/30/2000 9,580 9,372.35 9,173.11 12/00 10,100 9,704 9,218 + THE LIPPER VA GROWTH & INCOME INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF GROWTH AND INCOME FUNDS UNDERLYING 10 VARIABLE ANNUITIES. THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO -------------------------------------- Inception (10/9/00) through 12/31/00 1.00% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 7 ================================================================================ CAPITAL GUARDIAN VALUE PORTFOLIO ================================================================================ MARKET REVIEW The fourth quarter of 2000 was the mirror image of the fourth quarter of 1999. Stock prices tumbled as the abrupt economic slowdown, triggered by higher energy prices and higher short-term interest rates, placed earnings forecasts under suspicion. Spending by consumers and corporations leveled off, and investors were reminded of the cyclical nature of technology stocks. Technology, media, and telecommunications related shares led the way down as many companies fell short of earnings expectations or provided downward guidance for future quarters. As a result, Nasdaq lost one-third of its value over the quarter, capping off its worst year ever, and making the 10% loss for the S&P 500 look small in comparison. Nasdaq has been halved from its peak in March. Young technology companies with little revenue and no earnings experienced the most dramatic declines and were left to sink or swim, no longer able to count on low-cost capital from investment banks. While the aggregate numbers looked bleak, not all stocks were down. The Dow Jones Industrial Average and the Russell 1000 Value Index both reported positive results for the fourth quarter. Companies in traditionally defensive businesses provided healthy returns, with the healthcare providers along with the food and tobacco industries all experiencing gains of over 20%. Companies that typically perform well in the early stages of an economic cycle also had an exceptional quarter. The materials group, along with industries such as construction and engineering, posted returns in excess of 25%, albeit from a depressed level. Interest-rate-sensitive businesses such as banks and insurance companies generally saw positive results, aided by the widely held view that the Federal Reserve will lower interest rates early in 2001. Retailers, which stole headlines with sales increases that were below expectations, were only slightly negative as a group. PORTFOLIO REVIEW For the two month period ended December 31, 2000 the Fund returned 5.90% versus the benchmark Russell 1000 Value Index return of 1.11%. Although the Portfolio was underweighted in the financial sector, stock selection was exceptional allowing the sector to be the biggest contributor to performance for the period. Names like Indymac and USA Education performed well. Holdings in the consumer discretionary sector like Carnival Corp and Nike Inc. also produced solid returns for the period and while the Portfolio was overweight this poor performing sector, it was stock selection that created the outperformance. Significantly underweighting the consumer staples and utilities sectors also proved beneficial to performance. Although stock selection was solid, underweighting the health care sector hurt performance. The poor performance of Fluor Corp in the fourth quarter dampened returns in the materials & processing sector as did Compaq Computer in the technology sector. OUTLOOK AND STRATEGY We continue to be concerned about the technology, media, and telecommunications areas, and another downturn would not surprise us. Earnings estimates may be lowered further given the cooler economic environment. We do believe, however, the long-term prospects for many of these companies are good and we are likely to buy selected names on weakness. Another negative in the first quarter of 2001 will be extremely difficult earnings comparisons. Earnings in the first quarter of 2000 were outstanding, and probably the best we will see for a long time. We are particularly wary in the auto industry. We are also cautious regarding energy and oil services stocks. While the price of oil might remain volatile (and largely dependent on the weather) through the winter, we think oil prices will continue to decline in 2001. On the positive side, many companies outside the technology, media, and telecommunications areas are recovering from several years of underperformance and are likely to benefit from Fed easing in the first quarter. Many of these companies will be helped by a relatively benign environment and by the redistribution of assets away from technology. Capital Guardian Trust Company 8 ================================================================================ CAPITAL GUARDIAN VALUE PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN CAPITAL GUARDIAN VALUE PORTFOLIO VS. LIPPER VA CAPITAL APPRECIATION INDEX, RUSSELL 1000 INDEX, S&P 500 STOCK INDEX AND LIPPER VAEQUITY INCOME INDEX+ MAY 27, 1993 THROUGH DECEMBER 31, 2000 + THE LIPPER VA CAPITAL APPRECIATION INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF CAPITAL APPRECIATION FUNDS UNDERLYING 30 VARIABLE ANNUITIES. THE RUSSELL 1000 INDEX CONSISTS OF THE LARGEST 1,000 COMPANIES IN THE RUSSELL 3000 INDEX. THIS INDEX REPRESENTS THE UNIVERSE OF LARGE CAPITALIZATION STOCKS FROM WHICH MOST ACTIVE MONEY MANAGERS TYPICALLY SELECT. THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA EQUITY INCOME INDEX MEASURES THE TOTAL RETURNS EARNED BY 10 VARIABLE ANNUITIES INVESTING IN EQUITY INCOME FUNDS. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Capital Guardian Lipper VA Capital Russell S&P 500 Lipper VA Equity Value Portfolio* Appreciation Index* 1000 Index* Stock Index* Income Index* 05/27/93 $10,000 $10,000 $10,000 $10,000 $10,000 06/30/1993 10,070 10,068.8 10,065.6 10,029.2 10,000 07/31/1993 10,010 10,041.4 10,033.9 9,988.81 10,000 08/31/1993 10,260 10,533.6 10,420 10,367 10,000 09/30/1993 10,150 10,757.8 10,390.6 10,287.5 10,000 10/31/1993 10,190 10,915.6 10,527.3 10,500.1 10,000 11/30/1993 10,170 10,547.7 10,382.9 10,400.1 10,000 12/31/1993 10,280 10,879.3 10,571.5 10,525.8 10,000 01/31/1994 10,570 11,277.3 10,893.9 10,883.3 10,000 02/28/1994 10,470 11,089.3 10,607.4 10,588.1 10,000 03/31/1994 10,110 10,490.8 10,153.8 10,127.3 10,000 04/30/1994 10,460 10,525.1 10,275.8 10,257.1 10,000 05/31/1994 10,620.2 10,436.6 10,412.4 10,424.8 10,000 06/30/1994 10,279.8 9,957.14 10,134.3 10,169.7 10,000 07/31/1994 10,500 10,221.3 10,465.2 10,503.3 10,000 08/31/1994 10,960.5 10,816.7 10,907.1 10,933 10,000 09/30/1994 10,640.2 10,591.5 10,652.9 10,665.8 10,000 10/31/1994 10,870.4 10,792.6 10,854 10,905.1 10,000 11/30/1994 10,530.1 10,316.5 10,462.6 10,508.5 10,000 12/31/1994 10,700.2 10,480.9 10,611.5 10,664.1 10,000 01/31/1995 11,000.5 10,452.1 10,885.9 10,940.4 10,000 02/28/1995 11,440.9 10,884.5 11,329.8 11,366.4 10,000 03/31/1995 11,721.2 11,225.5 11,621.2 11,701.2 10,000 04/30/1995 11,982.5 11,479.3 11,929.7 12,045.5 10,000 05/31/1995 12,559.3 11,826.9 12,387.4 12,526.2 10,000 06/30/1995 12,994.5 12,539 12,715.3 12,816.7 10,000 07/31/1995 13,530.9 13,476.2 13,201.2 13,241.5 10,000 08/31/1995 13,530.9 13,603.4 13,300.6 13,274.6 10,000 09/30/1995 13,854.7 13,964.1 13,848.1 13,834.5 10,000 10/31/1995 13,561.2 13,669.8 13,785.1 13,785 10,000 11/30/1995 14,188.7 14,049.8 14,399.9 14,389.5 10,000 12/31/1995 14,401.2 14,014.5 14,619.4 14,666.7 10,000 01/31/1996 15,119.8 14,145.2 15,092 15,165.3 10,256.6 02/29/1996 15,433.5 14,525.4 15,288.4 15,306.4 10,330.8 03/31/1996 15,716.8 14,685 15,425.3 15,453.7 10,469 04/30/1996 15,757.3 15,324 15,660.3 15,681.4 10,583.7 05/31/1996 16,176.2 15,774.2 16,036.8 16,085.1 10,712.9 06/30/1996 16,114 15,229.5 16,054.4 16,146.4 10,713.8 07/31/1996 15,502.6 14,000.4 15,279.8 15,433.5 10,293.6 08/31/1996 16,145.1 14,701.6 15,695.5 15,759.5 10,521.8 09/30/1996 16,787.6 15,627.7 16,578 16,645.7 10,922.1 10/31/1996 17,098.5 15,380.9 16,945 17,104.6 11,161.3 11/30/1996 17,989.7 16,073.6 18,195.5 18,396.4 11,852.4 12/31/1996 17,834.2 15,734.9 17,901.1 18,031.9 11,748 01/31/1997 18,487.1 16,527.9 18,962.6 19,157.9 12,228.9 02/28/1997 18,518.2 15,982.5 19,035.3 19,308.3 12,362.8 03/31/1997 17,927.5 15,040.9 18,177.9 18,516.4 11,964.9 04/30/1997 18,300.6 15,448.9 19,161.3 19,620.8 12,362.7 05/31/1997 19,222.8 16,689.1 20,388.5 20,820.4 13,118.7 06/30/1997 20,259.3 17,326.7 21,233.4 21,746 13,676.5 07/31/1997 21,517.4 18,782.3 22,971 23,475.9 14,641.8 08/31/1997 20,979.8 18,341.5 21,887.4 22,161.7 14,086.4 09/30/1997 21,786.2 19,419 23,087.8 23,374.7 14,869 10/31/1997 21,377.6 18,601.6 22,339.7 22,595 14,362.9 11/30/1997 21,797 18,738.4 23,308.3 23,640.1 14,813 12/31/1997 22,259.4 18,847.7 23,781.6 24,045.8 15,064 01/31/1998 21,990.6 18,947.7 23,958.8 24,311.5 15,080.5 02/28/1998 23,496 20,526.3 25,666.7 26,063.9 15,916.5 03/31/1998 24,646.6 21,494.8 26,961.2 27,397.5 16,693 04/30/1998 24,840.2 21,783.6 27,238.4 27,678.1 16,697.8 05/31/1998 24,417.6 20,943.3 26,649 27,203 16,429.8 06/30/1998 24,726.8 21,825 27,635.5 28,307.2 16,570.2 07/31/1998 23,832.3 21,065.5 27,303.2 28,008 16,091.4 08/31/1998 20,232 17,217.6 23,222.1 23,961.5 13,913.5 09/30/1998 20,839.4 18,446.7 24,786.1 25,497.8 14,719.5 10/31/1998 22,970.9 19,618.8 26,743.7 27,568.6 15,687.3 11/30/1998 23,843.3 20,844.6 28,399.1 29,238.8 16,325.9 12/31/1998 23,942.7 22,872.5 30,208.1 30,922.6 16,728.8 01/31/1999 22,860.4 23,862.4 31,286 32,215.2 16,706 02/28/1999 22,871.5 22,623 30,293.1 31,214.1 16,457.5 03/31/1999 23,632.4 23,770.8 31,453.8 32,462.6 16,950.9 04/30/1999 25,720.8 24,717.5 32,769.3 33,719.7 18,297.2 05/31/1999 25,312.9 24,425.6 32,060.8 32,924.4 17,812.8 06/30/1999 25,788.9 25,983.1 33,694.6 34,746.6 18,420.3 07/31/1999 24,442 25,300.7 32,665.8 33,666.4 17,833.4 08/31/1999 23,582.8 24,878.9 32,359.8 33,499.7 17,374.7 09/30/1999 22,967.4 24,816.7 31,470 32,582.5 16,774.1 10/31/1999 24,151.7 26,447.3 33,585.4 34,643.4 17,352.6 11/30/1999 23,547.9 28,092.4 34,449.4 35,347.6 17,281.7 12/31/1999 23,211.2 31,695.1 36,525.1 37,426.6 17,634.5 01/31/2000 22,328.7 30,804.1 35,029.7 35,546.4 16,801.6 02/29/2000 20,633.5 33,581 34,936 34,874.3 15,805.5 03/31/2000 22,572.6 34,318.5 38,119.4 38,283.8 17,357.7 04/30/2000 22,479.7 31,872.3 36,848.6 37,132.4 17,223.4 05/31/2000 22,763.6 29,868.6 35,895.6 36,371.2 17,485.9 06/30/2000 21,844.1 32,074.4 36,810.7 37,266.9 17,087 07/31/2000 22,011.3 31,375.4 36,199.1 36,684.8 17,253.8 08/31/2000 23,167.6 34,355 38,878.5 38,962.2 18,259.5 09/30/2000 22,763.6 32,316.7 37,073.9 36,905.8 18,313.4 10/31/2000 23,139.7 30,797.2 36,627.4 36,749 18,832.2 11/30/2000 22,833.2 26,545.5 33,277.8 33,854 18,134.5 12/31/2000 24,504.9 27,123.7 33,680.1 34,020.1 19,109
THE PORTFOLIO HAS CHANGED ITS BENCHMARK INDEX FROM THE S&P 500 STOCK INDEX AND THE LIPPER VA CAPITAL APPRECIATION INDEX TO THE RUSSELL 1000 INDEX AND THE LIPPER VA EQUITY INCOME INDEX TO PROVIDE A MORE APPROPRIATE COMPARISON TO INVESTMENT OBJECTIVES OF THE PORTFOLIO. NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* CAPITAL GUARDIAN VALUE PORTFOLIO ---------------------------------- Year Ended 12/31/00 5.57% Five Years Ended 12/31/00 11.20% Inception (05/27/93) through 12/31/00 12.52% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 9 ================================================================================ DREYFUS SMALL CAP VALUE PORTFOLIO ================================================================================ 2000 proved to be an adjustment for many investors as the value style of investing came back in vogue and the high flying growth stocks of the last few years fell out of favor. Clearly the economy started to slow rather sharply in the second half of the year as the series of interest rate increases engineered by the Federal Reserve started to have the desired effect. Consequently, the profit outlook at many companies began to deteriorate rapidly forcing many companies to pre-announce that revenue and earnings growth would not met consensus estimates over the next several quarters. This hit the growth stocks particularly hard given the high valuations most of these were already commanding. As a result investors turned their sights towards value stocks, especially towards the smaller capitalization stocks which were already trading at very inexpensive levels. After suffering through several years as the weak step-sister, value stocks were viewed as having better risk/return characteristics, better able to deal with the a volatile market environment. In other words valuation and profits do matter in the long run, lending credence to the long held thinking that the market moves in cycles and the need to be well diversified between growth and value is as important as ever. For the year, the Portfolio returned 11.02% while the Russell 2000 Small Stock Index (the "Russell 2000 Index") was down 4.20%. In this environment, Dreyfus Small Cap Value Portfolio will seek capital appreciation through investment in a diversified portfolio of equity securities of companies, which average about $1 billion in market capitalization. We compare company specific valuations to their historical ranges and their peer groups. While cheap stocks tend to be less risky than the market as a whole, our primary focus is on those stocks where business is getting better and there is good potential for positive earnings surprises. We spend a great deal of time talking to the management of out-of-favor companies in order to identify positive turns in business trends before the improvements become widely known by Wall Street. As holdings appreciate to fair value, we sell them even if business conditions remain very favorable. Our dedication to the "value" style of investing is of paramount importance. Additionally, our analysis is done on a stock-by-stock basis. We manage highly diversified portfolios. This focus on diversification is not only due to the market being fairly expensive, but also because smaller capitalization stocks tend to have greater than average business risk and in some cases financial risk. Our portfolios typically carry over 100 stocks. We believe that this strategy is particularly well suited to today's market environment where earnings are more suspect as the economy slows. Despite the volatility of the overall market, we continue to find numerous ideas that meet our value criteria. As a result, we are fully invested in equities. The Portfolio exhibits attractive valuation characteristics as evidenced by its price/book ratio of 1.5 times, which compares favorably to the 2.1 times level for the Russell 2000 Index. The Portfolio's price/earnings ratio of 11.2 times 2001 estimates also demonstrates attractive value when contrasted to 15.7 times for the Russell 2000 Index. Our sector focus has not changed significantly for the past several quarters. We continue to emphasize technology, consumer services and energy stocks in the Portfolio. We are underweight financial services and utilities. While we are disappointed in the quarterly results, we are encouraged by the large number of attractively priced stocks we are finding currently. Our focus on undervalued stocks with improving business momentum should continue to produce strong results. The Dreyfus Corporation 10 ================================================================================ DREYFUS SMALL CAP VALUE PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN DREYFUS SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000 INDEX AND LIPPER VA SMALL CAP INDEX+ MAY 4, 1993 THROUGH DECEMBER 31, 2000 + THE RUSSELL 2000 INDEX IS A CAPITALIZATION WEIGHTED TOTAL RETURN INDEX WHICH IS COMPRISED OF 2,000 OF THE SMALLEST CAPITALIZED U.S. DOMICILED COMPANIES WHOSE COMMON STOCK IS TRADED IN THE UNITED STATES ON THE NEW YORK STOCK EXCHANGE, AMERICAN STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA SMALL CAP INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF SMALL CAP FUNDS UNDERLYING 30 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Dreyfus Small Russell Lipper VA Cap Value Portfolio* 2000 Index* Small Cap Index* 05/04/1993 $10,000 $10,000 $10,000 05/31/1993 10,000 10,442.5 10,477.6 06/30/1993 10,030 10,507.6 10,599.3 07/31/1993 10,380 10,652.7 10,591.1 08/31/1993 10,700 11,112.9 11,136.2 09/30/1993 11,000 11,426.5 11,359.2 10/31/1993 10,990 11,720.6 11,463.5 11/30/1993 10,730 11,334.9 11,144.4 12/31/1993 11,180 11,722.4 11,554.5 01/31/1994 11,460 12,090 11,797.9 02/28/1994 11,430 12,046.2 11,653.7 03/31/1994 10,770 11,410.2 10,983.8 04/30/1994 10,770 11,478 11,057.5 05/31/1994 10,630 11,349.1 10,923.5 06/30/1994 10,380 10,963.8 10,474.5 07/31/1994 10,590 11,143.9 10,692.4 08/31/1994 11,040 11,764.9 11,285.5 09/30/1994 11,130 11,725.5 11,206.8 10/31/1994 10,830 11,679.2 11,399.1 11/30/1994 10,690 11,207.5 10,942.9 12/31/1994 10,980 11,508.6 11,094.3 01/31/1995 10,620 11,363.4 10,945 02/28/1995 10,760 11,836.1 11,391.9 03/31/1995 10,790 12,040 11,642.5 04/30/1995 11,129 12,307.7 11,833.7 05/31/1995 11,354.5 12,519.3 12,084.3 06/30/1995 11,651.6 13,168.8 12,860.5 07/31/1995 12,041 13,927.3 13,741 08/31/1995 12,317.7 14,215.4 13,900.6 09/30/1995 12,379.2 14,469.3 14,212.5 10/31/1995 12,000 13,822.2 13,776.9 11/30/1995 12,153.8 14,402.9 14,235 12/31/1995 12,522.7 14,782.9 14,335.2 01/31/1996 12,348.5 14,767 14,353.6 02/29/1996 12,625.2 15,227.3 14,893.6 03/31/1996 13,014.6 15,537.3 15,082.8 04/30/1996 13,516.7 16,368 15,863.2 05/31/1996 14,082.8 17,013.1 16,352 06/30/1996 13,622.3 16,314.5 15,824.3 07/31/1996 13,129.7 14,889.6 14,475.4 08/31/1996 13,708 15,754.1 15,304.8 09/30/1996 14,018.5 16,369.8 16,122.9 10/31/1996 14,157.8 16,117.5 15,637.1 11/30/1996 15,464.3 16,781.6 16,000 12/31/1996 15,732 17,221.5 16,019.6 01/31/1997 16,503.1 17,565.5 16,383.5 02/28/1997 16,513.8 17,139.6 15,749.2 03/31/1997 16,042.6 16,330.9 14,875.2 04/30/1997 16,064 16,376.6 14,815.3 05/31/1997 17,574 18,198.5 16,500.9 06/30/1997 18,621.1 18,978.4 17,292 07/31/1997 19,632.2 19,861.5 18,391.6 08/31/1997 20,113.7 20,316 18,578 09/30/1997 20,932.2 21,803 19,918.3 10/31/1997 19,945.2 20,845.2 18,995.3 11/30/1997 19,885 20,710.4 18,735.2 12/31/1997 19,752.6 21,072.9 18,950.4 01/31/1998 19,463.7 20,739.9 18,596.7 02/28/1998 20,980.3 22,273.5 20,126.3 03/31/1998 22,015.5 23,192.1 21,134.5 04/30/1998 22,147.9 23,320.4 21,228.4 05/31/1998 21,304.1 22,064.5 20,052.4 06/30/1998 20,894.2 22,110.9 20,343.9 07/31/1998 19,104 20,320.9 18,920.4 08/31/1998 14,772.1 16,375 15,203.1 09/30/1998 15,100.1 17,656.5 16,132.7 10/31/1998 16,726.3 18,376.5 16,900.5 11/30/1998 18,325.1 19,339.3 17,935.7 12/31/1998 19,322.7 20,536 19,435.6 01/31/1999 19,678 20,809 19,687.5 02/28/1999 17,778.5 19,123.5 18,146.5 03/31/1999 18,306 19,422.1 18,771.5 04/30/1999 20,648.2 21,162.4 19,814.5 05/31/1999 21,836.2 21,471.6 20,010.6 06/30/1999 23,986.5 22,442.6 21,419.6 07/31/1999 23,835.1 21,826.8 21,113 08/31/1999 22,714.5 21,019 20,644.3 09/30/1999 22,502.5 21,023.6 20,887.3 10/31/1999 21,775.7 21,108.7 21,761.6 11/30/1999 23,214.2 22,368.9 23,826.7 12/31/1999 25,001.1 24,901.1 27,799.5 01/31/2000 23,547.4 24,501.2 27,354.3 02/29/2000 24,516.5 28,547.2 33,074.9 03/31/2000 28,332.6 26,665 31,094.6 04/30/2000 28,287.2 25,060.5 27,721.2 05/31/2000 27,276.7 23,599.9 25,842.4 06/30/2000 27,507.7 25,657.1 29,054.8 07/31/2000 26,583.7 24,831.7 27,530.8 08/31/2000 29,355.8 26,726.4 30,553.5 09/30/2000 28,591.7 25,940.8 29,352.2 10/31/2000 28,947.1 24,782.8 27,660.1 11/30/2000 25,819.6 22,238.8 23,489 12/31/2000 27,756.5 24,148.8 25,390.6 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* DREYFUS SMALL CAP VALUE PORTFOLIO --------------------------------- Year Ended 12/31/00 11.02% Five Years Ended 12/31/00 17.24% Inception (05/04/93) through 12/31/00 14.24% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 11 ================================================================================ DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO ================================================================================ The U.S. Government Fund returned 2.68% for the fourth quarter. The Fund was ranked 247 out of 253 funds according to Lipper Analytical Services. For the one-year period ending 12/31/00, the Fund ranked 152 out of 237, in the 3rd quartile among General U.S. Government Bond Funds and returned 10.16%. The performance for the quarter can be attributed to yield curve positioning. We continued to maintain our bias towards a flatter yield or a bias for longer maturity government bonds to out perform. We reduced our exposure to Intermediate U.S. Treasury's and increased our exposure to mortgages in November. As the Treasury market rallied our mortgage position lagged. We believe this will help the Fund outperform in the beginning of 2001 but clearly hurt us in the last quarter of 2000. We continue to maintain an effective duration within the 5-year range, which is the estimated approximate average for the Lipper Peer Group. During the past year the Federal Reserve Board raised short-term rates four times during the first half of 2000. By June, signs emerged that the Federal Reserve's previous rate hikes were having the desired effect of slowing the economy, suggesting that the Federal Reserve restrictive monetary policies could be near an end. As weaker economic data continues to be reported the Fed has now shifted to an aggressive easing stance. This should cause the Treasury curve to steepen and the credit curve to flatten. This should bode well for short-term government securities and longer maturity spread products (corporate bonds) to outperform in the 1st quarter of 2001. The Dreyfus Corporation 12 ================================================================================ DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO VS. LEHMAN AGGREGATE BOND INDEX AND LIPPER VA GENERAL U.S. GOVERNMENT INDEX+ MAY 13, 1994 THROUGH DECEMBER 31, 2000 + THE LEHMAN AGGREGATE BOND INDEX IS AN INDEX COMPOSED OF TREASURY ISSUES, AGENCY ISSUES, CORPORATE BOND ISSUES AND MORTGAGE-BACKED SECURITIES. THE LIPPER VAGENERAL U.S. GOVERNMENT INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF U.S. GOVERNMENT FUNDS UNDERLYING 30 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Dreyfus U.S. Government Lehman Aggregate Lipper VA General Securities Portfolio* Bond Index* U.S. Government Index* 05/13/1994 $10,000 $10,000 $10,000 05/31/1994 10,000 9,998.6 9,985.73 06/30/1994 9,950 9,976.5 9,931.66 07/31/1994 10,050 10,174.7 10,088.6 08/31/1994 10,050 10,187.3 10,092.4 09/30/1994 9,970 10,037.4 9,939.92 10/31/1994 9,960 10,028.4 9,905.37 11/30/1994 9,930 10,006.1 9,878.33 12/31/1994 9,960 10,075.2 9,947.43 01/31/1995 10,110 10,274.6 10,121.7 02/28/1995 10,290 10,518.9 10,336.5 03/31/1995 10,340 10,583.5 10,391.3 04/30/1995 10,456 10,731.3 10,519.7 05/31/1995 10,850.4 11,146.6 10,935.8 06/30/1995 10,911 11,228.3 11,006.4 07/31/1995 10,870.6 11,203.2 10,938 08/31/1995 10,981.8 11,338.4 11,060.5 09/30/1995 11,072.8 11,448.7 11,159.6 10/31/1995 11,204.3 11,597.6 11,320.3 11/30/1995 11,366.1 11,771.4 11,484.8 12/31/1995 11,517.8 11,936.6 11,634.2 01/31/1996 11,578.5 12,015.9 11,692.1 02/29/1996 11,325.6 11,807 11,448 03/31/1996 11,214.4 11,724.9 11,353.4 04/30/1996 11,133.5 11,659 11,265.5 05/31/1996 11,110.7 11,635.3 11,225.7 06/30/1996 11,225.5 11,791.6 11,360.9 07/31/1996 11,246.4 11,823.8 11,375.1 08/31/1996 11,225.5 11,804 11,336.1 09/30/1996 11,413.5 12,009.7 11,517.1 10/31/1996 11,653.7 12,275.8 11,746.1 11/30/1996 11,852.1 12,486 11,924.4 12/31/1996 11,726.8 12,369.9 11,805.5 01/31/1997 11,747.6 12,407.8 11,819.8 02/28/1997 11,789.4 12,438.7 11,811 03/31/1997 11,653.7 12,300.8 11,682.5 04/30/1997 11,810.3 12,485 11,830.9 05/31/1997 11,914.7 12,603 11,914.7 06/30/1997 12,055.6 12,752.6 12,025.1 07/31/1997 12,368.3 13,096.5 12,296.1 08/31/1997 12,238.9 12,984.8 12,192.6 09/30/1997 12,433 13,176.3 12,339.6 10/31/1997 12,616.3 13,367.4 12,498.6 11/30/1997 12,670.2 13,429 12,530.5 12/31/1997 12,799.6 13,564.2 12,631.7 01/31/1998 12,972.2 13,738.3 12,772.1 02/28/1998 12,929 13,728 12,737 03/31/1998 12,961.4 13,775.1 12,762.9 04/30/1998 12,993.8 13,847 12,803.4 05/31/1998 13,153.3 13,978.4 12,911.7 06/30/1998 13,287.2 14,097 13,017 07/31/1998 13,298.4 14,126.9 13,026.1 08/31/1998 13,465.7 14,356.8 13,278.4 09/30/1998 13,744.6 14,693 13,571.5 10/31/1998 13,688.8 14,615.3 13,489.5 11/30/1998 13,700 14,698.3 13,495.5 12/31/1998 13,744.6 14,742.5 13,513.2 01/31/1999 13,867.3 14,847.7 13,577.3 02/28/1999 13,599.6 14,588.5 13,301 03/31/1999 13,674.3 14,669.4 13,357.5 04/30/1999 13,711.2 14,715.8 13,383 05/31/1999 13,625.5 14,586.9 13,243.6 06/30/1999 13,519.1 14,540.5 13,168 07/31/1999 13,495.5 14,478.5 13,107.3 08/31/1999 13,448.2 14,471.2 13,080.3 09/30/1999 13,637.3 14,639.2 13,214 10/31/1999 13,696.4 14,693.2 13,230 11/30/1999 13,720 14,692.1 13,218.7 12/31/1999 13,625.5 14,621.3 13,134.6 01/31/2000 13,601.9 14,573.4 13,086.8 02/29/2000 13,720 14,749.7 13,225.3 03/31/2000 13,968.2 14,944 13,403.6 04/30/2000 13,920.9 14,901.2 13,361.6 05/31/2000 13,885.5 14,894.4 13,343.5 06/30/2000 14,251.9 15,204.2 13,579.4 07/31/2000 14,353 15,342.2 13,667.4 08/31/2000 14,529.8 15,564.6 13,850.9 09/30/2000 14,618.3 15,662.5 13,913.7 10/31/2000 14,630.9 15,766.1 14,010.8 11/30/2000 14,820.4 16,023.9 14,248.6 12/31/2000 15,010 16,321.1 14,485.9 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO -------------------------------------------- Year Ended 12/31/00 10.16% Five Years ended 12/31/00 5.43% Inception (05/13/94) through 12/31/00 6.31% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 13 ================================================================================ ENDEAVOR ASSET ALLOCATION PORTFOLIO ================================================================================ The Endeavor Asset Allocation Portfolio finished the year ended December 31, 2000 with a total return of -5.93% and fell short of the -2.64% return reported for our weighted benchmark during the same period. The Portfolio's full year total return was also disappointing relative to the returns posted for the Lipper VA Flexible Index. Given an environment that became increasingly difficult as the year progressed, particularly for large cap growth stocks, our bias towards equities within the asset allocation mix and the impact of negative fourth quarter performance in the market and within the equity segment offset a solid performance in fixed income and constrained overall results. Our continuing commitment to equities during the difficult environment for large cap growth equities in the fourth quarter hurt overall performance and produced a total return which underperformed our benchmarks. A review of asset class contributions to the Portfolio indicates that the full year return for the equity portion of the Portfolio was -5.9% versus a -10.1% return from the S&P 500 while the Portfolio's fixed income segment matched the Lehman Aggregate Index with a return of 11.6%. Since its inception in 1991, the total Portfolio has provided an annualized return of 13.2%. A look at historic annualized returns indicates that the Portfolio's three and five year returns of 12.1% and 14.8%, respectively, compare favorably with the weighted benchmark as well as the relevant Lipper Indices. Further, data prepared by PFPC indicates that despite a disappointing performance in 2000, the Portfolio continues to rank in the top ten percent of its peer group for the three and five year periods ended December 31, 2000. Since inception the Portfolio ranks in the top 12 percent of its universe of peer group funds. Strategically, the equity portion of this Portfolio continues to seek long term capital appreciation by investing primarily in the equities of growth oriented, large cap U.S. companies. The Equity Portfolio remains broadly diversified by issue and incorporates a mix of classic growth issues and less familiar stocks using what we call "opportunistic concentration" to develop meaningful commitments based on solid fundamentals and strong investment conviction. Our belief is that concentration may occasionally lead to greater volatility in the short term, but not necessarily greater risk. Thus, while the timing and magnitude of an individual stock's price movement may impact a particular quarter, we believe that, over the long term, the ability to concentrate in issues where we have high conviction should prove advantageous. Further, we believe this ability to concentrate has been a primary contributor to our strong performance over the past several years. The Portfolio continues to benefit from its strategic philosophy of opportunistic concentration driven by "bottom up" fundamental company analysis. We continue to believe that the combination of concentration and added insight provide an important long-term advantage in an increasingly selective and volatile market. Thus, while the fourth quarter proved difficult for growth investors as market preferences shifted with the changing macro economic landscape, we still believe that our time-tested, research based approach of disciplined stock selection and company oriented portfolio structure will continue to prove effective over time. As of December 31, 2000, our ten largest holdings accounted for just under 40% of the equity portion of the Portfolio. A total of 89 equity positions were held at year end and our largest individual equity position at year-end remained Tyco International, which represented 7.8% of total equities in the Portfolio. In retrospect, the fourth quarter, and indeed the full year, proved a challenging environment for most investors and an especially humbling one for growth managers. After a robust first quarter, a number of disturbing economic and market developments became issues as the year progressed, creating concerns regarding an increasingly negative environment and implications for earnings and future growth prospects. By year end, the S&P 500 Index had declined 10.1%, its worst year since 1977; the Lipper Large Cap Growth Index fell 19.7%; and, NASDAQ had its worst year ever, losing 39.3%. Starting with rising interest rates and rapidly rising oil prices, a number of alarming global and macro-economic events combined to create a more cautious environment as growth moderated. Early warnings regarding earnings disappointments picked up momentum through the year. By the fourth quarter, the environment was marked by troublesome uncertainties on a number of fronts. Accordingly, the market became increasingly concerned about the 14 ================================================================================ ENDEAVOR ASSET ALLOCATION PORTFOLIO ================================================================================ growth sectors and, in particular, the technology sector and the broader "TMT" (tech, media, telecom) sector to the benefit of value oriented sectors such as finance, utilities and energy. The equity portion of the Portfolio was impacted by many of the same forces that negatively impacted the market and other growth oriented investors. Specifically, the underperformance of technology and the impact of investors shifting to a more defensive posture resulted in the outperformance of several market sectors where we are traditionally underweight consistent with our growth oriented philosophy. Technology was the biggest detractor to Portfolio performance in 2000. Over the year, the same companies which led the market on the way up were among the biggest detractors to absolute and relative performance in 2000. While our stock selection put us slightly ahead of the index's sector for the year, it is a bittersweet victory when the sector is a significant element of the Portfolio and the weakest in the market. As the year progressed we became tactical and strategic buyers of technology on weakness and at year end the Portfolio was modestly overweight in technology as measured by the S&P 500. We continue to believe that over the long term the technology sector will generate higher growth rates than most other areas of the economy and that the benefits from productivity enhancements afforded by technology advancements will be positive for the overall economy. Despite the volatility, we want the Portfolio to be positioned to participate in that growth. Performance was also hurt by our exposure to media stocks as concerns intensified regarding declining advertising revenues and growth comparisons in the wake of dot-com failures and a slowing economy. An exposure to retailers further detracted from performance as these stocks reflected increased uneasiness regarding a slowdown in consumer spending and a modest holiday selling season given a moderating economy. Unfortunately, successful investments in more traditional consumer staples stocks contributed to performance but did not offset the weakness in media and retail. Among the bright spots for the year were the capital goods sector and healthcare where the Portfolio benefited from both a strong performance and an overweight position through the year. In fact, by year end, on the strength of solid performance and effective tactical purchases, five companies from these sectors were among the top ten holdings in the Equity Portfolio. After failing to lower interest rates at the December meeting and given further deterioration in the macro economic environment and the resulting negative market impact late in the fourth quarter, the Federal Reserve did lower interest rates in early January, 2001. The move towards lower interest rates should eventually be positive for many of the more economically sensitive stock groups. The challenge facing investors is whether to buy stocks now or wait until earnings estimates have bottomed and the impact of recent and likely future interest rate cuts begin to result in a reacceleration of economic activity. We continue to take a balanced and incremental approach to managing the Portfolio and will take advantage of the opportunities that volatility, market rotation and improved economic stability create. It appears the economy will be weaker in the early part of 2001, setting the stage for a stronger climate later in the year and into 2002. A number of catalysts within the economy and the market appear poised to provide a constructive backdrop for future growth. These factors have the potential to create a favorable environment for equities, and large cap growth stocks in particular. In our view, the domestic economy continues to provide attractive opportunities for growth oriented investing. We also remain optimistic about the long term prospects for industry leading large cap growth stocks. The prospect of lower rates and an improving economic environment over the course of this year and into 2002 adds to our enthusiasm. Accordingly, we remain upbeat about the prospects for large cap growth stocks. We believe the Portfolio is well positioned for the opportunities that lie ahead and that our Portfolio disciplines and bottom-up, research intensive approach will continue to allow us to identify some of those opportunities as they unfold. A broader review of the equity market in 2000 reflects a continuing dichotomy in performance and valuation across the S&P 500 and the reversal of some well established trends that had been operative for the past few years. The S&P 500 index finished 2000 down 10.1% for the year. Instead of a much hoped for year end rally, the index registered the largest fourth quarter decline since 1987, culminating in the worst annual performance in twenty-three years. 15 ================================================================================ ENDEAVOR ASSET ALLOCATION PORTFOLIO ================================================================================ An equal weighted version of the S&P would have been up 10.4% for the year, marking a reversal in the trend of market-cap weighted outperformance that had persisted each year since 1993. Relatedly, over the past five years, the 100 largest stocks had grown eight percentage points to account for 75% of the index and became increasingly influential in the determination of index performance. The 100 largest stocks were down 16.5% for the year. All other size categories, by quintile, posted positive returns of 14% or higher. Technology was the worst performing sector, declining 41%. The sector peaked at an index weight of 35% on March 8, 2000. By the end of the year the sector had fallen to just 21% of the index. The only other sector to ever grow to over 30% of the S&P 500 was energy at the end of 1980. Energy subsequently shed one-third of its weight in the eight months after it peaked, taking the index down with it and establishing the last time the S&P saw a greater than 10% loss in annual price return. Without technology, the S&P would have been up 6.5%. Performance was further constrained by telecom and consumer discretionary, which includes autos and media. Without all of TMT (tech, media and telecom) the index would have enjoyed a gain of 14.5%. Utilities were the best performing sector in the index, up 57%, but at 4% of the index their contribution was limited. Healthcare made the greatest positive contribution with a starting index weight of 9% and a return of 38%. The market also showed a significant shift in breadth during the year. In the first quarter the market was so narrow that Intel and Cisco accounted for the entire gain in the index. By year end, however, 62% of the S&P 500 stocks outperformed the index and 55% achieved a positive return. Finally, while a majority of stocks beat the index, some prominent former market leaders fell to the bottom of the performance contribution list. Intel and Cisco both declined over 35%. Microsoft was the biggest detractor from index performance, accounting for one-third of the index's negative performance in 2000. On the fixed income side, full year returns for the fixed income portion of the Portfolio matched the Lehman Aggregate Index with a total return of 11.6%. The theme for the year was the effect of higher interest rates on the economy and financial markets. The second half of the year brought ambiguous evidence of an economic slowdown that triggered a sharp decline in U.S. Treasury yields. Sluggish auto sales, rising jobless claims, a relatively disappointing holiday retail season and declines in the equity markets and in consumer confidence dominated the headlines during the fourth quarter. Inventories expanded and weakness in retail sales during November and December raised the possibility of a contraction in manufacturing output in early 2001. In response, the Federal Reserve altered its policy stance at its late December meeting. While the Fed did not lower the Federal Funds target rate at that time, its official statement noted "that the risks are weighted mainly toward conditions that may generate economic weakness in the foreseeable future". This marked the first time since 1998 that the Fed viewed economic weakness as a greater threat to the economy than inflation. Shortly thereafter, given further evidence of economic weakness, the Fed acted in early January to lower the Federal Funds target rate from 6.5% down to 6.0%. Treasury yields declined sharply, essentially reflecting expectations of a more accommodative monetary policy and a slowing economy. As yields declined, we shifted slightly from a neutral interest rate sensitivity strategy, underweighting the two year sector and market weighting longer maturities. Looking forward, continued slowing in early 2001, the Fed's recent rate reduction, the prospect of further rate cuts as necessary, an expected improvement over the course of the year and an expanding surplus suggest a favorable backdrop for investors willing to look beyond the current quarter. The Fed remains sensitive to the risks posed by a moderating economic environment and further financial market turmoil. While further Fed action seems likely, it also seems clear that world financial markets will continue to experience increased volatility and shifts in market leadership as investors deal with both the uncertainties and the opportunities. We believe the backdrop remains constructive, particularly for long term investors. We view this environment as an opportunity and continue to feel that the Portfolio is well positioned both strategically and tactically to participate in a market that affords investors a number of attractive options. Morgan Stanley Asset Management 16 ================================================================================ ENDEAVOR ASSET ALLOCATION PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN ENDEAVOR ASSET ALLOCATION PORTFOLIO VS. S&P 500 STOCK INDEX, LIPPER VA FLEXIBLE PORTFOLIO INDEX AND BLENDED INDEX APRIL 8, 1991 THROUGH DECEMBER 31, 2000 + THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA FLEXIBLE PORTFOLIO INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF FLEXIBLE PORTFOLIO FUNDS UNDERLYING 30 VARIABLE ANNUITIES. THE BLENDED INDEX IS A HYPOTHETICAL INDEX COMPRISED OF 65% S&P 500 STOCK INDEX, 30% LEHMAN AGGREGATE BOND INDEX AND 5% 90-DAY TREASURY BILLS. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Endeavor Asset S & P 500 Lipper VA Flexible Allocation Portfolio* Stock Index* Portfolio Index* Blended Index* 04/08/1991 $10,000 $10,000 $10,000 $10,000 04/30/1991 10,030 10,023.8 10,028.6 10,050.7 05/31/1991 10,080 10,454.7 10,280.3 10,350.8 06/30/1991 10,090 9,976.11 9,975.45 10,040.5 07/31/1991 10,140 10,440.7 10,309.6 10,387.1 08/31/1991 10,240 10,687.3 10,578.3 10,616.5 09/30/1991 10,330 10,508.4 10,624.7 10,566.4 10/31/1991 10,630 10,649.4 10,796.5 10,696.1 11/30/1991 10,400 10,221.5 10,622.6 10,449.8 12/31/1991 11,370 11,388.5 11,450.5 11,307.8 01/31/1992 11,610 11,176.5 11,243.9 11,125.6 02/29/1992 11,740 11,321.2 11,331.1 11,243 03/31/1992 11,410 11,101.3 11,150.4 11,082.9 04/30/1992 11,440 11,426.9 11,194.8 11,320.3 05/31/1992 11,520 11,482.7 11,309.3 11,421.7 06/30/1992 11,250 11,312 11,201.6 11,359.5 07/31/1992 11,570 11,773.7 11,511.9 11,732 08/31/1992 11,409 11,533.2 11,410.9 11,613 09/30/1992 11,590.1 11,668.8 11,530.3 11,744.9 10/31/1992 11,781.3 11,708.8 11,521.4 11,724.1 11/30/1992 12,224 12,106.4 11,778.5 11,985.3 12/31/1992 12,395 12,254.9 11,957.2 12,139.7 01/31/1993 12,797.4 12,357.3 12,074.5 12,277.3 02/28/1993 12,857.8 12,525.6 12,162.4 12,452.9 03/31/1993 13,290.4 12,789.8 12,377.9 12,641.6 04/30/1993 13,149.6 12,480.6 12,239.5 12,468.3 05/31/1993 13,402.6 12,813.7 12,428.4 12,691 06/30/1993 13,544.4 12,851.1 12,552.5 12,785.9 07/31/1993 13,564.6 12,799.3 12,579.8 12,775.6 08/31/1993 14,040.4 13,283.9 12,997.1 13,160.5 09/30/1993 14,192.2 13,182 13,068.7 13,106.6 10/31/1993 14,293.4 13,454.5 13,214.7 13,300 11/30/1993 14,222.6 13,326.3 12,987.6 13,184 12/31/1993 14,475.6 13,487.4 13,207.2 13,311.6 01/31/1994 15,052.6 13,945.5 13,530.4 13,664.7 02/28/1994 14,698.4 13,567.2 13,197.6 13,350 03/31/1994 14,040.4 12,976.8 12,686.9 12,869.9 04/30/1994 13,832.9 13,143.1 12,742.8 12,948.7 05/31/1994 14,138 13,357.9 12,813 13,089.8 06/30/1994 13,507.4 13,031 12,588.6 12,870.7 07/31/1994 13,843 13,458.6 12,851.2 13,226.9 08/31/1994 14,270.2 14,009.2 13,134.9 13,591.6 09/30/1994 13,873.5 13,666.9 12,868.2 13,313.7 10/31/1994 14,077 13,973.5 12,969.2 13,511.9 11/30/1994 13,761.6 13,465.2 12,609.1 13,175.4 12/31/1994 13,710.8 13,664.6 12,682.1 13,334.3 01/31/1995 13,670.1 14,018.7 12,804.8 13,643.9 02/28/1995 14,077 14,564.5 13,216.7 14,095.4 03/31/1995 14,300.7 14,993.6 13,502.5 14,401.9 04/30/1995 14,781.8 15,434.7 13,752 14,748.3 05/31/1995 15,164.8 16,050.7 14,234.9 15,311.1 06/30/1995 15,775.6 16,422.9 14,492.6 15,587.2 07/31/1995 16,313.8 16,967.2 14,843.8 15,934.1 08/31/1995 16,427.7 17,009.6 14,956.4 16,016.3 09/30/1995 16,769.3 17,727 15,263.2 16,527.7 10/31/1995 16,572.6 17,663.7 15,188.2 16,546.4 11/30/1995 16,924.6 18,438.2 15,681.3 17,119.4 12/31/1995 16,852.1 18,793.4 15,884.5 17,416.4 01/31/1996 17,090.2 19,432.3 16,226.8 17,864.7 02/29/1996 17,328.3 19,613.1 16,241.8 17,904.4 03/31/1996 17,597.4 19,801.9 16,315.5 17,998.1 04/30/1996 18,063.2 20,093.6 16,461.4 18,164.8 05/31/1996 18,611.1 20,610.9 16,655.1 18,494.6 06/30/1996 18,316 20,689.5 16,667.3 18,608.4 07/31/1996 17,652.1 19,775.9 16,194.1 18,029.7 08/31/1996 18,052.6 20,193.7 16,475.7 18,296.2 09/30/1996 18,927.3 21,329.2 17,095.6 19,116.1 10/31/1996 19,043.2 21,917.3 17,403.2 19,603.2 11/30/1996 20,223.5 23,572.5 18,184.2 20,762.7 12/31/1996 19,854.7 23,105.5 17,954.9 20,417.1 01/31/1997 20,739.9 24,548.3 18,510.3 21,372.2 02/28/1997 20,550.2 24,741 18,489.1 21,512 03/31/1997 19,517.4 23,726.3 17,945.8 20,802.2 04/30/1997 20,613.5 25,141.5 18,476.3 21,795.7 05/31/1997 21,804.3 26,678.6 19,247.7 22,842.9 06/30/1997 22,123.8 27,864.6 19,775.4 23,674.1 07/31/1997 24,045.7 30,081.2 20,912.2 25,249.9 08/31/1997 22,860.5 28,397.3 20,279.6 24,115.2 09/30/1997 23,543.9 29,951.6 21,003.5 25,201.9 10/31/1997 22,999.3 28,952.4 20,597 24,628.6 11/30/1997 23,736.1 30,291.6 20,967.7 25,525.7 12/31/1997 23,853.5 30,811.5 21,182.5 25,918.5 01/31/1998 24,430.1 31,151.9 21,339.9 26,209.6 02/28/1998 25,743.5 33,397.4 22,289.2 27,668 03/31/1998 26,394.8 35,106.3 22,997.1 28,799.8 04/30/1998 26,789.8 35,465.8 23,125.4 29,063.9 05/31/1998 26,360.6 34,857 22,843.7 28,721.6 06/30/1998 27,129 36,271.8 23,314 29,689.7 07/31/1998 26,668 35,888.5 22,997.8 29,454.9 08/31/1998 23,665.4 30,703.5 20,637.8 26,175.9 09/30/1998 24,528.4 32,672 21,465.7 27,587.4 10/31/1998 25,734.1 35,325.5 22,401.1 29,284.6 11/30/1998 26,821.6 37,465.7 23,270 30,710.2 12/31/1998 28,240.1 39,623.2 24,233.9 32,132.2 01/31/1999 29,481.3 41,279.5 24,714.4 33,251.8 02/28/1999 28,523.8 39,996.7 23,999.8 32,321 03/31/1999 29,670.5 41,596.5 24,622.5 33,394.6 04/30/1999 29,989.6 43,207.3 25,269.4 34,462 05/31/1999 29,486.9 42,188.2 24,804.9 33,752.7 06/30/1999 31,030.6 44,523.1 25,641.5 35,255.3 07/31/1999 30,422.5 43,139 25,160.7 34,334.5 08/31/1999 30,578.4 42,925.4 24,945.8 34,195.7 09/30/1999 30,859.1 41,750.1 24,663 33,499.2 10/31/1999 32,184.5 44,390.9 25,507.8 35,239.5 11/30/1999 33,307.2 45,293.3 25,928.8 35,828.7 12/31/1999 35,693 47,957.2 27,107.9 37,536.3 01/31/2000 34,975.7 45,548 26,257.3 35,955.2 02/29/2000 35,864.5 44,686.7 26,573.8 35,466.5 03/31/2000 38,375 49,055.5 27,962.5 38,384.5 04/30/2000 36,971.6 47,580.2 27,275.6 37,412.6 05/31/2000 35,749.2 46,604.8 26,743.9 36,779.6 06/30/2000 37,611.6 47,752.6 27,422.1 37,648.5 07/31/2000 37,215 47,006.7 27,213 37,220.6 08/31/2000 39,370.6 49,924.8 28,512.9 39,206.8 09/30/2000 37,335.7 47,289.8 27,555.5 37,535.5 10/31/2000 36,818.4 47,088.9 27,301.3 37,448.7 11/30/2000 33,714.2 43,379.4 25,818.9 35,140.7 12/31/2000 33,576.3 43,592.2 26,392.8 35,397.1
NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* ENDEAVOR ASSET ALLOCATION PORTFOLIO ----------------------------------- Year Ended 12/31/00 (5.93)% Five Years Ended 12/31/00 14.77% Inception (04/08/91) through 12/31/00 13.24% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 17 ================================================================================ ENDEAVOR ENHANCED INDEX PORTFOLIO ================================================================================ THE ENDEAVOR ENHANCED INDEX PORTFOLIO RETURNED -10.9% (NET OF FEES) FOR THE YEAR ENDED DECEMBER 31, 2000. THE S&P 500 RETURNED -10.1% DURING THIS TIME PERIOD, WHILE THE LIPPER VA GROWTH AND INCOME AVERAGE RETURNED 1.2%. MARKET ANALYSIS 2000 was a tale of two cities as the first quarter was characterized by an over heating economy, sky high technology valuations and internet related stocks priced to perfection. The second half of 2000 saw dramatic declines in the U.S. Equity markets, coinciding with the Fed monetary policy tightening, as the S&P 500 ended the year loosing over 10% of it's value and the Nasdaq loosing over 39%. The drop was dominated by a huge sell off in technology and telecommunications stocks precipitated by numerous earnings down grades and disappointments. The increased fear of a recession in 2001 placed added downward pressure on the market due to the economic slow down ending the year. However, despite poor performance in the broad market, 2000 was a turbulent year with significant dispersion in returns between sectors and investment styles. Value outperformed growth by 30%, technology stocks reached new lows not witnessed in over a year, and the internet bubble burst as well known companies such as Pets.com, CDNow and Priceline's Webhouse Club all closed their doors. By contrast, nine of the sixteen sectors we track actually gained value during 2000: utilities (53.1%), health service & systems (50.7%), insurance (37.9%), pharmaceuticals (34.1%), capital markets (26.6%), finance (25.8%), energy (20.2%), consumer stable (13.7%), and industrial cyclical (0.1%). An equal weighted version of the S&P 500 index would have produced over 3% lower returns. This demonstrates how the small names in the index performed worse than the larger more liquid stocks. PERFORMANCE ANALYSIS The year 2000 was difficult for the Endeavor Enhanced Index Portfolio. Like the market, the sector performance within the Portfolio showed a wide distribution of individual returns. Stock selection among pharmaceuticals issues was particularly beneficial. An underweight in Johnson & Johnson, which underperformed the sector by over 37%, and an overweight in American Home Products, which returned over 64% contributed positively to results. Philip Morris (+105%) also performed well as investors moved into value stocks during the year, news that litigation problems have subsided a little and it's purchase of Nabisco with subsequent Kraft food division IPO. On the down side, stock selection in technology, specifically hardware, semiconductors and software & services, detracted from performance. An underweight in Oracle hindered the Portfolio's performance as the stock gained 5.6% and outperformed it's sector by over 49%. Overweighting Motorola, whose 60% loss underperformed its sector by over 32%, also hurt results. OUTLOOK We remain confident in our investment process and robust risk controls, and expect that the historically wide spread between the most and least attractive companies in our research universe suggests opportunities ahead. The Federal Reserve's actions during the first quarter of 2001 will set the stage for economic growth during the year. The slowing economy and lowered corporate spending, combined with earnings disappointments, has investors nervous about equity markets heading into the new year. However, the 50 basis point interest rate cut by the Fed early in the new year leads to signs that a soft landing might still be achievable and therefore signals a brighter outlook for equities. J.P. Morgan Investment Management, Inc. 18 ================================================================================ ENDEAVOR ENHANCED INDEX PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN ENDEAVOR ENHANCED INDEX PORTFOLIO VS. S&P 500 STOCK INDEX AND LIPPER VA GROWTH & INCOME INDEX+ MAY 2, 1997 THROUGH DECEMBER 31, 2000 + THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA GROWTH & INCOME INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF GROWTH AND INCOME FUNDS UNDERLYING 10 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Endeavor Enhanced S&P 500 Lipper VA Index Portfolio* Stock Index* Growth & Income Index* 05/01/1997 $10,000 $10,000 $10,000 05/31/1997 10,700 10,611.4 10,587.5 06/30/1997 11,190 11,083.1 11,017.5 07/31/1997 12,120 11,964.8 11,761.1 08/31/1997 11,500 11,295 11,246.7 09/30/1997 12,010 11,913.2 11,815.3 10/31/1997 11,630 11,515.8 11,396.6 11/30/1997 12,130 12,048.5 11,809.2 12/31/1997 12,290 12,255.2 11,965.8 01/31/1998 12,470 12,390.6 12,026.1 02/28/1998 13,370 13,283.8 12,800.4 03/31/1998 14,060 13,963.5 13,404.8 04/30/1998 14,270 14,106.5 13,457.4 05/31/1998 14,109 13,864.3 13,173.2 06/30/1998 14,601.1 14,427.1 13,387.9 07/31/1998 14,490.6 14,274.6 13,049.5 08/31/1998 12,391.8 12,212.3 11,176.3 09/30/1998 13,195.2 12,995.3 11,841.1 10/31/1998 14,269.7 14,050.7 12,774.5 11/30/1998 15,243.8 14,901.9 13,398.5 12/31/1998 16,147.5 15,760.1 13,976.1 01/31/1999 16,699.8 16,418.9 14,210.3 02/28/1999 16,087.3 15,908.6 13,794.1 03/31/1999 16,723.9 16,545 14,232.3 04/30/1999 17,724.1 17,185.7 15,081.4 05/31/1999 17,377.6 16,780.3 14,868.9 06/30/1999 18,281.1 17,709 15,526 07/31/1999 17,661.2 17,158.5 15,058.9 08/31/1999 17,577.2 17,073.5 14,793.8 09/30/1999 17,062.4 16,606 14,257 10/31/1999 17,955.4 17,656.4 14,841.2 11/30/1999 18,239.1 18,015.3 14,950.6 12/31/1999 19,079.6 19,074.9 15,599.1 01/31/2000 18,018.5 18,116.7 14,884.6 02/29/2000 17,566.7 17,774.1 14,523.1 03/31/2000 19,373.8 19,511.8 15,780.5 04/30/2000 18,711.9 18,925 15,500.4 05/31/2000 18,230.9 18,537 15,422.2 06/30/2000 18,702.7 18,993.5 15,338.7 07/31/2000 18,410.7 18,696.8 15,216.2 08/31/2000 19,556.4 19,857.5 16,175.1 09/30/2000 18,343.3 18,809.5 15,669 10/31/2000 18,377 18,729.5 15,760.2 11/30/2000 16,849.3 17,254.1 14,685.6 12/31/2000 16,995.3 17,338.8 15,204.8 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* ENDEAVOR ENHANCED INDEX PORTFOLIO --------------------------------- Year Ended 12/31/00 (10.92)% Inception (05/02/97) through 12/31/00 15.54% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 19 ================================================================================ ENDEAVOR HIGH YIELD PORTFOLIO ================================================================================ For the 12 months ended December 31, 2000, the Portfolio provided a return of - -5.18%. This return compares to returns of -5.86% and -9.71%, for the Portfolio's benchmarks, the Lehman High Yield Index (the Lehman Index) and the Lipper VA High Current Yield Index, respectively. The Lehman Index is an index of current high yield bonds. The Lipper Indices are unmanaged, net-asset-value-weighted indices of the largest qualifying mutual funds within their respective investment objectives, adjusted for the reinvestment of capital gain distributions and income dividends. In a market where most high-yield bonds traded lower, successful avoidance of most of the credit problems that hurt a variety of industries helped the Portfolio's performance versus the Lipper benchmarks. We also weren't afraid to lock in profits on securities that performed well for us. Some high-yield bond portfolio managers are often tempted to hold on to positions that have performed well because they still like the fundamental outlook for certain companies. In contrast, we are very price disciplined. Therefore, if a security reaches our valuation projections, we're often no longer comfortable with the potential downside risk and may reduce our exposure. A good example would be the telecommunications securities that performed extremely well in the early part of 2000 but have come down quite a bit amid the sell off in the equity market. We sold many of these holdings despite our favorable long-term outlook for these companies. We believe the key to avoiding the credit defaults is MFS Original Research(REGISTRATION MARK). The Portfolio is backed by a large group of experienced investment management professionals dedicated exclusively to the high-income market. Our research analysts use a variety of models to analyze the credit risk and business prospects of the companies they cover. As a result, before any security is purchased for the Portfolio, we carefully measure the underlying financial stability of each company. It's a research intensive, company-by-company, and bottom-up approach to security selection. First, we look at a company's business risks and opportunities, then we consider the financial risks and opportunities. Finally, we look at all the different ways of investing in the company and how the market is pricing each one of the securities. From this analysis, we try to pick the bond that offers the best risk-adjusted return for the Portfolio. While we reduced our exposure to telecommunications and media bonds early in the period, we still view these holdings as defensive positions that offer attractive yields and growth opportunities. We believe most people are not going to turn off their cable or mobile phones even if the economy goes into recession. Given the current economic environment and the sharp sell off we've seen in the telecommunications and media sectors, we found some attractive value in these segments of the market again. We were overweight media issues, which helped performance during a weak market. Despite reducing our exposure to telecommunications companies early in the year, we remained overweight in this sector, which hurt our relative performance during the period. However, following a sharp sell off in the sector we now view many telecommunications issues as attractively valued. Earlier in the year, we also took some money off the table in the more cyclical industries, such as steel and paper packaging, as well as in general manufacturing. However, we believe some of these companies, along with the financial sector, are looking poised for a rebound, especially if the Federal Reserve Board decides to cut interest rates further. So, we are again looking closely at these companies. We increased our exposure to the energy and gaming sectors earlier in the year to take advantage of the strong business fundamentals in these industries. Both of these moves worked well for the Portfolio, however, we are beginning to take some profits in the energy sector in order to take advantage of attractive valuations, yields, and growth potential in some of the other sectors we've mentioned, such as telecommunications and media. As we enter a new year, it's difficult to rule out further volatility in the short-term given the uncertain economic environment; but the high yield market rally that began in mid-December has continued through the end of the year. Despite the recent rally, the yield difference between noninvestment-grade debt and Treasuries widened significantly during the past year, making the yields on high-income bonds very attractive relative to other fixed-income 20 ================================================================================ ENDEAVOR HIGH YIELD PORTFOLIO ================================================================================ securities. In addition, while cautious in the short run, we believe the economy will remain healthy and corporate earnings will produce low double-digit returns. Historically, high-yield bonds track corporate earnings, so we believe the environment will improve for the high-yield market. Massachusetts Financial Services Company The opinions expressed in this report are those of the Portfolio Manager and are current only through the end of the period of the report as stated on the cover. The Manager's views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed. 21 ================================================================================ ENDEAVOR HIGH YIELD PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN ENDEAVOR HIGH YIELD PORTFOLIO VS. LEHMAN HIGH YIELD INDEX AND LIPPER VA HIGH CURRENT YIELD INDEX+ JUNE 1, 1998 THROUGH DECEMBER 31, 2000 + THE LEHMAN HIGH YIELD INDEX IS AN INDEX COMPOSED OF CURRENT HIGH YIELD BONDS. THE LIPPER VA HIGH CURRENT YIELD INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF HIGH CURRENT YIELD FUNDS UNDERLYING 30 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Endeavor High Lehman High Lipper VA High Yield Portfolio* Yield Index* Current Yield Index* 06/01/1998 $10,000 $10,000 $10,000 06/30/1998 9,987 10,035.9 10,000.6 07/31/1998 10,085 10,093 10,071 08/31/1998 9,396.7 9,536.08 9,313.55 09/30/1998 9,337 9,579.3 9,238.81 10/31/1998 9,140 9,382.9 9,026.98 11/30/1998 9,750 9,772.23 9,533.97 12/31/1998 9,690 9,782.99 9,490.5 01/31/1999 9,930 9,928.33 9,626.19 02/28/1999 9,930 9,869.8 9,573.75 03/31/1999 10,105 9,963.89 9,685.62 04/30/1999 10,260 10,157 9,912.48 05/31/1999 10,111.5 10,019.5 9,728 06/30/1999 10,060.7 9,998.18 9,716.34 07/31/1999 10,081 10,038.3 9,714.82 08/31/1999 9,989.57 9,927.42 9,599.21 09/30/1999 9,959.08 9,855.94 9,516.3 10/31/1999 9,979.4 9,790.47 9,461.85 11/30/1999 10,162.3 9,904.81 9,608.17 12/31/1999 10,253.8 10,017 9,723.21 01/31/2000 10,232 9,973.74 9,684.73 02/29/2000 10,353.9 9,993.07 9,756.61 03/31/2000 10,213.1 9,782.99 9,556.44 04/30/2000 10,264 9,798.68 9,508.46 05/31/2000 10,130.7 9,698.2 9,334.41 06/30/2000 10,334.6 9,895.69 9,550.71 07/31/2000 10,382.3 9,971.19 9,549.94 08/31/2000 10,409.7 10,039.4 9,593.2 09/30/2000 10,281 9,951.67 9,434.76 10/31/2000 9,948.28 9,632.91 9,101.1 11/30/2000 9,497.55 9,251.42 8,602.91 12/31/2000 9,722.91 9,430.13 8,771.86 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* ENDEAVOR HIGH YIELD PORTFOLIO ----------------------------- Year Ended 12/31/00 (5.18)% Inception (06/01/98) through 12/31/00 (1.08)% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 22 ================================================================================ ENDEAVOR JANUS GROWTH PORTFOLIO ================================================================================ Investors got a painful reminder that what goes up must come down as equity markets plunged in 2000. The year started off dramatically, with a booming economy creating a strong tailwind for stocks across the board. But by March, worries that the record-breaking economic expansion would spark faster inflation took their toll as share prices fell sharply. Later, three interest rate hikes by the Federal Reserve appeared to be putting the brakes on growth. But then uncertainty over interest rates gave way to fears about a slowdown in corporate earnings and higher energy costs, adding fuel to the months-long volatility and pressuring stocks ever lower. Although Fed officials in December left rates unchanged for the fifth straight time, they also declared economic weakness to be a bigger threat than inflation. In the end, the S&P 500 Index suffered its greatest decline since 1977, and the Dow Jones Industrial Average posted its poorest return since 1981. The technology-dominated Nasdaq Composite Index, however, turned in the worst performance, falling 39%, the biggest drop in its 29-year history. The Portfolio retreated in this harsh environment, lagging its benchmark, the S&P 500 Index. Top holding Nokia was among our disappointments. The world's No. 1 cellular phone maker suffered its biggest loss in over four years after warning in July that a holdup in the delivery of new models would crimp third-quarter profits. However, the company not only managed to beat those estimates, but also forecast record fourth-quarter earnings. Still, the damage had already been done. Leading computer-networking equipment manufacturer Cisco Systems also fell short of our expectations. While Cisco recently reported that quarterly earnings rose an astounding 92% on robust sales of its switches, routers and fiber-optic network gear, its share price slid when one computer-related company after another -- including Gateway, Intel, Compaq and Microsoft -- trimmed its earnings forecast, causing the entire sector to unravel. Exodus Communications, whose nationwide data centers offer secure vaults to house and maintain the infrastructure for corporate Internet sites, edged lower as well. Although the Web-site host counts several dot-com companies among its customers, its exposure to struggling e-commerce businesses is modest. In fact, the majority of Exodus' clients are successful, established firms like Microsoft, eBay, General Electric and Janus. Still, its stock faltered on misperceptions about the stability of its customer base. On the plus side, EMC Corp. gained as the Internet continued to create enormous amounts of data that must be securely stored. Indeed, the top maker of corporate data-storage systems dominated the competition, introducing a host of innovative products to attack the midsize market and support network-attached storage. E-commerce transaction company BEA Systems was another winner. BEA's leading-edge software allows businesses with older mainframe computer systems to build reliable e-commerce infrastructures utilizing their existing equipment. To be sure, some of the world's most innovative companies rely on BEA's software to help them process millions of transactions daily. To wrap up, amid clear signs of a slowing economy, our ongoing strategy is to employ our rigorous, company-by-company stock-picking approach to uncover outstanding businesses able to weather the market's ups and downs. Janus Capital Corporation 23 ================================================================================ ENDEAVOR JANUS GROWTH PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN ENDEAVOR JANUS GROWTH PORTFOLIO VS. S&P 500 STOCK INDEX AND LIPPER VA GROWTH INDEX+ MAY 1, 1999 THROUGH DECEMBER 31, 2000 + THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA GROWTH INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF GROWTH FUNDS UNDERLYING 30 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: Endeavor Janus S&P 500 Lipper VA Growth Portfolio* Stock Index* Growth Index* 05/01/1999 $10,000 $10,000 $10,000 05/31/1999 9,580.71 9,764.12 9,842.15 06/30/1999 10,266.2 10,304.5 10,450.3 07/31/1999 9,941.33 9,984.17 10,138.4 08/31/1999 10,010 9,934.75 9,965.79 09/30/1999 10,289.1 9,662.73 9,770.03 10/31/1999 11,187.8 10,273.9 10,331.1 11/30/1999 12,145.1 10,482.8 10,724.9 12/31/1999 13,647.7 11,099.3 11,749.3 01/31/2000 13,171.1 10,541.7 11,275.2 02/29/2000 14,414.7 10,342.4 11,844.9 03/31/2000 15,077.3 11,353.5 12,562.7 04/30/2000 13,888.1 11,012.1 11,883.1 05/31/2000 12,670.3 10,786.3 11,291.6 06/30/2000 13,394.4 11,052 11,911.8 07/31/2000 12,927.9 10,879.3 11,669 08/31/2000 14,187.2 11,554.7 12,614.2 09/30/2000 13,279.9 10,944.9 11,807.8 10/31/2000 12,388.4 10,898.4 11,396.2 11/30/2000 10,040.1 10,039.8 10,026.8 12/31/2000 9,636.52 10,089.1 10,194 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* ENDEAVOR JANUS GROWTH PORTFOLIO ------------------------------- Year Ended 12/31/00 (29.39)% Inception (05/01/99) through 12/31/00 (2.19)% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 24 ================================================================================ ENDEAVOR MONEY MARKET PORTFOLIO ================================================================================ The Endeavor Money Market Portfolio seeks current income with a primary focus on preservation of capital. Accordingly, the management philosophy for this investment vehicle is the application of a conservative, short maturity, high quality money market strategy. The Portfolio invests in U.S. Treasury and Government Agency issues, top-tier commercial paper (CP), as well as bank instruments such as certificates of deposit (CDs) and bank notes (BNs). Though the Portfolio may hold securities that are backed by the full faith and credit of the U.S. Government, the U.S. Government does not guarantee the shares of the Portfolio. The Portfolio seeks to maintain a constant net asset value of $1.00 per share although no assurances can be given that such constant net asset value will be maintained. Though the Federal Reserve Bank held the Fed Funds rate steady at 6.5% during the fourth quarter, there was a fundamental change in their perception of sustainable economic growth. In response to a string of weakening economic conditions the Fed changed their bias to acknowledge the potential recessionary risks to the economy. The market swiftly shifted sentiment in anticipation of the Fed easing monetary policy. Yields on the Eurodollar March 2001 futures contract trended steadily lower during the quarter. Contract yields opened the quarter at a high of 6.74% and moved steadily to a low of 5.85% in late December. The contract closed the quarter at 5.89%, a level 61 bps below the Fed Funds rate. At the end of the fourth quarter the Portfolio's average days to maturity was 40 days. Though slightly shorter than the previous quarter end, the final figure was the result of roll down from focused effort to capture the best returns during opportune market conditions. The Portfolio had good success finding value in 3-5 month paper as we sought to take advantage of the year-end corporate financing, and supported an average days to maturity in the mid to upper 50s during a majority of the quarter. The cornerstone of the strategy was based on corporation's financing needs and is commonly referred to as the "turn trade". Its success is founded in its execution. As the shape of the curve changes during the quarter, to reflect the year-end financing pressure, a spike in yields takes shape in January. The magnitude and follow through (meaning how many weeks or months are characterized by higher yields) of the spike is often volatile. Our strategy of implementing the "turn trade" began in the third quarter and intensified early in the fourth quarter. Investors who delay the execution of the strategy into December in anticipation of building financing pressure, are often disappointed to find very little paper available and face short investment horizons that heighten reinvestment risk early in the new year. Year-end funding rates usually peak in late October/early November as firms look to get financing done sooner rather than later. From an asset allocation standpoint, our investment in selective corporate commercial paper issues achieves an improved yield posture. In addition, the investments in Treasury and Agency securities enhance the credit profile as well as satisfy the Portfolio's liquidity needs. Credit quality remains high with the average portfolio quality equivalent to an A1+/P1 issuer. Morgan Stanley Asset Management 25 ================================================================================ JENNISON GROWTH PORTFOLIO ================================================================================ December offered little relief in a tough year. The market persisted in ignoring individual company merit and penalized whole groups of stocks. Technology continued to suffer, with only consumer cyclicals and financials offering meaningful respite for the Fund from declining returns. Energy and health care contributed modestly. Stock selection continued to help Portfolio performance. Schlumberger provided the greatest offset to the Portfolio's pressured areas. Retail holdings such as Home Depot and Kohl's Corp., as well as certain financial stalwarts -- J.P. Morgan, Morgan Stanley Dean Witter and Goldman Sachs offered further refuge. As could be expected, technology holdings floundered at the bottom, led by Cisco, Microsoft and Compaq. Since the inception of this Portfolio, excessive volatility, investor overreaction to earnings disappointments, high energy costs, the weak Euro and fears of recession have plagued results. 2000 was a dramatic reversal of 1999 in many respects. Both years had volatility, but 1999 enjoyed a jubilant ending and 2000 suffered declines across the board. While the first half of 2000 was in a rally mode, with companies constantly adjusting their earnings upward, the last half of 2000 was a series of earnings shortfalls and a market in serious decline. Technology, which led the parade of positive returns in 1999, fell to last position in 2000. Other areas under pressure included communication services, consumer staples and capital goods. Health care was the only sector offering significant relief. The Portfolio benefited from holdings in Nokia, American Home Products and Eli Lilly. Cisco, Nortel Networks and Time Warner were all poor performers. Although much uncertainty remains in the market looking forward into the first half of 2001, what is certain is that strong stock selection is the best way to navigate uncertainty. Most important is the Fed's recognition of the slowing U.S. economy and subsequent moving in early January to an easing strategy for interest rates. The question facing investors is whether the slowdown underway will result in a soft landing or a recession. Growth in early 2001 could be well below trend if a necessary inventory correction occurs. By Fall of 2001, imbalances could be corrected and the market could then return to more normal growth patterns. As rates decline, energy costs stabilize and the Euro begins to strengthen, the growth companies in the Portfolio are well positioned to benefit. Jennison Associates, LLC 26 ================================================================================ JENNISON GROWTH PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN JENNISON GROWTH PORTFOLIO VS. S&P 500 STOCK INDEX, LIPPER VA FLEXIBLE PORTFOLIO INDEX AND LIPPER VA GROWTH INDEX+ NOVEMBER 18, 1996 THROUGH DECEMBER 31, 2000 + THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA FLEXIBLE PORTFOLIO INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF FLEXIBLE PORTFOLIO FUNDS UNDERLYING 30 VARIABLE ANNUITIES. THE LIPPER VAGROWTH INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF GROWTH FUNDS UNDERLYING 30 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Jennison S&P 500 Lipper VA Flexible Lipper VA Growth Portfolio* Stock Index* Portfolio Index* Growth Index* 11/18/1996 $10,000 $10,000 $10,000 $10,000 12/31/1996 10,060 9,801.91 9,826.97 9,873.92 01/31/1997 10,290 10,414 10,343.3 10,179.3 02/28/1997 10,170 10,495.7 10,211.7 10,167.7 03/31/1997 10,020 10,065.3 9,712.42 9,868.87 04/30/1997 10,290 10,665.6 10,117.8 10,160.6 05/31/1997 10,630 11,317.7 10,822 10,584.8 06/30/1997 11,021 11,820.8 11,237.6 10,875 07/31/1997 11,651.1 12,761.1 12,200.1 11,500.2 08/31/1997 11,271.1 12,046.8 11,728.4 11,152.3 09/30/1997 11,651.1 12,706.2 12,379.1 11,550.4 10/31/1997 11,451.1 12,282.3 11,913.6 11,326.9 11/30/1997 11,711.1 12,850.4 12,131.7 11,530.7 12/31/1997 11,751.1 13,070.9 12,329.1 11,648.9 01/31/1998 11,851.1 13,215.4 12,383.2 11,735.4 02/28/1998 12,391.2 14,168 13,302.8 12,257.5 03/31/1998 12,741.2 14,892.9 13,945.2 12,646.7 04/30/1998 12,841.2 15,045.4 14,125.3 12,717.3 05/31/1998 12,683.2 14,787.2 13,740.1 12,562.4 06/30/1998 12,855.1 15,387.4 14,316 12,821 07/31/1998 12,379.8 15,224.7 14,105.2 12,647.1 08/31/1998 10,539 13,025.1 11,751.2 11,349.3 09/30/1998 11,075 13,860.2 12,405.9 11,804.6 10/31/1998 11,874.1 14,985.9 13,319.9 12,319 11/30/1998 12,339.3 15,893.8 14,141.4 12,796.8 12/31/1998 12,359.5 16,809.1 15,273.5 13,326.9 01/31/1999 12,066.2 17,511.7 15,878.7 13,591.1 02/28/1999 12,015.7 16,967.5 15,206.7 13,198.1 03/31/1999 12,297.8 17,646.2 15,797.6 13,540.6 04/30/1999 13,371 18,329.6 16,351 13,896.3 05/31/1999 12,889.9 17,897.2 16,092.9 13,640.9 06/30/1999 13,240.5 18,887.8 17,087.3 14,101 07/31/1999 12,817.7 18,300.6 16,577.3 13,836.6 08/31/1999 12,436.1 18,210 16,295.1 13,718.4 09/30/1999 12,436.1 17,711.4 15,975 13,562.9 10/31/1999 13,178.6 18,831.7 16,892.4 14,027.5 11/30/1999 13,044.5 19,214.5 17,536.3 14,259 12/31/1999 12,951.7 20,344.6 19,211.3 14,907.4 01/31/2000 12,714.6 19,322.5 18,436.2 14,439.6 02/29/2000 11,776.2 18,957.2 19,367.7 14,613.6 03/31/2000 12,735.2 20,810.5 20,541.3 15,377.4 04/30/2000 12,797 20,184.6 19,430.2 14,999.6 05/31/2000 12,986.4 19,770.8 18,462.9 14,707.2 06/30/2000 12,586.1 20,257.8 19,477.1 15,080.2 07/31/2000 12,430.5 19,941.3 19,080 14,965.2 08/31/2000 12,941.9 21,179.3 20,625.5 15,680 09/30/2000 13,119.8 20,061.4 19,307 15,153.5 10/31/2000 13,175.4 19,976.2 18,634 15,013.8 11/30/2000 11,318.6 18,402.6 16,394.9 14,198.5 12/31/2000 11,452 18,492.8 16,668.3 14,514.1
THE PORTFOLIO HAS CHANGED ITS LIPPER BENCHMARK INDEX FROM THE LIPPER VA FLEXIBLE PORTFOLIO INDEX TO THE LIPPER VA GROWTH INDEX TO PROVIDE A MORE APPROPRIATE COMPARISON TO INVESTMENT OBJECTIVES OF THE PORTFOLIO. NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* JENNISON GROWTH PORTFOLIO ------------------------- Year Ended 12/31/00 (11.58)% Inception (11/18/96) through 12/31/00 3.35% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 27 ================================================================================ T. ROWE PRICE EQUITY INCOME PORTFOLIO ================================================================================ In what will be remembered as one of the most tumultuous years in recent history, the stock market limped to the finish line with its first loss in several years and its worst overall showing in more than two decades. During the year, the Fed maintained a generally restrictive monetary policy, the economy showed signs of deceleration, and once high-flying sectors finally experienced the effects of gravity. In this challenging environment, your Fund enjoyed an outstanding year as value stocks returned to favor. The Portfolio posted a strong gain for the 12-month period ended December 31, 2000, comfortably ahead of both the unmanaged Standard & Poor's 500 Stock Index and the Lipper category of similarly managed funds.
TOTAL RETURNS FOR PERIODS ENDED 12/31/00 ------------------------- 3 MONTHS 1 YEAR -------- ------ Endeavor Series Trust - T. Rowe Price Equity Income Portfolio* ..... 8.93% 12.31% S&P 500 Stock Index ................................................ -7.82% -10.14% Lipper VA Underlying Equity Income Funds Average ................... 3.18% 6.74%
* Total return includes change in share price, reinvestment of dividends, and capital gains. Past performance cannot guarantee future results. Total returns do not include charges imposed by the insurance company separate account. If these were included, performance would be lower. MARKET ENVIRONMENT The most notable story of 2000 was the return to earth of the most aggressive market sectors and the consequent reevaluation of risk tolerance by investors. In a nutshell, a lot of people lost a ton of money betting on companies that, as hindsight clearly shows, should never have attracted the capital that had been heaped upon them to begin with. The rapid rise and fall of companies such as Priceline.com, Amazon.com, and a bevy of other dot-coms has been extensively chronicled. This crescendo of speculation reached a high point last summer when one of the small telecommunications equipment start-ups in our region, admittedly one with good prospects, went public and within days had a market capitalization greater than that of General Motors. The unholy alliance between entrepreneurs, venture capitalists, and the unwitting public has, in many cases, come to a sad ending. This unwinding process resulted in the worst performance for the Nasdaq Composite (down nearly 40%) since the benchmark was created in 1971. The good news in all of this is that such carnage has undoubtedly created some interesting investment opportunities for us to consider. Many of the beneficiaries of this difficult environment were companies with defensive characteristics and those that appeared, according to our assessment, to be undervalued. Companies with predictable revenue and earnings streams fared especially well in the turmoil of 2000. After all, at the beginning of the year, who would have guessed that the best performing S&P sector would be the electric and gas utility industry? PORTFOLIO REVIEW Over the past 12 months, holdings in the utility, consumer products, financial, and energy sectors helped the Portfolio's performance. These sectors provided positive returns at a time when many stocks struggled. The Portfolio also benefited from continued merger and acquisition activity, such as the acquisitions of Fort James, J.P. Morgan, and Honeywell International. Despite the Fund's strong return, we also had some losers in the Portfolio, including Xerox and AT&T. Fortunately, some of the Fund's better performing positions more than offset the drag of declining share prices. We made several transactions that are representative of how we manage the Portfolio. Many of the positions we reduced or eliminated had generated good returns over the time we held the stocks. Our general strategy is to reduce position size when price appreciation results in less attractive valuations for the shares. For example, as Duke Energy's price rose last year, its relative valuation appeal (the relationship between upside potential and downside risk) became less attractive and we trimmed our stake. On the other hand, the stock of Sprint had declined fairly sharply, increasing the appeal of its relative valuation, which induced us to initiate a position in the shares. Honeywell International's price declined so sharply in the first half of the year that General Electric decided its relative valuation and strategic appeal was so compelling that it opted to buy Honeywell in its entirety. In making these Portfolio adjustments, we slightly increased the Fund's volatility relative to the S&P 500. As the market's value 28 ================================================================================ T. ROWE PRICE EQUITY INCOME PORTFOLIO ================================================================================ structure has changed, it makes sense for us to take on slightly more risk. For example, at certain levels, some technology companies may offer better opportunities as value plays than utility stocks that have appreciated strongly. The Portfolio's holdings sell at a substantial discount to the overall market. As always, we remain attracted to stocks whose levels of relative valuation (in terms of price/earnings, price/cash flow, and dividend yields) appear to offer a good combination of upside potential combined with tolerable downside risk. We have been attracted to relatively inexpensive stocks since the Portfolio's inception, and our commitment to value investing continues to be a cornerstone of the Portfolio's investment approach. OUTLOOK Following last year's correction in overextended areas of the market, general stock valuations have become more reasonable. The 10% decline in the S&P 500 and the 39% pullback in the Nasdaq Composite have drained much of the speculative excess that was evident a year ago. These price contractions have created a number of interesting investment opportunities for us. As we write this letter, all eyes are on the economy and on Washington to see how severe the economic slowdown will be, and what steps the Federal Reserve and the new administration will take to stimulate a renewal of economic growth. Much of the pain now seems to be behind us, and negative investor sentiment is fairly widespread -- a bullish sign. While further market turbulence is likely, we believe there are many good investment opportunities that offer above-average dividend yields and reasonable prospects for capital appreciation over the intermediate term. T. Rowe Price Associates, Inc. The views expressed are those of T. Rowe Price as of December 31, 2000, and are subject to change based on market and other conditions. Information about a Portfolio's investments, asset allocation, or country diversification is historical and is no indication of future portfolio composition, which will vary. Past performance is no guarantee of future results. 1/00 29 ================================================================================ T. ROWE PRICE EQUITY INCOME PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN T. ROWE PRICE EQUITY INCOME PORTFOLIO VS. S&P 500 STOCK INDEX AND LIPPER VA EQUITY INCOME INDEX+ JANUARY 3, 1995 THROUGH DECEMBER 31, 2000 + THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA EQUITY INCOME INDEX MEASURES THE TOTAL RETURNS EARNED BY 10 VARIABLE ANNUITIES INVESTING IN EQUITY INCOME FUNDS. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: T. Rowe Price S&P 500 Lipper VA Equity Income Portfolio* Stock Index* Equity Income Index* 01/03/1995 $10,000 $10,000 $10,000 01/31/1995 10,010 10,259.1 10,000 02/28/1995 10,370 10,658.6 10,000 03/31/1995 10,560 10,972.6 10,000 04/30/1995 10,800 11,295.5 10,000 05/31/1995 11,150 11,746.2 10,000 06/30/1995 11,230 12,018.6 10,000 07/31/1995 11,450 12,417 10,000 08/31/1995 11,620 12,448 10,000 09/30/1995 12,060 12,973 10,000 10/31/1995 12,160 12,926.6 10,000 11/30/1995 12,640 13,493.5 10,000 12/31/1995 13,050 13,753.4 10,000 01/31/1996 13,430 14,220.9 10,256.6 02/29/1996 13,470 14,353.2 10,330.8 03/31/1996 13,660 14,491.4 10,469 04/30/1996 13,750 14,704.9 10,583.7 05/31/1996 13,977.9 15,083.5 10,712.9 06/30/1996 14,068.8 15,141 10,713.8 07/31/1996 13,674.9 14,472.4 10,293.6 08/31/1996 13,977.9 14,778.1 10,521.8 09/30/1996 14,553.6 15,609.1 10,922.1 10/31/1996 14,886.9 16,039.5 11,161.3 11/30/1996 15,735.2 17,250.8 11,852.4 12/31/1996 15,644.3 16,909.1 11,748 01/31/1997 16,058.4 17,964.9 12,228.9 02/28/1997 16,442.2 18,106 12,362.8 03/31/1997 16,098.8 17,363.4 11,964.9 04/30/1997 16,482.6 18,399 12,362.7 05/31/1997 17,260.3 19,523.9 13,118.7 06/30/1997 17,909.5 20,391.9 13,676.5 07/31/1997 18,936.8 22,014 14,641.8 08/31/1997 18,438.7 20,781.7 14,086.4 09/30/1997 19,299.9 21,919.2 14,869 10/31/1997 18,791.5 21,188 14,362.9 11/30/1997 19,486.7 22,168 14,813 12/31/1997 20,067.8 22,548.4 15,064 01/31/1998 19,901.7 22,797.6 15,080.5 02/28/1998 20,887.5 24,440.9 15,916.5 03/31/1998 21,862.9 25,691.5 16,693 04/30/1998 21,686.5 25,954.6 16,697.8 05/31/1998 21,333.7 25,509 16,429.8 06/30/1998 21,268.3 26,544.5 16,570.2 07/31/1998 20,658.1 26,263.9 16,091.4 08/31/1998 18,675.1 22,469.4 13,913.5 09/30/1998 19,666.6 23,910 14,719.5 10/31/1998 20,854.3 25,851.9 15,687.3 11/30/1998 21,693.2 27,418.1 16,325.9 12/31/1998 21,834.9 28,997 16,728.8 01/31/1999 21,257.4 30,209.1 16,706 02/28/1999 21,083.1 29,270.4 16,457.5 03/31/1999 21,637.7 30,441.2 16,950.9 04/30/1999 24,035.8 31,620 18,297.2 05/31/1999 23,866.7 30,874.1 17,812.8 06/30/1999 24,527 32,582.9 18,420.3 07/31/1999 24,005.7 31,570 17,833.4 08/31/1999 23,264.2 31,413.7 17,374.7 09/30/1999 22,406.8 30,553.5 16,774.1 10/31/1999 23,148.3 32,486.2 17,352.6 11/30/1999 22,754.4 33,146.5 17,281.7 12/31/1999 22,592.2 35,096.1 17,634.5 01/31/2000 21,422.1 33,332.9 16,801.6 02/29/2000 19,707.4 32,702.6 15,805.5 03/31/2000 21,966.6 35,899.8 17,357.7 04/30/2000 22,117.2 34,820.1 17,223.4 05/31/2000 23,098.9 34,106.3 17,485.9 06/30/2000 21,890 34,946.3 17,087 07/31/2000 22,150 34,400.4 17,253.8 08/31/2000 23,163.9 36,536 18,259.5 09/30/2000 23,293.9 34,607.6 18,313.4 10/31/2000 24,424.8 34,460.6 18,832.2 11/30/2000 24,190.8 31,745.9 18,134.5 12/31/2000 25,373.7 31,901.7 19,109 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* T. ROWE PRICE EQUITY INCOME PORTFOLIO ------------------------------------- Year Ended 12/31/00 12.31% Five Years Ended 12/31/00 14.21% Inception (01/03/95) through 12/31/00 16.80% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 30 ================================================================================ T. ROWE PRICE GROWTH STOCK PORTFOLIO ================================================================================ During the last six months of 2000, the phrase "economic cycle" was reintroduced to the market as the economy eased slowly at first and then more dramatically in late November and December. In sharp contrast to the speculative valuations placed on New Economy stocks in December 1999, valuations contracted as investors shunned technology stocks throughout much of 2000. In this difficult environment, your Portfolio managed to tread water for the year. Over the 12-month period ended December 31, the Portfolio was down slightly while the S&P 500 Stock Index and the Lipper VA Growth Index were down 10.14% and 9.22%, respectively. While we are pleased with our relative performance, we were disappointed with the performance of several holdings including Microsoft, Dell Computer, and WorldCom. TOTAL RETURNS FOR PERIODS ENDED 12/31/00 ------------------------------- 3 MONTHS 1 YEAR ---------- ---------- Endeavor Series Trust - T. Rowe Price Growth Stock Portfolio* ................. -8.63% -0.51% S&P 500 Stock Index ..................... -7.82% -10.14% Lipper VA Growth Index .................. -12.24% -9.22% Lipper Growth Funds Average ............. -11.52% -7.61% * Total return includes change in share price, reinvestment of dividends, and capital gains. Past performance cannot guarantee future results. Total returns do not include charges imposed by the insurance company separate account. If these were included, performance would be lower. MARKET ENVIRONMENT During the past six months, the slow fade of euphoria turned to mass pessimism. Investors continued to rotate through market sectors by bidding up one group while throwing out other stocks with little concern for prices paid and received. This environment is disturbing to those of us who like to make longer-term investments in companies. Over time it results in too much capital moving into and out of sectors at inappropriate times. Part of the problem in 2000 came from investors tossing money at poorly conceived Internet businesses where business plans evolved after the money was received. In addition, investors rewarded telecom service companies for rapid growth without concern for return on investments. In addition to the issues mentioned above, market volatility makes our buy-and-hold approach more difficult as we realize sector euphoria is fleeting. We trimmed and added various positions during the period. However, it is important to understand that we rarely completely sell the stocks of companies that we believe will provide solid returns over time and that continue to fit our investment criteria. While sentiment changes inappropriately at times, the decline in technology stocks in 2000 was very much based on deteriorating fundamentals. The start of this deterioration was caused by the hangover of the investment party of 1998 and 1999, which saw spending on technology and telecom equipment rising to unwarranted levels. As the return on this investment proved to be disappointing, capital spending growth declined. This slowdown, combined with skyrocketing oil prices and rising interest rates, had a negative impact on both equity markets and consumer confidence. INVESTMENT REVIEW The past year was difficult for growth stocks in general, and for technology shares in particular. One can logically ask, "Why did this take place in a growing economy?" The response is two-fold: technology stocks were priced for perfection, meaning that their valuations reflected unrealistic expectations for top performance at the corporate level into the indefinite future; and, second, excess spending in earlier periods created difficult earnings expectations and a buildup of inventories. 31 ================================================================================ T. ROWE PRICE GROWTH STOCK PORTFOLIO ================================================================================ Strength in the Portfolio came from our positions in safer growth companies. Several holdings, which surprised us with weak performance in 1999 even though fundamentals were strong, rebounded strongly in 2000. The list includes companies from a broad array of sectors, including Freddie Mac, Fannie Mae, Safeway, Philip Morris, and UnitedHealth Group. In addition, our pharmaceutical stocks had a strong 2000. The weakest positions in the Portfolio, as might be expected, were technology stocks. Microsoft and Dell Computer disappointed us due to softness in PC demand. Sprint PCS and Nextel Communications suffered from greater competition in cellular services. Cisco Systems and Nortel Networks also declined as expectations grew that telecom spending would be substantially slower in 2001. While we made many changes in the Portfolio, the movements followed specific themes: we believe the economic trend is away from PC companies and old telecom equipment firms toward optical, outsourcing, storage, and Internet infrastructure companies. In previous reports, we stated that a slowing economy is favorable for your Portfolio because, in tough times, blue chip growth companies usually shine. As a result, your Portfolio held up reasonably well considering the extent of the recent sell-off. Assuming we are correct that the economy will improve in the second half of 2001, the relative environment will be more difficult. Therefore, we will position the Portfolio for slightly greater risk while the economy is stalling so that we may emerge from the slump in a strong position. However, this investment strategy will not significantly affect our core holdings and will not compromise our approach to growth investing. We will continue to focus on strong management, cash generation, and consistent growth. OUTLOOK During the first week of the New Year, the Federal Reserve Board surprised the market with a half-percentage-point cut in the key Fed Funds rate. The move reflected the deteriorating changes in domestic economic conditions and demonstrated the Fed's willingness to supply liquidity to a stalled economy. If history is any guide, the rate cut should help reinvigorate the stock market, although an easier monetary policy normally takes some time to affect the economy. We expect growth outside the U.S. to be stronger in the first half of the year, with emerging markets showing the greatest growth and Japan the slowest. Overall, we expect global GDP growth to be slower this year than last, but we believe it will remain positive. Investors should take heart that the stock market is once again mindful of risk and concerned about business cycles. In this changing economic environment, we are optimistic about the prospects for reasonable gains in the year ahead, and we will continue to look for solid growth companies with strong fundamentals. T. Rowe Price Associates, Inc. The views expressed are those of T. Rowe Price as of December 31, 2000, and are subject to change based on market and other conditions. Information about a Portfolio's investments, asset allocation, or country diversification is historical and is no indication of future portfolio composition, which will vary. Past performance is no guarantee of future results. 1/00 32 ================================================================================ T. ROWE PRICE GROWTH STOCK PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN T. ROWE PRICE GROWTH STOCK PORTFOLIO VS. S&P 500 STOCK INDEX AND LIPPER VA GROWTH INDEX+ JANUARY 3, 1995 THROUGH DECEMBER 31, 2000 + THE S&P 500 STOCK INDEX IS AN INDEX COMPOSED OF 500 WIDELY HELD COMMON STOCKS LISTED ON THE NEW YORK STOCK EXCHANGE AND OVER-THE-COUNTER MARKET. THE LIPPER VA GROWTH INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF GROWTH FUNDS UNDERLYING 30 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: T. Rowe Price S&P 500 Lipper VA Growth Stock Portfolio* Stock Index* Growth Index* 01/03/1995 $10,000 $10,000 $10,000 01/31/1995 10,010 10,259.1 10,089.1 02/28/1995 10,610 10,658.6 10,457.2 03/31/1995 11,380 10,972.6 10,738.6 04/30/1995 11,510 11,295.5 11,006.6 05/31/1995 11,760 11,746.2 11,355.3 06/30/1995 12,210 12,018.6 11,761.2 07/31/1995 12,630 12,417 12,284.1 08/31/1995 12,680 12,448 12,375.9 09/30/1995 13,080 12,973 12,789.6 10/31/1995 13,050 12,926.6 12,636.8 11/30/1995 13,460 13,493.5 13,122.9 12/31/1995 13,720 13,753.4 13,148.7 01/31/1996 14,080 14,220.9 13,457.5 02/29/1996 14,260 14,353.2 13,706.7 03/31/1996 14,310 14,491.4 13,786.8 04/30/1996 14,700 14,704.9 14,153.5 05/31/1996 14,860.2 15,083.5 14,476.1 06/30/1996 14,809.3 15,141 14,320.4 07/31/1996 14,148.2 14,472.4 13,452.1 08/31/1996 14,707.6 14,778.1 13,925.1 09/30/1996 15,501 15,609.1 14,736.7 10/31/1996 15,643.4 16,039.5 14,880.1 11/30/1996 16,660.5 17,250.8 15,827.6 12/31/1996 16,569 16,909.1 15,553.7 01/31/1997 17,158.9 17,964.9 16,370.9 02/28/1997 17,199.6 18,106 16,162.6 03/31/1997 16,538.5 17,363.4 15,372.4 04/30/1997 17,219.9 18,399 16,014 05/31/1997 18,450.7 19,523.9 17,128.5 06/30/1997 19,355.1 20,391.9 17,786.4 07/31/1997 20,646.8 22,014 19,309.8 08/31/1997 19,590.9 20,781.7 18,563.1 09/30/1997 20,677.5 21,919.2 19,593.1 10/31/1997 20,103.4 21,188 18,856.4 11/30/1997 20,821 22,168 19,201.5 12/31/1997 21,302.9 22,548.4 19,513.9 01/31/1998 21,702.7 22,797.6 19,599.6 02/28/1998 23,476.2 24,440.9 21,055.1 03/31/1998 24,644.9 25,691.5 22,071.8 04/30/1998 24,788.4 25,954.6 22,356.8 05/31/1998 24,155.9 25,509 21,747.2 06/30/1998 25,000.3 26,544.5 22,658.7 07/31/1998 24,807.9 26,263.9 22,325 08/31/1998 21,002.8 22,469.4 18,599.2 09/30/1998 22,217.8 23,910 19,635.5 10/31/1998 24,070.1 25,851.9 21,082.2 11/30/1998 25,537 27,418.1 22,382.5 12/31/1998 27,410.8 28,997 24,174.1 01/31/1999 27,764.2 30,209.1 25,132.1 02/28/1999 27,036.1 29,270.4 24,068.5 03/31/1999 28,023.3 30,441.2 25,003.8 04/30/1999 28,952.7 31,620 25,879.7 05/31/1999 28,133.5 30,874.1 25,471.2 06/30/1999 29,613.6 32,582.9 27,045.1 07/31/1999 28,727.8 31,570 26,237.9 08/31/1999 28,471.5 31,413.7 25,791.2 09/30/1999 27,923.7 30,553.5 25,284.5 10/31/1999 29,671.8 32,486.2 26,736.5 11/30/1999 30,825.6 33,146.5 27,755.6 12/31/1999 33,494.4 35,096.1 30,406.8 01/31/2000 32,305.7 33,332.9 29,179.9 02/29/2000 33,552.7 32,702.6 30,654.3 03/31/2000 36,303.1 35,899.8 32,511.9 04/30/2000 35,009.5 34,820.1 30,753.2 05/31/2000 33,818.9 34,106.3 29,222.2 06/30/2000 36,134.2 34,946.3 30,827.5 07/31/2000 35,639.9 34,400.4 30,199 08/31/2000 38,384.4 36,536 32,645.1 09/30/2000 36,472.3 34,607.6 30,558.3 10/31/2000 35,978.1 34,460.6 29,493 11/30/2000 32,362 31,745.9 25,949.2 12/31/2000 33,324.6 31,901.7 26,381.9 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* T. ROWE PRICE GROWTH STOCK PORTFOLIO ------------------------------------ Year Ended 12/31/00 (0.51)% Five Years Ended 12/31/00 19.41% Inception (01/03/95) through 12/31/00 22.23% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 33 ================================================================================ T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO ================================================================================ ENVIRONMENT International stocks fell sharply during the second half of 2000, contributing to steep losses for the full year. In the first quarter, telecom, media, and technology stocks carried over their heady performance of 1999. But leadership began to change in the spring as a severe correction hit these sectors, while the more defensive consumer staple, pharmaceutical, and banking stocks found their footing. The recovery in defensive issues, however, failed to compensate for the steep decline in tech stocks. Broader concerns weighing on the equities markets included slower economic growth, high oil prices, and euro weakness. Economic growth eased in Europe, but the euro staged a recovery in the fourth quarter, cutting its losses to just 6% against the U.S. dollar for the year. In Japan the consumer sector remained weak and rising bankruptcies failed to alleviate concerns about unemployment. Economic growth in the rest of Asia was strong, although financial instability and political turmoil plagued Korea and Taiwan. PORTFOLIO REVIEW The Portfolio's performance for the 12-month period ended December 31, 2000 underperformed both the MSCI EAFE Index and the Lipper VA International Index with the Portfolio returning -18.26% and the benchmarks returning -14.17% and - -15.83%, respectively. The Portfolio's focus on telecom, media, and technology stocks and its lower exposure to recovering defensive shares hurt results compared with the benchmarks. The Portfolio's underweighted position in Japan aided results, but underweighting Switzerland (where the financial sector was strong) and overweighting Taiwan and Korea (where technology stocks were weak) crimped performance. Within the telecom, media, and technology sectors, however, your Portfolio's stocks outperformed those of the index. The Portfolio is underweighted in Europe and Japan relative to the MSCI EAFE Index, and overweighted in the Far East and Latin America. The changes in regional allocations resulted from differences in local performance, as well as from sales of non-European stocks. Purchases included banks with strong market positions and restructuring potential, and stocks in commercial services. We also added to selected technology and media stocks with valuable assets that we thought were oversold, and reduced positions we found fully valued. INVESTMENT OUTLOOK In Europe, increasing management focus on returns and fiscal reforms should aid earnings growth. The backdrop for stocks should also improve as interest rates and oil prices peak and the undervalued euro begins to recover. In Japan, the economic environment is more challenging, but valuations are moving toward the bottom of their recent ranges. Although it is difficult to see a short-term catalyst for the Japanese stock market, the downside appears limited. Elsewhere in Asia, further market liberalization, structural reforms, and improved corporate governance are essential if the region's superior long-term economic growth is to translate into strong stock market performance. The recent period of greater political stability and economic health bode well for Mexico and Brazil. Internationally, economies have been slowing, but we expect them to improve by the second half of 2001. Technology sector earnings growth is likely to ease from recent peaks but should remain significantly above that of other sectors. Due to the short-term uncertainty about economic growth, oil prices, technology trends, and the direction of the euro, markets could continue to be weak or volatile. However, we expect these factors to mitigate in coming months and we remain cautiously optimistic about the prospects for the portfolio in the year ahead. T. Rowe Price International Funds, Inc. The views expressed are those of T. Rowe Price as of December 31, 2000, and are subject to change based on market and other conditions. Information about a Portfolio's investments, asset allocation, or country diversification is historical and is no indication of future portfolio composition, which will vary. Past performance is no guarantee of future results. 1/00 34 ================================================================================ T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO ================================================================================ PORTFOLIO HIGHLIGHTS DECEMBER 31, 2000 HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO VS. MORGAN STANLEY CAPITAL INTERNATIONAL EAFE INDEX AND LIPPER VA INTERNATIONAL INDEX+ MARCH 24, 1995 THROUGH DECEMBER 31, 2000 + THE MORGAN STANLEY CAPITAL INTERNATIONAL EAFE INDEX IS A COMPOSITE PORTFOLIO CONSISTING OF EQUITY TOTAL RETURNS FOR THE COUNTRIES OF EUROPE, AUSTRALIA, NEW ZEALAND AND COUNTRIES OF THE FAR EAST, WEIGHTED BASED ON EACH COUNTRY'S GROSS DOMESTIC PRODUCT. THE LIPPER VA INTERNATIONAL INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF INTERNATIONAL FUNDS UNDERLYING 30 VARIABLE ANNUITIES. INDEX INFORMATION IS AVAILABLE AT MONTH-END ONLY; THEREFORE, THE CLOSEST MONTH-END TO INCEPTION DATE OF THE PORTFOLIO HAS BEEN USED. [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: T. Rowe Price International Morgan Stanley Capital Lipper VA Stock Portfolio* International EAFE Index* International Index* 03/24/1995 $10,000 $10,000 $10,000 04/30/1995 10,276 10,376.1 10,340.3 05/31/1995 10,321.3 10,252.4 10,379.8 06/30/1995 10,276 10,072.6 10,378.1 07/31/1995 10,837.4 10,699.7 10,932.8 08/31/1995 10,583.9 10,291.5 10,721 09/30/1995 10,728.7 10,492.5 10,873.1 10/31/1995 10,565.8 10,210.5 10,643.7 11/30/1995 10,656.3 10,494.6 10,771.4 12/31/1995 11,036.6 10,917.4 11,056.3 01/31/1996 11,335.3 10,962.2 11,253.8 02/29/1996 11,407.8 10,999.3 11,317.6 03/31/1996 11,616 11,232.9 11,434.5 04/30/1996 11,969.1 11,559.5 11,773.1 05/31/1996 11,933.6 11,346.7 11,791.6 06/30/1996 12,079.5 11,410.6 11,821 07/31/1996 11,678.3 11,077.1 11,378.1 08/31/1996 11,860.7 11,101.4 11,525.2 09/30/1996 12,125 11,396.3 11,718.5 10/31/1996 12,070.4 11,279.7 11,627.7 11/30/1996 12,617.4 11,728.5 12,137.9 12/31/1996 12,717.6 11,577.6 12,227.3 01/31/1997 12,580.9 11,172.4 12,207.9 02/28/1997 12,754.1 11,355.1 12,359.2 03/31/1997 12,708.5 11,396.2 12,403.1 04/30/1997 12,781.5 11,456.7 12,433.6 05/31/1997 13,592.8 12,202.3 13,136.3 06/30/1997 14,178.7 12,875.2 13,749.2 07/31/1997 14,536.6 13,083.5 14,155.6 08/31/1997 13,215.1 12,106.3 13,096.4 09/30/1997 14,068.6 12,784.5 13,947.9 10/31/1997 12,976.5 11,801.8 12,884.5 11/30/1997 12,958.1 11,681.5 12,781.6 12/31/1997 13,049.9 11,783.4 12,893 01/31/1998 13,453.7 12,322.3 13,191.5 02/28/1998 14,298 13,113 14,064.6 03/31/1998 14,784.4 13,516.8 14,798.7 04/30/1998 14,922 13,623.8 15,017 05/31/1998 14,822.9 13,557.6 15,009.9 06/30/1998 14,822.9 13,660.3 14,923.2 07/31/1998 14,981.1 13,798.8 15,103.5 08/31/1998 13,073.6 12,089.2 12,946.8 09/30/1998 12,720 11,718.6 12,477.4 10/31/1998 13,864.5 12,940.2 13,445 11/30/1998 14,562.4 13,603.1 14,138 12/31/1998 15,064.9 14,139.7 14,485.2 01/31/1999 14,878.8 14,098 14,598.1 02/28/1999 14,608.9 13,762 14,281.1 03/31/1999 15,248.2 14,336.5 14,828 04/30/1999 15,818.6 14,917.3 15,589.9 05/31/1999 15,078.4 14,149.1 14,883 06/30/1999 15,632.2 14,700.8 15,633.1 07/31/1999 15,947.4 15,137.7 15,972.5 08/31/1999 16,100.1 15,193 16,026.8 09/30/1999 16,176.5 15,345.9 16,034.4 10/31/1999 16,663.5 15,920.7 16,596.2 11/30/1999 17,780.8 16,473.9 17,764.3 12/31/1999 19,939 17,952.4 19,795.8 01/31/2000 18,716.7 16,811.8 18,624 02/29/2000 19,709.8 17,264.3 19,643.5 03/31/2000 19,872.1 17,933.5 19,827.8 04/30/2000 18,688 16,989.8 18,603.7 05/31/2000 18,028.2 16,574.9 17,992.6 06/30/2000 18,952.2 17,223.1 18,814.5 07/31/2000 18,275.3 16,501 18,240.2 08/31/2000 18,662.1 16,644.2 18,521.4 09/30/2000 17,426.6 15,833.8 17,442 10/31/2000 16,739 15,459.8 16,788.6 11/30/2000 15,815 14,880 16,105.9 12/31/2000 16,298.5 15,408.9 16,662.8 NOTE: THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. THE PORTFOLIO'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN ORIGINAL COST. THE GRAPH ABOVE DOES NOT REFLECT SEPARATE ACCOUNT EXPENSES FOR THE ENDEAVOR VARIABLE ANNUITY. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN* T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO ------------------------------------------- Year Ended 12/31/00 (18.26)% Five Years Ended 12/31/00 8.10% Inception (03/24/95) through 12/31/00 8.85% - -------------------------------------------------------------------------------- * ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. 35 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 92.4% AEROSPACE AND DEFENSE -- 2.0% 28,500 BAE Systems Plc................ $ 162,630 18,600 Raytheon Company, Class A...... 539,400 4,000 United Technologies Corporation 314,500 ----------- 1,016,530 ----------- AUTO & TRUCKS -- 2.3% 3,100 Bayerische Motoren Werke (BMW) AG............... 101,283 4,000 DaimlerChrysler AG............. 164,800 2,300 Magna International, Inc., Class A 96,318 52,000 Mitsubishi Motors Corporation+. 150,263 84,000 Nissan Motor Company, Ltd.+.... 483,993 600 PSA Peugeot Citroen............ 136,490 ----------- 1,133,147 ----------- BANKING AND FINANCE -- 3.9% 15,000 Bank of America Corporation.... 688,125 7,000 First Union Corporation........ 194,687 7,500 FleetBoston Financial Corporation 281,719 12,600 Washington Mutual, Inc......... 668,587 2,500 Wells Fargo & Company.......... 139,219 ----------- 1,972,337 ----------- BREWERY -- 0.8% 3,000 Anheuser-Busch Companies, Inc.. 136,500 4,500 Heineken NV.................... 272,290 ----------- 408,790 ----------- BROADCAST, RADIO & TV -- 1.2% 5,300 Granada Media Plc+............. 33,648 7,800 USA Networks, Inc.+............ 151,612 8,700 Viacom, Inc., Class B+......... 406,725 ----------- 591,985 ----------- BUILDING AND CONSTRUCTION -- 2.8% 5,400 Bouygues S.A................... 244,617 4,900 Centex Corporation............. 184,056 9,000 Cheung Kong Holdings, Ltd...... 115,098 293 Holderbank Financiere Glarus AG 352,576 9,000 Nippon Sheet Glass Company, Ltd. 109,860 38,000 Sun Hung Kai Properties, Ltd... 378,787 ----------- 1,384,994 ----------- CHEMICALS -- 0.6% 12,500 IMC Global, Inc................ 194,531 1,596 Syngenta AG+................... 85,620 ----------- 280,151 ----------- COMMERCIAL SERVICES -- 0.3% 3,000 Ecolab, Inc.................... 129,562 ----------- VALUE SHARES (NOTE 1) -------- ---------- COMPUTER SERVICES AND SOFTWARE -- 6.5% 7,200 America Online, Inc.+.......... $ 250,560 15,600 ASM Lithography, Holding NV+... 354,288 5,500 Cadence Design Systems, Inc.+.. 151,250 4,000 CheckFree Corporation+......... 170,000 7,100 Cisco Systems, Inc.+........... 271,575 27,700 Compaq Computer Corporation.... 416,885 4,500 Dell Computer Corporation+..... 78,469 12,000 Dimension Data Holdings Plc+... 81,024 9,000 DoubleClick, Inc.+............. 99,000 8,300 Hewlett-Packard Company........ 261,969 4,200 Intel Corporation.............. 126,262 1,900 International Business Machines Corporation......... 161,500 2,500 Intershop Communications AG+... 78,629 2,200 Macromedia, Inc.+.............. 133,650 4,000 PeopleSoft, Inc.+.............. 148,750 1,600 PMC-Sierra, Inc.+.............. 125,800 21,300 Sema Plc....................... 93,783 7,600 Thomson Corporation............ 290,439 ----------- 3,293,833 ----------- CONSUMER PRODUCTS -- 1.3% 9,000 American Greetings Corporation, Class A......... 84,937 2,500 Clorox Company................. 88,750 9,900 PepsiCo, Inc................... 490,669 ----------- 664,356 ----------- DIVERSIFIED MANUFACTURING -- 2.7% 6,100 Bombardier, Inc., Class B...... 94,018 6,800 Illinois Tool Works, Inc....... 405,025 52,000 Mitsubishi Heavy Industries, Ltd. 226,760 11,200 Norsk Hydro A.S.A.............. 473,731 2,900 Textron, Inc................... 134,850 ----------- 1,334,384 ----------- DIVERSIFIED OPERATIONS -- 3.4% 7 Berkshire Hathaway, Inc., Class A+ 497,000 19,000 Hutchison Whampoa, Ltd......... 236,894 121,000 Li & Fung, Ltd................. 220,285 1,600 Siemens AG..................... 209,176 7,000 Swire Pacific Ltd., Class A.... 50,481 6,200 Tyco International, Ltd........ 344,100 4,500 The Williams Companies, Inc.... 179,719 ----------- 1,737,655 ----------- DRUGS -- 7.8% 33,000 AstraZeneca Group Plc.......... 1,643,792 1,000 Forest Laboratories, Inc.+..... 132,875 264 Novartis AG, Registered Shares. 466,745 13,800 Pfizer, Inc.................... 634,800 5,000 Sankyo Company, Ltd............ 119,965 7,800 Sanofi-Synthelabo S.A.......... 519,935 19,000 Shionogi & Company, Ltd........ 387,653 ----------- 3,905,765 ----------- See Notes to Financial Statements. 36 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) DURABLE GOODS - WHOLESALE -- 0.4% 5,400 Grainger (W.W.), Inc........... $ 197,100 ----------- ELECTRIC UTILITIES -- 1.0% 8,800 AES Corporation+............... 487,300 3,300 PowerGen Plc................... 31,155 ----------- 518,455 ----------- ELECTRONIC COMPONENTS -- 3.9% 2,200 Advantest Corporation.......... 206,130 2,700 Epcos AG+...................... 235,745 1,400 Hirose Electric Company, Ltd... 134,851 86,000 Johnson Electric Holdings, Ltd. 132,309 2,800 Maxim Integrated Products, Inc.+ 133,875 3,000 Murata Manufacturing Company, Ltd................. 352,014 8,000 Nichicon Corporation........... 110,683 3,000 Taiyo Yuden Company, Ltd....... 100,350 10,300 Teradyne, Inc.+................ 383,675 1,200 Tokyo Electron, Ltd............ 65,989 8,000 Ushio, Inc..................... 130,648 ----------- 1,986,269 ----------- ELECTRONICS -- 3.5% 7,000 Agilent Technologies, Inc.+.... 383,250 23,000 NEC Corporation................ 420,928 4,200 Koninklijke (Royal) Philips Electronics NV............... 153,862 3,900 Samsung Electronics, Sponsored GDR++.............. 277,875 6,100 Sony Corporation............... 421,979 2,000 Tokyo Seimitsu Company, Ltd.... 113,660 ----------- 1,771,554 ----------- ELECTRONICS - SEMICONDUCTOR -- 5.5% 20,800 Advanced Micro Devices, Inc.+.. 287,300 7,100 Altera Corporation+............ 186,819 10,500 Applied Materials, Inc.+....... 400,969 15,500 ARM Holdings Plc+.............. 117,159 3,000 Infineon Technologies AG, ADR+. 108,000 3,000 Intersil Holding Corporation+.. 68,812 8,400 KLA-Tencor Corporation+........ 282,975 4,500 Novellus Systems, Inc.+........ 161,719 1,900 Rohm Company, Ltd.............. 361,033 3,700 STMicroelectronics NV.......... 158,406 18,000 Taiwan Semiconductor Manufacturing Company, Ltd., Sponsored ADR+......... 310,500 4,500 Texas Instruments, Inc......... 213,187 2,800 Xilinx, Inc.+.................. 129,150 ----------- 2,786,029 ----------- VALUE SHARES (NOTE 1) -------- ---------- EXPLORATION & PRODUCTION -- 2.4% 7,500 Baker Hughes, Inc.............. $ 311,719 25,500 BHP, Ltd....................... 268,589 11,500 Enterprise Oil Plc............. 97,317 6,000 Fluor Corporation+............. 198,375 6,000 Massey Energy Company.......... 76,500 2,000 OAO Lukoil Holding, Sponsored ADR................ 72,000 40,000 WMC, Ltd....................... 170,184 ----------- 1,194,684 ----------- FINANCIAL SERVICES -- 3.8% 1,300 Aiful Corporation.............. 106,208 7,800 Citigroup, Inc................. 398,288 8,500 Household International, Inc... 467,500 12,000 Investors Group, Inc........... 207,324 4,000 Nomura Securities Company, Ltd. 71,979 1,000 Orix Corporation............... 100,350 8,000 USA Education, Inc............. 544,000 ----------- 1,895,649 ----------- FOOD AND KINDRED PRODUCTS -- 2.9% 8,400 Campbell Soup Company.......... 290,850 5,700 General Mills, Inc............. 254,006 1,500 Groupe Danone.................. 226,169 2,500 Heinz (H.J.) Company.......... 118,594 10,500 Kellogg Company................ 275,625 47 Nestle S.A., Registered Shares. 109,633 22,500 Unilever Plc................... 192,588 ----------- 1,467,465 ----------- HEALTH CARE SERVICES -- 0.6% 4,700 Medtronic, Inc................. 283,763 ----------- INSURANCE -- 2.9% 7,000 Allstate Corporation........... 304,938 2,050 American International Group, Inc. 202,053 3,500 Assicurazioni Generali S.p.A. . 139,030 4,500 Cincinnati Financial Corporation 178,031 35,000 Mitsui Marine and Fire Insurance Company, Ltd................. 200,744 5,300 Prudential Plc................. 85,268 21,000 QBE Insurance Group, Ltd....... 115,403 105 Swiss Re....................... 251,728 ----------- 1,477,195 ----------- LEISURE -- 0.9% 9,500 Carnival Corporation........... 292,719 1,000 Nintendo Company, Ltd.......... 157,531 ----------- 450,250 ----------- See Notes to Financial Statements. 37 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) MACHINERY -- 0.4% 1,200 Aixtron AG..................... $ 130,463 1,500 Disco Corporation.............. 81,436 ----------- 211,899 ----------- MEDIA AND COMMUNICATIONS -- 3.7% 34,000 AT&T Corporation - Liberty Media Corporation, Class A+.. 461,125 10,500 Charter Communications, Inc., Class A+............... 238,219 27,000 Publishing & Broadcasting, Ltd. 195,738 14,000 Reuters Group Plc.............. 236,946 5,100 Societe Television Francaise 1. 275,318 6,300 Time Warner, Inc............... 329,112 2,800 TMP Worldwide, Inc.+........... 154,000 ----------- 1,890,458 ----------- MEDICAL PRODUCTS -- 0.7% 5,500 GlaxoSmithKline Plc+........... 155,280 4,000 Guidant Corporation+........... 215,750 ----------- 371,030 ----------- METALS -- 1.0% 6,500 Alcan Aluminum, Ltd............ 222,220 8,000 Alcoa, Inc..................... 268,000 ----------- 490,220 ----------- NON-US BANKS -- 3.1% 14,400 Australia & New Zealand Banking Group, Ltd........... 115,060 11,500 Banco Bilbao Vizcaya Argentaria S.A............... 171,129 6,000 Bank of Nova Scotia............ 172,570 20,000 DBS Group Holdings, Ltd........ 226,067 19,000 ForeningsSparbanken AB......... 290,976 13,000 Halifax Group Plc.............. 128,848 24,000 Lloyds TSB Group Plc........... 253,826 12,000 Sanwa Bank, Ltd................ 84,168 4,500 Toronto-Dominion Bank.......... 130,176 ----------- 1,572,820 ----------- OFFICE SUPPLIES -- 0.3% 4,500 Societe BIC S.A................ 176,978 ----------- OPTICAL -- 0.0%** 300 Hoya Corporation............... 22,067 ----------- PAPER AND ALLIED PRODUCTS -- 0.9% 17,900 Abitibi-Consolidated, Inc...... 164,461 3,100 International Paper Company.... 126,519 3,000 Uni-Charm Corporation.......... 152,364 ----------- 443,344 ----------- VALUE SHARES (NOTE 1) -------- ---------- PETROLEUM -- 1.9% 1,500 Chevron Corporation............ $ 126,656 33,500 ENI S.p.A...................... 218,462 900 Exxon Mobil Corporation........ 78,244 52,000 Shell Transport & Trading Company Plc.................. 426,450 2,000 Shell Transport & Trading Company, ADR................. 98,750 ----------- 948,562 ----------- RESTAURANTS -- 0.4% 5,600 McDonald's Corporation......... 190,400 ----------- RETAIL -- 4.4% 13,000 Circuit City Stores-Circuit City Group................... 149,500 126 Compagnie Financiere Richemont AG, Units A........ 337,063 35,000 Dixons Group Plc............... 117,114 11,000 Jusco Company, Ltd............. 238,879 11,600 Lowe's Companies, Inc.......... 516,200 2,000 Matsumotokiyoshi Company, Ltd.. 54,991 8,000 NIKE, Inc., Class B............ 446,500 6,300 Wal-Mart Stores, Inc........... 334,688 ----------- 2,194,935 ----------- STEEL -- 0.3% 142,000 Corus Group Plc................ 149,014 1,100 OneSteel, Ltd.+................ 581 ----------- 149,595 ----------- TELECOMMUNICATIONS -- 11.1% 5,700 AT&T Corporation............... 98,681 52,000 Cable and Wirelsss Optus, Ltd.+ 107,485 6,000 Cablevision Systems Corporation, Class A+........ 509,625 11,000 Ericsson LM, Sponsored ADR..... 123,063 14,500 FLAG Telecom Holdings, Ltd.+... 90,625 8,500 Lucent Technologies, Inc....... 114,750 10,200 Motorola, Inc.................. 206,550 22,200 Nokia Corporation, Sponsored ADR 965,700 11,620 Nokia Oyj...................... 518,198 3,000 Nortel Networks Corporation.... 96,188 23 NTT DoCoMo, Inc................ 396,760 61,500 Olivetti S.p.A................. 151,104 6,000 Sprint Corporation (PCS Group)+ 122,625 8,000 Telefonica S.A.+............... 132,190 6,600 Telefonos de Mexico, Sponsored ADR................ 297,825 80 Telesp Celular Participacoes S.A.+ 1 5,000 TyCom, Ltd.+................... 111,875 8,100 United Pan-Europe Communications NV+........... 82,739 347,504 Vodafone Group Plc............. 1,274,393 6,500 Williams Communications Group, Inc.+................. 76,375 6,500 WorldCom, Inc.+................ 91,406 ----------- 5,568,158 ----------- See Notes to Financial Statements. 38 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) TEXTILE - PRODUCTS -- 0.3% 35,000 Toray Industries, Inc.......... $ 131,786 ----------- TRANSPORTATION SERVICES -- 0.2% 1,800 United Parcel Service, Inc., Class B................ 105,863 ----------- WINE & SPIRITS -- 0.3% 2,200 LVMH........................... 145,616 ----------- Total Common Stock (Cost $47,915,286)........... 46,495,633 ----------- CONVERTIBLE PREFERRED -- 0.6% NON-US BANKS -- 0.4% 21,000,000 Sanwa, Ltd., 1.250% due 08/01/05.......... 179,750 ----------- TECHNOLOGY -- 0.2% Amazon.com, Inc.: 209,000 6.875% due 02/16/10.......... 77,016 150,000 4.750% due 02/01/09.......... 55,501 ----------- 132,517 ----------- Total Convertible Preferred (Cost $385,708).............. 312,267 ----------- VALUE SHARES (NOTE 1) -------- ---------- COMMERCIAL PAPER -- 7.9% 3,983,000 FCE Bank Plc, 6.52% due 01/02/01# $ 3,980,112 ----------- Total Commercial Paper (Cost $3,982,279)............ 3,980,112 ----------- TOTAL INVESTMENTS (COST $52,283,273*)............... 100.9% 50,788,012 OTHER ASSETS AND LIABILITIES (NET)............................. (0.9)% (436,373) ------ ----------- NET ASSETS........................... 100.0% $50,351,639 ====== =========== - ---------------------------------- * Aggregate cost for federal tax purposes was $52,579,935. ** 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 GDR -- Global Depositary Receipt See Notes to Financial Statements. 39 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 97.6% ADVERTISING AGENCY -- 1.7% 10,000 Interpublic Group of Companies, Inc............... $ 425,625 2,500 TMP Worldwide, Inc.+........... 137,500 ----------- 563,125 ----------- AEROSPACE AND DEFENSE -- 2.8% 12,500 Raytheon Company, Class B...... 388,281 6,900 United Technologies Corporation 542,512 ----------- 930,793 ----------- ALUMINUM -- 1.0% 10,000 Alcoa, Inc..................... 335,000 ----------- BANKING AND FINANCE -- 5.4% 13,500 Bank of America Corporation.... 619,312 7,000 Bank One Corporation........... 256,375 8,067 Citigroup, Inc................. 411,921 9,600 Washington Mutual, Inc......... 509,400 ----------- 1,797,008 ----------- BREWERY -- 0.9% 7,000 Anheuser-Busch Companies, Inc.. 318,500 ----------- BROADCAST, RADIO & TV -- 7.8% 7,000 Adelphia Communications Corporation, Class A+........ 361,375 34,500 AT&T Corporation - Liberty Media Corporation, Class A+.. 467,906 8,000 Cablevision Systems Corporation, Class A+........ 679,500 10,500 Time Warner, Inc............... 548,520 6,400 USA Networks, Inc.+............ 124,400 9,000 Viacom, Inc., Class B+......... 420,750 ----------- 2,602,451 ----------- CHEMICALS -- 0.0%** 1,615 Syngenta AG, ADR +............. 17,664 ----------- COMMERCIAL SERVICES -- 0.6% 5,000 Ecolab, Inc.................... 215,937 ----------- COMPUTER INDUSTRY -- 2.8% 18,200 Compaq Computer Corporation.... 273,910 13,000 Dell Computer Corporation+..... 226,687 9,000 Hewlett-Packard Company........ 284,062 1,500 International Business Machines Corporation.................. 127,500 600 Microsoft Corporation+......... 26,025 ----------- 938,184 ----------- DIVERSIFIED MANUFACTURING -- 2.4% 10,000 Illinois Tool Works, Inc....... 595,625 1,800 Textron, Inc................... 83,700 2,500 Tyco International, Ltd........ 138,750 ----------- 818,075 ----------- VALUE SHARES (NOTE 1) -------- ---------- DIVERSIFIED OPERATIONS -- 3.1% 12,000 The Williams Companies, Inc.... $ 479,250 8 Berkshire Hathaway, Inc., Class A+ 568,000 ----------- 1,047,250 ----------- ELECTRONICS -- 3.4% 8,500 Agilent Technologies, Inc.+.... 465,375 4,500 Altera Corporation+............ 118,406 4,000 Emerson Electric Company....... 315,250 2,500 Koninklijke (Royal) Philips Electronics N.V., NY Shares.. 90,625 5,400 RF Micro Devices, Inc.+........ 148,162 ----------- 1,137,818 ----------- ELECTRONICS - SEMICONDUCTOR -- 9.8% 17,900 Applied Materials, Inc.+....... 683,556 2,700 Applied Micro Circuits Corporation+................. 202,627 2,500 Bookham Technology Plc, ADR+... 32,812 4,500 Intel Corporation.............. 135,281 4,000 Intersil Holding Corporation+.. 91,750 10,800 KLA-Tencor Corporation+........ 363,825 4,500 Micron Technology, Inc......... 159,750 6,000 Novellus Systems, Inc.+........ 215,625 2,900 PMC-Sierra, Inc.+.............. 228,013 2,500 Sony Corporation, ADR.......... 174,375 13,000 Teradyne, Inc.+................ 484,250 9,500 Texas Instruments, Inc......... 450,063 1,500 Xilinx, Inc.+.................. 69,188 ----------- 3,291,115 ----------- ENGINEERING RESEARCH -- 0.5% 4,900 Fluor Corporation +............ 162,006 ----------- FINANCIAL SERVICES -- 3.3% 9,000 Household International, Inc... 495,000 4,200 USA Education, Inc............. 285,600 6,000 Wells Fargo Company............ 334,125 ----------- 1,114,725 ----------- FOOD AND KINDRED PRODUCTS -- 7.1% 15,000 Campbell Soup Company.......... 519,375 8,600 ConAgra Foods, Inc............. 223,600 7,300 General Mills, Inc............. 325,306 6,000 Heinz (H.J.) Company.......... 284,625 24,000 Kellogg Company................ 630,000 8,000 PepsiCo, Inc................... 396,500 ----------- 2,379,406 ----------- HOUSEHOLD PRODUCTS -- 0.8% 7,800 Clorox Company................. 276,900 ----------- INSURANCE -- 3.5% 4,000 Allstate Corporation........... 174,250 4,700 Hartford Financial Services Group, Inc. ................. 331,938 3,500 Jefferson-Pilot Corporation.... 261,625 2,000 Lincoln National Corporation... 94,625 5,500 St. Paul Companies, Inc........ 298,719 ----------- 1,161,157 ----------- See Notes to Financial Statements. 40 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) INTERNET CONTENT -- 2.6% 8,000 CheckFree Corporation +........ $ 340,000 8,600 DoubleClick, Inc.+............. 94,600 3,400 Macromedia, Inc.+.............. 206,550 2,500 webMethods, Inc.+.............. 222,344 ----------- 863,494 ----------- LEISURE -- 0.8% 8,300 Carnival Corporation........... 255,744 ----------- MEDICAL SUPPLIES -- 10.4% 13,000 AstraZeneca Group Plc, ADR..... 669,500 5,300 Becton, Dickinson and Company.. 183,513 4,200 Forest Laboratories, Inc.+..... 558,075 8,500 Guidant Corporation+........... 458,469 9,000 Medtronic, Inc................. 543,375 23,200 Pfizer, Inc.................... 1,067,200 ----------- 3,480,132 ----------- MEDICAL-BIOMEDICAL / GENE -- 0.3% 1,500 Genentech, Inc.+............... 122,250 ----------- MISCELLANEOUS MANUFACTURING INDUSTRIES -- 0.7% 6,000 Dover Corporation.............. 243,375 ----------- NETWORKING PRODUCTS -- 0.5% 4,200 Cisco Systems, Inc.+........... 160,650 ----------- OIL SERVICES -- 6.1% 14,100 Baker Hughes, Inc.............. 586,031 5,200 Exxon Mobil Corporation........ 452,075 8,000 Shell Transport & Trading Company, ADR................. 395,000 5,500 Texaco, Inc.................... 341,688 2,000 Transocean Sedco Forex, Inc.... 92,000 3,600 Weatherford International, Inc.+ 170,100 ----------- 2,036,894 ----------- RESTAURANTS -- 0.8% 8,000 McDonald's Corporation......... 272,000 ----------- RETAIL -- 5.8% 4,100 Amazon.com, Inc.+.............. 63,806 11,100 Circuit City Stores-Circuit City Group................... 127,650 9,000 Dollar General Corporation..... 169,875 8,000 Gap, Inc....................... 204,000 13,000 Lowe's Companies, Inc.......... 578,500 12,000 NIKE, Inc., Class B............ 669,750 6,000 Williams-Sonoma, Inc.+......... 120,000 ----------- 1,933,581 ----------- TECHNOLOGY -- 1.4% 5,700 Cadence Design Systems, Inc.+.. 156,750 8,300 PeopleSoft, Inc.+.............. 308,656 ----------- 465,406 ----------- VALUE SHARES (NOTE 1) -------- ---------- TELECOMMUNICATIONS -- 4.7% 6,100 AT&T Corporation............... $ 105,606 10,000 Ericsson (LM), Sponsored ADR... 111,875 900 Newport Corporation............ 70,748 16,700 Nokia Corporation, Sponsored ADR 726,450 4,600 Qwest Communications International, Inc.+......... 188,600 10,000 Sprint Corporation (PCS Group)+ 204,375 3,000 TyCom, Ltd.+................... 67,125 7,500 WorldCom, Inc.+................ 105,469 ----------- 1,580,248 ----------- TEXTILES -- 0.1% 1,000 Jones Apparel Group, Inc.+..... 32,188 ----------- TOBACCO -- 0.8% 6,000 Philip Morris Companies, Inc... 264,000 ----------- TRANSPORTATION -- 2.0% 8,000 Canadian National Railway Company...................... 237,500 3,500 CNF, Inc....................... 118,344 6,000 Union Pacific Corporation...... 304,500 ----------- 660,344 ----------- UTILITY -- 3.7% 7,700 AES Corporation+............... 426,388 6,700 Cinergy Corporation............ 235,338 7,000 Niagara Mohawk Holdings, Inc... 116,813 10,000 NiSource, Inc.................. 307,500 6,000 Northeast Utilities............ 145,500 ----------- 1,231,539 ----------- Total Common Stock (Cost $32,403,926)........... 32,708,959 ----------- COMMERCIAL PAPER -- 3.0% 995,000 FCE Bank Plc, 6.52% due 01/02/01# 994,279 ----------- Total Commercial Paper (Cost $994,820).............. 994,279 ----------- TOTAL INVESTMENTS (COST $33,398,746*)............... 100.6% 33,703,238 OTHER ASSETS AND LIABILITIES (NET) ............................ (0.6)% (196,402) ----- ----------- NET ASSETS........................... 100.0% $33,506,836 ===== =========== - ----------------------------- * Aggregate cost for federal tax purposes was $33,417,039. ** Amount represents less than 0.1%. + Non-Income Producing Security. # Rate represents annualized yield at date of purchase. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 41 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN VALUE PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 98.5% ADVERTISING AGENCY -- 0.6% 25,000 Interpublic Group of Companies, Inc............... $ 1,064,062 ----------- AEROSPACE AND DEFENSE -- 7.4% 74,000 Lockheed Martin Corporation.... 2,512,300 141,900 Raytheon Company, Class B...... 4,407,769 83,000 United Technologies Corporation 6,525,875 ----------- 13,445,944 ----------- BANKING AND FINANCE -- 8.7% 125,000 Bank One Corporation........... 4,578,125 107,000 Bank of America Corporation.... 4,908,625 92,100 Washington Mutual, Inc......... 4,887,056 27,000 Wells Fargo & Company.......... 1,503,562 ----------- 15,877,368 ----------- BASIC INDUSTRY -- 2.7% 54,000 Alcoa, Inc..................... 1,809,000 67,200 Massey Energy Company.......... 856,800 44,000 Union Pacific Corporation...... 2,233,000 ----------- 4,898,800 ----------- COMMERCIAL SERVICES -- 0.8% 33,800 Ecolab, Inc.................... 1,459,737 ----------- COMMUNICATIONS -- 2.7% 91,000 AT&T Corporation............... 1,575,437 13,400 CenturyTel, Inc................ 479,050 43,500 SBC Communications, Inc........ 2,077,125 50,500 WorldCom, Inc.+................ 710,156 ----------- 4,841,768 ----------- DIVERSIFIED MANUFACTURING -- 3.9% 105,000 Illinois Tool Works, Inc....... 6,254,063 17,800 Textron, Inc................... 827,700 ----------- 7,081,763 ----------- DIVERSIFIED OPERATIONS -- 2.3% 107,000 The Williams Companies, Inc.... 4,273,312 ----------- DURABLE GOODS - WHOLESALE -- 0.8% 41,900 Grainger (W.W.), Inc........... 1,529,350 ----------- ELECTRONICS -- 4.4% 14,000 Applied Materials, Inc.+....... 534,625 52,000 Emerson Electric Company....... 4,098,250 70,000 Rockwell International Corporation 3,333,750 ----------- 7,966,625 ----------- ENGINEERING RESEARCH -- 1.7% 94,700 Fluor Corporation+............. 3,131,019 ----------- VALUE SHARES (NOTE 1) -------- ---------- FINANCIAL SERVICES -- 7.6% 33,003 Citigroup, Inc................. $ 1,685,216 50,200 Household International, Inc... 2,761,000 139,800 USA Education, Inc............. 9,506,400 ----------- 13,952,616 ----------- FOOD AND KINDRED PRODUCTS -- 11.8% 143,000 Campbell Soup Company.......... 4,951,375 228,000 ConAgra Foods, Inc............. 5,928,000 98,000 General Mills, Inc............. 4,367,125 242,000 Kellogg Company................ 6,352,500 ----------- 21,599,000 ----------- HOUSEHOLD PRODUCTS -- 1.7% 87,300 Clorox Company................. 3,099,150 ----------- INSURANCE -- 7.0% 77,800 Jefferson-Pilot Corporation.... 5,815,550 33,000 St. Paul Companies, Inc........ 1,792,313 59,000 XL Capital, Ltd., Class A...... 5,155,125 ----------- 12,762,988 ----------- LEISURE -- 4.3% 252,000 Carnival Corporation........... 7,764,750 ----------- MACHINERY -- 0.9% 41,000 Dover Corporation.............. 1,663,063 ----------- MEDICAL SUPPLIES -- 2.3% 124,000 Becton, Dickinson & Company.... 4,293,500 ----------- OIL SERVICES -- 2.4% 45,000 Baker Hughes, Inc.............. 1,870,313 5,683 Exxon Mobil Corporation........ 494,066 42,000 Shell Transport & Trading, ADR. 2,073,750 ----------- 4,438,129 ----------- PETROLEUM REFINING -- 3.0% 59,200 Royal Dutch Petroleum Company, NY Shares........... 3,585,300 30,000 Texaco, Inc.................... 1,863,750 ----------- 5,449,050 ----------- RESTAURANTS -- 1.1% 57,000 McDonald's Corporation......... 1,938,000 ----------- RETAIL -- 7.8% 211,800 Circuit City Stores-Circuit City Group................... 2,435,700 65,000 Costco Wholesale Corporation+.. 2,595,938 125,000 Lowe's Companies, Inc.......... 5,562,500 65,100 NIKE, Inc., Class B............ 3,633,394 ----------- 14,227,532 ----------- See Notes to Financial Statements. 42 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN VALUE PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) TECHNOLOGY -- 2.8% 335,000 Compaq Computer Corporation.... 5,041,750 ----------- TOBACCO -- 2.8% 116,000 Philip Morris Companies, Inc... 5,104,000 ----------- TRANSPORTATION -- 2.8% 172,000 Canadian National Railway Company...................... 5,106,250 ----------- UTILITY -- 4.2% 21,000 Cinergy Corporation............ 737,625 115,000 NiSource, Inc.................. 3,536,250 125,100 Northeast Utilities............ 3,033,675 13,000 Southern Energy, Inc.+......... 368,062 ----------- 7,675,612 ----------- Total Common Stock (Cost $161,946,524).......... 179,685,138 ----------- VALUE SHARES (NOTE 1) -------- ---------- COMMERCIAL PAPER DOMESTIC -- 0.5% 900,000 FCE Bank Plc, 6.52% due 01/02/01# $ 899,348 ------------ Total Commercial Paper (Cost $899,837).............. 899,348 ------------ TOTAL INVESTMENTS (COST $162,846,361*).............. 99.0% 180,584,486 OTHER ASSETS AND LIABILITIES (NET)............................. 1.0% 1,769,804 ----- ------------ NET ASSETS........................... 100.0% $182,354,290 ===== ============ - -------------------------- * Aggregate cost for federal tax purposes was $162,861,489. + Non-income producing security. # Rate represents annualized yield at date of purchase. Abbreviation: ADR -- American Depositary Receipt See Notes to Financial Statements. 43 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 99.1% AEROSPACE AND DEFENSE -- 0.6% 72,600 BE Aerospace, Inc.+............ $ 1,161,600 ----------- AUTO & TRUCKS -- 0.8% 67,100 Navistar International Corporation+ 1,757,181 ----------- BASIC INDUSTRY -- 1.3% 96,800 Pentair, Inc................... 2,341,350 12,600 Sealed Air Corporation+........ 384,300 ----------- 2,725,650 ----------- BROADCAST, RADIO & TV -- 4.6% 153,300 Citadel Communications Corporation+................. 1,839,600 172,900 Emmis Communications Corporation, Class A+........ 4,960,069 83,800 Entercom Communications Corporation+................. 2,885,862 ----------- 9,685,531 ----------- BUSINESS SERVICES -- 0.7% 349,200 Modis Professional Services, Inc.+ 1,440,450 29,600 Superior Consultant Holdings Corporation+................. 81,400 15,000 Technology Solutions Company+.. 31,875 ----------- 1,553,725 ----------- CHEMICALS -- 4.9% 11,200 Arch Chemicals, Inc............ 198,800 217,400 Crompton Corporation........... 2,282,700 88,800 Georgia Gulf Corporation....... 1,515,150 55,700 Lubrizol Corporation........... 1,434,275 464,200 PolyOne Corporation............ 2,727,175 163,100 Wellman, Inc................... 2,303,787 ----------- 10,461,887 ----------- COMPUTER SERVICES AND SOFTWARE -- 10.0% 180,500 Hypercom Corporation+.......... 564,062 866,750 Informix Corporation+.......... 2,573,164 96,100 Inter-Tel, Inc................. 738,769 243,600 Keane, Inc.+................... 2,375,100 125,700 Legato Systems, Inc.+.......... 934,894 526,200 MarchFirst, Inc.+.............. 789,300 341,200 Network Associates, Inc.+...... 1,428,775 103,400 Perot Systems Corporation, Class A+ 949,987 89,900 Project Software & Development, Inc.+........... 965,020 295,700 Quantum Corporation- DLT & Storage+............... 3,936,506 304,700 Quantum Corporation- Hard Disk Drive+............. 2,437,600 332,700 Silicon Graphics, Inc.+........ 1,330,800 182,800 Systems & Computer Technology Corporation+...... 2,250,725 ----------- 21,274,702 ----------- VALUE SHARES (NOTE 1) -------- ---------- COMPUTERS -- 1.6% 53,300 InFocus Corporation+........... $ 786,175 128,500 Ingram Micro, Inc., Class A+... 1,445,625 215,100 Maxtor Corporation+............ 1,203,216 ----------- 3,435,016 ----------- CONSUMER PRODUCTS -- 1.0% 81,200 American Greetings Corporation, Class A......... 766,325 15,800 Dean Foods Company............. 484,862 67,800 Tyson Foods, Inc., Class A..... 864,450 ----------- 2,115,637 ----------- CONTAINERS -- 0.1% 1,100 Bemis Company, Inc............. 36,919 274,800 Gaylord Container Corporation, Class A+........ 274,800 ----------- 311,719 ----------- ELECTRICAL EQUIPMENT -- 1.0% 40,400 Brooks Automation, Inc.+....... 1,133,725 56,100 Kent Electronics Corporation+.. 925,650 ----------- 2,059,375 ----------- ELECTRONICS -- 8.0% 125,500 ACT Manufacturing, Inc.+....... 1,976,625 96,400 Actel Corporation+............. 2,331,675 112,400 Arrow Electronics, Inc.+....... 3,217,450 196,100 Avnet, Inc..................... 4,216,150 138,300 Electronics for Imaging, Inc.+. 1,927,556 124,700 ESS Technology, Inc.+.......... 639,087 168,500 General Semiconductor, Inc.+... 1,053,125 68,700 Trimble Navigation, Ltd.+...... 1,648,800 ----------- 17,010,468 ----------- ENTERTAINMENT AND LEISURE -- 2.5% 237,700 Midway Games, Inc.+............ 1,687,670 207,300 Six Flags, Inc.+............... 3,562,969 ----------- 5,250,639 ----------- FINANCIAL SERVICES -- 0.8% 2,500 Knight Trading Group, Inc. +... 34,844 269,600 Profit Recovery Group International, Inc.+......... 1,718,700 ----------- 1,753,544 ----------- FOREST PRODUCTS -- 0.1% 19,000 Louisiana-Pacific Corporation.. 192,375 ----------- FURNITURE AND FIXTURES -- 1.0% 104,200 Furniture Brands International, Inc.+......... 2,194,712 ----------- See Notes to Financial Statements. 44 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) FURNITURE, HOME FURNISHING STORE -- 0.3% 28,700 Leggett & Platt, Inc........... $ 543,506 ----------- MACHINE - DIVERSIFIED -- 1.6% 11,000 Cognex Corporation+............ 243,375 110,500 Credence Systems Corporation+.. 2,541,500 21,800 York International Corporation. 668,987 ----------- 3,453,862 ----------- MANUFACTURING -- 9.2% 189,500 AGCO Corporation............... 2,297,687 242,500 Agrium, Inc.................... 3,546,562 167,517 AK Steel Holding Corporation... 1,465,774 51,800 Flowserve Corporation+......... 1,107,225 180,200 IMC Global, Inc................ 2,804,362 17,500 NBTY, Inc.+.................... 83,125 1,900 NS Group, Inc.+................ 17,955 52,400 Polaroid Corporation........... 304,575 141,400 Rayovac Corporation+........... 2,006,112 105,400 Russell Corporation............ 1,627,112 30,800 Springs Industries, Inc., Class A 999,075 56,400 Timken Company................. 853,050 124,000 UCAR International, Inc.+...... 1,209,000 98,100 Wolverine Tube, Inc.+.......... 1,176,219 ----------- 19,497,833 ----------- MEDIA AND COMMUNICATIONS -- 2.2% 231,200 Allen Telecom, Inc.+........... 4,147,150 154,400 Cumulus Media, Inc., Class A+.. 559,700 ----------- 4,706,850 ----------- METAL AND METAL PRODUCTS -- 1.8% 79,300 Cominico, Ltd.................. 1,333,231 74,400 Maverick Tube Corporation+..... 1,683,300 47,600 USX-U.S. Steel Group, Inc...... 856,800 ----------- 3,873,331 ----------- NONDURABLE GOODS - CONSUMER -- 0.5% 76,300 Interstate Bakeries Corporation 1,072,969 ----------- OIL AND GAS -- 8.3% 51,000 Friede Goldman Halter, Inc.+... 181,688 104,700 Global Industries, Ltd.+....... 1,433,081 467,100 Key Energy Services, Inc.+..... 4,875,356 320,500 Newpark Resources, Inc.+....... 3,064,781 30,600 Noble Affiliates, Inc.......... 1,407,600 79,600 Ocean Energy, Inc.+............ 1,383,050 60,400 Tidewater, Inc................. 2,680,250 118,700 Varco International, Inc.+..... 2,581,725 ----------- 17,607,531 ----------- VALUE SHARES (NOTE 1) -------- ---------- OIL AND GAS EXTRACTION -- 2.3% 117,700 Oceaneering International, Inc.+ $ 2,287,794 525,100 Parker Drilling Company+....... 2,658,319 ----------- 4,946,113 ----------- OPTICAL SUPPLIES -- 1.2% 63,600 Bausch & Lomb, Inc............. 2,571,825 ----------- PAPER -- 2.0% 305,500 Abitibi-Consolidated, Inc...... 2,806,781 45,200 Valassis Communications, Inc.+. 1,426,625 ----------- 4,233,406 ----------- RESTAURANTS -- 1.2% 53,100 Outback Steakhouse, Inc.+...... 1,373,963 52,200 Papa John's International, Inc.+ 1,161,450 ----------- 2,535,413 ----------- RETAIL -- 14.8% 85,500 Abercrombie & Fitch Company, Class A+............ 1,710,000 194,700 Ames Department Stores, Inc.+.. 279,881 98,500 AnnTaylor Stores Corporation+.. 2,456,344 54,900 Borders Group, Inc.+........... 641,644 59,700 Burlington Coat Factory Warehouse Corporation........ 1,130,569 15,000 Children's Place Retail Stores, Inc.+ .............. 303,750 304,300 Circuit City Stores-Circuit City Group................... 3,499,450 21,300 Claire's Stores, Inc........... 382,069 51,500 Consolidated Stores Corporation+ 547,188 62,600 Finlay Enterprises, Inc.+...... 661,213 179,100 Fleming Companies, Inc......... 2,115,619 158,300 InterTan, Inc.+................ 1,840,238 90,600 Michaels Stores, Inc.+......... 2,400,900 47,700 Nordstrom, Inc................. 867,544 499,000 OfficeMax, Inc.+............... 1,434,625 130,100 Regis Corporation.............. 1,886,450 93,100 Ross Stores, Inc............... 1,571,063 83,200 School Specialty, Inc.+........ 1,669,200 93,900 ShopKo Stores, Inc+............ 469,500 215,200 Sunglass Hut International, Inc.+ 1,102,900 86,400 Williams-Sonoma, Inc.+......... 1,728,000 98,300 Zale Corporation+.............. 2,856,844 ----------- 31,554,991 ----------- SEMICONDUCTORS -- 4.0% 149,900 Lam Research Corporation+...... 2,173,550 129,300 Mattson Technology, Inc.+...... 1,333,406 88,600 PRI Automation, Inc.+.......... 1,661,250 142,600 Varian Semiconductor Equipment Associates, Inc.+.. 3,386,750 ----------- 8,554,956 ----------- See Notes to Financial Statements. 45 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) SERVICES -- 1.6% 291,900 Foster Wheeler Corporation..... $ 1,532,475 194,500 Gartner Group, Inc., Class A+.. 1,342,050 212,800 Kforce.com, Inc.+.............. 651,700 ----------- 3,526,225 ----------- TECHNOLOGY -- 2.7% 105,300 Artesyn Technologies, Inc.+.... 1,671,638 141,100 Foundry Networks, Inc.+........ 2,116,500 343,500 SONICblue, Inc.+............... 1,416,938 48,900 VISX, Inc.+.................... 510,394 ----------- 5,715,470 ----------- TELECOMMUNICATIONS EQUIPMENT -- 1.5% 214,600 ANTEC Corporation+............. 1,696,681 90,900 CommScope, Inc.+............... 1,505,531 ----------- 3,202,212 ----------- TEXTILES AND APPAREL -- 1.6% 353,300 Tommy Hilfiger Corporation+.... 3,466,756 ----------- TOYS -- 0.5% 104,800 Hasbro, Inc.................... 1,113,500 ----------- TRANSPORTATION -- 2.6% 30,700 Offshore Logistics, Inc.+...... 661,489 210,600 Trico Marine Services, Inc.+... 3,251,138 78,900 Yellow Corporation+............ 1,606,355 ----------- 5,518,982 ----------- UTILITY -- 0.2% 20,200 Wisconsin Energy Corporation... 455,763 ----------- Total Common Stock (Cost $249,633,686).......... 211,095,255 ----------- VALUE SHARES (NOTE 1) -------- ---------- COMMERCIAL PAPER -- 1.1% 2,445,000 General Electric Capital Corporation, 5.900% due 01/02/01.......... $ 2,445,000 ----------- Total Commercial Paper (Cost $2,445,000)............ 2,445,000 ----------- TOTAL INVESTMENTS (COST $252,078,686*).............. 100.2% 213,540,255 OTHER ASSETS AND LIABILITIES (NET)............................. (0.2)% (454,148) ------ ------------ NET ASSETS........................... 100.0% $213,086,107 ====== ============ - ---------------------- * Aggregate cost for federal tax purposes was $253,037,989. + Non-Income Producing Security. See Notes to Financial Statements. 46 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- TOTAL AGENCY SECURITIES -- 39.7% FEDERAL HOME LOAN BANK (FHLB) -- 0.7% 550,000 5.590% due 01/05/01............ 549,912 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.2% 74,387 9.500% due 07/25/22........... 77,153 93,037 9.500% due 12/01/22........... 98,561 ----------- 175,714 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 17.0% 55,937 7.000% due 08/01/03........... 56,151 91,434 7.500% due 06/01/09........... 93,605 507,773 6.500% due 02/01/13........... 508,352 346,008 6.500% due 03/01/13........... 345,897 647,073 6.000% due 08/01/13........... 639,185 2,679,972 6.000% due 11/01/13........... 2,647,302 788,905 6.000% due 12/01/13........... 779,288 33,625 7.000% due 07/01/22........... 33,875 94,521 7.000% due 07/01/23........... 95,052 146,757 6.500% due 02/01/26........... 145,014 120,770 7.000% due 09/01/26........... 121,185 1,470,000 6.200% due 12/01/30........... 1,466,612 5,740,000 7.500% due 01/01/31........... 5,824,321 ----------- 12,755,839 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 13.0% 127,346 8.000% due 07/15/17........... 132,201 80,424 8.500% due 12/15/21........... 83,615 126,138 9.000% due 12/15/21........... 132,838 152,629 7.000% due 11/15/23........... 153,774 222,169 7.500% due 12/15/23........... 226,682 202,999 8.000% due 06/15/27........... 208,389 193,476 8.000% due 07/15/27........... 198,613 911,909 8.000% due 08/15/27........... 936,120 562,719 7.000% due 09/20/28........... 562,467 966,983 7.000% due 01/20/29........... 966,549 1,034,489 7.000% due 07/20/29........... 1,034,026 2,049,078 7.000% due 09/20/29........... 2,048,160 3,020,000 7.500% due 01/01/31........... 3,059,166 ----------- 9,742,600 ----------- SMALL BUSINESS ADMINISTRATION (SBA)-- 3.9% 792,811 6.300% due 05/01/18........... 781,441 918,799 5.500% due 10/01/18........... 864,821 1,357,221 5.800% due 12/01/18........... 1,298,448 ----------- 2,944,710 ----------- TENNESSEE VALLEY AUTHORITY (TVA)-- 4.9% 3,843,630 3.375% due 01/15/07............ 3,654,446 ----------- Total Agency Securities (Cost $29,668,662)........... 29,823,221 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- CORPORATE FIXED INCOME SECURITIES -- 20.6% BANKS -- 2.4% $ 533,000 Barclays Bank Plc, 8.550% due 09/29/49.......... $ 560,268 313,000 Bear Stearns Company, Inc., 7.625% due 12/07/09.......... 314,806 893,000 Dime Bancorp, Inc., 9.000% due 12/19/02.......... 898,074 ----------- 1,773,148 ----------- COMMUNICATIONS -- 1.1% 970,000 CSC Holdings, Inc., 7.625% due 07/15/18.......... 867,937 ----------- ENERGY -- 3.4% 893,000 AES Corporation, 8.750% due 12/15/02.......... 896,349 800,000 NRG Energy, Inc., 8.250% due 09/15/10.......... 828,856 800,000 Southern Energy, 7.900% due 07/15/09.......... 806,680 ----------- 2,531,885 ----------- FINANCIAL -- 1.1% 800,000 Household Finance Corporation, 8.000% due 07/15/10.......... 848,072 ----------- INSURANCE -- 3.3% 1,067,000 AXA SA, 8.600% due 12/15/30.......... 1,098,135 1,319,000 The Mony Group, Inc., 8.350% due 03/15/10.......... 1,382,312 ----------- 2,480,447 OIL & GAS EXPLORATION -- 1.2% 30,000 Norcen Energy Resources, Debentures, 7.375% due 05/15/06.......... 31,162 903,000 R&B Falcon Corporation, 6.950% due 04/15/08.......... 853,335 ----------- 884,497 ----------- RETAIL -- 1.6% 977,000 Lowe's Companies, Inc., 7.500% due 12/15/05.......... 995,612 460,000 Saks, Inc., 7.375% due 02/15/19.......... 225,400 ----------- 1,221,012 ----------- See Notes to Financial Statements. 47 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) TELECOMMUNICATIONS -- 6.5% $ 1,373,000 AT&T Corporation, 6.500% due 03/15/29.......... $ 1,097,398 1,403,000 British Telecom Plc, 8.625% due 12/15/30.......... 1,397,318 1,341,000 Marconi Corporation Plc, 8.375% due 09/15/30.......... 1,221,021 1,184,000 Worldcom, Inc., 7.375% due 01/15/06++........ 1,190,547 ----------- 4,906,284 ----------- Total Corporate Fixed Income Securities (Cost $15,482,912)........... 15,513,282 ----------- U.S. TREASURY OBLIGATIONS -- 37.5% STRIP -- 2.4% 1,876,000 Zero Coupon, 10% due 11/11/01^. 1,779,855 ----------- U.S. TREASURY BONDS -- 19.2% 7,000,000 8.500% due 02/15/20........... 9,383,290 4,007,000 6.125% due 08/15/29........... 4,358,254 641,000 6.250% due 05/15/30........... 715,616 ----------- 14,457,160 ----------- U.S. TREASURY NOTES -- 15.9% 9,968,841 3.625% due 07/15/02#........... 9,979,707 1,000,000 6.375% due 08/15/02##.......... 1,016,720 915,000 5.625% due 11/30/02............ 922,429 ----------- 11,918,856 ----------- Total U.S. Treasury Obligations (Cost $28,115,101)........... 28,155,871 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) -------- -------- VARIABLE RATE CORPORATE BONDS -- 1.0% $ 750,000 Meridian Funding Company LLC, 6.999% due 12/20/05++........ $ 750,173 ----------- Total Variable Rate Corporate Bonds (Cost $750,000).............. 750,173 ----------- TOTAL INVESTMENTS (COST $74,016,675*)............... 98.8% 74,242,547 OTHER ASSETS AND LIABILITIES (NET)............................. 1.2% 938,962 ------ ----------- NET ASSETS........................... 100.0% $75,181,509 ====== =========== - --------------------- * Aggregate cost for federal tax purposes was $74,066,322. ++ 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 December 31, 2000. The coupon shown is the step-up rate. # U.S. Treasury Inflation Index Notes. ## Security pledged as collateral for open futures contracts. See Notes to Financial Statements. 48 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 67.4% AEROSPACE AND DEFENSE -- 1.5% 65,500 General Dynamics Corporation... $ 5,109,000 ----------- BANKING AND FINANCIAL SERVICES -- 4.3% 36,300 American Express Company....... 1,994,231 94,000 Bank of New York Company, Inc.. 5,187,625 114,633 Citigroup, Inc................. 5,853,448 59,600 FleetBoston Financial Corporation 2,238,725 ----------- 15,274,029 ----------- COMPUTER SERVICES AND SOFTWARE -- 7.8% 8,200 BEA Systems, Inc.+............. 551,962 6,800 Brocade Communications Systems, Inc.+............... 624,325 48,400 EMC Corporation+............... 3,218,600 39,500 Hewlett-Packard Company........ 1,246,719 15,000 i2 Technologies, Inc.+......... 815,625 31,900 International Business Machines Corporation.................. 2,711,500 29,000 Intuit, Inc.+.................. 1,143,687 11,900 Juniper Networks, Inc.+........ 1,500,144 5,900 McDATA Corporation+............ 323,025 122,200 Microsoft Corporation+......... 5,300,425 144,800 Oracle Corporation+............ 4,208,250 31,800 StorageNetworks, Inc.+......... 789,037 93,500 Sun Microsystems, Inc.+........ 2,606,312 4,300 VeriSign, Inc.+................ 319,006 24,476 VERITAS Software Corporation+.. 2,141,637 ----------- 27,500,254 ----------- CONSUMER NON-DURABLES -- 0.9% 20,900 Philip Morris Companies, Inc... 919,600 27,700 Procter & Gamble Company....... 2,172,719 ----------- 3,092,319 ----------- DIVERSIFIED OPERATIONS -- 12.8% 32,200 Corning, Inc................... 1,700,562 271,900 General Electric Company....... 13,034,206 5,900 Omnicom Group, Inc............. 488,962 9,700 Textron, Inc................... 451,050 339,300 Tyco International, Ltd........ 18,831,150 134,000 United Technologies Corporation 10,535,750 ----------- 45,041,680 ----------- DRUGS AND MEDICAL PRODUCTS -- 11.5% 22,900 Abbott Laboratories............ 1,109,219 82,500 American Home Products Corporation.................. 5,242,875 17,700 Amgen, Inc.+................... 1,131,694 48,700 Bristol-Myers Squibb Company... 3,600,756 13,200 Genentech, Inc.+............... 1,075,800 36,200 HCA-Healthcare Company......... 1,593,162 19,000 Johnson & Johnson.............. 1,996,187 8,300 Lilly (Eli) & Company.......... 772,419 38,200 Medtronic, Inc................. 2,306,325 36,800 Merck & Company, Inc........... 3,445,400 VALUE SHARES (NOTE 1) -------- ---------- DRUGS AND MEDICAL PRODUCTS -- (CONTINUED) 296,400 Pfizer, Inc.................... $13,634,400 66,885 Pharmacia Corporation.......... 4,079,985 17,100 Tularik, Inc.+................. 503,381 ----------- 40,491,603 ----------- ELECTRICAL PRODUCTS -- 0.3% 37,600 Jabil Circuit, Inc.+........... 954,100 ----------- ELECTRONICS -- 4.2% 16,600 Analog Devices, Inc.+.......... 849,712 12,500 Broadcom Corporation, Class A+. 1,050,000 123,700 General Motors Corporation, Class H+..................... 2,845,100 41,200 Maxim Integrated Products, Inc.+ 1,969,875 7,100 PMC-Sierra, Inc.+.............. 558,237 15,500 QLogic Corporation+............ 1,193,500 29,400 Sanmina Corporation+........... 2,252,775 75,800 Texas Instruments, Inc......... 3,591,025 15,600 TranSwitch Corporation+........ 610,350 ----------- 14,920,574 ----------- FEDERAL AGENCY AND GOVERNMENT-- 1.5% 74,500 Freddie Mac.................... 5,131,187 ----------- FOOD AND BEVERAGES -- 2.3% 84,100 Anheuser-Busch Companies, Inc.. 3,826,550 9,300 Coca-Cola Company.............. 566,719 49,000 PepsiCo, Inc................... 2,428,562 14,500 Quaker Oats Company............ 1,411,937 ----------- 8,233,768 ----------- INSURANCE -- 1.1% 41,250 American International Group, Inc. 4,065,703 ----------- MEDIA AND COMMUNICATIONS -- 2.4% 269,500 AT&T Corporation - Liberty Media Corporation, Class A+.. 3,655,094 75,500 Spectrasite Holdings, Inc.+.... 1,000,375 71,900 Time Warner, Inc............... 3,756,056 ----------- 8,411,525 ----------- MEDICAL-BIOMEDICAL / GENE -- 0.2% 8,000 CuraGen Corporation+........... 218,500 5,200 Invitrogen Corporation+........ 449,150 ----------- 667,650 ----------- PRECISION INSTRUMENT -- 0.3% 12,000 Applera Corporation- Applied Biosystem............ 1,128,750 ----------- RETAIL -- 4.1% 41,700 Dollar Tree Stores, Inc.+...... 1,021,650 73,647 Home Depot, Inc................ 3,364,747 97,500 Limited (The), Inc............. 1,663,594 See Notes to Financial Statements. 49 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) RETAIL -- (CONTINUED) 40,600 Safeway, Inc.+................. $ 2,537,500 24,900 Tiffany & Company.............. 787,462 93,800 Wal-Mart Stores, Inc........... 4,983,125 ----------- 14,358,078 ----------- TECHNOLOGY -- 5.7% 9,800 Applied Materials, Inc.+....... 374,238 19,800 CIENA Corporation+............. 1,607,513 253,700 Cisco Systems, Inc.+........... 9,704,025 117,600 Compaq Computer Corporation.... 1,769,880 172,000 Intel Corporation.............. 5,170,750 48,400 Scientific-Atlanta, Inc........ 1,576,025 ----------- 20,202,431 ----------- TELECOMMUNICATIONS -- 6.5% 124,600 American Tower Corporation, Class A+..................... 4,719,225 1 Avaya, Inc.+................... 10 54,700 Comcast Corporation, Class A+.. 2,283,725 17,900 Comcast Corporation, Class H+.. 739,494 82,100 Crown Castle International Corporation+................. 2,221,831 39,700 Efficient Networks, Inc.+...... 530,988 27,500 JDS Uniphase Corporation+...... 1,146,406 31,200 Nokia Corporation, Sponsored ADR................ 1,357,200 55,800 Nortel Networks Corporation.... 1,789,088 19,900 Qwest Communications International, Inc.+......... 815,900 6,700 SBA Communications Corporation+................. 275,119 18,500 TyCom, Ltd.+................... 413,938 98,840 Verizon Communications......... 4,954,355 121,000 WorldCom, Inc.+................ 1,701,563 ----------- 22,948,842 ----------- Total Common Stock (Cost $205,133,354).......... 237,531,493 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) - --------- -------- AGENCY SECURITIES -- 22.6% FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 2.7% $ 950,000 6.625% due 09/15/09........... 989,634 373,503 9.500% due 01/01/17........... 392,494 445,048 11.500% due 05/01/20.......... 492,726 242,669 6.138% due 06/15/20........... 242,974 4,700,000 7.500% due 01/01/31........... 4,771,957 450,000 8.000% due 01/01/31........... 461,390 2,200,000 8.500% due 01/01/31........... 2,271,500 ----------- 9,622,675 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 14.6% $ 2,020,000 6.340% due 02/04/08........... $ 1,995,376 6,935,000 5.250% due 01/15/09........... 6,621,815 420,841 10.000% due 11/01/18.......... 461,029 384,073 11.000% due 09/01/19.......... 431,241 42,760 7.356% due 03/25/24........... 43,081 422,972 9.000% due 07/01/25........... 441,762 464,113 9.000% due 04/01/26........... 486,590 322,403 7.099% due 04/18/28........... 322,549 8,824,683 6.000% due 05/01/29........... 8,543,352 3,895,000 6.250% due 05/15/29........... 3,912,644 5,000,000 7.125% due 01/15/30........... 5,596,850 210,000 7.250% due 05/15/30........... 239,005 3,850,000 7.000% due 01/01/31........... 3,856,006 5,875,000 6.000% due 01/01/30........... 5,687,764 1,650,000 8.000% due 01/16/31........... 1,690,739 9,600,000 8.500% due 01/01/30........... 9,890,976 1,028,998 9.500% due 04/01/30........... 1,090,728 ----------- 51,311,507 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 5.3% 146,074 10.500% due 12/15/14.......... 160,547 75,608 9.500% due 04/15/17........... 79,908 109,070 9.500% due 05/15/17........... 115,273 117,444 9.500% due 08/15/17........... 124,123 418,060 10.000% due 08/15/17.......... 455,815 76,718 9.500% due 10/15/17........... 81,081 56,650 9.500% due 11/15/17........... 59,872 327,309 9.500% due 12/15/17........... 351,585 102,115 9.500% due 07/15/18........... 108,050 321,288 9.500% due 10/15/18........... 339,559 132,048 9.500% due 09/15/19........... 139,888 288,527 9.000% due 12/15/19........... 304,214 421,649 9.500% due 06/15/20........... 446,683 438,117 10.000% due 12/15/20.......... 477,683 399,463 9.500% due 12/15/21........... 422,679 348,348 10.000% due 07/15/22.......... 379,808 574,473 7.375% due 01/20/25........... 578,690 224,809 10.000% due 02/15/25.......... 245,111 139,340 7.375% due 02/20/25........... 140,362 430,087 6.875% due 03/20/25........... 433,111 409,913 6.875% due 04/20/25........... 413,819 52,169 7.375% due 04/20/25........... 52,585 60,218 6.875% due 05/20/25........... 60,790 685,887 7.375% due 06/20/25........... 691,394 257,526 7.750% due 07/20/25........... 260,142 221,762 6.625% due 09/20/27........... 223,771 131,360 7.125% due 10/20/27........... 132,284 313,281 7.125% due 11/20/27........... 315,483 103,728 7.125% due 12/20/27........... 104,457 11,050,000 7.000% due 01/15/31........... 11,098,399 ----------- 18,797,166 ----------- Total Agency Securities (Cost $78,135,105)........... 79,731,348 ----------- See Notes to Financial Statements. 50 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- 9.2% $ 540,000 Albertsons, Inc., Debentures, 7.450% due 08/01/29.......... $ 484,056 140,000 Alcoa, Inc., 7.375% due 08/01/10.......... 147,783 240,000 American Express, 6.875% due 11/01/05.......... 246,780 180,000 American General Corporation, Notes, 7.500% due 07/15/25.......... 180,758 210,000 American General Finance, Senior Notes, 6.750% due 11/15/04.......... 212,902 250,000 Anthem Insurance, Senior Notes, 9.000% due 04/01/27++........ 215,613 190,000 Associates Corporation of North America, Senior Notes, 6.000% due 07/15/05.......... 187,275 435,000 AT&T Corporation, 6.500% due 03/15/29##........ 347,935 390,000 AXA Financial, Inc., Senior Notes, 6.500% due 04/01/08.......... 381,993 165,000 Bank of Boston Corporation, 6.625% due 12/01/05.......... 165,252 485,000 Bank One Corporation, Subordinate Notes, 6.000% due 02/17/09.......... 447,898 440,000 BellSouth Telecommunications, Inc., Debentures, 6.375% due 06/01/28.......... 376,376 295,000 BT Institutional Capital Trust, 8.090% due 12/01/26++........ 280,489 300,000 Chase Manhattan Corporation, Subordinate Notes, 6.000% due 02/15/09.......... 280,725 545,000 Chevron Corporation, 6.625% due 10/01/04.......... 555,578 580,000 CitiCorp, Subordinate Notes, 6.375% due 11/15/08.......... 563,325 60,000 Citigroup, Inc., 7.250% due 10/01/10.......... 62,057 300,000 Clear Channel Communications, 7.650% due 09/15/10.......... 302,763 450,000 CMS Panhandle Holding Co., Senior Notes, 7.000% due 07/15/29.......... 383,640 350,000 Comdisco, Inc., 6.375% due 11/30/01.......... 322,000 645,000 Conoco, Inc., Senior Notes, 6.950% due 04/15/29.......... 628,424 Continental Airlines, Inc., Pass Through Certificates: 236,819 6.648% due 09/15/17.......... 233,859 170,089 6.545% due 02/02/19.......... 163,582 265,000 Cox Communications, Inc., 7.750% due 11/01/10.......... 274,325 220,000 DaimlerChrysler North America Holding Corporation, Company Guarantee, 7.200% due 09/01/09.......... 210,280 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- Dayton Hudson Corporation, Debentures: $ 180,000 6.750% due 01/01/28.......... $ 164,234 180,000 6.650% due 08/01/28.......... 161,080 120,000 Delphi Auto Systems Corporation, Debentures, 7.125% due 05/01/29.......... 101,720 EOP Operating LP: 245,000 7.500% due 04/19/29.......... 220,973 240,000 7.250% due 06/15/28++........ 211,438 250,000 Equitable Life Assurance, 6.950% due 12/01/05++........ 251,645 640,000 Farmers Exchange Capital Insurance, 7.050% due 07/15/28++........ 535,091 80,000 Federated Department Stores, 8.500% due 06/01/10.......... 83,586 420,000 Federated Department Stores, Debentures, 6.900% due 04/01/29++........ 334,967 85,000 Federated Department Stores, Inc., 6.300% due 04/01/09.......... 75,625 336,616 Fifty Seventh Street Association, 7.125% due 06/01/17++........ 307,061 145,000 FleetBoston Financial Corporation, Subordinate Notes, 6.625% due 02/01/04.......... 145,744 570,000 Florida Windstorm, 7.125% due 02/25/19++........ 553,494 Ford Motor Company, 710,000 6.625% due 10/01/28.......... 598,672 145,000 7.450% due 07/16/31.......... 134,205 340,000 Ford Motor Credit Company, 7.375% due 10/28/09.......... 339,143 485,000 General Electric Capital Corporation, 7.250% due 05/03/04.......... 502,402 490,000 General Electric Capital Corporation, Notes, Series A, 7.375% due 01/19/10.......... 528,999 160,000 General Motors Acceptance Corporation, Notes, 7.750% due 01/19/10.......... 164,869 210,000 Goldman Sachs Group, 6.500% due 02/25/09.......... 202,930 665,000 GTE Corporation, Debentures, 6.940% due 04/15/28.......... 610,284 405,000 Hartford Life Insurance Company, Debentures, 7.650% due 06/15/27.......... 411,354 440,000 Hertz Corporation, Senior Notes, 7.625% due 08/15/07.......... 444,479 585,000 Home Depot, Inc., Senior Notes, 6.500% due 09/15/04++........ 593,710 600,000 Household Finance Corporation, 8.000% due 07/15/10.......... 636,054 330,000 Hyatt Equities LLC, 9.250% due 05/15/05++........ 352,023 630,000 John Hancock, Notes, 7.375% due 02/15/24.......... 600,535 See Notes to Financial Statements. 51 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) $ 560,000 Johnson and Johnson, Debentures, 6.625% due 09/01/09.......... $ 576,005 140,000 Kroger Company Guarantee, 8.050% due 02/01/10.......... 150,561 415,000 Kroger Company, Debentures, 7.700% due 06/01/29++........ 417,343 350,000 Lehman Brothers, Inc., Senior Subordinate Notes, 7.125% due 07/15/02.......... 352,688 295,000 Lockheed Martin Corporation, Notes, 8.200% due 12/01/09.......... 323,400 Lowe's Companies, Inc., Debentures: 480,000 6.875% due 02/15/28.......... 419,918 180,000 6.500% due 03/15/29++........ 149,711 645,000 Lucent Technologies, Inc., Debentures, 6.450% due 03/15/29.......... 434,324 May Department Stores Company: 560,000 6.700% due 09/15/28.......... 476,851 35,000 7.875% due 03/01/30.......... 34,346 15,000 May Department Stores Company Guarantee, 9.750% due 02/15/21.......... 17,532 255,000 Merck & Co., Inc., Debentures, 5.950% due 12/01/28.......... 232,703 Metropolitan Life Insurance Company, 250,000 7.450% due 11/01/23++........ 223,368 250,000 7.800% due 11/01/25++........ 231,900 250,000 Nationwide Mutual Insurance, 7.500% due 02/15/24++........ 208,225 250,000 News America , Inc., Debentures, 7.280% due 06/30/28.......... 205,818 300,000 News America Holdings, Inc., Senior Notes, 8.500% due 02/15/05.......... 312,957 410,000 Nisource Finance Corporation, 7.875% due 11/15/10++........ 428,844 550,000 Northern Trust Company, 6.625% due 10/01/03.......... 554,099 190,000 Norwest Financial, Inc., Senior Notes, 5.625% due 02/03/09.......... 174,809 295,000 PNC Funding Corporation, Company Guarantee, 6.125% due 02/15/09.......... 279,338 625,000 Pharmacia Corporation, Debentures, 6.600% due 12/01/28.......... 597,263 425,000 Prime Property Funding II, 6.800% due 08/15/02++........ 423,381 555,000 Procter and Gamble Company, 6.600% due 12/15/04.......... 569,293 575,000 Prudential Insurance Company, 8.300% due 07/01/25++........ 596,292 435,000 Qwest Capital Funding, 7.900% due 08/15/10.......... 452,343 Raytheon Co.: 205,000 8.200% due 03/01/06.......... 218,649 225,000 8.300% due 03/01/10.......... 245,673 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- $ 425,000 Rockwell International Corporation, Debentures, 6.700% due 01/15/28.......... $ 371,667 225,000 State Street Corporation, 7.650% due 06/15/10.......... 240,390 215,000 Sun Microsystems, Inc., Senior Notes, 7.650% due 08/15/09.......... 221,078 235,000 Suntrust Banks, Inc., 7.750% due 05/01/10.......... 246,501 130,000 Time Warner Entertainment Company, Debentures, 7.250% due 09/01/08.......... 133,600 115,000 Time Warner, Inc. Debentures, 7.570% due 02/01/24.......... 112,034 90,000 Time Warner, Inc., Company Guarantee, 6.625% due 05/15/29.......... 80,627 355,000 United Parcel Service, Debentures, 8.375% due 04/01/20.......... 413,944 535,000 United Technologies Corporation, 6.700% due 08/01/28.......... 511,583 517,187 US Airways, Inc., Pass Through Certificates, 6.850% due 01/30/18.......... 486,673 205,000 US Airways, Pass Thru Certificates, Class G, 8.110% due 02/20/17.......... 214,498 990,000 Wal-Mart Stores, Inc., Senior Notes, 6.875% due 08/10/09.......... 1,033,144 205,000 Washington Mutual, Inc., 8.250% due 04/01/10.......... 216,205 345,000 Washington Mutual, Inc., Company Guarantee, 8.375% due 06/01/27.......... 318,100 885,000 World Financial Properties, Inc., Pass Through Certificates, 6.950% due 09/01/13++........ 894,800 655,000 WorldCom, Inc., Senior Notes, 6.950% due 08/15/28.......... 556,045 ----------- Total Corporate Fixed Income Securities (Cost $33,233,326)........... 32,280,508 ----------- ASSET BACKED SECURITIES -- 3.9% 113,629 Arcadia Auto Recreation Trust, 5.900% due 11/15/02.......... 113,595 372,733 Arcadia Automobile Receivables Trust, 6.375% due 01/15/03.......... 373,020 42,669 BankBoston Home Equity Trust, 6.280% due 11/25/10.......... 42,480 825,000 BMW Credit Corporation Trust, 6.650% due 02/27/03.......... 828,705 135,503 BMW Vehicle Owner Trust, 6.160% due 12/25/01.......... 135,498 Centex Home Equity: 21,045 6.070% due 03/25/18.......... 20,951 159,121 5.910% due 04/25/19.......... 158,275 Citibank Credit Card Issuance Trust: 770,000 6.875% due 11/15/09.......... 795,564 320,000 7.450% due 09/15/05.......... 334,611 See Notes to Financial Statements. 52 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- ASSET BACKED SECURITIES -- (CONTINUED) $ 43,834 ContiMortgage Home Equity Loan Trust, 6.010% due 12/25/13.......... $ 43,634 550,000 Daimler Chrysler Auto Trust, 6.210% due 12/08/03.......... 550,851 129,099 Daimler-Benz Auto Grantor Trust, 6.050% due 03/31/05.......... 129,089 830,000 Daimlerchrysler Auto Trust, 6.820% due 09/06/04.......... 845,452 360,139 EQCC Home Equity Loan Trust, 6.548% due 04/25/10.......... 356,422 First Security Auto Grantor Trust: 93,716 6.100% due 04/15/03.......... 93,701 119,096 5.970% due 04/15/04.......... 119,036 525,000 First USA Credit Card Master Trust, 6.789% due 09/17/03#......... 525,000 Ford Credit Auto Owner Trust: 7,197 5.470% due 09/15/01.......... 7,194 182,949 5.770% due 11/15/01.......... 182,834 414,344 6.200% due 04/15/02.......... 414,360 365,000 Ford Credit Grantor Trust, 6.740% due 06/15/04.......... 370,806 188,462 Green Point Manufactured Housing, 5.780% due 12/15/09.......... 187,562 Green Tree Financial Corporation: 81,649 5.990% due 07/15/30.......... 81,598 262,704 5.510% due 02/01/31.......... 262,440 Green Tree Home Equity Loan Trust: 20,437 6.040% due 06/15/29.......... 20,434 252,827 5.600% due 12/01/30.......... 251,879 222,539 HFC Home Equity Loan, 6.830% due 12/20/16.......... 222,136 540,000 Honda Auto Lease Trust, 6.620% due 07/15/04.......... 547,573 MBNA Master Credit Card Trust: 270,000 6.900% due 01/15/08.......... 280,144 285,000 5.900% due 08/15/11.......... 280,600 540,000 MBNA Master Credit Card Trust, Class A, 7.350% due 07/16/07.......... 566,784 MMCA Automobile Trust: 236,446 6.300% due 06/15/02.......... 236,491 695,000 7.000% due 06/15/04.......... 706,460 64,722 Navistar Financial Corporation, Owner Trust, 5.550% due 02/15/02.......... 64,696 219,919 New Holland Equipment, Receivables Trust, 6.390% due 10/15/02.......... 219,983 281,937 Nissan Auto Receivables Grantor Trust, 5.450% due 04/15/04.......... 280,936 Nissan Auto Recreation Owners Trust: 550,000 6.710% due 03/17/03.......... 552,574 600,000 6.720% due 08/16/04.......... 605,808 600,000 Peco Energy Trust, 7.625% due 03/01/10.......... 630,353 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- $ 194,051 Premier Auto Trust, 5.820% due 02/08/02.......... $ 193,929 550,000 Residential Asset Securities Corporation, 7.205% due 09/25/16.......... 552,365 400,000 Rental Car Finance Corporation, 6.450% due 08/25/05.......... 398,819 128,363 Toyota Auto Receivables Owner Trust, 5.800% due 12/17/01.......... 128,320 ----------- Total Asset Backed Securities (Cost $13,576,369)........... 13,712,962 ----------- U.S. TREASURY NOTES -- 0.0%** 6,258 3.375% due 01/15/07#......... 6,139 ----------- Total U.S. Treasury Notes (Cost $ 6,258)............... 6,139 ----------- REPURCHASE AGREEMENT -- 7.7% 27,053,000 Agreement with J.P. Morgan Securities, Inc., 5.900% to be repurchased at $27,070,735 on 01/02/01, collateralized by $26,437,000 U.S. Treasury Bonds 5.625% due 02/15/06, market value $27,593,995............ 27,053,000 ------------ Total Repurchase Agreement (Cost $ 27,053,000).......... 27,053,000 ------------ TOTAL INVESTMENTS (COST $357,137,412*).............. 110.8% 390,315,450 OTHER ASSETS AND LIABILITIES (NET)............................. (10.8)% (37,982,444) ------ ------------ NET ASSETS........................... 100.0% $352,333,006 ====== ============ - ------------------------- * Aggregate cost for federal tax purposes was $358,165,521. ** 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. ## Security pledged as collateral for open futures contracts. Abbreviations: ADR -- American Depository Receipt See Notes to Financial Statements. 53 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 99.0% AEROSPACE AND DEFENSE -- 0.3% 6,400 Boeing Company................. $ 422,400 ----------- BASIC INDUSTRY -- 2.5% 12,900 Air Products and Chemicals, Inc. 528,900 28,700 Alcoa, Inc..................... 961,450 19,600 Dow Chemical Company........... 717,850 3,800 Georgia-Pacific Group.......... 118,275 2,800 Illinois Tool Works, Inc....... 166,775 600 Phelps Dodge Corporation....... 33,487 3,200 Pitney Bowes, Inc.............. 106,000 7,200 PPG Industries, Inc............ 333,450 9,300 Praxair, Inc................... 412,687 11,600 Rohm and Haas Company.......... 421,225 8,000 Smurfit-Stone Container Corporation+................. 119,500 800 Temple-Inland, Inc............. 42,900 ----------- 3,962,499 ----------- BIOTECHNOLOGY -- 0.0%** 800 Incyte Genomics, Inc.+......... 19,900 ----------- CAPITAL GOODS -- 0.9% 8,100 Caterpillar, Inc............... 383,231 4,100 Cooper Industries, Inc......... 188,344 4,200 Deere & Company................ 192,412 5,400 Eaton Corporation.............. 406,012 900 Emerson Electric Company....... 70,931 5,300 Grainger (W.W.), Inc........... 193,450 ----------- 1,434,380 ----------- CONSUMER STAPLES -- 6.3% 6,000 Clorox Company................. 213,000 15,600 Coca-Cola Company.............. 950,625 1,200 General Mills, Inc............. 53,475 35,400 Gillette Company............... 1,278,825 10,200 Heinz (H.J.) Company.......... 483,862 9,700 Kellogg Company................ 254,625 10,200 PepsiCo, Inc................... 505,538 67,300 Philip Morris Companies, Inc... 2,961,200 24,700 Procter & Gamble Company....... 1,937,406 4,500 Quaker Oats Company............ 438,187 12,200 Unilever NV, NY Shares......... 767,837 ----------- 9,844,580 ----------- CYCLICAL -- 1.5% 41,000 Cendant Corporation+........... 394,625 7,600 Dana Corporation............... 116,375 22,700 Delphi Automotive Systems Corporation.................. 255,375 30,600 Ford Motor Company............. 717,187 4,500 Goodrich (B.F.) Company........ 163,687 1,900 Harley-Davidson, Inc........... 75,525 8,800 Hasbro, Inc.................... 93,500 2,100 International Game Technology+. 100,800 4,100 Johnson Controls, Inc.......... 213,200 4,900 Jones Apparel Group, Inc.+..... 157,719 4,500 Mattel, Inc.................... 64,980 ----------- 2,352,973 ----------- VALUE SHAREES (NOTE 1) ------- ---------- DIVERSIFIED -- 2.1% 7,600 Eastman Kodak Company.......... $ 299,250 9,600 Ingersoll-Rand Company......... 402,000 4,500 Parker Hannifin Corporation.... 198,562 38,300 Tyco International, Ltd........ 2,125,650 2,300 United Technologies Corporation 180,837 ----------- 3,206,299 ----------- DRUGS AND MEDICAL PRODUCTS -- 11.2% 13,000 Abbott Laboratories............ 629,687 11,100 ALZA Corporation+.............. 471,750 16,700 American Home Products Corporation.................. 1,061,285 22,300 Bristol-Myers Squibb Company... 1,648,806 1,800 Forest Laboratories, Inc.+..... 239,175 16,900 Johnson & Johnson.............. 1,775,556 16,500 Lilly (Eli) and Company........ 1,535,531 37,400 Merck & Company, Inc........... 3,501,575 83,400 Pfizer, Inc.................... 3,836,400 19,700 Pharmacia Corporation.......... 1,201,700 28,400 Schering-Plough Corporation.... 1,611,700 ----------- 17,513,165 ----------- ENERGY -- 7.7% 3,100 Anadarko Petroleum Corporation. 220,348 10,300 Baker Hughes, Inc.............. 428,094 23,200 Chevron Corporation............ 1,958,950 1,400 Conoco, Inc., Class B.......... 40,512 5,300 Cooper Cameron Corporation+.... 350,131 1,100 Devon Energy Corporation....... 67,067 2,800 Dynegy Inc., Class A........... 156,975 51,400 Exxon Mobil Corporation........ 4,468,587 16,800 Global Marine, Inc.+........... 476,700 700 Halliburton Company............ 25,375 44,100 Royal Dutch Petroleum Company, NY Shares........... 2,670,806 14,100 Texaco, Inc.................... 875,962 8,700 TXU Corporation................ 385,519 ----------- 12,125,026 ----------- FINANCIAL SERVICES -- 13.8% 4,300 A. G. Edwards, Inc............. 203,981 4,600 American Express Company....... 252,712 12,100 AmSouth Bancorporation......... 184,525 19,000 Bank of America Corporation.... 871,625 32,800 Bank One Corporation........... 1,201,300 3,500 Banknorth Group, Inc........... 69,781 11,400 Capital One Financial Corporation 750,262 10,400 CIT Group, Inc., Class A....... 209,300 97,200 Citigroup, Inc................. 4,963,275 7,700 Countrywide Credit Industries, Inc. 386,925 4,200 Dime Bancorp, Inc.............. 124,162 14,100 E*TRADE Group, Inc.+........... 103,987 10,300 Fannie Mae..................... 893,525 37,300 First Union Corporation........ 1,037,406 8,100 Freddie Mac.................... 557,887 14,200 Goldman Sachs Group, Inc....... 1,518,512 3,500 GreenPoint Financial Corporation 143,281 3,700 Hibernia Corporation, Class A.. 47,175 2,300 Household International, Inc... 126,500 See Notes to Financial Statements. 54 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- -------- COMMON STOCK -- (CONTINUED) FINANCIAL SERVICES -- (CONTINUED) 3,600 John Hancock Financial Services, Inc................ $ 135,450 13,600 KeyCorp........................ 380,800 5,100 Lehman Brothers Holdings, Inc.. 344,887 6,800 Lincoln National Corporation... 321,725 1,500 MBNA Corporation............... 55,406 17,700 Merrill Lynch & Company, Inc... 1,206,919 5,200 National Commerce Bancorporation 128,700 12,500 PNC Financial Services Group... 913,281 17,000 Providian Financial Corporation 977,500 3,800 Sovereign Bancorp, Inc......... 30,875 2,300 Stilwell Financial, Inc........ 90,706 5,000 Summit Bancorp................. 190,937 700 SunTrust Banks, Inc............ 44,100 10,800 TD Waterhouse Group, Inc.+..... 143,100 6,200 Torchmark Corporation.......... 238,312 54,100 U.S. Bancorp................... 1,579,044 21,900 Washington Mutual, Inc......... 1,162,069 ----------- 21,589,932 ----------- HEALTH SERVICES -- 3.0% 1,900 Aetna, Inc.+................... 78,019 5,800 Amgen, Inc.+................... 370,837 12,600 Becton, Dickinson & Company.... 436,275 16,900 Boston Scientific Corporation+. 231,319 4,800 C.R. Bard, Inc................. 223,500 5,000 CIGNA Corporation.............. 661,500 4,600 Guidant Corporation+........... 248,113 21,700 HCA-Healthcare Company......... 955,017 1,600 Human Genome Sciences, Inc.+... 110,900 2,100 Medtronic, Inc................. 126,788 5,800 St. Jude Medical, Inc.+........ 356,338 19,300 Tenet Healthcare Corporation+.. 857,644 ----------- 4,656,250 ----------- INSURANCE -- 3.6% 7,000 AFLAC, Inc..................... 505,313 17,400 Allstate Corporation........... 757,988 6,100 Ambac Financial Group, Inc..... 355,706 9,800 American General Corporation... 798,700 19,200 American International Group, Inc. 1,892,400 4,400 Aon Corporation................ 150,700 10,000 Hartford Financial Services Group, Inc................... 706,250 4,800 MBIA, Inc...................... 355,800 4,500 MetLife, Inc................... 157,500 ----------- 5,680,357 ----------- MEDIA AND COMMUNICATIONS -- 1.4% 16,500 AT&T Corporation - Liberty Media Corporation, Class A+.. 223,781 13,300 Gemstar-TV Guide International, Inc.+......... 613,463 27,400 Viacom, Inc., Class B+......... 1,280,950 ----------- 2,118,194 ----------- VALUE SHARES (NOTE 1) -------- ---------- PAPER AND ALLIED PRODUCTS -- 0.2% 4,400 Kimberly-Clark Corporation..... $ 311,036 ----------- RETAIL -- 6.8% 6,800 Abercrombie & Fitch Company, Class A+............ 136,000 1,400 Best Buy Co., Inc.+............ 41,388 1,700 eBay, Inc.+.................... 56,100 5,700 Estee Lauder Companies, Inc., Class A................ 249,731 15,600 Federated Department Stores, Inc.+................ 546,000 12,500 Gap, Inc....................... 318,750 19,600 General Motors Corporation..... 998,375 35,400 Home Depot, Inc................ 1,617,338 23,300 Kroger Company+................ 630,556 13,500 Limited (The), Inc............. 230,344 11,600 Lowe's Companies, Inc.......... 516,200 10,500 May Department Stores Company..................... 343,875 4,300 NIKE, Inc., Class B............ 239,994 11,900 Safeway, Inc.+................. 743,750 29,000 Target Corporation............. 935,250 10,100 TJX Companies, Inc............. 280,275 51,300 Wal-Mart Stores, Inc........... 2,725,313 2,600 Walgreen Company............... 108,713 ----------- 10,717,952 ----------- SERVICES -- 3.2% 24,000 America Online, Inc.+.......... 835,200 30,200 Comcast Corporation, Class A+.. 1,260,850 1,100 Fox Entertainment Group, Inc., Class A+........ 19,663 3,200 Gannett Company, Inc........... 201,800 18,600 Hilton Hotels Corporation...... 195,300 700 Knight-Ridder, Inc............. 39,813 7,600 Marriott International, Inc., Class A................ 321,100 12,600 McDonald's Corporation......... 428,400 1,800 New York Times Company, Class A 72,113 8,400 Starwood Hotels and Resorts Worldwide, Inc............... 296,100 27,100 Time Warner, Inc............... 1,415,704 ----------- 5,086,043 ----------- TECHNOLOGY -- 21.6% 3,000 Adobe Systems, Inc............. 174,563 7,200 Agilent Technologies, Inc.+.... 394,200 6,200 Akamai Technologies, Inc. +.... 130,588 16,500 Altera Corporation+............ 434,156 5,300 Ameren Corporation............. 245,456 6,000 Analog Devices, Inc.+.......... 307,125 13,500 Applied Materials, Inc.+....... 515,531 8,600 Automatic Data Processing, Inc. 544,488 9,600 BEA Systems, Inc.+............. 646,200 2,300 Citrix Systems, Inc.+.......... 51,750 48,500 Compaq Computer Corporation.... 729,925 21,600 Corning, Inc................... 1,140,750 See Notes to Financial Statements. 55 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) TECHNOLOGY -- (CONTINUED) 2,100 Cypress Semiconductor Corporation+................. $ 41,344 42,300 Dell Computer Corporation+..... 737,606 3,300 Dover Corporation.............. 133,856 28,400 EMC Corporation+............... 1,888,600 130,200 General Electric Company....... 6,241,463 10,000 Hewlett-Packard Company........ 315,625 27,000 Honeywell International, Inc... 1,277,438 84,500 Intel Corporation.............. 2,540,281 20,300 International Business Machines Corporation......... 1,725,500 3,800 ITT Industries, Inc............ 147,250 25,200 JDS Uniphase Corporation+...... 1,050,525 4,500 Lattice Semiconductor Corporation+ 82,688 9,500 Linear Technology Corporation.. 439,375 4,300 Maxim Integrated Products, Inc.+ 205,594 5,000 Micron Technology, Inc.+....... 177,500 59,000 Microsoft Corporation+......... 2,559,125 5,200 NCR Corporation+............... 255,450 4,100 Network Appliance, Inc.+....... 263,169 96,100 Oracle Corporation+............ 2,792,906 8,700 Parametric Technology Corporation+ 116,906 900 PMC-Sierra, Inc.+.............. 70,763 7,800 QUALCOMM, Inc.+................ 641,063 5,500 Quantum Corporation-DLT & Storage Systems+........... 73,219 900 Redback Networks, Inc.+........ 36,900 1,500 Siebel Systems, Inc.+.......... 101,438 71,100 Sun Microsystems, Inc.+........ 1,981,913 19,300 Texas Instruments, Inc......... 914,338 1,200 TIBCO Software, Inc.+.......... 57,525 12,400 VERITAS Software Corporation+.. 1,085,000 10,700 Xilinx, Inc.+.................. 493,538 ----------- 33,762,630 ----------- TELECOMMUNICATIONS -- 9.5% 28,500 AT&T Corporation............... 493,406 3,616 Avaya, Inc.+................... 37,290 14,400 BellSouth Corporation.......... 589,500 2,200 Broadcom Corporation, Class A+. 184,800 1,900 CIENA Corporation+............. 154,256 115,200 Cisco Systems, Inc.+........... 4,406,400 19,100 Global Crossing, Ltd.+......... 273,369 8,600 Level 3 Communications, Inc.+.. 282,188 26,100 Nextel Communications, Inc., Class A+..................... 645,975 39,100 Nortel Networks Corporation.... 1,253,644 39,300 Qwest Communications International, Inc.+......... 1,611,300 49,500 SBC Communications, Inc........ 2,363,625 23,900 Sprint Corporation (PCS Group)+ 488,456 1,500 Tellabs, Inc. +................ 84,750 34,500 Verizon Communications......... 1,729,313 19,300 WorldCom, Inc.+................ 271,406 ----------- 14,869,678 ----------- VALUE SHARES (NOTE 1) -------- ---------- TRANSPORTATION -- 1.1% 9,500 AMR Corporation+............... $ 372,281 12,700 Burlington Northern Santa Fe Corporation......... 359,569 2,600 C.H. Robinson Worldwide, Inc... 81,738 3,800 FedEx Corporation+............. 151,848 7,500 Southwest Airlines Company..... 251,475 9,500 Union Pacific Corporation...... 482,125 2,000 Williams Communications Group, Inc.+................. 23,500 ----------- 1,722,536 ----------- UTILITIES -- 2.3% 6,000 Cinergy Corporation............ 210,750 5,800 CMS Energy Corporation......... 183,788 6,100 Consolidated Edison, Inc....... 234,850 6,100 DTE Energy Company............. 237,519 18,700 Entergy Corporation............ 791,244 5,500 FPL Group, Inc................. 394,625 3,900 GPU, Inc....................... 143,569 7,100 NiSource, Inc.................. 218,325 11,800 PG&E Corporation............... 236,000 4,000 Pinnacle West Capital Corporation 190,500 9,200 Progress Energy, Inc........... 452,525 3,400 Wisconsin Energy Corporation... 76,713 6,300 Xcel Energy, Inc............... 183,094 ----------- 3,553,502 ----------- Total Common Stock (Cost $155,803,270).......... 154,949,332 ----------- PRINCIPAL AMOUNT ---------- U.S. TREASURY OBLIGATIONS -- 1.1% U.S. TREASURY BILLS -- 1.0% $ 407,000 5.56% due 02/01/01#............ 405,090 1,189,000 5.47% due 03/01/01#............ 1,178,061 ------------ 1,583,151 ------------ U.S. TREASURY NOTES -- 0.1% 80,000 5.625% due 02/28/01##.......... 79,962 ------------ Total U.S. Treasury Obligations (Cost $1,663,050)............ 1,663,113 ------------ TOTAL INVESTMENTS (COST $157,466,320*).............. 100.1% 156,612,445 OTHER ASSETS AND LIABILITIES (NET)............................. (0.1)% (95,027) ------ ------------ NET ASSETS........................... 100.0% $156,517,418 ====== ============ - -------------------------------------- * Aggregate cost for federal tax purposes was $158,117,439. ** 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. 56 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- 84.8% AEROSPACE AND DEFENSE -- 0.6% BE Aerospace, Inc., Senior Subordinate Notes: $ 25,000 9.500% due 11/01/08.......... $ 24,687 125,000 8.000% due 03/01/08.......... 115,937 ----------- 140,624 ----------- AUTOMOTIVES -- 0.9% Hayes Lemmerz International, Inc., Company Guarantee: 45,000 11.000% due 07/15/06......... 33,750 80,000 9.125% due 07/15/07.......... 52,800 55,000 Lear Corporation, 9.500% due 07/15/06.......... 50,714 40,000 Lear Seating, 8.250% due 02/01/02.......... 39,855 25,000 Oxford Automotive, Inc., Company Guarantee, 10.125% due 06/15/07......... 17,000 ----------- 194,119 ----------- BROADCASTING AND MEDIA -- 13.8% 55,000 Acme Television, Company Guarantee, 10.875% due 09/30/04^........ 47,575 Adelphia Communications, Senior Notes: 150,000 8.375% due 02/01/08.......... 130,500 30,000 9.375% due 11/15/09.......... 26,400 100,000 Albritton Communication, Inc., Senior Subordinate Notes, 8.875% due 02/01/08.......... 93,000 50,000 Avalon Cable Holdings, LLP, Senior Discount Notes, 11.875% due 12/01/08^........ 33,625 150,000 Benedek Communications Corporation, Senior Discount Notes, 13.250% due 05/15/06^........ 108,000 Chancellor Media Corporation, Company Guarantee: 100,000 8.750% due 06/15/07.......... 102,500 325,000 8.000% due 11/01/08.......... 325,000 Charter Communications Holdings LLC, Senior Discount Notes: 270,000 8.250% due 04/01/07.......... 244,350 110,000 9.920% due 04/01/11^......... 63,800 125,000 Citadel Broadcasting Company, Company Guarantee, 9.250% due 11/15/08^......... 120,625 50,000 CSC Holdings, Inc., Senior Subordinate Notes, 9.250% due 11/01/05.......... 51,250 50,000 Cumulus Media, Inc., Company Guarantee, 10.375% due 07/01/08......... 40,125 200,000 Echostar DBS Corporation, Senior Notes, 9.375% due 02/01/09.......... 194,000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- BROADCASTING AND MEDIA -- (CONTINUED) $ 90,000 Fox/Liberty Networks LLC, Senior Notes, 8.875% due 08/15/07.......... $ 91,575 175,000 Frontiervision LP, Senior Subordinate Notes, 11.000% due 10/15/06......... 160,125 Granite Broadcasting Corporation, Senior Subordinate Notes: 9,000 10.375% due 05/15/05......... 5,715 50,000 8.875% due 05/15/08.......... 28,000 90,000 Hollinger International Publishing, Company Guarantee, 9.250% due 03/15/07.......... 89,550 Lenfest Communications, Senior Subordinate Notes: 75,000 10.500% due 06/15/06......... 84,000 50,000 8.250% due 02/15/08.......... 51,817 315,000 Lin Holdings Corporation, Senior Discount Notes, 10.000% due 03/01/08^........ 230,737 190,000 Paxson Communications Corporation, Senior Subordinate Notes, 11.625% due 10/01/02......... 191,900 45,000 Satelites Mexicanos S.A., Senior Notes, 10.125% due 11/01/04......... 29,306 125,000 Telemundo Holdings, Inc., Senior Discount Notes, 11.500% due 08/15/08^........ 84,375 75,000 Telewest Communication, 11.375% due 02/01/10^........ 33,750 20,000 Telewest PLC Yankee Note, 9.875% due 02/01/10.......... 16,400 125,000 Time Warner Telecom LLC, Senior Notes, 9.750% due 07/15/08.......... 115,000 230,000 UnitedGlobalCom, Inc., Senior Discount Notes, 10.750% due 02/15/08^........ 89,700 65,000 XM Satellite Radio, Inc.-Secured, 14.000% due 03/15/10......... 34,450 100,000 Young Broadcasting, Inc., Company Guarantee, 8.750% due 06/15/07.......... 92,500 ----------- 3,009,650 ----------- BUILDING AND CONSTRUCTION -- 2.0% 110,000 Atrium Companies, Inc., 10.500% due 05/01/09......... 88,000 150,000 Formica Corporation, Senior Subordinate Notes, 10.875% due 03/01/09......... 56,250 125,000 MMI Products, Inc., Senior Subordinate Notes, 11.250% due 04/15/07......... 121,875 Nortek, Inc., Senior Notes: 140,000 9.250% due 03/15/07........... 127,750 35,000 8.875% due 08/01/08........... 30,975 ----------- 424,850 ----------- See Notes to Financial Statements. 57 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) CHEMICALS -- 1.9% $ 190,000 Huntsman ICI Chemicals, Ltd. Liability Corporation, 10.125% due 07/01/09......... $ 181,687 Lyondell Chemical Company: 55,000 9.625% due 05/01/07.......... 53,350 40,000 9.875% due 05/01/07.......... 38,800 40,000 NL Industries, Senior Notes, 11.750% due 10/15/03......... 40,600 45,000 PCI Chemicals Canada, Inc., Company Guarantee, 9.250% due 10/15/07.......... 14,400 35,000 Sterling Chemicals, Inc., Company Guarantee, 12.375% due 07/15/06......... 32,200 Sterling Chemicals, Inc., Senior Subordinate Notes: 40,000 11.750% due 08/15/06......... 19,000 50,000 11.250% due 04/01/07......... 23,500 ----------- 403,537 ----------- COMMERCIAL SERVICES -- 2.3% 75,000 Allied Waste North America, Inc., 7.625% due 01/01/06.......... 71,625 60,000 Allied Waste North America, Inc., Company Guarantee, 10.000% due 08/01/09......... 56,100 30,000 Continental Resources, Company Guarantee, 10.250% due 08/01/08......... 26,100 80,000 Iron Mountain, Inc., Company Guarantee, 8.750% due 09/30/09.......... 79,200 100,000 Pierce Leahy Corporation, Senior Subordinate Notes, 9.125% due 07/15/07.......... 99,500 80,000 Sovereign Specialty Chemicals, 11.875% due 03/15/10......... 77,400 World Color Press, Inc., Senior Subordinate Notes: 75,000 8.375% due 11/15/08.......... 76,013 5,000 7.750% due 02/15/09.......... 4,922 ----------- 490,860 ----------- COMPUTER SERVICES AND SOFTWARE -- 1.4% 75,000 Anacomp, Inc., Senior Subordinate Notes, 10.875% due 04/01/04......... 9,000 140,000 Exodus Communications Inc., Senior Notes, 11.250% due 07/01/08......... 124,600 70,000 Globix Corporation, Senior Notes, 12.500% due 02/01/10......... 26,600 PSI Net, Inc., Senior Notes: 25,000 10.500% due 12/01/06......... 7,062 40,000 11.500% due 11/01/08......... 10,800 200,000 11.000% due 08/01/09......... 52,000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- COMPUTER SERVICES AND SOFTWARE -- (CONTINUED) Unisys Corporation, Senior Notes: $ 25,000 11.750% due 10/15/04......... $ 26,312 60,000 7.875% due 04/01/08.......... 55,500 ----------- 311,874 ----------- CONSUMER GOODS -- 0.4% 40,000 Fage Dairy Industries S.A., Senior Notes, 9.000% due 02/01/07.......... 30,200 75,000 Remington Products Company, LLC, Senior Subordinate Notes, 11.000% due 05/15/06......... 58,875 ----------- 89,075 ----------- CONTAINERS -- 3.2% 110,000 Ball Corporation, Company Guarantee, 8.250% due 08/01/08.......... 105,875 Gaylord Container Corporation, Senior Notes: 60,000 9.375% due 06/15/07.......... 37,800 115,000 9.750% due 06/15/07.......... 73,600 85,000 Gaylord Container Corporation, Senior Subordinate Notes, 9.875% due 02/15/08.......... 34,000 40,000 Huntsman Packaging Corporation, 13.000% due 06/01/10......... 22,600 220,000 Riverwood International, Company Guarantee, 10.250% due 04/01/06......... 217,800 165,000 Silgan Holdings, Inc., Senior Subordinate Debentures, 9.000% due 06/01/09.......... 141,075 70,000 US Can Corporation, Senior Subordinate Notes, 12.375% due 10/01/10++....... 68,862 ----------- 701,612 ----------- DIVERSIFIED MANUFACTURING -- 0.2% 40,000 Actuant Corporation 13.000% due 05/01/09......... 36,400 ----------- EDUCATIONAL -- 0.6% 150,000 Kindercare Learning Centers, Inc., Senior Subordinate Notes, 9.500% due 02/15/09.......... 133,500 ----------- ELECTRONICS -- 0.7% 155,000 Flextronics International, Ltd, Senior Subordinate Notes, 9.875% due 07/01/10++........ 151,125 ----------- ENERGY -- 0.5% 97,750 NRG South Central, LLC, Senior Notes, 8.962% due 03/15/16++........ 103,776 ----------- See Notes to Financial Statements. 58 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) ENGINEERING AND TECHNOLOGY -- 1.9% $ 135,000 Applied Extrusion Technology, Senior Notes, 11.500% due 04/01/02......... $ 78,975 160,000 Argo-Tech Corporation, Company Guarantee, 8.625% due 10/01/07.......... 126,400 215,000 Building Materials Corporation, Senior Notes, 8.625% due 12/15/06.......... 53,750 80,000 General Binding Corporation, Company Guarantee, 9.375% due 06/01/08.......... 58,400 100,000 Moog, Inc., Senior Subordinate Notes, 10.000% due 05/01/06......... 98,375 ----------- 415,900 ----------- FINANCIAL -- 2.2% 40,000 Madison River Cap, Senior Notes, 13.250% due 03/01/10......... 26,000 195,000 Ono Finance Plc, Company Guarantee, 13.000% due 05/01/09......... 144,300 230,000 Williams Scotsman, Inc., Company Guarantee, 9.875% due 06/01/07.......... 188,600 125,000 Willis Corroon Corporation, Company Guarantee, 9.000% due 02/01/09.......... 111,250 ----------- 470,150 ----------- HOTEL AND GAMING -- 9.7% 175,000 Aztar Corporation, Senior Subordinate Notes, 8.875% due 05/15/07.......... 168,000 160,000 Argosy Gaming Company Guarantee, 10.750% due 06/01/09......... 168,000 65,000 Autotote Corporation, 12.500% due 08/15/10++....... 61,100 150,000 Boyd Gaming Corporation, Senior Subordinate Notes, 9.500% due 07/15/07.......... 136,500 180,000 Coast Hotels & Casino, Company Guarantee, 9.500% due 04/01/09++........ 172,800 15,000 Eldorado Resorts LLC, Senior Subordinate Notes, 10.500% due 08/15/06......... 14,850 185,000 HMH Properties, Inc., Senior Notes, 8.450% due 12/01/08.......... 178,525 90,000 Hollywood Park, Inc., Company Guarantee, 9.250% due 02/15/07.......... 90,900 110,000 Horseshoe Gaming Holdings, Company Guarantee, 8.625% due 05/15/09.......... 106,150 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- HOTEL AND GAMING -- (CONTINUED) $ 45,000 Isle of Capri Casinos, Company Guarantee, 8.750% due 04/15/09.......... $ 40,050 80,000 Mandalay Resort Group, Senior Notes, 9.500% due 08/01/08.......... 80,000 80,000 Mandalay Resort Group Series B, Senior Subordinate Notes, 10.250% due 08/01/07......... 79,000 180,000 MGM Grand, Inc., 9.750% due 06/01/07.......... 189,000 25,000 MGM Mirage, Inc., 8.500% due 09/15/10.......... 25,671 200,000 Park Place Entertainment, Senior Subordinate Notes, 8.875% due 09/15/08.......... 202,000 130,000 Prime Hospitality Corporation, Senior Subordinate Notes, 9.750% due 04/01/07.......... 128,700 Station Casinos, Inc., Senior Subordinate Notes: 105,000 8.875% due 12/01/08.......... 102,900 165,000 9.875% due 07/01/10.......... 169,125 ----------- 2,113,271 ----------- INDUSTRIAL -- 6.1% 140,000 American Standard Companies, Inc., Company Guarantee, 7.375% due 02/01/08.......... 130,200 45,000 American Standard, Inc., 7.625% due 02/15/10.......... 42,300 125,000 Blount, Inc., 13.000% due 08/01/09......... 96,250 75,000 Completel Europe NV, Company Guarantee, 14.000% due 02/15/09......... 33,000 110,000 D R Horton, Inc, Senior Subordinate Notes, 9.750% due 09/15/10.......... 103,400 75,000 International Knife & Saw, Inc., Senior Subordinate Notes, 11.375% due 11/15/06......... 36,937 100,000 Jorgensen (Earle M.) Company, Senior Notes, 9.500% due 04/01/05.......... 84,500 215,000 K & F Industries, Senior Subordinate Notes, 9.250% due 10/15/07.......... 208,012 60,000 Lennar Corporation, 9.950% due 05/01/10.......... 61,500 70,000 Metal Management, Inc., Company Guarantee, 10.000% due 05/15/08+++...... 700 85,000 Numatics, Inc., Company Guarantee, 9.625% due 04/01/08.......... 52,700 95,000 P&L Coal Holdings Corporation, 8.875% due 05/15/08.......... 95,000 85,000 Simonds Industries, Company Guarantee, 10.250% due 07/01/08......... 60,031 See Notes to Financial Statements. 59 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) INDUSTRIAL -- (CONTINUED) Spectrasite Holdings, Inc., Senior Discount Notes: $ 55,000 12.000% due 07/15/08^........ $ 33,825 225,000 11.250% due 04/15/09^........ 123,750 82,500 Synthetic Industries, Inc., 13.000% due 06/14/08......... 81,262 50,000 Thermadyne Holdings Corporation, Company Guarantee, 9.875% due 06/01/08.......... 31,500 85,000 Thermadyne Holdings Corporation, Debentures, 12.500% due 06/01/08^........ 850 75,000 US Timberlands, Senior Notes, 9.625% due 11/15/07.......... 60,000 ----------- 1,335,717 ----------- INTERNET SOFTWARE -- 0.6% 135,000 Kappa Beheer BV, 10.625% due 07/15/09......... 137,700 ----------- MACHINERY AND MATERIAL HANDLING -- 1.0% 25,000 Alaris Medical, Inc., Senior Discount Notes, 11.125% due 08/01/08......... 2,031 Buckeye Technologies, Inc., Senior Subordinate Notes: 35,000 8.500% due 12/15/05.......... 33,469 100,000 8.000% due 10/15/10.......... 89,000 85,000 Columbus McKinnon Corporation, Company Guarantee, 8.500% due 04/01/08.......... 70,975 35,000 Motors and Gears, Inc., Senior Notes, 10.750% due 11/15/06......... 31,150 ----------- 226,625 ----------- MEDIA - CABLE TELEVISION -- 1.9% 125,000 Callahan Nordrhein-West, Senior Notes, 14.000% due 07/15/10++....... 113,125 150,000 Ekabel Hessen, Senior Notes, 14.500% due 09/01/10++....... 126,000 200,000 United Pan Europ Comm NV, Senior Notes, 10.875% due 08/01/09......... 126,000 80,000 United Pan Europ Comm, Series B, 11.250% due 02/01/10......... 51,600 ----------- 416,725 ----------- MEDICAL SERVICES AND SUPPLIES -- 2.0% 100,000 Alaris Medical Systems, Inc., 9.750% due 12/01/06.......... 37,500 120,000 Fresenius Med Cap Trust, 7.875% due 02/01/08.......... 110,700 100,000 Prime Medical Services, Inc., Company Guarantee, 8.750% due 04/01/08.......... 86,000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- MEDICAL SERVICES AND SUPPLIES -- (CONTINUED) $ 200,000 Tenet Healthcare Corporation, Senior Notes, 8.000% due 01/15/05.......... $ 202,500 ----------- 436,700 ----------- OIL AND GAS -- 4.1% 70,000 Chesapeake Energy Corporation, Company Guarantee, 9.625% due 05/01/05.......... 72,100 25,000 Clark R&M, Inc., Senior Notes, 8.625% due 08/15/08.......... 18,750 45,000 Forest Oil Corporation, Company Guarantee, 10.500% due 01/15/06......... 46,463 65,000 Grant Prideco, Inc., 9.625% due 12/01/07++........ 67,113 125,000 Gulfmark Offshore, Inc., 8.750% due 06/01/08.......... 116,563 40,000 HS Resources, Inc., Company Guarantee, 9.250% due 11/15/06.......... 40,200 50,000 HS Resources, Inc., Senior Subordinate Notes, 9.250% due 11/15/06.......... 50,250 50,000 International Utility Structures, Inc., Senior Subordinate Notes, 10.750% due 02/01/08......... 34,000 35,000 Ocean Rig Norway AS, 10.250% due 06/01/08......... 29,750 200,000 P&L Coal Holdings Corporation, Series B, Company Guarantee, 9.625% due 05/15/08.......... 199,250 55,000 Pioneer Natural Resources, 9.625% due 04/01/10.......... 58,300 100,000 R&B Falcon Corporation, 9.500% due 12/15/08.......... 109,500 40,000 Triton Energy Limited Corporation, 8.875% due 10/01/07++........ 40,450 ----------- 882,689 ----------- PAPER PRODUCTS -- 0.2% 50,000 Buckeye Cellulose, 9.250% due 09/15/08.......... 48,438 ----------- RETAIL -- 2.0% 80,000 Duane Reade, Inc., Company Guarantee, 9.250% due 02/15/08.......... 68,000 75,000 Finlay Enterprises, Inc., Company Guarantee, 9.000% due 05/01/08.......... 66,750 165,000 J Crew Operating Corporation, Senior Subordinate Notes, 10.375% due 10/15/07......... 143,550 See Notes to Financial Statements. 60 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) RETAIL -- (CONTINUED) Jitney-Jungle Stores of America, Inc., Company Guarantee: $ 65,000 12.000% due 03/01/06+++...... $ 1,219 10,000 10.375% due 09/15/07+++...... 88 120,000 Samsonite Corporation, Senior Subordinate Notes, 10.750% due 06/15/08......... 80,400 75,000 Southland Corporation, Senior Subordinate Debentures, 5.000% due 12/15/03.......... 66,249 ----------- 426,256 ----------- STEEL -- 1.3% 55,000 AK Steel Corporation, Senior Notes, 9.125% due 12/15/06.......... 51,150 85,000 Commonwealth Aluminum, Senior Subordinate Notes, 10.750% due 10/01/06......... 77,350 80,000 Kaiser Aluminum & Chemical Corporation, Senior Notes, 9.875% due 02/15/02.......... 70,400 55,000 Russell Metals, Inc., Units, 10.000% due 06/01/09......... 48,400 50,000 WCI Steel, Inc., Senior Notes, 10.000% due 12/01/04......... 34,500 ----------- 281,800 ----------- TELEPHONE AND COMMUNICATIONS -- 22.2% 55,000 Alamosa Pcs Hldgs Step Coupon, 12.875% due 02/15/10^........ 25,575 Allegiance Telecom, Inc., Senior Discount Notes: 105,000 12.875% due 05/15/08......... 102,375 105,000 11.750% due 02/15/08......... 65,625 115,000 AMSC Acquisition Company, Inc., Company Guarantee, 12.250% due 04/01/08......... 39,100 175,000 Centennial Cellular, Senior Subordinate Notes, 10.750% due 12/15/08......... 164,500 15,000 Classic Cable, Inc., 10.500% due 03/01/10......... 6,000 250,000 Colt Telecom Group Plc, Senior Discount Notes, 12.000% due 12/15/06......... 226,250 210,000 Crown Castle International Corporation, Senior Notes, 10.750% due 08/01/11......... 215,250 65,000 Dobson Communications Corporation, Senior Discount Notes, 10.875% due 07/01/10......... 64,025 10,000 Dolphin Telecom Plc, Senior Discount Notes, 14.000% due 05/15/09^........ 1,200 125,000 Dolphin Telecom Plc, Senior Discount Notes, 11.500% due 06/01/08^........ 20,000 160,000 Echostar Broadband Corporation, 10.375% due 10/01/07++....... 157,200 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- TELEPHONE AND COMMUNICATIONS -- (CONTINUED) $ 95,000 Energis Plc, 9.750% due 06/15/09.......... $ 86,925 125,000 Esat Telecom Group Plc, Senior Notes, 11.875% due 12/01/08......... 146,333 65,000 Esprit Telecom Group Plc, Senior Notes, 10.875% due 06/15/08+++...... 1,950 50,000 Exodus Communications, Senior Notes , 11.625% due 07/15/10++....... 44,875 Focal Communications Corporation Series B, Senior Notes: 55,000 12.125% due 02/15/08^........ 23,100 80,000 11.875% due 01/15/10++....... 54,400 210,000 Global Crossing Holdings, Ltd., Company Guarantee, 9.625% due 05/15/08.......... 200,025 200,000 GT Group Telecom Step Coupon, 13.250% due 02/01/10^........ 66,000 95,000 Hermes Europe Railtel BV, Senior Notes, 10.375% due 01/15/09......... 39,900 140,000 Hyperion Telecommunications, Senior Subordinate Notes, 12.000% due 11/01/07++....... 60,200 150,000 ICG Holdings, Inc., Company Guarantee, 12.500% due 05/01/06^,+++.... 16,125 175,000 Insight Midwest L.P. / Insight Capital, Inc., 9.750% due 10/01/09.......... 173,688 175,000 Intermedia Communication Corporation, Senior Notes, 8.875% due 11/01/07.......... 122,500 ITC Deltacom, Inc., Senior Notes: 50,000 11.000% due 06/01/07......... 40,000 90,000 9.750% due 11/15/08.......... 67,500 125,000 Jazztel Plc, Senior Notes, 14.000% due 04/01/09......... 81,875 Level 3 Communications, Inc., Senior Subordinate Notes: 105,000 10.375% due 05/01/07......... 108,150 25,000 10.750% due 03/15/08++....... 17,850 250,000 9.125% due 05/01/08.......... 200,000 170,000 Metromedia Fiber Network, Senior Notes, 10.000% due 11/15/08......... 141,525 35,000 Metronet Communications, Inc., Senior Discount Note, 9.950% due 06/15/08^......... 28,359 155,000 MGC Communications, Inc., 13.000% due 04/01/10......... 69,750 115,000 Millicom International Cellular, Inc., Senior Discount Notes, 13.500% due 06/01/06^........ 90,275 See Notes to Financial Statements. 61 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) TELEPHONE AND COMMUNICATIONS -- (CONTINUED) $ 85,000 MJD Communications, Inc., Senior Subordinate Notes, 9.500% due 05/01/08.......... $ 68,000 100,000 Nextel Communications, Inc., Senior Discount Notes, 12.750% due 08/01/10++....... 80,000 400,000 Nextel International, Inc., Senior Notes, 9.950% due 02/15/08^......... 292,000 270,000 Nextlink Communications, Senior Notes, 10.750% due 06/01/09......... 222,075 10,000 Northeast Optic Network, Senior Notes, 12.750% due 08/15/08......... 4,800 NTL, Inc., Senior Notes: 230,000 12.375% due 10/01/08^........ 126,500 200,000 9.750% due 04/01/08^......... 114,000 45,000 PTC International Finance II SA, 11.250% due 12/01/09......... 42,750 80,000 Rural Cellular Corporation, Senior Notes, 9.625% due 05/15/08.......... 73,600 35,000 Spectrasite Holdings, Inc., 10.750% due 03/15/10......... 31,500 190,000 Tele1 Europe B.V., Senior Notes, 13.000% due 05/15/09......... 169,100 75,000 Telecorp Pcs, Inc., 10.625% due 07/15/10......... 75,750 Telewest Communication Plc: 45,000 11.000% due 10/01/07^........ 39,825 40,000 9.625% due 10/01/06.......... 35,300 125,000 9.250% due 04/15/09^......... 59,063 45,000 Triton PCS, Inc., Company Guarantee, 11.000% due 05/01/08^........ 35,550 175,000 Versatel Telecom BV, Senior Notes, 13.250% due 05/15/08+........ 108,500 130,000 Viatel, Inc., Senior Discount Notes, 12.500% due 04/15/08^........ 19,500 75,000 Voicestream Wire Company, 10.375% due 11/15/09......... 80,813 30,000 Western Wireless, Inc., Senior Subordinate Notes, 10.500% due 02/01/07......... 30,938 10,000 Williams Commerce Group Inc., 11.700% due 08/01/08++....... 7,700 180,000 Worldwide Fiber, Inc., 12.000% due 08/01/09......... 134,100 ----------- 4,819,769 ----------- TEXTILES AND HOME FURNISHINGS -- 1.1% 155,000 Simmons Company, Senior Subordinate Notes, 10.250% due 03/15/09......... 141,825 120,000 Westpoint Stevens, Inc., Senior Notes, 7.875% due 06/15/05.......... 89,400 ----------- 231,225 ----------- Total Corporate Fixed Income Securities (Cost $21,595,574)........... 18,433,967 ----------- VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 0.2% 3,750 Completel Europe NV+........... $ 13,359 855 Pathmark Stores, Inc.+......... 14,108 982 Versatel Telecom International NV, ADR+..................... 8,470 7 Viatel, Inc.+.................. 26 ----------- Total Common Stock (Cost $37,175)............... 35,963 ----------- PREFERRED STOCK -- 1.8% 62 Crown Castle International Corporation.................. 59,635 1,763 CSC Holdings, Inc., Series M... 188,641 50 Global Crossing Holdings, Ltd.. 44,000 14 Primedia, Inc., Series H....... 104,825 ----------- Total Preferred Stock (Cost $417,657).............. 397,101 ----------- WARRANTS -- 0.2% 200 GT Group Telecom, Expires 02/01/10+............ 8,900 145 Jazztel Plc, Expires 04/01/2009+.......... 5,401 115 Motient Corporation, Expires 03/31/2008+, ++...... 1,610 170 Ono Finance Plc, Expires 05/31/2009+.......... 10,243 605 Pathmark Stores, Inc., Expires 09/19/10+............ 2,912 40 Pliant Corporation, Expires 06/01/10+ ........... 400 65 XM Satellite Radio, Expires 03/15/10+ ........... 2,274 ----------- Total Warrants (Cost $52,838)............... 31,740 ----------- PRINCIPAL AMOUNT ---------- AGENCY SECURITIES -- 10.9% Federal Home Loan Bank, $ 857,000 5.500% due 01/02/01........... 856,869 Freddie Mac, 1,521,000 5.700% due 01/02/01........... 1,520,759 ----------- Total Agency Securities (Cost $2,377,628)............ 2,377,628 ----------- TOTAL INVESTMENTS (COST $24,480,872*)............... 97.9% 21,276,399 OTHER ASSETS AND LIABILITIES (NET)............................. 2.1% 456,871 ------ ----------- NET ASSETS........................... 100.0% $21,733,270 ====== =========== - ------------------------- * Aggregate cost for federal tax purposes was $24,499,196. + 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. +++ Security in default as of December 31, 2000. ^ Zero coupon security as of December 31, 2000. The coupon shown is the step-up rate. See Notes to Financial Statements. 62 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR JANUS GROWTH PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 94.3% COMPUTER SERVICES AND SOFTWARE -- 23.6% 303,200 BEA Systems, Inc.+............. $20,409,150 38,935 Brocade Communications Systems, Inc.+............... 3,574,720 111,060 Check Point Software Technologies, Ltd.+.......... 14,833,451 1,158,795 Cisco Systems, Inc.+........... 44,323,909 463,870 EMC Corporation+............... 30,847,355 174,556 Microsoft Corporation+......... 7,571,366 684,629 Palm, Inc.+.................... 19,383,559 422,355 SCI Systems, Inc.+............. 11,139,613 293,110 VERITAS Software Corporation+.. 25,647,125 ----------- 177,730,248 ----------- DIVERSIFIED OPERATIONS -- 7.5% 1,180,335 General Electric Company....... 56,582,309 ----------- DRUGS AND MEDICAL PRODUCTS -- 5.9% 101,680 Genentech, Inc.+............... 8,286,920 327,555 Guidant Corporation+........... 17,667,498 301,235 Medtronic, Inc................. 18,187,063 ----------- 44,141,481 ----------- ELECTRONICS -- 6.9% 112,347 Lam Research Corporation+...... 1,629,031 614,737 Texas Instruments, Inc......... 29,123,165 465,857 Xilinx, Inc.+.................. 21,487,654 ----------- 52,239,850 ----------- FINANCIAL -- 2.3% 272,573 American Express Company....... 14,974,479 295,210 E*TRADE Group, Inc.+........... 2,177,174 ----------- 17,151,653 ----------- INTERNET SERVICES -- 9.8% 259,801 Amazon.com, Inc.+.............. 4,043,153 888,234 America Online, Inc.+.......... 30,910,543 546,946 eBay, Inc.+.................... 18,049,218 701,010 Exodus Communications, Inc.+... 14,020,200 91,997 VeriSign, Inc.+................ 6,825,027 ----------- 73,848,141 ----------- MEDIA AND COMMUNICATIONS -- 7.9% 858,613 AT&T Corporation - Liberty Media Corporation, Class A+........ 11,644,939 462,636 Time Warner, Inc............... 24,168,105 510,300 Viacom, Inc., Class B+......... 23,856,525 ----------- 59,669,569 ----------- OIL AND GAS -- 2.2% 198,634 Enron Corporation.............. 16,511,451 ----------- VALUE SHARES (NOTE 1) -------- ---------- RETAIL -- 3.4% 202,437 Costco Wholesale Corporation+.. $ 8,084,828 83,745 Gap, Inc....................... 2,135,498 343,422 Home Depot, Inc................ 15,690,093 ------------ 25,910,419 ------------ TELECOMMUNICATIONS -- 24.8% 331,496 Comcast Corporation, Class A+.. 13,839,958 423,275 EchoStar Communications Corporation, Class A+........ 9,629,506 229,325 JDS Uniphase Corporation+...... 9,559,986 535,800 Nextel Communications, Inc., Class A+..................... 13,261,050 1,628,611 Nokia Corporation, Sponsored ADR................ 70,844,579 551,845 Nortel Networks Corporation.... 17,693,530 305,719 NTL, Inc.+..................... 7,318,149 695 NTT DoCoMo, Inc................ 11,989,054 246,865 Sycamore Networks, Inc.+....... 9,195,721 141,365 TyCom, Ltd.+................... 3,163,042 577,970 Vodafone Group Plc, Sponsored ADR................ 20,698,551 ------------ 187,193,126 ------------ Total Common Stock (Cost $750,475,437).......... 710,978,247 ------------ COMMERCIAL PAPER -- 5.7% 33,600,000 UBS Finance, 6.500% due 01/02/01.......... 33,593,933 10,000,000 Fannie Mae, 6.270% due 01/31/01.......... 9,948,083 ------------ Total Commercial Paper (Cost $43,542,016)........... 43,542,016 ------------ TOTAL INVESTMENTS (COST $794,017,453*).............. 100.0% 754,520,263 OTHER ASSETS AND LIABILITIES (NET)**........................... (0.0)% (336,226) ------ ------------ NET ASSETS........................... 100.0% $754,184,037 ====== ============ - -------------------- * Aggregate cost for federal tax purposes was $794,483,032. ** Amount represents less than 0.1%. + Non-income producing security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 63 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR MONEY MARKET PORTFOLIO DECEMBER 31, 2000 PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- COMMERCIAL PAPER -- 67.7% $ 5,000,000 American Express Credit Corporation, 6.545% due 03/05/01#......... $ 4,943,650 5,000,000 American General Corporation, 6.597% due 01/31/01#......... 4,972,958 5,000,000 Associates Corporation, 6.675% due 02/08/01#......... 4,965,536 5,000,000 Chevron UK Investment, 6.725% due 01/19/01#......... 4,983,625 5,000,000 CIT Group, Inc., 6.740% due 01/03/01#......... 4,998,183 5,000,000 Coca-Cola Company, 6.578% due 03/09/01#......... 4,939,979 5,000,000 Daimler Chrysler North America, 6.718% due 02/26/01#......... 4,949,445 5,000,000 Ford Motor Credit Corporation, 6.587% due 02/15/01#......... 4,959,500 5,000,000 GE Capital Corporation, 6.640% due 03/05/01#......... 4,943,475 5,000,000 GMAC, 6.667% due 01/22/01#......... 4,981,042 5,000,000 IBM Credit Corporation, 6.623% due 01/12/01#......... 4,989,963 5,000,000 Merrill Lynch and Company, 6.466% due 02/09/01#......... 4,965,333 5,000,000 MetLife Funding, 6.581% due 01/16/01#......... 4,986,354 5,000,000 Prudential Funding, 6.615% due 02/02/01#......... 4,971,067 5,000,000 State Street Corporation, 6.446% due 03/16/01#......... 4,934,839 5,000,000 UBS Finance, 6.670% due 01/18/01#......... 4,984,676 5,000,000 Wells Fargo Financial, 6.632% due 01/29/01#......... 4,974,761 ----------- Total Commercial Paper (Cost $84,444,386)........... 84,444,386 ----------- PRINCIPAL VALUE AMOUNT (NOTE 1) -------- ---------- CERTIFICATE OF DEPOSIT -- 6.4% $ 5,000,000 Bank of America CD, 6.630% due 02/12/01.......... $ 5,000,000 3,000,000 BNP Paribas New York, 6.640% due 03/05/01.......... 3,000,000 ------------ Total Certificate of Deposit (Cost $8,000,000)............ 8,000,000 ------------ U.S. GOVERNMENT AGENCY SECURITIES -- 13.3% Fannie Mae, 11,000,000 6.620% due 02/01/01#......... 10,939,447 Freddie Mac: 105,000 6.646% due 01/18/01#......... 104,681 5,525,000 6.640% due 02/01/01#......... 5,494,432 ------------ Total U.S. Government Agency Securities (Cost $16,538,560)........... 16,538,560 ------------ TOTAL INVESTMENTS (COST $108,982,946*).............. 87.4% 108,982,946 OTHER ASSETS AND LIABILITIES (NET)............................. 12.6% 15,645,687 ------ ------------ NET ASSETS........................... 100.0% $124,628,633 ====== ============ - ---------------------------- * Aggregate cost for federal tax purposes. # Rate represents annualized discount yield at date of purchase. See Notes to Financial Statements. 64 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST JENNISON GROWTH PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 96.2% ADVERTISING AGENCY -- 1.5% 6,500 Omnicom Group, Inc............. $ 538,687 ----------- AEROSPACE AND DEFENSE -- 0.9% 14,100 General Motors Corporation, Class H+..................... 324,300 ----------- BEVERAGES -- 0.5% 3,700 PepsiCo, Inc................... 183,381 ----------- BROADCAST, RADIO & TV -- 2.7% 39,600 AT&T Corporation - Liberty Media Corporation, Class A+.. 537,075 11,200 Univision Communications, Inc., Class A+..................... 458,500 ----------- 995,575 ----------- COMPUTER SERVICES AND SOFTWARE -- 13.6% 8,300 ASM Lithography Holding N.V.+.. 187,269 30,100 Cisco Systems, Inc.+........... 1,151,325 11,700 Compaq Computer Corporation.... 176,085 21,100 Dell Computer Corporation+..... 367,931 5,900 EMC Corporation+............... 392,350 17,200 Hewlett-Packard Company........ 542,875 10,700 Intel Corporation.............. 321,669 8,100 International Business Machines Corporation......... 688,500 15,000 Microsoft Corporation+......... 650,625 9,400 Sun Microsystems, Inc.+........ 262,025 1,400 VeriSign, Inc.+................ 103,862 1,500 Veritas Software Corporation+.. 131,250 ----------- 4,975,766 ----------- DRUGS AND MEDICAL PRODUCTS -- 15.0% 21,100 American Home Products Corporation.................. 1,340,905 9,400 Lilly (Eli) & Company.......... 874,787 30,200 Pfizer, Inc.................... 1,389,200 14,400 Pharmacia Corporation.......... 878,400 13,600 Schering-Plough Corporation.... 771,800 9,000 Serono SA, ADR+................ 215,437 ----------- 5,470,529 ----------- ELECTRIC GENERATION -- 0.6% 9,000 Orion Power Holdings, Inc.+.... 221,625 ----------- ELECTRONICS - SEMICONDUCTOR -- 1.0% 3,100 Applied Materials, Inc.+....... 118,381 3,200 Applied Micro Circuits Corporation+................. 240,150 ----------- 358,531 ----------- VALUE SHARES (NOTE 1) -------- ---------- FINANCIAL SERVICES -- 13.3% 20,200 American Express Company....... $ 1,109,738 27,033 Citigroup, Inc................. 1,380,373 5,100 Goldman Sachs Group, Inc....... 545,381 9,200 Merrill Lynch & Company, Inc... 627,325 3,700 Morgan (J.P.) & Company, Inc... 612,350 7,200 Morgan Stanley Dean Witter & Company.................... 570,600 ----------- 4,845,767 ----------- INSURANCE -- 1.8% 6,500 American International Group, Inc. 640,656 ----------- MANUFACTURING AND MINING -- 1.3% 3,800 Minnesota Mining & Manufacturing Company........ 457,900 ----------- MEDICAL-BIOMEDICAL/GENE -- 3.4% 11,800 Amgen, Inc.+................... 754,463 6,100 Genentech, Inc.+............... 497,150 ----------- 1,251,613 ----------- NETWORKING PRODUCTS -- 0.6% 1,600 Juniper Networks, Inc.+........ 201,700 ----------- OIL AND GAS EXTRACTION -- 3.8% 9,600 Halliburton Company............ 348,000 12,800 Schlumberger, Ltd.............. 1,023,200 ----------- 1,371,200 ----------- PRINTING PUBLISHING & ALLIED-- 4.6% 10,600 Time Warner, Inc............... 553,744 24,400 Viacom, Inc., Class B+......... 1,140,700 ----------- 1,694,444 ----------- RETAIL -- 10.6% 8,200 Costco Wholesale Corporation+.. 327,488 30,100 Home Depot, Inc................ 1,375,194 15,000 Kohl's Corporation+............ 915,000 8,100 Target Corporation............. 261,225 14,000 Tiffany & Company.............. 442,750 10,400 Wal-Mart Stores, Inc........... 552,500 ----------- 3,874,157 ----------- TECHNOLOGY -- 4.7% 23,900 General Electric Company....... 1,145,706 12,300 Texas Instruments, Inc......... 582,713 ----------- 1,728,419 ----------- See Notes to Financial Statements. 65 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST JENNISON GROWTH PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) TELECOMMUNICATIONS -- 13.6% 6,500 Corning, Inc................... $ 343,281 19,700 Global Crossing, Ltd.+......... 281,956 6,400 JDS Uniphase Corporation+...... 266,800 11,600 Metromedia Fiber Network, Inc., Class A+..................... 117,450 22,700 Motorola, Inc.................. 459,675 12,100 Nextel Communications, Inc., Class A+..................... 299,475 35,200 Nokia Corporation, Sponsored ADR................ 1,531,200 14,500 Nortel Networks Corporation.... 464,906 33,800 Vodafone Group Plc............. 1,210,463 ----------- 4,975,206 ----------- TELEPHONE -- 2.7% 9,400 NTL, Inc.+..................... 225,013 18,100 Qwest Communications International, Inc.+......... 742,100 ----------- 967,113 ----------- Total Common Stock (Cost $37,952,874)........... 35,076,569 ----------- VALUE SHARES (NOTE 1) -------- ---------- MUTUAL FUNDS - OPEN END -- 3.5% 1,284,803 Dreyfus Cash Management Fund, 6.480% due 01/02/01.......... $ 1,284,803 ----------- Total Mutual Funds - Open End (Cost $1,284,803)............ 1,284,803 ----------- TOTAL INVESTMENTS (COST $39,237,677*)............... 99.7% 36,361,372 OTHER ASSETS AND LIABILITIES (NET) ............................ 0.3% 97,085 ------ ----------- NET ASSETS........................... 100.0% $36,458,457 ====== =========== - ------------------- * Aggregate cost for federal tax purposes was $39,730,541. + Non-income producing security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 66 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 93.8% AEROSPACE AND DEFENSE -- 1.6% 120,000 Lockheed Martin Corporation.... $ 4,074,000 ----------- AUTOMOTIVES -- 1.3% 16,800 Dana Corporation............... 257,250 47,800 Ford Motor Company............. 1,120,312 78,850 Genuine Parts Company.......... 2,064,884 ----------- 3,442,446 ----------- BANKING AND FINANCE -- 7.9% 41,100 Bank of America Corporation.... 1,885,462 94,482 Bank One Corporation........... 3,460,403 71,297 Citigroup, Inc................. 3,640,603 53,200 Firstar Corporation............ 1,236,900 40,700 Mercantile Bankshares Corporation 1,757,731 22,900 Morgan (J.P.) & Company, Inc... 3,789,950 48,000 National City Corporation...... 1,380,000 57,630 Wells Fargo & Company.......... 3,209,271 ----------- 20,360,320 ----------- BUILDING AND CONSTRUCTION -- 0.0%** 24,000 Armstrong Holdings, Inc........ 49,500 ----------- COMMUNICATIONS -- 0.8% 101,900 Motorola, Inc.................. 2,063,475 ----------- COMPUTER SERVICES AND SOFTWARE-- 0.3% 48,400 Compaq Computer Corporation.... 728,420 ----------- CONSUMER PRODUCTS -- 5.0% 107,400 Pall Corporation............... 2,288,962 67,400 Philip Morris Companies, Inc... 2,965,600 36,300 Procter & Gamble Company....... 2,847,281 63,800 Stanley Works.................. 1,989,762 95,800 UST, Inc....................... 2,688,387 ----------- 12,779,992 ----------- COSMETICS AND TOILETRIES -- 2.5% 86,100 Gillette Company............... 3,110,362 76,700 International Flavors & Fragrances, Inc.............. 1,557,969 25,600 Kimberly-Clark Corporation..... 1,809,664 ----------- 6,477,995 ----------- DIVERSIFIED -- 3.6% 86,300 Disney (Walt) Company.......... 2,497,306 19,000 Eaton Corporation.............. 1,428,562 66,800 Fortune Brands, Inc............ 2,004,000 119,700 Hasbro, Inc.................... 1,271,812 34,100 Honeywell International, Inc... 1,613,356 71,700 Xerox Corporation.............. 331,612 ----------- 9,146,648 ----------- VALUE SHARES (NOTE 1) -------- ---------- DIVERSIFIED CHEMICALS -- 2.2% 55,700 Dow Chemical Company........... $ 2,040,012 76,500 du Pont (E.I.) de Nemours & Company.................... 3,695,906 ----------- 5,735,918 ----------- DRUGS -- 1.0% 20,000 Bristol-Myers Squibb Company... 1,478,750 19,172 Pharmacia Corporation.......... 1,169,492 ----------- 2,648,242 ----------- ELECTRICAL EQUIPMENT -- 1.8% 21,707 Cooper Industries, Inc......... 997,165 59,800 Hewlett-Packard Company........ 1,887,437 67,300 Hubbell, Inc., Class B......... 1,783,450 ----------- 4,668,052 ----------- ENERGY SERVICES -- 2.2% 14,800 Duke Energy Corporation........ 1,261,700 36,062 Exelon Corporation+............ 2,531,913 57,900 Niagara Mohawk Holdings, Inc.+. 966,206 21,600 Reliant Energy, Inc............ 935,550 ----------- 5,695,369 ----------- FINANCIAL SERVICES -- 5.7% 44,200 American General Corporation... 3,602,300 31,800 Block (H&R), Inc............... 1,315,725 47,800 Fannie Mae..................... 4,146,650 107,958 FleetBoston Financial Corporation 4,055,172 27,274 St. Paul Companies, Inc........ 1,481,319 ----------- 14,601,166 ----------- FOOD AND BEVERAGES -- 6.9% 35,900 Albertson's, Inc............... 951,350 36,000 Brown-Forman Corporation, Class B 2,394,000 65,700 Campbell Soup Company.......... 2,274,862 60,200 General Mills, Inc............. 2,682,663 54,000 Heinz (H.J.) Company........... 2,561,625 59,900 Hershey Foods Corporation...... 3,856,063 24,000 Kellogg Company................ 630,000 62,800 McCormick & Company, Inc....... 2,264,725 ----------- 17,615,288 ----------- HAND / MACHINE-TOOLS -- 0.4% 24,100 Black & Decker Corporation..... 945,925 ----------- HOUSEHOLD PRODUCTS -- 0.3% 24,000 Clorox Company................. 852,000 ----------- INSURANCE -- 4.4% 42,000 Aon Corporation................ 1,438,500 33,700 Chubb Corporation.............. 2,915,050 42,000 Lincoln National Corporation... 1,987,125 60,200 SAFECO Corporation............. 1,979,075 112,600 UnumProvident Corporation...... 3,026,125 ----------- 11,345,875 ----------- See Notes to Financial Statements. 67 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) LODGING -- 1.7% 146,100 Hilton Hotels Corporation...... $ 1,534,050 82,026 Starwood Hotels & Resorts Worldwide, Inc............... 2,891,417 ----------- 4,425,467 ----------- MANUFACTURING -- 1.9% 14,300 Illinois Tool Works, Inc....... 851,744 82,500 Rockwell International Corporation 3,929,063 ----------- 4,780,807 ----------- MEDIA AND COMMUNICATIONS -- 1.1% 48,000 Knight-Ridder, Inc............. 2,730,000 ----------- MEDICAL SUPPLIES AND EQUIPMENT -- 0.7% 48,000 Becton, Dickinson & Company.... 1,662,000 ----------- METALS / MINING -- 2.3% 33,700 Minnesota Mining & Manufacturing Company........ 4,060,850 21,636 Newmont Mining Corporation..... 369,164 28,300 Phelps Dodge Corporation....... 1,579,494 ----------- 6,009,508 ----------- PAPER AND PAPER PRODUCTS -- 2.0% 20,757 Georgia-Pacific Group.......... 646,062 89,993 International Paper Company.... 3,672,839 26,400 Mead Corporation............... 828,300 ----------- 5,147,201 ----------- PETROLEUM - DOMESTIC -- 0.5% 47,900 USX-Marathon Group............. 1,329,225 ----------- PETROLEUM - INTERNATIONAL -- 10.2% 33,000 Amerada Hess Corporation....... 2,411,063 95,974 BP Amoco Plc, Sponsored ADR.... 4,594,755 42,900 Chevron Corporation............ 3,622,369 60,061 Exxon Mobil Corporation........ 5,221,553 52,900 Royal Dutch Petroleum Company, NY Shares........... 3,203,756 63,700 Texaco, Inc.................... 3,957,363 81,000 Unocal Corporation............. 3,133,688 ----------- 26,144,547 ----------- PHARMACEUTICALS -- 2.7% 48,100 Abbott Laboratories............ 2,329,844 73,000 American Home Products Corporation.................. 4,639,150 ----------- 6,968,994 ----------- VALUE SHARES (NOTE 1) -------- ---------- PHOTOGRAPHY EQUIPMENT AND SUPPLIES -- 0.9% 56,700 Eastman Kodak Company.......... $ 2,232,563 ----------- PRINTING AND PUBLISHING -- 2.4% 64,500 Donnelley (R.R.) & Sons Company 1,741,500 24,000 Dow Jones & Company, Inc....... 1,359,000 33,650 Dun and Bradstreet Corporation+ 870,694 52,500 Moody's Corporation............ 1,348,594 24,000 Reader's Digest Association, Inc., Class A...................... 939,000 ----------- 6,258,788 ----------- RAILROADS -- 2.1% 102,000 Norfolk Southern Corporation... 1,357,875 80,700 Union Pacific Corporation...... 4,095,525 ----------- 5,453,400 ----------- REAL ESTATE -- 1.3% 64,500 Rouse Company.................. 1,644,750 74,632 Simon Property Group, Inc...... 1,791,168 ----------- 3,435,918 ----------- RESTAURANTS -- 0.3% 23,800 McDonald's Corporation......... 809,200 ----------- RETAIL -- 2.0% 73,450 May Department Stores Company.. 2,405,488 43,100 Penney (J.C.) Company, Inc..... 468,713 139,000 Toys "R" Us, Inc.+............. 2,319,563 ----------- 5,193,764 ----------- SPECIALTY CHEMICALS -- 1.6% 59,500 Great Lakes Chemical Corporation 2,212,656 96,700 Hercules, Inc.................. 1,843,344 ----------- 4,056,000 ----------- TECHNOLOGY -- 2.1% 38,600 BMC Software, Inc.+............ 540,400 34,000 Intel Corporation.............. 1,022,125 44,300 Microsoft Corporation+......... 1,921,513 24,000 Texas Instruments, Inc......... 1,137,000 45,500 Unisys Corporation+............ 665,438 ----------- 5,286,476 ----------- TELECOMMUNICATIONS -- 6.8% 55,000 ALLTEL Corporation............. 3,434,063 90,050 AT&T Corporation............... 1,558,991 48,200 BellSouth Corporation.......... 1,973,188 53,900 Lucent Technologies, Inc....... 727,650 85,974 SBC Communications, Inc........ 4,105,259 86,400 Sprint Corporation............. 1,755,000 77,994 Verizon Communications......... 3,909,449 ----------- 17,463,600 ----------- See Notes to Financial Statements. 68 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) UTILITIES -- 2.0% 30,100 Baker Hughes, Inc.............. $ 1,251,031 54,150 FirstEnergy Corporation........ 1,709,109 69,600 Southern Company............... 2,314,200 ----------- 5,274,340 ----------- WASTE DISPOSAL -- 1.3% 120,162 Waste Management, Inc.......... 3,334,496 ----------- Total Common Stock (Cost $225,432,519).......... 241,226,925 ----------- VALUE SHARES (NOTE 1) -------- ---------- MUTUAL FUNDS - OPEN END -- 6.1% 15,763,089 Reserve Investment Fund, 5.499% due 01/02/01.......... $ 15,763,089 ------------ Total Mutual Funds - Open End (Cost $15,763,089)........... 15,763,089 ------------ TOTAL INVESTMENTS (COST $241,195,608*).............. 99.9% 256,990,014 OTHER ASSETS AND LIABILITIES (NET)............................. 0.1% 353,431 ------ ------------ NET ASSETS........................... 100.0% $257,343,445 ====== ============ - ------------------------ * Aggregate cost for federal tax purposes was $241,715,933. ** Amount represents less than 0.1%. + Non-income producing security. Abbreviation: ADR -- American Depository Receipt See Notes to Financial Statements. 69 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 94.9% BANKING AND FINANCE -- 12.1% 47,900 Bank of New York Company, Inc.. $ 2,643,481 33,850 Chase Manhattan Corporation (The) 1,538,059 161,908 Citigroup, Inc................. 8,267,427 55,900 Fannie Mae..................... 4,849,325 46,800 Firstar Corporation............ 1,088,100 131,700 Freddie Mac.................... 9,070,837 7,100 Goldman Sachs Group, Inc....... 759,256 12,400 State Street Corporation....... 1,540,204 50,900 Wells Fargo Company............ 2,834,494 ----------- 32,591,183 ----------- BUSINESS SERVICES -- 0.2% 30,500 Randstad Holding N.V........... 448,137 ----------- COMMERCIAL SERVICES -- 0.1% 24,500 Granada Compass Plc+........... 266,617 ----------- COMPUTER SERVICES AND SOFTWARE-- 11.9% 77,300 America Online, Inc.+.......... 2,690,040 13,700 Ariba, Inc.+................... 734,662 49,900 Automatic Data Processing, Inc. 3,159,294 2,900 Check Point Software Technologies, Ltd.+.......... 387,331 159,100 Cisco Systems, Inc.+........... 6,085,575 76,500 Dell Computer Corporation+..... 1,333,969 31,000 EMC Corporation+............... 2,061,500 77,100 Exodus Communications, Inc.+... 1,542,000 40,700 Intel Corporation.............. 1,223,544 11,700 Juniper Networks, Inc.+........ 1,474,931 96,900 Microsoft Corporation+......... 4,203,037 80,800 Oracle Corporation+............ 2,348,250 22,500 Siebel Systems, Inc.+.......... 1,521,562 22,000 Sun Microsystems, Inc.+........ 613,250 18,000 VeriSign, Inc.+................ 1,335,375 16,975 Veritas Software Corporation+.. 1,485,312 ----------- 32,199,632 ----------- CONSUMER PRODUCTS -- 3.4% 48,300 Corning, Inc................... 2,550,844 17,200 Gillette Company............... 621,350 89,700 Philip Morris Companies, Inc... 3,946,800 69,800 Sysco Corporation.............. 2,094,000 ----------- 9,212,994 ----------- DIVERSIFIED OPERATIONS -- 7.3% 92,300 First Data Corporation......... 4,863,056 109,300 General Electric Company....... 5,239,569 55,600 Honeywell International, Inc... 2,630,575 193,010 Hutchison Whampoa, Ltd......... 2,406,470 47,644 Tyco International, Ltd........ 2,644,242 22,800 Waters Corporation+............ 1,903,800 ----------- 19,687,712 ----------- VALUE SHARES (NOTE 1) -------- ---------- ELECTRONIC COMPONENTS -- 8.6% 51,700 Altera Corporation+............ $ 1,360,356 36,300 Analog Devices, Inc.+.......... 1,858,106 15,800 Applied Micro Circuits Corporation+................. 1,185,741 109,800 Flextronics International, Ltd.+ 3,129,300 28,600 Hewlett-Packard Company........ 902,687 44,800 KLA-Tencor Corporation+........ 1,509,200 73,900 LSI Logic Corporation+......... 1,262,951 18,700 Maxim Integrated Products, Inc.+ 894,094 34,200 Philips Electronics NV......... 1,252,880 5,300 QLogic Corporation+............ 408,100 2,900 Samsung Electronics ........... 362,213 11,500 SDL, Inc.+..................... 1,704,156 102,400 Solectron Corporation+......... 3,471,360 18,500 Sony Corporation............... 1,279,772 35,600 Texas Instruments, Inc......... 1,686,550 22,100 Xilinx, Inc.+.................. 1,019,362 ----------- 23,286,828 ----------- ENTERTAINMENT AND LEISURE -- 1.9% 34,400 Disney (Walt) Company.......... 995,450 27,400 Electronic Arts, Inc.+......... 1,167,925 24,600 Fox Entertainment Group, Inc., Class A+..................... 439,725 43,100 MGM Mirage, Inc................ 1,214,881 37,200 Starwood Hotels and Resorts Worldwide, Inc............... 1,311,300 ----------- 5,129,281 ----------- FINANCIAL SERVICES -- 5.3% 20,250 AMBAC Financial Group, Inc..... 1,180,828 37,700 Capital One Financial Corporation 2,481,131 56,600 Concord EFS, Inc.+............. 2,486,862 28,700 Hartford Financial Services Group, Inc.......... 2,026,937 26,100 Morgan Stanley Dean Witter & Company............. 2,068,425 53,800 Providian Financial Corporation 3,093,500 27,700 Stillwell Financial, Inc....... 1,092,419 ----------- 14,430,102 ----------- FOOD AND BEVERAGES -- 1.9% 42,900 Coca-Cola Company.............. 2,614,219 49,400 PepsiCo, Inc................... 2,448,387 ----------- 5,062,606 ----------- HEALTH CARE SERVICES -- 5.5% 56,500 American Home Products Corporation.................. 3,590,575 9,700 Amgen, Inc.+................... 620,194 17,400 Bristol-Myers Squibb Company... 1,286,512 12,300 Immunex Corporation+........... 499,687 34,300 Johnson & Johnson.............. 3,603,644 58,000 UnitedHealth Group, Inc........ 3,559,750 14,700 Wellpoint Health Networks, Inc.+ 1,694,175 ----------- 14,854,537 ----------- See Notes to Financial Statements. 70 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) INSURANCE -- 3.7% 88,300 ACE, Ltd....................... $ 3,747,231 5,900 Fairfax Financial Holdings, Ltd.+ 897,570 22,400 Loews Corporation.............. 2,319,800 9,200 Marsh & McLennan Companies, Inc. 1,076,400 23,532 Mutual Risk Management, Ltd.... 357,392 12,500 PartnerRe, Ltd................. 762,500 9,800 XL Capital, Ltd., Class A...... 856,275 ----------- 10,017,168 ----------- MACHINERY -- 1.5% 40,600 Applied Materials, Inc.+....... 1,550,413 35,100 Danaher Corporation............ 2,399,963 ----------- 3,950,376 ----------- MEDIA AND COMMUNICATIONS -- 5.2% 124,600 AT&T Corporation - Liberty Media Corporation, Class A+.. 1,689,888 34,200 Clear Channel Communications, Inc.+........ 1,656,563 57,800 Comcast Corporation, Special Class A+............. 2,413,150 22,500 Infinity Broadcasting Corporation, Class A+..................... 628,594 33,600 Macromedia, Inc.+.............. 2,041,200 21,600 Omnicom Group, Inc............. 1,790,100 60,550 Viacom, Inc., Class B+......... 2,830,713 76,400 WPP Group Plc.................. 995,181 ----------- 14,045,389 ----------- MEDICAL PRODUCTS -- 2.2% 43,500 Baxter International, Inc...... 3,841,594 33,761 Pharmacia Corporation.......... 2,059,421 ----------- 5,901,015 ----------- OIL AND GAS -- 2.0% 82,800 Baker Hughes, Inc.............. 3,441,375 17,300 El Paso Energy Corporation..... 1,239,113 15,700 Transocean Sedco Forex, Inc.... 722,200 ----------- 5,402,688 ----------- PETROLEUM - INTERNATIONAL -- 3.5% 38,300 Chevron Corporation............ 3,233,956 31,595 Exxon Mobil Corporation........ 2,746,790 57,300 Royal Dutch Petroleum Company, NY Shares........... 3,470,231 ----------- 9,450,977 ----------- PHARMACEUTICALS -- 5.4% 1,000 Allergan, Inc.................. 96,813 16,800 Genentech, Inc.+............... 1,369,200 2,000 IDEC Pharmaceuticals Corporation+ 379,125 27,400 MedImmune, Inc.+............... 1,306,638 18,000 Merck & Company, Inc........... 1,685,250 173,150 Pfizer, Inc.................... 7,964,900 32,000 Schering-Plough Corporation.... 1,816,000 ----------- 14,617,926 ----------- VALUE SHARES (NOTE 1) -------- ---------- PRECISION INSTRUMENT -- 0.5% 14,800 Applera Corporation- Applied Biosystem............ $ 1,392,125 ----------- RETAIL -- 6.6% 46,718 CVS Corporation................ 2,800,160 7,900 Gap, Inc....................... 201,450 55,300 Home Depot, Inc................ 2,526,519 123,100 Kroger Company+................ 3,331,394 54,300 Safeway, Inc.+................. 3,393,750 36,900 Target Corporation............. 1,190,025 47,600 Wal-Mart De Mexico, Sponsored ADR+............... 947,192 64,300 Wal-Mart Stores, Inc........... 3,415,938 ----------- 17,806,428 ----------- TECHNOLOGY -- 0.7% 39,000 The Furukawa Electric Company, Ltd................. 681,305 16,000 United Technologies Corporation 1,258,000 ----------- 1,939,305 ----------- TELECOMMUNICATIONS -- 5.4% 32,200 Asia Global Crossing, Ltd.+.... 211,313 213,000 China Mobile (Hong Kong) Ltd.+. 1,163,323 45,900 China Unicom, ADR+............. 677,025 85,000 Crown Castle International Corporation+................. 2,300,313 6,400 JDS Uniphase Corporation+...... 266,800 35,600 Nextel Communications, Inc., Class A+..................... 881,100 45,200 Nokia Corporation, Sponsored ADR 1,966,200 24,100 Nortel Networks Corporation.... 772,706 14,600 SBC Communications, Inc........ 697,150 59,000 Sprint Corporation (PCS Group)+ 1,205,813 751,204 Vodafone Group Plc, Sponsored ADR................ 2,754,874 57,730 WorldCom, Inc.+................ 811,828 46,000 XO Communications, Inc.+....... 819,375 ----------- 14,527,820 ----------- Total Common Stock (Cost $229,034,636).......... 256,220,846 ----------- MUTUAL FUNDS - OPEN END -- 5.3% 14,226,466 Reserve Investment Fund, 5.499% due 01/02/01.......... 14,226,466 ----------- Total Mutual Funds (Cost $14,226,466)........... 14,226,466 ----------- TOTAL INVESTMENTS (COST $243,261,102*).............. 100.2% 270,447,312 OTHER ASSETS AND LIABILITIES (NET)............................. (0.2)% (464,024) ------ ------------ NET ASSETS........................... 100.0% $269,983,288 ====== ============ - ------------------------ * Aggregate cost for federal tax purposes was $244,852,329. + Non-income producing security. Abbreviations: ADR -- American Depository Receipt See Notes to Financial Statements. 71 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- 97.6% AUSTRALIA -- 0.9% 20,000 Brambles Industries, Ltd....... $ 466,746 84,000 Publishing and Broadcasting, Ltd. 608,964 175,049 Telstra Corporation, Ltd....... 624,739 ----------- 1,700,449 ----------- BELGIUM -- 0.9% 3,282 Dexia Belgium (Credit Communal) 593,459 25,818 Fortis Class B................. 838,677 804 Societe Europeenne Satellites. 117,754 2,750 UCB S.A........................ 101,931 ----------- 1,651,821 ----------- BRAZIL -- 0.8% 13,300 Petroleo Brasileiro S.A., ADR+. 335,825 11,625 Telecomunicacoes de Sao Paulo.. 847,174 8,073 Unibanco-Uniao De Bancos Brasileirs, GDR.............. 237,649 ----------- 1,420,648 ----------- CANADA -- 1.2% 15,090 Alcan Aluminum, Ltd............ 515,893 22,156 Celestica, Inc.+............... 1,201,963 7,400 Nortel Networks Corporation.... 237,716 6,960 Royal Bank of Canada........... 235,630 ----------- 2,191,202 ----------- DENMARK -- 0.1% 2,640 Tele Danmark AS, Series B...... 107,594 ----------- FINLAND -- 2.5% 106,209 Nokia Oyj...................... 4,736,430 ----------- FRANCE -- 13.1% 29,820 Alcatel S.A.................... 1,693,788 1,600 Altran Technologies S.A........ 362,021 4,363 Aventis S.A.................... 380,537 30,059 Aventis S.A., Series A......... 2,638,653 17,657 Axa............................ 2,552,900 23,680 BNP Paribas S.A................ 2,078,689 7,540 Bouygues S.A................... 341,558 1,110 Canal Plus..................... 3,981 3,520 Cap Gemini S.A................. 567,756 5,100 Compagnie de Saint-Gobain...... 801,055 3,242 Equant NV+..................... 84,768 1,400 Groupe Danone.................. 211,091 2,440 Hermes International........... 345,681 3,020 L'Oreal S.A.................... 258,865 1,215 Lafarge S.A. Bearer Shares..... 101,865 4,293 Legrand S.A.................... 866,554 3,050 LVMH........................... 201,876 27,246 Sanofi -Synthelabo S.A......... 1,816,173 3,872 Schneider Electric S.A......... 282,457 6,316 Societe Generale, Class A...... 392,551 VALUE SHARES (NOTE 1) -------- ---------- FRANCE -- (CONTINUED) 25,960 Societe Television Francaise 1. $ 1,401,421 1,594 Sodexho Alliance S.A........... 295,265 26,770 Total Fina Elf S.A., Class B... 3,981,069 43,274 Vivendi Universal S.A ......... 2,848,008 ----------- 24,508,582 ----------- GERMANY -- 4.1% 3,510 Allianz AG..................... 1,320,452 7,533 Bayer AG....................... 396,759 20,002 Bayerische Hypo-und Vereinsbank AG............... 1,122,977 22,221 Deutsche Bank AG............... 1,852,562 4,921 Deutsche Telekom AG............ 148,305 11,210 Gehe AG........................ 428,874 3,746 Rhon-Klinikum AG............... 210,313 8,240 SAP AG......................... 957,732 2,248 Siemens AG..................... 293,892 15,271 E.On AG........................ 929,049 ----------- 7,660,915 ----------- HONG KONG -- 2.3% 82,000 Cheung Kong Holdings, Ltd...... 1,048,667 217,000 China Mobile (Hong Kong) Ltd.+. 1,185,169 36,000 Dao Heng Bank Group, Ltd....... 204,464 35,000 Henderson Land Development Company, Ltd................. 178,143 108,900 Hutchison Whampoa, Ltd......... 1,357,777 432,499 Pacific Century CyberWorks, Ltd.+ 280,019 ----------- 4,254,239 ----------- INDIA -- 0.7% 23,175 Global Tele-Systems, Ltd....... 398,165 115,000 Hindustan Lever , Ltd.......... 508,360 109,000 ICICI, Ltd..................... 219,378 24,833 ICICI, Ltd., Sponsored ADR..... 260,746 ----------- 1,386,649 ----------- IRELAND -- 0.2% 9,569 SmartForce Plc, Sponsored ADR+. 359,436 ----------- ITALY -- 6.3% 65,000 Alleanza Assicurazioni......... 1,055,187 13,200 Assicurazioni Generali S.p.A Shares 524,340 584,362 Banca Intesa S.p.A............. 2,830,373 79,000 Bipop-Carire S.p.A............. 520,742 200,772 ENI S.p.A...................... 1,309,285 15,000 Mediaset S.p.A................. 182,132 50,765 Mediolanum Shares S.p.A........ 678,450 322,263 Olivetti S.p.A................. 791,791 8,384 San Paolo-IMI S.p.A............ 137,843 114,600 Tecnost S.p.A+................. 314,492 51,958 Telecom Italia S.p.A........... 578,296 184,353 Tim S.p.A...................... 1,477,063 278,553 UniCredit Italiano S.p.A....... 1,450,125 ----------- 11,850,119 ----------- See Notes to Financial Statements. 72 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) JAPAN -- 17.1% 65,000 Canon, Inc..................... $ 2,276,708 38 DDI Corporation................ 183,345 46 East Japan Railway Company..... 269,877 8,900 Fanuc, Ltd..................... 605,543 89 Fuji Television Network, Inc... 620,350 34,000 Fujitsu, Ltd................... 501,366 28,000 Hitachi, Ltd................... 249,597 6,000 Ito-Yokado Company, Ltd........ 299,475 13,000 Kao Corporation................ 377,933 17,000 Kokuyo Company, Ltd............ 252,767 15,000 Kyocera Corporation............ 1,637,916 24,000 Makita Corporation............. 168,126 52,000 Marui Company, Ltd............. 785,464 4,500 Matsushita Communication Industrial Company, Ltd...... 565,455 69,000 Matsushita Electric Industrial Company, Ltd................. 1,649,475 124,000 Mitsui Fudosan Company, Ltd.... 1,232,399 266 Mizuho Holdings, Inc........... 1,649,107 16,900 Murata Manufacturing Company, Ltd................. 1,983,012 90,000 NEC Corporation................ 1,647,110 229 Nippon Telegraph & Telephone Corporation.................. 1,650,324 79,000 Nomura Securities Company, Ltd. 1,421,585 62 NTT DoCoMo, Inc................ 1,069,527 28,000 Sankyo Company, Ltd............ 671,804 13,240 Seven-Eleven Japan Company, Ltd. 753,590 15,000 Shin-Etsu Chemical Company, Ltd. 577,933 28,000 Shiseido Company, Ltd.......... 312,609 1,200 Softbank Corporation........... 41,716 39,600 Sony Corporation............... 2,739,405 122,000 Sumitomo Bank, Ltd............. 1,253,117 54,000 Sumitomo Corporation........... 388,687 6,000 TDK Corporation................ 584,238 16,000 The Furukawa Electric Company, Ltd................. 279,510 9,900 Tokyo Electron, Ltd............ 544,413 197,000 Toshiba Corporation............ 1,317,933 30,000 Yamanouchi Pharmaceutical Company, Ltd................. 1,297,723 ----------- 31,859,139 ----------- KOREA -- 0.7% 16,600 Korea Telecom Corporation, Sponsored ADR+............... 514,600 11,643 Pohang Iron & Steel Company, Ltd., Sponsored ADR.......... 181,194 5,031 Samsung Electronics Company.... 628,378 ----------- 1,324,172 ----------- MEXICO -- 1.7% 157,340 Fomento Economico Mexicano, S.A. de C.V........ 469,965 16,000 Grupo Iusacell, ADR+........... 156,000 35,285 Grupo Televisa-GDR (2 Part Cert)+ 1,585,620 20,918 Telefonos de Mexicano S.A. de C.V., ADR................ 943,925 ----------- 3,155,510 ----------- VALUE SHARES (NOTE 1) -------- ---------- NETHERLANDS -- 7.4% 10,250 ABN Amro Holdings NV........... $ 233,074 2,296 Akzo Nobel NV.................. 123,300 38,450 ASM Lithography, Holding NV+... 873,229 21,860 Elsevier NV.................... 321,394 31,780 Fortis NV...................... 1,032,348 41,840 ING Groep NV, CVA Shares....... 3,342,068 4,440 Koninklijke KPN NV............. 51,106 64,049 Philips Electronics NV......... 2,346,366 25,570 Royal Dutch Petroleum Company.. 1,566,657 17,843 STMicroelectronics NV.......... 778,963 4,208 United Pan-Europe Communications NV+........... 42,983 47,460 VNU NV......................... 2,332,602 25,848 Wolters Kluwer NV.............. 704,725 ----------- 13,748,815 ----------- NORWAY -- 0.3% 24,730 Orkla ASA, A Shares............ 487,954 ----------- PORTUGAL -- 0.3% 13,503 Jeronimo Martins SGPS, S.A..... 139,450 46,500 Portugal Telecom SGPS, S.A..... 425,215 ----------- 564,665 ----------- SINGAPORE -- 0.8% 18,000 DBS Group Holdings, Ltd........ 203,460 137,000 Singapore Telecommunications, Ltd. 212,532 136,272 United Overseas Bank, Ltd...... 1,021,647 ----------- 1,437,639 ----------- SPAIN -- 3.0% 100,783 Banco Bilbao Vizcaya Argentaria S.A............... 1,499,729 121,367 Banco Santander Central Hispano S.A.................. 1,298,978 55,318 Endesa S.A..................... 942,626 33,823 Repsol YPF S.A................. 540,465 53,257 Telefonica S.A.+............... 880,006 8,188 Telefonica S.A., Sponsored ADR+ 409,400 ----------- 5,571,204 ----------- SWEDEN -- 4.0% 4,672 ABB AB......................... 479,802 5,550 Atlas Copco AB, Series B....... 116,170 22,740 Electrolux AB, Series B........ 295,231 212,930 Ericsson AB, B Shares.......... 2,425,942 37,500 Hennes & Mauritz AB, Series B.. 580,255 169,772 Nordea AB...................... 1,286,492 28,452 Nordea AB+..................... 221,893 7,410 Sandvik AB, Series B........... 178,270 101,626 Securitas AB, Series B......... 1,884,855 ----------- 7,468,910 ----------- See Notes to Financial Statements. 73 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO DECEMBER 31, 2000 VALUE SHARES (NOTE 1) -------- ---------- COMMON STOCK -- (CONTINUED) SWITZERLAND -- 4.2% 5,623 ABB, Ltd....................... $ 599,428 1,375 Adecco S.A..................... 865,474 4,500 Credit Suisse Group, Registered Shares............ 855,292 1,156 Nestle S.A., Registered Shares. 2,696,501 91 Roche Holding AG, Genusch...... 927,127 12,204 UBS AG, Registered Shares...... 1,991,952 ----------- 7,935,774 ----------- TAIWAN -- 0.4% 304,840 Taiwan Semiconductor Manufacturing Company+....... 732,567 ----------- UNITED KINGDOM -- 24.4% 18,000 Abbey National Plc............. 327,769 38,433 AstraZeneca Group Plc.......... 1,937,628 2,500 Autonomy Corporation Plc+...... 71,217 27,980 B G Group Plc.................. 109,507 111,000 BP Amoco Plc................... 895,383 69,000 British Telecommunications Plc. 589,573 171,000 Cable & Wireless Plc........... 2,306,620 94,436 Cadbury Schweppes Plc.......... 653,147 28,000 Celltech Group Plc+............ 494,806 57,600 Centrica Plc................... 223,066 130,064 Diageo Plc..................... 1,457,171 19,500 Dimension Data Holdings Plc+... 131,663 25,000 Electrocomponents Plc.......... 247,224 7,000 GKN Plc........................ 73,928 226,522 GlaxoSmithKline Plc+........... 6,395,343 272,800 Granada Compass Plc+........... 2,968,699 16,850 Granada Media Plc+............. 106,975 115,200 Hays Plc....................... 664,251 45,000 Hilton Group Plc............... 140,492 34,000 HSBC Holdings Plc.............. 503,468 86,000 Kingfisher Plc................. 639,443 27,980 Lattice Group Plc+............. 63,113 94,500 Marconi Plc.................... 1,014,969 19,000 Reckitt Benckiser Plc.......... 261,684 318,000 Reed International Plc......... 3,325,197 75,000 Rio Tinto Plc.................. 1,319,772 223,520 Royal Bank of Scotland Group Plc 5,282,203 415,000 Shell Transport & Trading Company Plc.................. 3,403,398 42,000 Smith (David S.) Holdings Plc.. 106,030 68,000 Standard Chartered Plc......... 980,231 207,300 Tesco Plc...................... 844,610 203,364 Tomkins Plc.................... 448,083 86,857 Unilever Plc................... 743,450 31,200 United Business Media Plc...... 396,156 1,224,634 Vodafone Group Plc............. 4,491,072 144,000 WPP Group Plc.................. 1,875,734 ----------- 45,493,075 ----------- VALUE SHARES (NOTE 1) -------- ---------- UNITED STATES -- 0.2% 12,600 Flextronics International, Ltd.+ $ 359,100 3,800 Nortel Networks Corporation.... 121,837 ------------ 480,937 ------------ Total Common Stock (Cost $178,563,237).......... 182,088,445 ------------ PREFERRED STOCK -- 1.1% AUSTRALIA -- 0.5% 142,107 News Corporation (The), Ltd.... 1,010,710 ------------ BRAZIL -- 0.6% 46,535 Petroleo Brasiliero S.A. Petrobras 1,092,499 ------------ Total Preferred Stock (Cost $2,803,956)............ 2,103,209 ------------ TOTAL INVESTMENTS (COST $181,367,193*).............. 98.7% 184,191,654 OTHER ASSETS AND LIABILITIES (NET)............................. 1.3% 2,472,084 ------ ------------ NET ASSETS........................... 100.0% $186,663,738 ====== ============ - ---------------------- * Aggregate cost for federal tax purposes was $182,131,951. + Non-Income Producing Security. Abbreviations: ADR -- American Depositary Receipt GDR -- Global Depositary Receipt Ord. --Ordinary See Notes to Financial Statements. 74 ================================================================================ PORTFOLIO OF INVESTMENTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO DECEMBER 31, 2000 At December 31, 2000, sector diversification of the Portfolio was as follows: % OF VALUE SECTOR DIVERSIFICATION NET ASSETS (NOTE 1) - ---------------------- ---------- -------- COMMON STOCK: Telecommunications.................. 15.8% $29,509,423 Health and Personal Care............ 13.3% 24,759,556 Banking............................. 12.3% 23,025,277 Electronics and Instruments......... 10.9% 20,159,151 Financial Services.................. 8.5% 15,922,662 Energy.............................. 8.0% 14,996,167 Broadcasting and Publishing......... 6.7% 12,534,228 Insurance........................... 4.3% 8,002,354 Diviersified Multi-Industry......... 3.2% 5,905,556 Food and Grocery Products........... 2.7% 5,109,023 Computers and Communication......... 1.9% 3,501,451 Multi-Industry...................... 1.8% 3,362,982 Real Estate......................... 1.3% 2,459,209 Retail Trade........................ 1.3% 2,412,213 Metals and Mining................... 1.1% 2,016,859 Construction and Building Materials. 1.0% 1,836,106 Diviersified Industrial Manufacturing 0.7% 1,391,067 Machinery and Engineering Services.. 0.6% 1,188,515 Utilities........................... 0.6% 1,165,692 Household Products.................. 0.6% 1,038,681 Chemicals........................... 0.3% 520,059 Textiles and Apparel................ 0.2% 345,681 Entertainment and Leisure........... 0.2% 342,368 Transport and Storage............... 0.2% 332,990 Forestry and Paper Products......... 0.1% 106,030 Automotive.......................... 0.0%# 73,928 Data Processing..................... 0.0%# 71,217 ------ ------------ TOTAL COMMON STOCK.................. 97.6% 182,088,445 TOTAL PREFERRED STOCK............... 1.1% 2,103,209 ------ ------------ TOTAL INVESTMENTS................... 98.7% 184,191,654 OTHER ASSETS AND LIABILITIES........ 1.3% 2,472,084 ------ ------------ NET ASSETS.......................... 100.0% $186,663,738 ====== ============ - ------------------------------------------ # Amount represents less than 0.1% See Notes to Financial Statements. 75 ================================================================================ STATEMENTS OF ASSETS AND LIABILITIES ================================================================================ ENDEAVOR SERIES TRUST FOR THE YEAR ENDED DECEMBER 31, 2000
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET ENHANCED GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION INDEX PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- ----------- ------------ ------------ ------------ ------------ ------------ ASSETS: Investments, at value (Note 1) See accompanying schedule ................. $50,788,012 $33,703,238 $180,584,486 $213,540,255 $ 74,242,547 $363,262,450 $156,612,445 Repurchase agreements (Note 1) ................. -- -- -- -- -- 27,053,000 -- Cash ........................ -- -- -- -- 8,252,410 -- -- Foreign currency, at value (Cost $730,619, $1,980, $3,327, $75 and $570,970, respectively) ............ 750,783 -- -- -- -- -- -- Receivable for investment securities sold .......... -- 35,103 2,245,920 3,625,666 33,880,212 7,306,795 479,519 Unamortized organization costs (Note 6) ........... 16,358 -- -- -- -- -- 6,659 Dividends and/or interest receivable ............... 43,893 23,209 190,969 108,153 967,877 1,438,545 153,145 Net unrealized appreciation on forward foreign currency contracts ....... 3,062 -- -- -- -- -- -- Prepaid expenses ............ 1,442 994 6,056 6,135 2,465 15,715 4,824 Variation Margin (Note 1) ... -- -- -- -- 37,109 6,359 -- Other Assets ................ -- -- -- -- -- 8,099 -- ----------- ----------- ------------ ------------ ------------ ------------ ------------ Total Assets ............. 51,603,550 33,762,544 183,027,431 217,280,209 117,382,620 399,090,963 157,256,592 ----------- ----------- ------------ ------------ ------------ ------------ ------------ LIABILITIES: Payable for investment securities purchased ..... 507,806 127,726 473,802 3,806,245 42,093,527 46,019,189 482,070 Foreign currency, at value (Cost $43,400) ........... -- -- -- -- -- -- -- Options written (Premiums received $58,230) ........ -- -- -- -- 57,998 -- -- Distributions Payable -- -- -- -- -- -- -- Due to Custodian ............ 687,952 96,426 53,597 227,718 -- 464,905 121,689 Variation Margin (Note 1) ... -- -- -- -- -- -- 17,911 Investment management fee payable (Note 2) ......... 42,850 22,602 128,240 137,475 41,590 231,719 98,262 Accrued expenses and other payables ................. 13,303 8,954 17,502 22,664 7,996 42,144 19,242 ----------- ----------- ------------ ------------ ------------ ------------ ------------ Total Liabilities ........ 1,251,911 255,708 673,141 4,194,102 42,201,111 46,757,957 739,174 ----------- ----------- ------------ ------------ ------------ ------------ ------------ NET ASSETS .................. $50,351,639 $33,506,836 $182,354,290 $213,086,107 $ 75,181,509 $352,333,006 $156,517,418 =========== =========== ============ ============ ============ ============ ============ Investments, at Identified Cost .......... $52,283,273 $33,398,746 $162,846,361 $252,078,686 $ 74,016,675 $357,137,412 $157,466,320 =========== =========== ============ ============ ============ ============ ============
See Notes to Financial Statements. 76
T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR PRICE PRICE PRICE ENDEAVOR JANUS MONEY JENNISON EQUITY GROWTH INTERNATIONAL HIGH YIELD GROWTH MARKET GROWTH INCOME STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------ ------------ ----------- ------------ ------------ ------------ ASSETS: Investments, at value (Note 1) See accompanying schedule ................. $21,276,399 $754,520,263 $108,982,946 $36,361,372 $256,990,014 $270,447,312 $184,191,654 Repurchase agreements (Note 1) ................. -- -- -- -- -- -- -- Cash ........................ -- -- 15,566,615 46,538 -- -- 1,607,330 Foreign currency, at value (Cost $730,619, $1,980, $3,327, $75 and $570,970, respectively) ............ 2,035 3,127 -- -- 81 -- 573,572 Receivable for investment securities sold .......... 19,633 6,355,022 -- 201,709 414,531 577,271 -- Unamortized organization costs (Note 6) ........... 10,811 -- -- 4,571 -- -- -- Dividends and/or interest receivable ............... 503,032 239,883 148,511 21,947 442,540 278,263 444,799 Net unrealized appreciation on forward foreign currency contracts ....... -- -- -- -- -- -- -- Prepaid expenses ............ 628 33,628 844 1,318 7,636 8,283 6,925 Variation Margin (Note 1) ... -- -- -- -- -- -- -- Other Assets ................ -- -- -- -- -- -- -- ----------- ------------ ------------ ----------- ------------ ------------ ------------ Total Assets ............. 21,812,538 761,151,923 124,698,916 36,637,455 257,854,802 271,311,129 186,824,280 ----------- ------------ ------------ ----------- ------------ ------------ ------------ LIABILITIES: Payable for investment securities purchased ..... 5,042 5,692,089 -- 146,646 -- 959,924 -- Foreign currency, at value (Cost $43,400) ........... -- -- -- -- -- 67,646 -- Options written (Premiums received $58,230) ........ -- -- -- -- -- -- -- Distributions Payable -- -- 6,331 -- -- -- -- Due to Custodian ............ 51,503 694,307 -- -- 315,983 89,463 -- Variation Margin (Note 1) ... -- -- -- -- -- -- -- Investment management fee payable (Note 2) ......... 13,778 516,425 50,876 26,691 171,683 181,176 141,651 Accrued expenses and other payables ................. 8,945 65,065 13,076 5,661 23,691 29,632 18,891 ----------- ------------ ------------ ----------- ------------ ------------ ------------ Total Liabilities ........ 79,268 6,967,886 70,283 178,998 511,357 1,327,841 160,542 ----------- ------------ ------------ ----------- ------------ ------------ ------------ NET ASSETS .................. $21,733,270 $754,184,037 $124,628,633 $36,458,457 $257,343,445 $269,983,288 $186,663,738 =========== ============ ============ =========== ============ ============ ============ Investments, at Identified Cost .......... $24,480,872 $794,017,453 $108,982,946 $39,237,677 $241,195,608 $243,261,102 $181,367,193 =========== ============ ============ =========== ============ ============ ============
See Notes to Financial Statements. 77 ================================================================================ STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST FOR THE YEAR ENDED DECEMBER 31, 2000
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET ENHANCED GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION INDEX PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- ----------- ------------ ------------ ----------- ------------ ------------ NET ASSETS CONSIST OF: Undistributed net investment income/(loss) ........... $ (3,062) $ 32,408 $ 1,401,861 $ -- $ 4,067,791 $ 6,100,801 $ 872,980 Accumulated net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ............ 513,545 15,635 12,882,220 59,964,380 (1,690,091) 33,936,097 (3,450,235) Net unrealized appreciation/ (depreciation) of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ........ (1,470,725) 304,492 17,738,125 (38,538,431) 178,213 32,855,670 (827,963) Paid-in capital ............ 51,311,881 33,154,301 150,332,084 191,660,158 72,625,596 279,440,438 159,922,636 ----------- ----------- ------------ ------------ ----------- ------------ ------------ Total Net Assets ........ $50,351,639 $33,506,836 $182,354,290 $213,086,107 $75,181,509 $352,333,006 $156,517,418 =========== =========== ============ ============ =========== ============ ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding .... $ 12.06 $ 10.10 $ 17.58 $ 15.62 $ 11.88 19.47 $ 15.13 =========== =========== ============ ============ =========== ============ ============ Number of Portfolio shares outstanding ............. 4,175,880 3,316,410 10,374,983 13,643,257 6,329,189 18,097,618 10,345,181 =========== =========== ============ ============ =========== ============ ============
See Notes to Financial Statements. 78
T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR PRICE PRICE PRICE ENDEAVOR JANUS MONEY JENNISON EQUITY GROWTH INTERNATIONAL HIGH YIELD GROWTH MARKET GROWTH INCOME STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------ ------------ ----------- ------------ ------------ ------------ NET ASSETS CONSIST OF: Undistributed net investment income/(loss) ........... $ 1,691,134 $ (138) $ -- $ 660,050 $ 4,891,333 $ -- $ (371,266) Accumulated net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ............ (357,814) 524,274 1,277 (1,718,545) 20,357,168 35,549,534 33,470,768 Net unrealized appreciation/ (depreciation) of investments futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ........ (3,204,331) (39,497,391) -- (2,876,305) 15,794,322 27,165,390 2,815,209 Paid-in capital ............ 23,604,281 793,157,292 124,627,356 40,393,257 216,300,622 207,268,364 150,749,027 ----------- ------------ ------------ ----------- ------------ ------------ ------------ Total Net Assets ........ $21,733,270 $754,184,037 $124,628,633 $36,458,457 $257,343,445 $269,983,288 $186,663,738 =========== ============ ============ =========== ============ ============ ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding .... $ 9.06 $ 67.34 $ 1.00 $ 10.30 $ 19.52 $ 25.62 $ 15.18 =========== ============ ============ =========== ============ ============ ============ Number of Portfolio shares outstanding ............. 2,399,289 11,199,170 124,627,356 3,539,320 13,182,012 10,537,882 12,300,658 =========== ============ ============ =========== ============ ============ ============
See Notes to Financial Statements. 79 ================================================================================ STATEMENTS OF OPERATIONS ================================================================================ ENDEAVOR SERIES TRUST FOR THE YEAR ENDED DECEMBER 31, 2000
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET ENHANCED GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION INDEX PORTFOLIO* PORTFOLIO** PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------- ----------- ---------- ---------- ---------- ---------- ---------- INVESTMENT INCOME: Dividends ................... $ 388,961 $ 78,897 $2,926,676 $1,312,449 $ -- $1,801,229 $2,090,213 Interest .................... 305,486 35,121 122,490 109,747 4,621,270 7,716,214 200,513 Other ....................... 27,784 -- -- 1,023 -- 12,253 1,277 Foreign taxes withheld ...... (10,587) -- -- -- -- -- (5,117) -------- -------- ---------- ---------- ---------- ---------- ---------- Total Investment Income .. 711,644 114,018 3,049,166 1,423,219 4,621,270 9,529,696 2,286,886 -------- -------- ---------- ---------- ---------- ---------- ---------- EXPENSES: Investment management fee (Note 2) ................. 542,729 61,150 1,476,561 1,675,098 490,746 3,037,259 1,230,217 Administration fees (Note 2) 45,303 9,490 72,097 76,284 29,328 158,983 61,390 Custodian fees (Note 2) ..... 58,124 5,856 21,445 58,736 16,924 89,945 48,843 Transfer agent fees ......... 155 18 578 461 256 1,402 393 Marketing fees paid indirectly (Note 2) ................. -- -- 47,056 735,554 -- 55,005 -- Professional fees ........... 8,336 2,752 31,647 36,972 12,689 70,301 28,919 Amortization of organization costs (Note 6) ........... 7,848 -- -- -- -- -- 5,011 Trustees' fees and expenses (Note 2) ................. 4,365 1,390 14,999 15,604 6,226 31,882 13,946 Printing fees ............... 2,506 553 16,034 21,397 4,771 20,604 10,186 Insurance fees .............. 1,621 -- 6,745 6,653 2,732 14,248 5,027 Other ....................... 5,764 401 6,207 11,025 8,279 26,926 14,946 -------- -------- ---------- ---------- ---------- ---------- ---------- Subtotal ................. 676,751 81,610 1,693,369 2,637,784 571,951 3,506,555 1,418,878 Waiver/reimbursement (Note 2) ................. -- -- -- -- -- -- -- Fees paid indirectly (Note 2) -- -- (47,056) (735,554) -- (55,005) -- Credits allowed by the custodian (Note 2) ....... (7,465) -- (357) (4,511) (12,053) (7,755) -- -------- -------- ---------- ---------- ---------- ---------- ---------- Total expenses ........... 669,286 81,610 1,645,956 1,897,719 559,898 3,443,795 1,418,878 -------- -------- ---------- ---------- ---------- ---------- ---------- NET INVESTMENT INCOME/(LOSS) ............ 42,358 32,408 1,403,210 (474,500) 4,061,372 6,085,901 868,008 -------- -------- ---------- ---------- ---------- ---------- ----------
- ---------------------- * Effective October 9, 2000, Capital Guardian Trust Company became the investment adviser and the names of the Endeavor Select Portfolio and Endeavor Value Equity Portfolio were changed to Capital Guardian Global Portfolio and Capital Guardian Value Portfolio, respectively. ** The Capital Guardian U.S. Equity Portfolio commenced operations on October 9, 2000. *** Effective October 9, 2000, Jennison Associates LLC became the investment adviser and the name of the Endeavor Opportunity Value Portfolio was changed to Jennison Growth Portfolio. See Notes to Financial Statements. 80
T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR PRICE PRICE PRICE ENDEAVOR JANUS MONEY JENNISON EQUITY GROWTH INTERNATIONAL HIGH YIELD GROWTH MARKET GROWTH INCOME STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*** PORTFOLIO PORTFOLIO PORTFOLIO ---------- ----------- ---------- ------------ ---------- ---------- ---------- INVESTMENT INCOME: $ -- $ 1,766,118 $ -- $ 389,639 $ 6,391,618 $1,880,425 $2,684,892 Dividends ................... 1,896,801 4,702,308 7,306,223 647,651 602,915 680,323 45,786 Interest .................... 27,539 -- -- -- -- -- -- Other ....................... -- (6,477) -- (332) (10,204) (24,666) (283,905) Foreign taxes withheld ...... ---------- ----------- ---------- ---------- ---------- ---------- ---------- 1,924,340 6,461,949 7,306,223 1,036,958 6,984,329 2,536,082 2,446,773 Total Investment Income .. ---------- ----------- ---------- ---------- ---------- ---------- ---------- EXPENSES: Investment management fee 165,882 8,461,352 574,105 332,311 1,944,264 2,227,639 1,946,195 (Note 2) ................. 42,527 143,645 45,287 14,789 92,694 102,925 84,930 Administration fees (Note 2) 7,355 135,874 17,369 13,500 42,146 67,224 196,180 Custodian fees (Note 2) ..... 51 1,900 399 129 642 802 786 Transfer agent fees ......... Marketing fees paid indirectly -- -- -- 27,760 3,575 32,170 -- (Note 2) ................. 4,798 175,446 18,072 5,324 41,592 49,392 36,864 Professional fees ........... Amortization of organization 4,490 -- -- 5,208 -- -- -- costs (Note 6) ........... Trustees' fees and expenses 2,039 85,732 10,276 3,583 16,459 20,217 17,994 (Note 2) ................. 1,422 50,569 10,937 2,847 15,910 24,690 14,651 Printing fees ............... 680 38,697 3,797 1,430 8,202 9,110 7,853 Insurance fees .............. 14,675 28,068 5,906 3,990 13,441 12,119 19,706 Other ....................... ---------- ----------- ---------- ---------- ---------- ---------- ---------- 243,919 9,121,283 686,148 410,871 2,178,925 2,546,288 2,325,159 Subtotal ................. Waiver/reimbursement -- (93,456) -- -- -- -- -- (Note 2) ................. -- -- -- (27,760) (3,575) (32,170) -- Fees paid indirectly (Note 2) Credits allowed by the (2,956) (14,295) (1,081) (1,753) -- (753) (194,943) custodian (Note 2) ....... ---------- ----------- ---------- ---------- ---------- ---------- ---------- 240,963 9,013,532 685,067 381,358 2,175,350 2,513,365 2,130,216 Total expenses ........... ---------- ----------- ---------- ---------- ---------- ---------- ---------- NET INVESTMENT 1,683,377 (2,551,583) 6,621,156 655,600 4,808,979 22,717 316,557 INCOME/(LOSS) ............ ---------- ----------- ---------- ---------- ---------- ---------- ----------
See Notes to Financial Statements. 81 ================================================================================ STATEMENTS OF OPERATIONS (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST FOR THE YEAR ENDED DECEMBER 31, 2000
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET ENHANCED GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION INDEX PORTFOLIO* PORTFOLIO** PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- -------- ----------- ------------ ----------- ------------ ------------ REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY (NOTES 1 AND 3): Net realized gain/(loss) on: Investments .............. 600,177 15,635 12,883,061 62,050,016 1,576,922 34,983,089 (2,325,185) Futures contracts ........ -- -- -- -- (1,319,878) (666,439) (778,221) Forward foreign exchange contracts .............. -- -- -- -- -- -- -- Foreign currencies and net other assets ........... (258,863) -- -- -- -- -- -- ----------- -------- ----------- ------------ ----------- ------------ ------------ Net realized gain/(loss) on investments and foreign currency during the period 341,314 15,635 12,883,061 62,050,016 257,044 34,316,650 (3,103,406) ----------- -------- ----------- ------------ ----------- ------------ ------------ Net change in unrealized appreciation/(depreciation) of: Investments .............. (9,565,363) 304,492 (6,246,697) (40,300,803) 2,973,473 (61,679,917) (16,160,892) Futures contracts -- -- -- -- (118,949) (428,681) (109,249) Forward foreign exchange contracts .............. 3,062 -- -- -- -- -- -- Foreign currencies and net other assets ....... (52,427) -- (290) -- -- -- -- ----------- -------- ----------- ------------ ----------- ------------ ------------ Net unrealized appreciation/ (depreciation) of investments and foreign currency during the period .............. (9,614,728) 304,492 (6,246,987) (40,300,803) 2,854,524 (62,108,598) (16,270,141) ----------- -------- ----------- ------------ ----------- ------------ ------------ Net realized and unrealized gain/(loss) on investments and foreign currency during the period ........ (9,273,414) 320,127 6,636,074 21,749,213 3,111,568 (27,791,948) (19,373,547) ----------- -------- ----------- ------------ ----------- ------------ ------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ............... $(9,231,056) $352,535 $ 8,039,284 $ 21,274,713 $ 7,172,940 $(21,706,047) $(18,505,539) =========== ======== =========== ============ =========== ============ ============
- ----------------- * Effective October 9, 2000, Capital Guardian Trust Company became the investment adviser and the names of the Endeavor Select Portfolio and Endeavor Value Equity Portfolio were changed to Capital Guardian Global Portfolio and Capital Guardian Value Portfolio, respectively. ** The Capital Guardian U.S. Equity Portfolio commenced operations on October 9, 2000. *** Effective October 9, 2000, Jennison Associates LLC became the investment adviser and the name of the Endeavor Opportunity Value Portfolio was changed to Jennison Growth Portfolio. See Notes to Financial Statements. 82
T. ROWE T. ROWE T. ROWE ENDEAVOR PRICE PRICE PRICE ENDEAVOR JANUS MONEY JENNISON EQUITY GROWTH INTERNATIONAL HIGH YIELD GROWTH MARKET GROWTH INCOME STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*** PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------- ------------ ------------ ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY (NOTES 1 AND 3): Net realized gain/(loss) on: Investments .............. (100,772) 18,398,544 1,376 (1,718,545) 20,487,386 36,211,053 33,992,839 Futures contracts ........ -- -- -- -- -- -- -- Forward foreign exchange contracts .............. 3,045 -- -- -- -- -- -- Foreign currencies and net other assets ........... 351 11,008 -- -- (19,332) (198,633) (334,440) ----------- ------------- ------------ ------------ ------------ ------------ ------------ Net realized gain/(loss) on investments and foreign currency during the period (97,376) 18,409,552 1,376 (1,718,545) 20,468,054 36,012,420 33,658,399 ----------- ------------- ------------ ------------ ------------ ------------ ------------ Net change in unrealized appreciation/(depreciation) Investments .............. (2,761,787) (336,644,072) -- (3,781,332) 2,287,148 (37,685,265) (72,600,095) Futures contracts -- -- -- -- -- -- -- Forward foreign exchange contracts .............. -- -- -- -- -- -- -- Foreign currencies and net other assets ....... 142 (220) -- -- 496 (20,531) (7,414) ----------- ------------- ------------ ------------ ------------ ------------ ------------ Net unrealized appreciation/ (depreciation) of investments and foreign currency during the period .............. (2,761,645) (336,644,292) -- (3,781,332) 2,287,644 (37,705,796) (72,607,509) ----------- ------------- ------------ ------------ ------------ ------------ ------------ Net realized and unrealized gain/(loss) on investments and foreign currency during the period ........ (2,859,021) (318,234,740) 1,376 (5,499,877) 22,755,698 (1,693,376) (38,949,110) ----------- ------------- ------------ ------------ ------------ ------------ ------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ............... $(1,175,644) $(320,786,323) $ 6,622,532 $ (4,844,277) $ 27,564,677 $ (1,670,659) $(38,632,553) =========== ============= ============ ============ ============ ============ ============
See Notes to Financial Statements. 83 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS ================================================================================ ENDEAVOR SERIES TRUST FOR THE YEAR ENDED DECEMBER 31, 2000
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET ENHANCED GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION INDEX PORTFOLIO* PORTFOLIO** PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ------------- ------------- ------------- ------------ ------------- ------------ Net investment income/(loss) .......... $ 42,358 $ 32,408 $ 1,403,210 $ (474,500) $ 4,061,372 $ 6,085,901 $ 868,008 Net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. 341,314 15,635 12,883,061 62,050,016 257,044 34,316,650 (3,103,406) Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. (9,614,728) 304,492 (6,246,987) (40,300,803) 2,854,524 (62,108,598) (16,270,141) ------------ ------------- ------------- ------------- ------------ ------------- ------------ Net increase/(decrease) in net assets resulting from operations ........ (9,231,056) 352,535 8,039,284 21,274,713 7,172,940 (21,706,047) (18,505,539) Distributions to shareholders from net investment income ...... -- -- (1,793,729) -- (4,743,313) (5,838,631) (767,531) Distributions to shareholders from net realized gains ..... (4,814,106) -- (28,955,230) (31,946,414) -- (32,107,241) (9,775,182) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) .. 23,626,927 33,154,301 (4,589,317) 35,955,065 (11,024,975) (2,940,873) 31,598,967 ------------ ------------- ------------- ------------- ------------ ------------- ------------ Net increase/(decrease) in net assets .......... 9,581,765 33,506,836 (27,298,992) 25,283,364 (8,595,348) (62,592,792) 2,550,715 NET ASSETS: Beginning of period ....... 40,769,874 -- 209,653,282 187,802,743 83,776,857 414,925,798 153,966,703 ------------ ------------- ------------- ------------- ------------ ------------- ------------ End of period ............. $ 50,351,639 $ 33,506,836 $ 182,354,290 $ 213,086,107 $ 75,181,509 $ 352,333,006 $156,517,418 ============ ============= ============= ============= ============ ============= ============ Undistributed net investment income/(loss) .......... $ (3,062) $ 32,408 $ 1,401,861 $ -- $ 4,067,791 $ 6,100,801 $ 872,980 ============ ============= ============= ============= ============ ============= ============
- -------------------------------------------------------------------------------- * Effective October 9, 2000, Capital Guardian Trust Company became the investment adviser and the names of the Endeavor Select Portfolio and Endeavor Value Equity Portfolio were changed to Capital Guardian Global Portfolio and Capital Guardian Value Portfolio, respectively. ** The Capital Guardian U.S. Equity Portfolio commenced operations on October 9, 2000. *** Effective October 9, 2000, Jennison Associates LLC became the investment adviser and the name of the Endeavor Opportunity Value Portfolio was changed to Jennison Growth Portfolio. See Notes to Financial Statements. 84
T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR PRICE PRICE PRICE ENDEAVOR JANUS MONEY JENNISON EQUITY GROWTH INTERNATIONAL HIGH YIELD GROWTH MARKET GROWTH INCOME STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*** PORTFOLIO PORTFOLIO PORTFOLIO ----------- -------------- ------------ ----------- ------------ ------------ ------------ Net investment income/(loss) ..........$ 1,683,377 $ (2,551,583) $ 6,621,156 $ 655,600 $ 4,808,979 $ 22,717 $ 316,557 Net realized gain/(loss) on investments sold, future contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. (97,376) 18,409,552 1,376 (1,718,545) 20,468,054 36,012,420 33,658,399 Net change in unrealized appreciation/depreciatio of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. (2,761,645) (336,644,292) -- (3,781,332) 2,287,644 (37,705,796) (72,607,509) ----------- -------------- ------------ ----------- ------------ ------------ ------------ Net increase/(decrease) in net assets resulting from operations ........ (1,175,644) (320,786,323) 6,622,532 (4,844,277) 27,564,677 (1,670,659) (38,632,553) Distributions to shareholders from net investment income ...... (1,105,820) -- (6,621,156) (615,554) (4,934,396) (255,091) (325,017) Distributions to shareholders from net realized gains ..... -- -- (4,552) (2,412,034) (22,192,187) (27,337,593) (22,597,665) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) .. 4,000,043 9,779,254 (10,146,905) (569,320) (7,812,875) 41,367,566 19,564,134 ----------- -------------- ------------ ----------- ------------ ------------ ------------ Net increase/(decrease) in net assets .......... 1,718,579 (311,007,069) (10,150,081) (8,441,185) (7,374,781) 12,104,223 (41,991,101) NET ASSETS: Beginning of period ....... 20,014,691 1,065,191,106 134,778,714 44,899,642 264,718,226 257,879,065 228,654,839 ----------- -------------- ------------ ----------- ------------ ------------ ------------ End of period .............$21,733,270 $ 754,184,037 $124,628,633 $36,458,457 $257,343,445 $269,983,288 $186,663,738 =========== ============== ============ =========== ============ ============ ============ Undistributed net investment income/(loss) ..........$ 1,691,134 $ (138) $ -- $ 660,050 $ 4,891,333 $ -- $ (371,266) =========== ============== ============ =========== ============ ============ ============
See Notes to Financial Statements. 85 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS ================================================================================ ENDEAVOR SERIES TRUST FOR THE PERIOD ENDED DECEMBER 31, 1999
DREYFUS CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR ENDEAVOR GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET ENHANCED GLOBAL VALUE VALUE SECURITIES ALLOCATION INDEX PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------ ------------ ----------- ------------ ------------ Net investment income/(loss) .......... $ (31,423) $ 1,793,123 $ (456,820) $ 4,759,820 $ 5,833,153 $ 762,104 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. 6,598,244 28,956,944 32,661,115 (1,839,096) 32,726,896 9,540,043 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. 5,308,041 (37,138,973) 9,954,170 (3,653,040) 50,143,643 7,506,141 ----------- ------------ ------------ ----------- ------------ ------------ Net increase/(decrease) in net assets resulting from operations ........ 11,874,862 (6,388,906) 42,158,465 (732,316) 88,703,692 17,808,288 Distributions to shareholders from net investment income ...... -- (2,612,496) -- (3,363,808) (6,134,468) (185,617) Distributions to shareholders from net realized gains ..... -- (9,660,903) (16,262,533) (1,591,479) (81,460,029) (4,083,582) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) .. 4,030,227 (17,786,277) 3,244,813 6,575,501 60,815,792 76,369,906 ----------- ------------ ------------ ----------- ------------ ------------ Net increase/(decrease) in net assets .......... 15,905,089 (36,448,582) 29,140,745 887,898 61,924,987 89,908,995 NET ASSETS: Beginning of period ....... 24,864,785 246,101,864 158,661,998 82,888,959 353,000,811 64,057,708 ----------- ------------ ------------ ----------- ------------ ------------ End of period ............. $40,769,874 $209,653,282 $187,802,743 $83,776,857 $414,925,798 $153,966,703 =========== ============ ============ =========== ============ ============ Undistributed net investment income/(loss) .......... $ (43,507) $ 1,792,867 $ -- $ 4,742,691 $ 5,837,030 $ 766,661 =========== ============ ============ =========== ============ ============
- ------------------------ * Endeavor Janus Growth Portfolio commenced operations on May 1, 1999. See Notes to Financial Statements. 86
T. ROWE T. ROWE T. ROWE ENDEAVOR ENDEAVOR PRICE PRICE PRICE ENDEAVOR JANUS MONEY JENNISON EQUITY GROWTH INTERNATIONAL HIGH YIELD GROWTH MARKET GROWTH INCOME STOCK STOCK PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ -------------- ------------- ------------ ------------- ------------- ------------- Net investment income/(loss) .......... $ 1,101,622 $ (483,669) $ 5,420,051 $ 612,889 $ 5,094,683 $ 455,378 $ 1,374,896 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. (172,330) (17,874,270) 4,557 2,412,613 21,933,905 26,967,742 22,788,587 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ............. (185,280) 297,146,901 -- (854,443) (18,037,263) 18,359,748 34,115,959 ------------ -------------- ------------- ------------ ------------- ------------- ------------- Net increase/(decrease) in net assets resulting from operations ........ 744,012 278,788,962 5,424,608 2,171,059 8,991,325 45,782,868 58,279,442 Distributions to shareholders from net investment income ...... (252,489) -- (5,420,092) (469,456) (5,016,696) (515,433) (2,819,874) Distributions to shareholders from net realized gains ..... -- -- -- (419,666) (11,857,644) (16,771,400) (1,807,333) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) .. 9,703,847 786,402,144 33,842,375 (1,888,582) 10,273,031 35,081,701 (9,853,746) ------------ -------------- ------------- ------------ ------------- ------------- ------------- Net increase/(decrease) in net assets .......... 10,195,370 1,065,191,106 33,846,891 (606,645) 2,390,016 63,577,736 43,798,489 NET ASSETS: Beginning of period ....... 9,819,321 -- 100,931,823 45,506,287 262,328,210 194,301,329 184,856,350 ------------ -------------- ------------- ------------ ------------- ------------- ------------- End of period ............. $ 20,014,691 $1,065,191,106 $ 134,778,714 $ 44,899,642 $ 264,718,226 $ 257,879,065 $ 228,654,839 ============ ============== ============= ============ ============= ============= ============= Undistributed net investment income/(loss) .......... $ 1,105,691 $ -- $ -- $ 615,303 $ 5,076,774 $ 254,339 $ (69,077) ============ ============== ============= ============ ============= ============= =============
See Notes to Financial Statements. 87 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR PERIOD ENDED ENDED ENDED 12/31/00** 12/31/99 12/31/98*+++ ---------- --------- ---------- OPERATING PERFORMANCE: Net asset value, beginning of period ............................................ $ 15.77 $ 10.66 $ 10.00 ------- ------- ------- Net investment income/(loss) .................................................... 0.02 (0.01) 0.07 Net realized and unrealized gain/(loss) on investments .......................... (2.37) 5.12 0.59 ------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations ...... (2.35) 5.11 0.66 ------- ------- ------- DISTRIBUTIONS: Distributions from net realized gains ........................................... (1.36) -- -- ------- ------- ------- Total distributions ............................................................. (1.36) -- -- ------- ------- ------- Net asset value, end of period .................................................. $ 12.06 $ 15.77 $ 10.66 ======= ======= ======= Total return++ .................................................................. (15.42)% 47.84% 6.60% ======= ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ............................................ $50,352 $40,770 $24,865 Ratio of net investment income/(loss) to average net assets ..................... 0.08% (0.12)% 0.75%+ Ratio of net expenses to average net assets ..................................... 1.28% 1.48% 1.49%+ Ratio of expenses to average net assets ......................................... 1.30% 1.49% 1.49%+ Ratio of net expenses to average net assets before waivers ...................... 1.30% 1.49% 1.55%+ Portfolio turnover rate ......................................................... 303% 157% 128%
- ---------------------------------------------------- * The Portfolio commenced operations on February 3, 1998. ** Effective October 9, 2000, Capital Guardian Trust Company became the portfolio's adviser and the name of the Endeavor Select Portfolio was changed to Capital Guardian Global Portfolio. + 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. 88 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD PERIOD ENDED 12/31/00* --------- OPERATING PERFORMANCE: Net asset value, beginning of period ............................ $ 10.00 ------- Net investment income ........................................... 0.01 Net realized and unrealized gain on investments ................. 0.09 ------- Net increase in net assets resulting from investment operations . 0.10 ------- Net asset value, end of period .................................. $ 10.10 ======= Total return++ .................................................. 1.00% ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ............................ $33,507 Ratio of net investment income to average net assets ............ 0.45%+ Ratio of net expenses to average net assets ..................... 1.13%+ Portfolio turnover rate ......................................... 108% - ------------------------------------------ * The Portfolio commenced operations on October 9, 2000. + Annualized. ++ Total return represents aggregate total return for the period indicated. See Notes to Financial Statements. 89 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST CAPITAL GUARDIAN VALUE PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00* 12/31/99 12/31/98 12/31/97 12/31/96++ -------- -------- -------- -------- ---------- OPERATING PERFORMANCE: Net asset value, beginning of year ................ $ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23 -------- -------- -------- -------- ------- Net investment income ............................. 0.15 0.18 0.22 0.20 0.20 Net realized and unrealized gain/(loss) on investments ................................. 0.68 (0.72) 1.36 3.96 3.15 -------- -------- -------- -------- ------- Net increase/(decrease) in net assets resulting from investment operations ..................... 0.83 (0.54) 1.58 4.16 3.35 -------- -------- -------- -------- ------- DISTRIBUTIONS: Dividends from net investment income .............. (0.19) (0.24) (0.22) (0.14) (0.13) Distributions from net realized gains ............. (3.05) (0.91) (0.38) (0.53) (0.24) -------- -------- -------- -------- ------- Total distributions ............................... (3.24) (1.15) (0.60) (0.67) (0.37) -------- -------- -------- -------- ------- Net asset value, end of year ...................... $ 17.58 $ 19.99 $ 21.68 $ 20.70 $ 17.21 ======== ======== ======== ======== ======= Total return+ ..................................... 5.57% (3.06)% 7.56% 24.81% 23.84% ======== ======== ======== ======== ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) .............. $182,354 $209,653 $246,102 $216,039 $127,927 Ratio of net investment income to average net assets ............................. 0.77% 0.77% 1.10% 1.39% 1.29% Ratio of net expenses to average net assets ....... 0.91% 0.88% 0.84% 0.89% 0.91% Ratio of expenses to average net assets ........... 0.93% 0.95% 0.85% 0.89% 0.91% Portfolio turnover rate ........................... 85% 51% 19% 16% 27%
- ----------------------------------- * Effective October 9, 2000, Capital Guardian Trust Company became the portfolio's adviser and the name of the Endeavor Value Equity Portfolio was changed to Capital Guardian Value Portfolio. + 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. 90 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96++# -------- -------- -------- -------- ----------- OPERATING PERFORMANCE: Net asset value, beginning of year ................ $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22 -------- -------- -------- -------- ------- Net investment income/(loss) ...................... (0.03) (0.04) (0.03) 0.02 0.12 Net realized and unrealized gain/(loss) on investments ................................. 1.87 4.00 (0.13) 3.52 2.95 -------- -------- -------- -------- ------- Net increase/(decrease) in net assets resulting from investment operations ........... 1.84 3.96 (0.16) 3.54 3.07 -------- -------- -------- -------- ------- DISTRIBUTIONS: Dividends from net investment income .............. -- -- (0.02) (0.10) (0.14) Distributions from net realized gains ............. (2.73) (1.59) (2.09) (1.72) (0.46) -------- -------- -------- -------- ------- Total distributions ............................... (2.73) (1.59) (2.11) (1.82) (0.60) -------- -------- -------- -------- ------- Net asset value, end of year ...................... $ 15.62 $ 16.51 $ 14.14 $ 16.41 $ 14.69 ======== ======== ======== ======== ======= Total return+ ..................................... 11.02% 29.39% (2.18)% 25.56% 25.63% ======== ======== ======== ======== ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) .............. $213,086 $187,803 $158,662 $146,195 $85,803 Ratio of net investment income/(loss) to average net assets .......................... (0.23)% (0.28)% (0.23)% 0.20% 0.95% Ratio of net expenses to average net assets ....... 0.91% 0.90% 0.86% 0.91% 0.92% Ratio of expenses to average net assets ........... 1.26% 1.22% 0.94% 0.91% 0.92% Portfolio turnover rate ........................... 192% 216% 183% 127% 171%
- ------------------------------------ + Total return represents aggregate total return for the periods indicated. ++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. # The Dreyfus Corporation became the Portfolio's Adviser effective September 16, 1996. See Notes to Financial Statements. 91 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96++ -------- -------- -------- -------- ---------- OPERATING PERFORMANCE: Net asset value, beginning of year .................. $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39 ------- ------- ------- ------- ------- Net investment income ............................... 0.74 0.62 0.40 0.39 0.62 Net realized and unrealized gain/(loss) on investments ................................... 0.36 (0.73) 0.46 0.61 (0.44) ------- ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations ............. 1.10 (0.11) 0.86 1.00 0.18 ------- ------- ------- ------- ------- DISTRIBUTIONS: Dividends from net investment income ................ (0.75) (0.46) (0.41) (0.36) (0.22) Distributions from net realized gains ............... 0.00 (0.22) -- -- (0.12) ------- ------- ------- ------- ------- Total distributions ................................. (0.75) (0.68) (0.41) (0.36) (0.34) ------- ------- ------- ------- ------- Net asset value, end of year ........................ $ 11.88 $ 11.53 $ 12.32 $ 11.87 $ 11.23 ======= ======= ======= ======= ======= Total return+ ....................................... 10.16% (0.87)% 7.38% 9.15% 1.81% ======= ======= ======= ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................ $75,182 $83,777 $82,889 $46,542 $24,727 Ratio of net investment income to average net assets ............................ 5.38% 5.52% 5.21% 5.74% 5.68% Ratio of net expenses to average net assets ......... 0.74% 0.73% 0.72% 0.80% 0.82% Ratio of expenses to average net assets ............. 0.76% 0.77% 0.73% 0.80% 0.82% Portfolio turnover rate ............................. 1,109% 596% 615% 185% 222%
- ---------------------------------------------- + Total return represents aggregate total return for the periods indicated. ++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 92 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98# 12/31/97 12/31/96 -------- -------- --------- --------- --------- OPERATING PERFORMANCE: Net asset value, beginning of year .................. $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28 -------- -------- -------- -------- -------- Net investment income ............................... 0.35 0.34 0.43 0.32 0.27 Net realized and unrealized gain/(loss) on investments ................................... (1.60) 4.80 3.50 3.45 2.61 -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations ............................ (1.25) 5.14 3.93 3.77 2.88 -------- -------- -------- -------- -------- DISTRIBUTIONS: Dividends from net investment income ................ (0.33) (0.43) (0.32) (0.27) (0.32) Distributions from net realized gains ............... (1.84) (5.71) (2.06) -- -- -------- -------- -------- -------- -------- Total distributions ................................. (2.17) (6.14) (2.38) (0.27) (0.32) -------- -------- -------- -------- -------- Net asset value, end of year ........................ $ 19.47 $ 22.89 $ 23.89 $ 22.34 $ 18.84 ======== ======== ======== ======== ======== Total return+ ....................................... (5.93)% 26.39% 18.39% 20.14% 17.82% ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................ $352,333 $414,926 $353,001 $303,102 $240,210 Ratio of net investment income to average net assets ....................................... 1.50% 1.58% 1.97% 1.61% 1.59% Ratio of net expenses to average net assets ......... 0.85% 0.84% 0.78% 0.84% 0.85% Ratio of expenses to average net assets ............. 0.87% 0.87% 0.80% 0.84% 0.85% Portfolio turnover rate ............................. 158% 220% 262% 67% 58%
- ------------------------------ + Total return represents aggregate total return for the periods indicated. # Morgan Stanley Asset Management became the Portfolio's Adviser effective April 1, 1998. See Notes to Financial Statements. 93 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR PERIOD ENDED ENDED ENDED ENDED 12/31/00 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 ........................................... 0.07 0.08 0.04 0.02 Net realized and unrealized gain/(loss) on investments .......... (1.99) 2.78 3.81 2.27 -------- -------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations ................................... (1.92) 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 .................................. $ 15.13 $ 18.16 $ 16.08 $ 12.29 ======== ======== ======= ======= Total return++ .................................................. (10.92)% 18.16% 31.39% 22.90% ======== ======== ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ............................ $156,517 $153,967 $64,058 $19,811 Ratio of net investment income to average net assets ............ 0.53% 0.73% 0.48% 0.55%+ Ratio of net expenses to average net assets ..................... 0.87% 0.78% 1.10% 1.30%+ Ratio of net expenses to average net assets before waivers ...... 0.87% 0.78% 1.10% 1.56%+ Portfolio turnover rate ......................................... 68% 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. 94 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR PERIOD ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98* -------- -------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ............................................ $ 10.09 $ 9.69 $ 10.00 ------- ------- ------- Net investment income ........................................................... 0.68 0.47 0.25 Net realized and unrealized gain/(loss) on investments .......................... (1.18) 0.09 (0.56) ------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations ...... (0.50) 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 .................................................. $ 9.06 $ 10.09 $ 9.69 ======= ======= ======= Total return++ .................................................................. (5.18)% 5.82% (3.10)% ======= ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ............................................ $21,733 $20,015 $9,819 Ratio of net investment income to average net assets ............................ 7.87% 7.07% 6.43%+ Ratio of net expenses to average net assets ..................................... 1.13% 1.22% 1.30%+ Ratio of expenses to average net assets ......................................... 1.14% 1.25% 1.43%+ Ratio of net expenses to average net assets before waivers ...................... 1.14% 1.27% 1.58%+ Portfolio turnover rate ......................................................... 57% 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. 95 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR JANUS GROWTH PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR PERIOD ENDED ENDED 12/31/00 12/31/99* --------- ---------- OPERATING PERFORMANCE: Net asset value, beginning of period ........................................................ $ 95.37 $ 69.88 --------- ---------- Net investment income/(loss) ................................................................ (0.23) (0.04) Net realized and unrealized gain/(loss) on investments ...................................... (27.80) 25.53 --------- ---------- Net increase/(decrease) in net assets resulting from investment operations .................. (28.03) 25.49 --------- ---------- Net asset value, end of period .............................................................. $ 67.34 $ 95.37 ========= ========== Total return++ .............................................................................. (29.39)% 36.48% ========= ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ........................................................ $ 754,184 $1,065,191 Ratio of net investment loss to average net assets .......................................... (0.24)% (0.09)%+ Ratio of net expenses to average net assets ................................................. 0.85% 0.83%+ Ratio of net expenses to average net assets before waivers .................................. 0.86% 0.83%+ Portfolio turnover rate ..................................................................... 46% 43%
- ------------------------------ * The Portfolio commenced operations on May 1, 1999. + Annualized. ++ Total return represents aggregate total return for the periods indicated. See Notes to Financial Statements. 96 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST ENDEAVOR MONEY MARKET PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98# 12/31/97 12/31/96 -------- -------- --------- -------- -------- OPERATING PERFORMANCE: Net asset value, beginning of year ................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- ------- ------- Net investment income ................................ 0.0579 0.0465 0.0485 0.0498 0.0479 -------- -------- -------- ------- ------- DISTRIBUTIONS: Dividends from net investment income ................. (0.0579) (0.0465) (0.0485) (0.0498) (0.0479) -------- -------- -------- ------- ------- Net asset value, end of year ......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======= ======= Total return+ ........................................ 5.95% 4.75% 4.96% 5.07% 4.91% ======== ======== ======== ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................. $124,629 $134,779 $100,932 $51,162 $41,545 Ratio of net investment income to average net assets ................................ 5.79% 4.67% 4.92% 4.99% 4.81% Ratio of net expenses to average net assets .......... 0.60% 0.55% 0.60% 0.60% 0.60%
- ---------------------- + Total return represents aggregate total return for the periods indicated. # Morgan Stanley Asset Management became the Portfolio's Adviser effective April 1, 1998. See Notes to Financial Statements. 97 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST JENNISON GROWTH PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR PERIOD ENDED ENDED ENDED ENDED ENDED 12/31/00** 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 ................................... 0.20 0.18 0.11 0.07 -- Net realized and unrealized gain/(loss) on investments .. (1.56) 0.41 0.50 1.62 0.06 ------- ------- ------- ------- ------ Net increase/(decrease) in net assets resulting from investment operations ................................ (1.36) 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 .......................... $ 10.30 $ 12.56 $ 12.22 $ 11.75 $10.06 ======= ======= ======= ======= ====== Total return+ ........................................... (11.58)% 4.79% 5.18% 16.81% 0.60% ======= ======= ======= ======= ====== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) .................... $36,458 $44,900 $45,506 $26,802 $ 701 Ratio of net investment income/(loss) to average net assets 1.60% 1.34% 1.22% 1.34% (1.09)%+ Ratio of net expenses to average net assets ............. 0.93% 0.85% 0.98% 1.15% 1.30%+ Ratio of expenses to average net assets ................. 1.00% 0.91% 1.00% 1.15% 1.30%+ Ratio of net expenses to average net assets before waivers 1.00% 0.91% 1.00% 1.16% 12.69%+ Portfolio turnover rate ................................. 166% 48% 43% 44% 0%
- ------------------------------------- * The Portfolio commenced operations on November 18, 1996. ** Effective October 9, 2000, Jennison Associates LLC became the portfolio's adviser and the name of the Endeavor Opportunity Value Portfolio was changed to Jennison Growth Portfolio. + Annualized. ++ Total return represents aggregate total return for the periods indicated. See Notes to Financial Statements. 98 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96++ -------- --------- -------- -------- ------- OPERATING PERFORMANCE: Net asset value, beginning of year ................. $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05 -------- --------- -------- -------- ------- Net investment income .............................. 0.39 0.38 0.35 0.25 0.41 Net realized and unrealized gain on investments .................................. 1.78 0.42 1.33 4.06 2.17 -------- --------- -------- -------- ------- Net increase in net assets resulting from investment operations ...................... 2.17 0.80 1.68 4.31 2.58 -------- --------- -------- -------- ------- 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 year ....................... $ 19.52 $ 19.50 $ 20.04 $ 19.34 $ 15.49 ======== ========= ======== ======== ======= Total return+ ...................................... 12.31% 3.47% 8.81% 28.27% 19.88% ======== ========= ======== ======== ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ............... $257,343 $264,718 $262,328 $197,228 $78,251 Ratio of net investment income to average net assets .............................. 1.98% 1.89% 2.18% 2.47% 2.89% Ratio of net expenses to average net assets ........ 0.90% 0.87% 0.85% 0.94% 0.96% Ratio of expenses to average net assets ............ 0.90% 0.88% 0.85% 0.94% 0.96% Portfolio turnover rate ............................ 38% 35% 20% 23% 19%
- ---------------------------------------------------------------------- + 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. 99 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96++ -------- -------- -------- -------- ---------- OPERATING PERFORMANCE: Net asset value, beginning of year .................. $ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72 -------- -------- -------- -------- ------- Net investment income ............................... 0.00* 0.03 0.06 0.04 0.11 Net realized and unrealized gain/(loss) on investments ................................... (0.15) 5.28 5.76 4.59 2.71 -------- -------- -------- -------- ------- Net increase/(decrease) in net assets resulting from investment operations ....................... (0.15) 5.31 5.82 4.63 2.82 -------- -------- -------- -------- ------- 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 year ........................ $ 25.62 $ 28.73 $ 25.60 $ 20.78 $ 16.29 ======== ======== ======== ======== ======= Total return+ ....................................... (0.51)% 22.19% 28.67% 28.57% 20.77% ======== ======== ======== ======== ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................ $269,983 $257,879 $194,301 $123,230 $59,732 Ratio of net investment income to average net assets ............................ 0.01% 0.21% 0.43% 0.38% 0.75% Ratio of net expenses to average net assets ......... 0.90% 0.87% 0.87% 0.96% 1.01% Ratio of expenses to average net assets ............. 0.91% 0.88% 0.87% 0.96% 1.01% Portfolio turnover rate ............................. 80% 66% 58% 41% 44%
- ------------------------------------------- * Amount rounds to less than $0.005 per share. + 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 periods since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 100 ================================================================================ FINANCIAL HIGHLIGHTS ================================================================================ ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED 12/31/00 12/31/99 12/31/98++ 12/31/97 12/31/96++ -------- -------- ---------- -------- ---------- OPERATING PERFORMANCE: Net asset value, beginning of year ................. $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19 -------- -------- -------- -------- -------- Net investment income .............................. 0.03 0.10 0.12 0.10 0.09 Net realized and unrealized gain/(loss) on investments ...................... (3.68) 5.02 2.08 0.26 1.76 -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations ...................... (3.65) 5.12 2.20 0.36 1.85 -------- -------- -------- -------- -------- 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) -- -- -------- -------- -------- -------- -------- Total distributions ................................ (2.05) (0.43) (0.22) (0.10) (0.09) -------- -------- -------- -------- -------- Net asset value, end of year ....................... $ 15.18 $ 20.88 $ 16.19 $ 14.21 $ 13.95 ======== ======== ======== ======== ======== Total return+. ..................................... (18.26)% 32.35% 15.44% 2.54% 15.23% ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000's) .................. $186,664 $228,655 $184,856 $164,560 $134,435 Ratio of net investment income to average net assets ........................... 0.15% 0.73% 0.76% 0.74% 0.73% Ratio of net expenses to average net assets ........ 0.98% 0.91% 0.98% 1.07% 1.18% Ratio of expenses to average net assets ............ 1.07% 1.00% 1.10% 1.12% 1.18% Portfolio turnover rate ............................ 63% 30% 21% 19% 11%
- ----------------------------------------------------- + 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 year since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 101 ================================================================================ NOTES TO FINANCIAL STATEMENTS ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 1. SIGNIFICANT ACCOUNTING POLICIES Endeavor Series Trust (the "Trust") was organized as a Massachusetts business trust on November 19, 1988 under the laws of the Commonwealth of Massachusetts. The Trust 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 Trust offers fourteen managed investment portfolios: Capital Guardian Global Portfolio, Capital Guardian U.S. Equity Portfolio, Capital Guardian Value Portfolio, 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, Jennison Growth 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: CAPITAL GUARDIAN GLOBAL PORTFOLIO, CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO, CAPITAL GUARDIAN VALUE PORTFOLIO, 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, JENNISON GROWTH 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 Trust's Board of Trustees. All securities and other assets of a Portfolio initially expressed in foreign currencies will be converted to U.S. dollar values at the mean of the bid and offer prices of such currencies against U.S. dollars last quoted on a valuation date by any recognized dealer. ENDEAVOR MONEY MARKET PORTFOLIO: Endeavor Money Market Portfolio's investments are valued on the basis of amortized cost under the guidance of the Board of Trustees, based on their determination that this constitutes fair value. Amortized cost involves valuing a portfolio instrument at its cost initially and, thereafter, assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the instrument. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 102 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Interest income is not accrued until settlement date. FUTURES CONTRACTS: Certain of the Portfolios may engage in futures contracts for the purpose of hedging against a decline in the value of the portfolio securities held or a rise in the price of the securities a Portfolio intends to purchase, or in order to maintain liquidity. Upon entering into a futures contract, a Portfolio is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Portfolio each day, depending on the daily fluctuation of the value of the contract. The daily changes in the contract are recorded as unrealized gain or loss. A 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 a Portfolio may not be able to enter into a closing transaction because of an illiquid secondary market. Financial future contracts open at December 31, 2000 were as follows:
NUMBER OF NOTIONAL CONTRACTS COST EXPIRATION UNREALIZED PURCHASED/(SOLD) DESCRIPTION AMOUNT DATE GAIN/(LOSS) ---------------- ------------------------------------ ----------- ---------- ----------- Dreyfus U.S. Government (95) 10 Year U.S. Treasury Bond contracts $ 9,464,063 March 2001 $ (27,031) Securities Portfolio....... 10 U.S. Long Bond contracts 1,051,875 March 2001 (5,625) 100 5 Year U.S. Treasury Note contracts 10,371,484 March 2001 (15,234) Endeavor Asset (56) 10 Year U.S. Treasury Bond contracts 5,792,221 March 2001 (79,904) Allocation Portfolio....... (82) U.S. Long Bond contracts 8,287,011 March 2001 (292,239) 21 2 Year U.S. Treasury Note contracts 4,217,147 March 2001 49,134 Endeavor Enhanced Index Portfolio............ 5 S&P 500 Index contracts 1,642,878 March 2001 25,873
OPTIONS: Certain of the Portfolios may purchase or write options which are exchange traded to hedge fluctuation risks in the prices of certain securities. When a Portfolio writes a call or put option, an amount equal to the premium received is reflected as a liability. The liability is subsequently "marked-to-market" to reflect the current market value of the option written. The premium paid by a Portfolio for the purchase of a call or put option is recorded as an investment and subsequently "marked-to-market" to reflect the current market value of the option purchased. A Portfolio is subject to the risk of an imperfect correlation between movement in the price of the instrument and the price of the underlying security or transaction. Risks may also arise due to illiquid secondary markets for the instruments. Transactions in options written during the year ended December 31, 2000, for Dreyfus U.S. Government Securities Portfolio were as follows: NUMBER OF PREMIUMS CONTRACTS RECEIVED --------- --------- Options written outstanding at December 31, 1999 ....... -- -- Options written during the year ........................ 38,150 $58,230 Options terminated in closing purchasing transactions .. -- -- Options expired during the year ........................ -- -- ------ ------- Options written outstanding at December 31, 2000 ....... 38,150 $58,230 ====== ======= 103 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000
NUMBER OF EXERCISE EXPIRATION NET APPRECIATION/ DESCRIPTION CONTRACTS PRICE DATE (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------------------- 30 Year U.S. Treasury Call (25,000) 1.35900 February 2001 $ 484 30 Year U.S. Treasury Call (13,150) 1.84375 February 2001 (252) ----- $ 232 =====
FORWARD FOREIGN CURRENCY CONTRACTS: Capital Guardian Global Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor High Yield Portfolio, Endeavor Janus Growth Portfolio, Jennison Growth 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. Capital Guardian Global Portfolio had the following open forward foreign currency contracts as of December 31, 2000:
SETTLEMENT LOCAL CURRENT NET UNREALIZED SELL CONTRACTS DATE VALUE VALUE APPRECIATION/(DEPRECIATION) - --------------------------------------------------------------------------------------------------------------------------- CAD 3/30/01 224,826 $149,941 $(1,402) SETTLEMENT LOCAL CURRENT NET UNREALIZED BUY CONTRACTS DATE VALUE VALUE APPRECIATION/(DEPRECIATION) - --------------------------------------------------------------------------------------------------------------------------- EUR 3/30/01 159,496 $150,309 $1,770 EUR 3/28/01 118,529 $111,694 2,694 ------ $4,464 ======
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. 104 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 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 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 Trust intends that each Portfolio separately qualify annually as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and by distributing substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. 2. INVESTMENT MANAGEMENT FEE, ADMINISTRATIVE FEE, INVESTMENT ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS The Trust 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 Trust, including selecting the investment advisers (the "Advisers") for the Trust's Portfolios. As compensation for these services, the Trust 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: Capital Guardian Global Portfolio--1.05% on the first $150 million; 1.00% on assets over $150 million up to $300 million; .95% on assets over $300 million up to $500 million; and .925% on assets over $500 million; Capital Guardian U.S. Equity Portfolio--.85% on the first $300 million; .80% on assets over $300 million up to $500 million; .775% on assets over $500 million; Capital Guardian Value Portfolio--.85% on the first $300 million; .80% on assets over $300 million up to $500 million; and .775% on assets over $500 million; 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%; Jennison Growth Portfolio--.85%; 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 voluntarily agreed to limit its annual fee to .775% of the Portfolio's average daily net assets for the period January 1, 2000 until April 30, 2000. For Capital Guardian Global Portfolio, the Investment Manager reduced its annual fee from 1.10% of the Portfolio's average daily net assets, effective May 1, 2000. 105 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 At December 31, 2000, the Trust had a liability for investment management fees payable to the Investment Manager of $1,805,018. 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. Capital Guardian Trust Company ("Capital Guardian") serves as Adviser to Capital Guardian Global Portfolio, Capital Guardian U.S. Equity Portfolio and Capital Guardian Value Portfolio. 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. Morgan Stanley Dean Witter Investment Management Inc. ("Morgan Stanley"), a subsidiary of Morgan Stanley Dean Witter & Co., serves as the Adviser to Endeavor Asset Allocation Portfolio and Endeavor Money Market Portfolio. J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary of J.P. Morgan and Co. Incorporated, serves as the Adviser to Endeavor Enhanced Index Portfolio. 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. Janus Capital Corporation ("Janus Capital") serves as the Adviser to Endeavor Janus Growth Portfolio. Jennison Associates LLC ("Jennison") serves as the Adviser to Jennison Growth Portfolio. 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. T. Rowe Price International, Inc. ("T. Rowe Price International"), serves as the Adviser to T. Rowe Price International Stock Portfolio. PFPC, Inc. ("PFPC"), a wholly-owned subsidiary of PNCBank, assists the Manager in the performance of its administrative responsibilities to the Trust. As compensation for these services, PFPC receives a flat fee of $810,000 per annum. In addition, if the aggregate net assets of the fourteen portfolios exceed $1 billion, PFPC shall also be entitled to receive an additional fee of 0.01% of any net assets in excess of $1 billion. PFPC also serves as the Trust's transfer agent. PFPC's fees are pro-rated among the Portfolios based upon relative net assets. Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of Mellon Bank Corporation, serves as the Trust's custodian. Boston Safe Deposit and Trust Company has agreed to compensate the Portfolios and decrease custody fees for cash balances left uninvested by each Portfolio. For the year ended December 31, 2000, the Fund's custodial expenses were reduced by $247,922. For the year ended December 31, 2000 the Trust incurred total brokerage commissions of $4,629,569, of which $3,603 was paid to Jardine Fleming Group Ltd., and $9,765 was paid to Robert Fleming Holdings Ltd., brokers formerly affiliated with T. Rowe Price International Stock Portfolio. The Trust 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 Trust's distributor. The recaptured commissions are used solely to promote the marketing of the Trust's shares. For the year ended December 31, 2000, the recaptured commissions amount to as follows: Capital Guardian Value Portfolio--$47,056, Dreyfus Small Cap Value Portfolio--$735,554, Endeavor Asset Allocation Portfolio--$55,005, Jennison Growth Portfolio--$27,760, T. Rowe Price Equity Portfolio--$3,575 and T. Rowe Price Growth Portfolio--$32,170. No director, officer or employee of the Investment Manager, the Advisers or PFPC received any compensation from the Trust for serving as an officer or Trustee of the Trust. The Trust 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, $1,000 per telephone board meeting and $500 per Committee meeting attended and reimburses them for travel and out-of-pocket expenses. 106 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 3. PURCHASES AND SALES OF SECURITIES Purchases and proceeds from sales of securities, excluding short-term investments, for the year ended December 31, 2000 were as follows:
PURCHASES SALES ------------------------------ ----------------------------- U. S. U.S. GOVERNMENT OTHER GOVERNMENT OTHER ------------ ------------ ------------ ------------ Capital Guardian Global Portfolio ......................... -- $160,791,133 -- $142,666,182 Capital Guardian U.S. Equity Portfolio .................... -- 67,029,986 -- 33,987,342 Capital Guardian Value Portfolio .......................... -- 154,274,355 -- 186,702,800 Dreyfus Small Cap Value Portfolio ......................... -- 400,275,896 -- 395,879,340 Dreyfus U.S. Government Securities Portfolio .............. $580,803,354 276,916,249 $590,216,173 282,685,415 Endeavor Asset Allocation Portfolio ....................... 6,258 661,574,847 5,403,503 701,350,729 Endeavor Enhanced Index Portfolio ......................... 297,891 131,093,847 219,845 107,981,337 Endeavor High Yield Portfolio ............................. -- 14,474,135 -- 10,865,307 Endeavor Janus Growth Portfolio ........................... -- 543,322,292 -- 449,580,188 Jennison Growth Portfolio ................................. -- 62,174,121 -- 56,116,692 T. Rowe Price Equity Income Portfolio ..................... -- 89,138,976 -- 122,640,299 T. Rowe Price Growth Stock Portfolio ...................... -- 222,433,152 -- 214,162,298 T. Rowe Price International Stock Portfolio ............... -- 133,442,265 -- 129,842,377
4. SHARES OF BENEFICIAL INTEREST The Trust has authorized an unlimited number of shares of beneficial interest without par value of one or more series. Shares of the Trust are presently divided into fourteen series of shares, each series representing one of the Trust's fourteen 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:
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 -------------------------- ------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- --------- ----------- CAPITAL GUARDIAN GLOBAL PORTFOLIO: Sold ........................................................ 3,772,098 $54,373,771 1,033,646 $13,146,679 Issued as reinvestment of dividends ......................... 373,766 4,814,106 -- -- Redeemed .................................................... (2,555,009) (35,560,950) (780,428) (9,116,452) ---------- ----------- --------- ----------- Net increase ................................................ 1,590,855 $23,626,927 253,218 $ 4,030,227 ========== =========== ========== ============
YEAR ENDED 12/31/00# -------------------------- SHARES AMOUNT ---------- ----------- CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO: Sold ........................................................ 228,817 $ 2,257,360 Conversion proceeds from PFL Target Accounts ................ 3,270,727 32,707,272 Redeemed .................................................... (183,134) (1,810,331) ---------- ----------- Net increase ................................................ 3,316,410 $33,154,301 ========== ===========
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 -------------------------- ------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- --------- ----------- CAPITAL GUARDIAN VALUE PORTFOLIO: Sold ........................................................ 470,560 $ 8,001,105 786,486 $ 16,486,204 Issued as reinvestment of dividends ......................... 1,898,084 30,748,959 548,164 12,273,399 Redeemed .................................................... (2,479,708) (43,339,381) (2,199,695) (46,545,880) ---------- ----------- ---------- ------------ Net decrease ................................................ (111,064) $(4,589,317) (865,045) $(17,786,277) ========== =========== ========== ============
107 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 ----------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- -------------- ----------- ------------ DREYFUS SMALL CAP VALUE PORTFOLIO: Sold ........................................................ 7,694,000 $124,759,605 2,775,515 $ 41,416,787 Issued as reinvestment of dividends ......................... 2,029,632 31,946,414 1,103,293 16,262,533 Redeemed .................................................... (7,458,517) (120,750,954) (3,721,600) (54,434,507) ---------- ------------ ---------- ------------ Net increase ................................................ 2,265,115 $ 35,955,065 157,208 $ 3,244,813 ========== ============ ========== ============
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 ----------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- -------------- ----------- ------------ DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO: Sold ........................................................ 825,800 $ 9,534,402 2,044,213 $24,345,506 Issued as reinvestment of dividends ......................... 436,769 4,743,313 428,658 4,955,287 Redeemed .................................................... (2,197,192) (25,302,690) (1,935,546) (22,725,292) ---------- ------------ ---------- ------------ Net increase/(decrease) ..................................... (934,623) $(11,024,975) 537,325 $ 6,575,501 ========== ============ ========== ============
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 ----------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- -------------- ----------- ------------ ENDEAVOR ASSET ALLOCATION PORTFOLIO: Sold ........................................................ 1,230,051 $ 27,137,145 1,590,529 $34,131,322 Issued as reinvestment of dividends ......................... 1,847,413 37,945,873 4,552,729 87,594,497 Redeemed .................................................... (3,105,970) (68,023,891) (2,795,981) (60,910,027) ---------- ------------ ---------- ------------ Net increase/(decrease) ..................................... (28,506) $ (2,940,873) 3,347,277 $60,815,792 ========== ============ ========== ============
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 ----------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- -------------- ----------- ------------ ENDEAVOR ENHANCED INDEX PORTFOLIO: Sold ........................................................ 2,980,939 $ 50,668,882 5,587,298 $94,614,865 Issued as reinvestment of dividends ......................... 651,992 10,542,714 252,468 4,269,241 Redeemed .................................................... (1,766,809) (29,612,629) (1,344,272) (22,514,200) ---------- ------------ ---------- ------------ Net increase ................................................ 1,866,122 $ 31,598,967 4,495,494 $76,369,906 ========== ============ ========== ============
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 ----------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- -------------- ----------- ------------ ENDEAVOR HIGH YIELD PORTFOLIO: Sold ........................................................ 957,161 $ 9,295,108 1,433,947 $14,306,667 Issued as reinvestment of dividends ......................... 116,525 1,105,820 25,299 252,489 Redeemed .................................................... (657,328) (6,400,885) (489,807) (4,855,309) ---------- ----------- ---------- ------------ Net increase ................................................ 416,358 $ 4,000,043 969,439 $ 9,703,847 ========== =========== ========== ============
YEAR ENDED YEAR ENDED 12/31/00 12/31/99## ----------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT ----------- -------------- ----------- ------------ ENDEAVOR JANUS GROWTH PORTFOLIO: Sold ........................................................ 1,734,784 $162,546,775 1,379,867 $105,431,394 Conversion proceeds from WRL Series Fund .................... -- -- 10,610,293 741,495,920 Redeemed .................................................... (1,704,316) (152,767,521) (821,458) (60,525,170) ---------- ------------ ---------- ------------ Net increase ................................................ 30,468 $ 9,779,254 11,168,702 $786,402,144 ========== ============ ========== ============
108 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 ----------------- ----------------- SHARES AND AMOUNT SHARES AND AMOUNT ----------------- ----------------- ENDEAVOR MONEY MARKET PORTFOLIO: Sold ........................................................ $636,366,837 $326,363,081 Issued as reinvestment of dividends ......................... 6,616,501 5,423,292 Redeemed .................................................... (653,130,243) (297,943,998) ------------ ------------ Net increase/(decrease) ..................................... $(10,146,905) $ 33,842,375 ============ ============
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 -------------------------- ---------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- ---------- ------------ JENNISON GROWTH PORTFOLIO: Sold ........................................................ 488,580 $5,642,963 632,016 $ 7,673,642 Issued as reinvestment of dividends ......................... 261,676 3,027,588 69,517 889,122 Redeemed .................................................... (784,900) (9,239,871) (850,716) (10,451,346) ---------- ----------- ---------- ------------ Net decrease ................................................ (34,644) $ (569,320) (149,183) $(1,888,582) ========== =========== ========== ===========
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 -------------------------- ---------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- ---------- ------------ T. ROWE PRICE EQUITY INCOME PORTFOLIO: Sold ........................................................ 1,052,741 $19,072,302 1,719,791 $34,727,686 Issued as reinvestment of dividends ......................... 1,536,047 27,126,583 802,394 16,874,339 Redeemed .................................................... (2,981,777) (54,011,760) (2,036,067) (41,328,994) ---------- ----------- ---------- ------------ Net increase/(decrease) ..................................... (392,989) $(7,812,875) 486,118 $10,273,031 ========== =========== ========== ===========
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 -------------------------- ---------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- ---------- ------------ T. ROWE PRICE GROWTH STOCK PORTFOLIO: Sold ........................................................ 1,481,808 $41,586,694 2,044,360 $52,013,760 Issued as reinvestment of dividends ......................... 1,080,794 27,592,678 701,291 17,286,833 Redeemed .................................................... (999,751) (27,811,806) (1,361,342) (34,218,892) ---------- ----------- ---------- ----------- Net increase ................................................ 1,562,851 $41,367,566 1,384,309 $35,081,701 ========== =========== ========== ===========
YEAR ENDED YEAR ENDED 12/31/00 12/31/99 -------------------------- ---------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ----------- ---------- ------------ T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO: Sold ........................................................ 27,448,760 $488,619,467 14,257,730 $250,830,817 Issued as reinvestment of dividends ......................... 1,401,999 22,922,682 285,806 4,627,207 Redeemed .................................................... (27,502,778) (491,978,015) (15,007,597) (265,311,770) ----------- ------------ ----------- ------------ Net increase/(decrease) ..................................... 1,347,981 $ 19,564,134 (464,061) $ (9,853,746) =========== ============ =========== ============
- ----------------------------------------------------- # Capital Guardian U.S. Equity Portfolio commenced operations on October 9, 2000. ## Endeavor Janus Growth Portfolio commenced operations on May 1, 1999. 109 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 5. ENDEAVOR SERIES TRUST CONVERSION On October 9, 2000, the PFL Target 5-January, PFL Target 10-January, PFL Target 5-July and PFL Target 10-July, (collectively the "Target Accounts"), converted 100% of their assets into Capital Guardian U.S. Equity Portfolio in a non-taxable exchange. The net assets of the Target Accounts immediately before the conversion were $32,707,272, including undistributed net investment income, collectively, of $1,506,539. At the time of this conversion, 3,270,727 shares of Capital Guardian U.S. Equity Portfolio were issued. The net assets of the Capital Guardian U.S. Equity Portfolio after the conversion were $32,707,272. In October 2000, the Capital Guardian U.S. Equity Portfolio was reimbursed approximately $650,000 as a result of certain trading errors which are included in net realized gains/(losses). 6. ORGANIZATION COSTS Organization costs are amortized on a straight-line basis over a period of five years from the commencement of operations of each Portfolio 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 (Capital Guardian Global Portfolio--10 shares, Capital Guardian Value Portfolio--10 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, Jennison Growth 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 Trust bears the expense of registering and qualifying the shares of the various Portfolios for distribution under Federal and state securities regulations. As of December 31, 2000, all such costs for Capital Guardian Value Portfolio, Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Asset Allocation Portfolio, Endeavor Money Market Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio and T. Rowe Price International Stock Portfolio have been fully amortized. 7. CONCENTRATION OF RISK The Portfolios may invest in foreign securities. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in the securities of U.S. companies and the U.S. government. These risks include re-valuation of currencies and future adverse political and economic developments. These risks are heightened for investments in emerging market countries. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. 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. 110 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 8. FEDERAL INCOME TAXES For the year ended December 31, 2000, permanent differences in book and tax accounting have been reclassified at year end to undistributed net investment income, accumulated realized gain/(loss) and paid-in capital as follows:
INCREASE/(DECREASE) INCREASE/(DECREASE) INCREASE/(DECREASE) PAID-IN UNDISTRIBUTED NET ACCUMULATED CAPITAL INVESTMENT INCOME REALIZED GAIN/(LOSS) ------------------- ------------------ -------------------- Capital Guardian Global Portfolio .......... $ (256,950) $ (1,913) $ 258,863 Capital Guardian U.S. Equity Portfolio ..... -- -- -- Capital Guardian Value Portfolio ........... 1 (487) 486 Dreyfus Small Cap Value Portfolio .......... (3) 474,500 (474,497) Dreyfus U.S. Government Securities Portfolio -- 7,041 (7,041) Endeavor Asset Allocation Portfolio ........ (1) 16,501 (16,500) Endeavor Enhanced Index Portfolio .......... (3,421) 5,842 (2,421) Endeavor High Yield Portfolio .............. (4,490) 7,886 (3,396) Endeavor Janus Growth Portfolio ............ (2,540,437) 2,551,445 (11,008) Endeavor Money Market Portfolio ............ -- -- -- Jennison Growth Portfolio .................. (4,808) 4,701 107 T. Rowe Price Equity Income Portfolio ...... (187) (60,024) 60,211 T. Rowe Price Growth Stock Portfolio ....... -- (21,965) 21,965 T. Rowe International Stock Portfolio ...... (183,096) (293,729) 476,825
At December 31, 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:
TAX BASIS TAX BASIS TAX BASIS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION / APPRECIATION DEPRECIATION (DEPRECIATION) ------------- ------------ -------------- Capital Guardian Global Portfolio ..................... $ 3,650,416 $ 5,442,339 $ (1,791,923) Capital Guardian U.S. Equity Portfolio ................ 2,851,019 2,564,820 286,199 Capital Guardian Value Portfolio ...................... 27,026,398 9,303,401 17,722,997 Dreyfus Small Cap Value Portfolio ..................... 16,692,593 56,190,327 (39,497,734) Dreyfus U.S. Government Securities Portfolio .......... 586,136 409,911 176,225 Endeavor Asset Allocation Portfolio ................... 53,802,826 21,652,897 32,149,929 Endeavor Enhanced Index Portfolio ..................... 18,045,404 19,550,398 (1,504,994) Endeavor High Yield Portfolio ......................... 296,862 3,519,659 (3,222,797) Endeavor Janus Growth Portfolio ....................... 119,876,691 159,839,460 (39,962,769) Jennison Growth Portfolio ............................. 1,953,643 5,322,812 (3,369,169) T. Rowe Price Equity Income Portfolio ................. 36,556,706 21,282,625 15,274,081 T. Rowe Price Growth Stock Portfolio .................. 51,513,196 25,918,213 25,594,983 T. Rowe Price International Stock Portfolio ........... 21,946,422 19,886,719 2,059,703
111 ================================================================================ NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 Under the current tax law, capital and currency losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended December 31, 2000, the Portfolios elected to defer capital losses and currency losses occurring between November 1, 2000 and December 31, 2000 as follows:
CAPITAL LOSSES CURRENCY LOSSES -------------- --------------- Capital Guardian Global Portfolio ...................... $ 175,226 -- Capital Guardian Value Portfolio ....................... 81,947 -- Dreyfus Small Cap Value Portfolio ...................... 607,066 -- Dreyfus U.S. Government Securities Portfolio ........... 131,211 -- Endeavor Enhanced Index Portfolio ...................... 1,864,405 -- Endeavor High Yield Portfolio .......................... 59,714 $ 263 Endeavor Janus Growth Portfolio ........................ 12,449,565 138 Jennison Growth Portfolio .............................. 704,261 -- T. Rowe Price International Stock Portfolio ............ -- 99,212
As of December 31, 2000, the Portfolios had available for federal tax purposes unused capital loss carryforwards as follows:
EXPIRING IN 2008 EXPIRING IN 2007 EXPIRING IN 2006 ---------------- ---------------- ---------------- Dreyfus U.S. Government Securities Portfolio ........... -- $1,556,891 -- Endeavor Enhanced Index Portfolio ...................... $908,838 -- -- Endeavor High Yield Portfolio .......................... 45,788 149,375 $84,613 Jennison Growth Portfolio .............................. 521,420 -- --
112 ================================================================================ REPORT OF ERNST & YOUNG, LLP, INDEPENDENT AUDITORS ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 To the Shareholders and Board of Trustees Endeavor Series Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Endeavor Series Trust (comprising, respectively, Capital Guardian Global, Capital Guardian U.S. Equity, Capital Guardian Value, Dreyfus Small Cap Value, Dreyfus U.S. Government Securities, Endeavor Asset Allocation, Endeavor Enhanced Index, Endeavor High Yield, Endeavor Janus Growth, Endeavor Money Market, Jennison Growth, T. Rowe Price Equity Income, T. Rowe Price Growth Stock, and T. Rowe Price International Stock Portfolios) (the "Trust") as of December 31, 2000, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2000, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting Endeavor Series Trust at December 31, 2000, and the results of their operation, the changes in their net assets, and their financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States. /S/SIGNATURE Philadelphia, Pennsylvania February 7, 2001 113 ================================================================================ TAX INFORMATION (UNAUDITED) ================================================================================ ENDEAVOR SERIES TRUST DECEMBER 31, 2000 In accordance with the InternalRevenue Code, the following Portfolios are designating, for purposes of their dividends paid deduction, the corresponding listed amounts as long-term capital gain dividends. These amounts are provided for federal tax compliance purposes. This information is not intended to be used when arriving at your year-end taxable income: Capital Guardian Global Portfolio .............................. $ 2,041,036 Capital Guardian Value Portfolio ............................... 24,232,441 Dreyfus Small Cap Value Portfolio .............................. 2,774,352 Endeavor Asset Allocation Portfolio ............................ 33,867,639 Endeavor Enhanced Index Portfolio .............................. 3,520,838 Endeavor Janus Growth Portfolio ................................ 13,439,418 Endeavor Money Market Portfolio ................................ 817 Jennison Growth Portfolio ...................................... 2,412,034 T. Rowe Price Equity Income Portfolio .......................... 19,941,429 T. Rowe Price Growth Stock Portfolio ........................... 28,730,232 T. Rowe Price International Stock Portfolio .................... 33,966,130 114 ================================================================================ SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED) ================================================================================ ENDEAVOR SERIES TRUST September 25, 2000 At a Special Meeting of the shareholders of Endeavor Value Equity Portfolio, Endeavor Opportunity Value Portfolio and Endeavor Select Portfolio, an amendment to the Management Agreement between Endeavor Management Co. and Endeavor Series Trust relating to the above-mentioned Portfolios was approved as follows: ENDEAVOR VALUE EQUITY PORTFOLIO % (NUMBER) OF SHARES VOTING -------------------------- For ............................................... 86.777% 9,530,104.274 Against ........................................... 5.135% 563,900.552 Abstain ........................................... 8.088% 888,204.773 ENDEAVOR OPPORTUNITY VALUE PORTFOLIO % (NUMBER) OF SHARES VOTING -------------------------- For ............................................... 84.774% 3,049,019.746 Against ........................................... 6.871% 247,127.542 Abstain ........................................... 8.355% 300,488.600 ENDEAVOR SELECT PORTFOLIO % (NUMBER) OF SHARES VOTING -------------------------- For ............................................... 90.511% 3,799,106.984 Against ........................................... 4.884% 205,003.150 Abstain ........................................... 4.605% 193,300.172 115 (This page intentionally left blank.) -----END PRIVACY-ENHANCED MESSAGE-----