-----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, GWS/mEVN4jaKXIiyuCy11PtyrtAwTZzBxUytmLtFci+9h/xSZ0hu9j2kVeo1D1Ql pG/NBmCBGhAHXY5TK3sYUg== 0001036050-00-000278.txt : 20000302 0001036050-00-000278.hdr.sgml : 20000302 ACCESSION NUMBER: 0001036050-00-000278 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000229 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: 557764 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 ANNUAL REPORT ENDEAVOR/TM/ SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO ENDEAVOR ENHANCED INDEX PORTFOLIO ENDEAVOR OPPORTUNITY VALUE PORTFOLIO ENDEAVOR VALUE EQUITY PORTFOLIO ENDEAVOR ASSET ALLOCATION PORTFOLIO ENDEAVOR MONEY MARKET PORTFOLIO T. ROWE PRICE EQUITY INCOME PORTFOLIO T. ROWE PRICE GROWTH STOCK PORTFOLIO T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO ENDEAVOR SELECT 50 PORTFOLIO ENDEAVOR HIGH YIELD PORTFOLIO ENDEAVOR JANUS GROWTH PORTFOLIO ANNUAL REPORT ------------- DECEMBER 31, 1999 SHAREHOLDER LETTER Dear Shareholders: Another amazing year has concluded in the financial markets and it is my pleasure to report to you the performance, commentary and holdings for the Endeavor Series Trust for the year ended December 31, 1999. It was a year when most funds did either great or terrible, there was not much middle ground. Doing very well were the growth (particularly technology) and international funds. The bond funds and value funds, on the other hand, performed relatively dismally. The same proved true for the Endeavor Series Trust Portfolios listed below: ENDEAVOR SERIES TRUST CALENDAR 1999 PERFORMANCE The Endeavor Series Trust returns for 1999 were as follows: Endeavor Select 50 Portfolio............... 47.84% Endeavor Janus Growth Portfolio............ 36.48% (8 months, May 1 inception) T. Rowe Price International Stock Portfolio................................. 32.35% Dreyfus Small Cap Value Portfolio.......... 29.39% Endeavor Asset Allocation Portfolio........ 26.39% T. Rowe Price Growth Stock Portfolio....... 22.19% S&P 500 Index.............................. 21.03% Endeavor Enhanced Index Portfolio.......... 18.16% Endeavor High Yield Portfolio.............. 5.82% Endeavor Opportunity Value Portfolio....... 4.79% Endeavor Money Market Portfolio............ 4.75% T. Rowe Price Equity Income Portfolio...... 3.47% Dreyfus U.S. Government Securities Portfolio................................. -0.87% Endeavor Value Equity Portfolio............ -3.06%
Let's review 1999 and try to make some sense of the various markets and shed some light on why they performed as they did. 1999 will be remembered as the unprecedented break out year for the NASDAQ market. The NASDAQ Composite Index was forcefully driven by a few hundred technology stocks to a stratospheric year-end return of 85.6%. More than half of that return came in a powerful rally during the last two months of the year. The 85.6% figure is the highest return for any U.S. stock market index in history. We pointed out a year ago that it was unprecedented to have the S&P 500 broad market index return over 20% for four consecutive years. Well, now you can make that five consecutive years as the S&P 500 Index returned 21.0%. The Dow Jones Industrial Average ("DJIA") of 30 "blue chip" stocks returned 27.2% and the small company stocks also had a good year as the Russell 2000 Index returned 23.1%. It is not difficult to see that given the long-term historical average of stock market returns of 10-12%, the returns over the last five years demonstrate that we are experiencing a very special time in financial markets history.
INDEX 1999 3 YEAR* 5 YEAR* - ----- ----- ------- ------- NASDAQ Composite Index 85.6% 46.6% 40.2% S&P 500 Stock Index 21.0% 27.5% 28.5% DJIA 27.2% 23.3% 27.0% Russell 2000 Index 23.1% 14.3% 17.8%
* annualized SHAREHOLDER LETTER (Continued) Certainly mergers, acquisitions and initial public offerings (IPOs) helped fuel the market returns for 1999. It was the year for telecommunications mergers with AT&T/MediaOne Group, MCI WorldCom/Sprint, Vodafone Group/Air Touch/Mannesmann taking the headlines. The IPO activity was considered a boom for those who participated and absolute insanity for those watching from the sidelines. The large deals were Goldman Sachs and UPS, but the big deal was the feeding frenzy coming from the dot-com offerings that appreciated to dizzying heights against the grain of any historical valuation measures. It is not difficult at this juncture of our commentary to feel for the value managers. Not only was value out of favor, but the very need for its existence as a style was being questioned by some investors. The Price/Earnings ratios continued to climb, the IPOs did not even promise earnings and the M&A activity was growth buying more growth. All we can tell you is that what goes around, comes around--eventually. The international markets came back strong in 1999. International and emerging market stocks had a very strong fourth quarter as overseas stock markets performed better in 1999 than any of the last six years. The bond managers were in a difficult environment in 1999, as it was the second-worst year for bonds since 1973. It was a year in which worries about the strong economy, inflation, the Federal Reserve, and Y2K jitters got the best of bonds. The Federal Reserve raised interest rates three times and yields on Treasury bonds, which move in the opposite direction of their price, climbed from 5.1% at the beginning of 1999 to almost 6.5% at year-end. In conclusion, the Endeavor Series Trust Portfolios' performances paralleled what happened in the market. They are all good Portfolios that will perform differently as market conditions and preferences change. Looking forward, history has taught us to expect the unexpected. We believe that we are in the midst of a technological revolution. The question is does technology have the power to redefine the underlying principles of an economy and the financial markets or is the innovation real, but the accompanying mania simply a "greater fools game". We believe we may see some of each. That is why you have our assurance to offer you an investment lineup that allows you to implement your investment objective, at the level of risk with which you are comfortable. Thank you for your confidence through the Y2K transition. Many people worked very long and hard to insure that it was a "non-event". We look forward to serving you in the new millennium. Sincerely, /s/ Vincent (VJ) McGuinness, Jr. Vincent (VJ) McGuinness, Jr. President Endeavor Series Trust February 15, 2000 2 DREYFUS SMALL CAP VALUE PORTFOLIO The smaller capitalization market ended another good year on a strong note. For the year, the Russell 2000 Small Stock Index (the "Russell 2000 Index") gained 23.1%. The growth sector, with its large technology component, dramatically outpaced the value side of the market. Indeed the Russell 2000 Growth Index was up 43.1% while the Russell 2000 Value Index was down 1.5%. While this performance divergence has been a persistent characteristic of the market for several years, it was even more so in 1999. On most measures (Price/Earnings, Price/Book, Price/Sales, Yield) the market is quite expensive in comparison to prior periods. There is some justification for higher values, however, namely low inflation and interest rates and steadily growing corporate profits. Nevertheless, the market tends to react quite violently to stocks that disappoint investor expectations. In contrast, stocks that beat expectations tend to materially outperform the market. In this environment, the Dreyfus Small Cap Value Portfolio will seek capital appreciation through investment in a diversified portfolio of equity securities of companies with a median market capitalization of approximately $750 million. Our strategy is to find stocks that are cheap in spite of the market's strong gains. We compare company specific valuations to their historical ranges and their peer groups. While cheap stocks tend to offer less downside than the market as a whole, our primary focus is on those stocks where business is getting better and there is good potential for positive earnings surprises. We spend a great deal of time talking to the management of out-of-favor companies in order to identify positive turns in business trends before the improvements become widely known by Wall Street. As holdings appreciate to fair value, we sell them even if business conditions remain very favorable. Our dedication to the "value" style of investing is of paramount importance. Additionally, our analysis is done on a stock-by-stock basis. Our sector weightings result from detailed bottom-up analysis of individual securities. To help control risk, we limit investments in individual securities to 3% of the Portfolio. Sector weightings may not exceed 30% or 3 times the weight in the Russell 2000 Index. We are big proponents of running highly diversified portfolios. This focus on diversification is not only due to the market being fairly expensive, but also because smaller capitalization stocks tend to have greater than average business risk, and in some cases, financial risk. Our portfolios typically carry over 100 names. We believe that this strategy is particularly well suited to today's expensive market environment. Despite the overall market valuation being expensive, we continue to find numerous ideas that meet our criteria. As a result, we are fully invested in equities. While cash levels may fluctuate from time to time, cash should not exceed 10% of the Portfolio. We offer no particular skills in "market timing" and have no intention to do so. While the markets may be expensive, there are plenty of cheap stocks, which is where we focus all of our efforts. The Portfolio is highly diversified with 113 holdings at year-end. The median market capitalization is $716 million. The Portfolio exhibits attractive valuation characteristics as evidenced by its price/book ratio of 1.6 times, which compares favorably to the 2.4 times level for the Russell 2000 Index. The Portfolio's price/earnings ratio of 12.2 times 1999 estimates also demonstrates attractive value when contrasted to 19.3 times 1999 earnings per share for the Russell 2000 Index. The Portfolio yield of 0.7% is below the market's, at 1.2%, as our focus is on capital appreciation more so than yield. Our sector focus has not changed significantly for the past several quarters. We continue to emphasize technology and energy stocks in the portfolio but, unlike recent quarters, these sectors underperformed their respective benchmarks for the fourth quarter. Energy prices fluctuated erratically as supply concerns, induced primarily by threats from producing countries to reduce output, continued to impact the market. Our portfolio of technology stocks had a positive return but lagged the index due to the strong advance of internet related companies which are clearly part of the growth investment spectrum. We are also emphasizing the consumer sectors. The economy continues to grow at a healthy pace and inflation and unemployment remain low. The continued high level of consumer confidence should result in strong demand at the retail level. Utilities and financial services remain underweight relative to the benchmark. These sectors should continue to have slow earnings growth and investor enthusiasm will likely be dampened by interest rate concerns. While we are disappointed in the quarterly results, we are encouraged by the large number of attractively priced stocks we are finding currently. Our focus on undervalued stocks with improving business momentum should continue to produce strong results. Peter I. Higgins, Portfolio Manager The Dreyfus Corporation 3 DREYFUS SMALL CAP VALUE PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 invested in Dreyfus Small Cap Value Portfolio vs. Russell 2000 Index and Lipper VA Small Cap Index+ May 4, 1993 through December 31, 1999 [Graph] Dreyfus Small Russell 2000 Lipper VA Cap Value Portfolio* Index* Small Cap Index* 5/4/93 10,000 10,442.49 10,477.6 10,030 10,507.64 10,599.3 10,380 10,652.71 10,591.12 10,700 11,112.92 11,136.22 11,000 11,426.53 11,359.17 10,990 11,720.63 11,463.49 10,730 11,334.87 11,144.41 Dec. 1993 11,180 11,722.42 11,554.51 11,460 12,089.95 11,797,91 11,430 12,046.22 11,653.71 10,770 11,410.21 10,983.84 10,770 11,478.03 11,057.48 10,630 11,349.15 10,923.5 10,380 10,963.77 10,474.53 10,590 11,143.9 10,692.37 11,040 11,764.87 11,285.54 11,130 11,725.48 11,206.79 10,830 11,679.2 11,399.06 10,690 11,207.52 10,942.93 Dec. 1994 10,980 11,508.63 11,094.29 10,620 11,363.43 10,944.98 10,760 11,836.13 11,391.9 10,790 12,039.98 11,642.46 11,129 12,307.69 11,833.71 11,354.45 12,519.31 12,084.27 11,651.63 13,168.76 12,860.5 12,041.05 13,927.31 13,741.05 12,317.73 14,215.42 13,900.59 12,379.22 14,469.29 14,212.52 12,000.05 13,822.18 13,776.85 12,153.77 14,402.91 14,235.02 Dec. 1995 12,522.69 14,782.92 14,335.24 12,348.48 14,767.02 14,353.65 12,625.16 15,227.31 14,893.64 13,041.58 15,537.26 15,082.84 13,516.71 16,368.05 15,863.16 14,082.8 17,013.13 16,352.01 13,622.29 16,314.53 15,824.3 13,129.66 14,889.61 14,475.35 13,707.97 15,754.1 15,304.77 14,018.54 16,369.78 16,122.93 14,157.76 16,117.51 15,637.15 15,464.3 16,781.62 15,999.97 Dec. 1996 15,732.04 17,221.46 16,019.57 16,503.11 17,565.55 16,383.45 16,513.82 17,139.64 15,749.22 16,042.61 16,330.89 14,875.21 16,064.03 16,376.62 14,815.33 17,574.04 18,198.52 16,500.87 18,621.09 18,978.42 17,292 19,632.19 19,861.52 18,391.62 20,113.66 20,315.98 18,578.05 20,932.17 21,802.97 19,918.32 19,945.15 20,845.2 18,995.33 19,884.96 20,710.37 18,735.16 Dec. 1997 19,752.56 21,072.87 18,950.4 19,463.67 20,739.91 18,596.65 20,980.32 22,273.48 20,126.31 22,015.49 23,192.1 21,134.54 22,147.9 23,320.42 21,228.4 21,304.11 22,064.46 20,052.44 20,894.16 22,110.87 20,343.9 19,104.01 20,320.91 18,920.36 14,772.13 16,374.99 15,203.11 15,100.09 17,656.47 16,132.74 16,726.26 18,376.51 16,900.48 18,325.09 19,339.29 17,935.72 Dec. 1998 19,322.65 20,536.04 19,435.6 19,677.95 20,808.95 19,687.53 17,778.48 19,123.53 18,146.55 18,305.96 19,422.08 18,771.45 20,648.18 21,162.44 19,814.55 21,836.23 21,471.63 20,010.56 23,986.54 22,442.56 21,419.6 23,835.11 21,826.76 21,113.05 22,714.43 21,018.98 20,644.32 22,502.52 21,023.57 20,887.28 21,775.66 21,108 + The Russell 2000 Index is a capitalization weighted total return index which is comprised of 2,000 of the smallest capitalized U.S. domiciled companies whose common stock is traded in the United States on the New York Stock Exchange, AMEX and NASDAQ. The Lipper VA Small Cap Index is an equally weighted performance index of small cap funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* Dreyfus Small Cap Value Portfolio --------------------------------- Year ended 12/31/99 29.39% Five Years ended 12/31/99 17.88% Inception (05/04/93) through 12/31/99 14.74%
*Assumes reinvestment of all dividends and distributions. 4 DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO The performance of the Dreyfus U.S. Government Portfolio for the year ended December 31, 1999 was good. According to Lipper Analytical Services for the one-year period ending 12/31/99, the Portfolio ranked 39/223, 1st quartile among General U.S. Government Bond Funds. We believed the Federal Reserve would have raised interest rates at the December meeting, but fears of a financial market panic going into the new millennium kept them on hold. The Federal Reserve has raised rates a quarter point in February, with a bias towards tightening and possibly raising rates another quarter point in March. The Federal Reserve may continue to act accordingly until we see a moderation in economic growth. The Federal Reserve's aggressive easing of monetary policy in 1998 coupled with the acceptance of capitalism in most foreign countries has presently led to strong global economic growth with low inflation. As of December 31, 1999, the yield curve was flat and nearing inversion. We believe that Treasuries will probably drift back to the 7% range over the next six months. We remain credit specific with our corporate allocation as spreads have tightened dramatically and the willingness to take on credit risk has returned to the market. In the first quarter of 2000, we will continue to add higher coupon GNMA's to the Portfolio. Gerald Thunelius, Portfolio Manager The Dreyfus Corporation 5 DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 Invested in Dreyfus U.S. Government Securities Portfolio vs. Lehman Aggregate Bond Index and Lipper VA General U.S. Government Index+ May 13, 1994 through December 31, 1999 [Graph] Dreyfus U.S. Government Lehman Aggregate Lipper VA General U.S. Securities Portfolio* Bond Index* Government Index* 5/13/94 10,000 9,998.6 9,985.73 9,950 9,976.5 9,931.66 10,050 10,174.67 10,088.62 10,050 10,187.29 10,092.38 9,970 10,037.35 9,939.92 9,960 10,028.41 9,905.37 9,930 10,006.14 9,878.33 Dec. 1994 9,960 10,075.23 9,947.43 10,110 10,274.63 10,121.67 10,290 10,518.91 10,336.46 10,340 10,583.45 10,391.29 10,456 10,731.28 10,519.71 10,850.38 11,146.56 10,935.79 10,911.05 11,228.28 11,006.38 10,870.6 11,203.2 10,938.04 10,981.83 11,338.41 11,060.46 11,072.84 11,448.72 11,159.59 11,204.3 11,597.6 11,320.31 11,366.1 11,771.39 11,484.79 Dec. 1995 11,517.78 11,936.59 11,634.25 11,578.45 12,015.86 11,692.07 11,325.65 11,806.99 11,447.99 11,214.41 11,724.92 11,353.36 11,133.52 11,658.98 11,265.49 11,110.66 11,635.31 11,225.68 11,225.53 11,791.56 11,360.87 11,246.41 11,823.83 11,375.14 11,225.53 11,804.01 11,336.08 11,413.49 12,009.72 11,517.08 11,653.67 12,275.75 11,746.15 11,852.07 12,486.02 11,924.39 Dec. 1996 11,726.76 12,369.92 11,805.55 11,747.65 12,407.8 11,819.76 11,789.42 12,438.67 11,810.96 11,653.67 12,300.83 11,682.55 11,810.3 12,484.96 11,830.94 11,914.72 12,602.99 11,914.67 12,055.61 12,752.58 12,025.06 12,368.32 13,096.47 12,296.09 12,238.92 12,984.76 12,192.6 12,433.02 13,176.27 12,339.63 12,616.33 13,367.42 12,498.61 12,670.25 13,428.97 12,530.48 Dec. 1997 12,799.65 12,564.18 12,631.73 12,972.18 13,738.32 12,772.15 12,929.05 13,727.97 12,737.01 12,961.4 13,775.15 12,762.88 12,993.75 13,847.05 12,803.44 13,153.34 13,978.4 12,911.71 13,287.21 14,096.95 13,017 13,298.37 14,126.94 13,026.11 13,465.72 14,356.84 13,278.39 13,744.62 14,693.02 13,571.55 13,688.84 14,615.34 13,489.45 13,700 14,698.29 13,495.55 Dec. 1998 13,744.62 14,742.48 13,513.2 13,867.34 14,847.7 13,577.26 13,599.59 14,588.5 13,300.97 13,674.34 14,699.35 13,357.47 13,711.16 14,715.82 13,383 13,625.5 14,586.93 13,243.6 13,519.14 14,540.45 13,168 13,495.51 14,478.55 13,107.32 13,448.24 14,471.18 13,080.32 13,637.32 14,639.19 13,214.05 13,696.4 14,693.2 13,230.02 13,720.04 14,692.15 13,218.72 Dec. 1999 13,625.5 14,621.3 13,134.59 + The Lehman Aggregate Bond Index is an index composed of treasury issues, agency issues, corporate bond issues and mortgage-backed securities. The Lipper VA General U.S. Government Index is an equally weighted performance index of U.S. Government funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* Dreyfus U.S. Government Securities Portfolio ---------------------------------- Year Ended 12/31/99 (0.87%) Five Years ended 12/31/99 6.46% Inception (05/13/94) through 12/31/99 5.64%
*Assumes reinvestment of all dividends and distributions. 6 ENDEAVOR ENHANCED INDEX PORTFOLIO The U.S. stock market ended the year posting record highs as the Dow Jones Industrial Average climbed to a record 11,497.12, ending the year up 27%. The S&P 500 Index climbed to a record 1,469.25 for the year, ending 21% higher. The NASDAQ Composite Index closed at 4,069.31, ending nearly 86% higher, the largest one-year gain ever for a U.S. stock index. After a strong 1998 and first half of 1999, the third and fourth quarters were difficult ones for the Endeavor Enhanced Index Portfolio. In the second half of the year, the equity market reverted back to a very narrow group of outperforming stocks as investors sought out the companies with positive earnings and price momentum. During the latter half of the year, investors tended to focus on short-term earnings, projecting them forward indefinitely, which was a challenge to the performance of the portfolio. The investment strategy employed by the Portfolio focuses on normalized earnings and intermediate growth rates, thus it tended to be challenged by the unprecedented market environment that we experienced during the latter part of the year. In addition, while the Portfolio is well diversified and its risk controls are robust, during times of extreme internal market divergence, even modest exposures to common risk factors such as price momentum can result in out of scale performance results. From a stock selection perspective, underperformance was led by Waste Management and Service Corp. Certain accounting issues, followed by divergent reported earnings, resulted in sharp corrections in names that in our analysis looked attractive and were consequently overweighted. In addition, strong relative performance in the Technology sector added to performance but was offset by shortcomings in the Insurance sector (an underweight in AIG and an overweight in UnumProvident was pressed by the market's momentum buying in AIG). It should be strongly noted that due to the Portfolio's diversification, the impact of any single name was significantly minimized. We remain confident in our investment process and risk controls, and expect that the historically wide spread between the most and least attractive names in our universe suggests opportunities ahead. We expect the market to broaden. Most of the positive performance over the last few years has come from the "Nifty Fifty" & mega-cap growth stocks. The valuations on these stocks is much higher than that of the rest of the market. We believe that a return of global growth will cause investors to look beyond these overpriced stocks to companies that trade at much lower multiples. J.P. Morgan Investment Management, Inc. 7 ENDEAVOR ENHANCED INDEX PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 Invested in Endeavor Enhanced Index Portfolio vs. S&P 500 Stock Index and Lipper VA Growth and Income Index+ May 2, 1997 through December 31, 1999 [Graph] Endeavor Enhanced S&P 500 Lipper VA Growth & Index Portfolio* Stock Index* Income Index* 5/2/97 10,000 10,611.38 10,587.51 11,190 11,083.12 11,017.51 12,120 11,964.76 11,761.1 11,500 11,294.98 11,246.66 12,010 11,913.21 11,815.33 11,630 11,515.79 11,396.59 12,130 12,048.45 11,809.21 Dec. 97 12,290 12,255.21 11,965.8 12,470 12,390.63 12,026.06 13,370 13,283.78 12,800.35 14,060 13,963.47 13,404.77 14,270 14,106.46 13,457.42 14,109 13,864.33 13,173.23 14,601.06 14,427.08 13,387.91 14,490.6 14,274.6 13,049.52 12,391.82 12,212.26 11,176.29 13,195.18 12,995.26 11,841.11 14,269.67 14,050.68 12,774.5 15,243.75 14,901.91 13,398.5 Dec. 98 16,147.52 15,760.07 13,976.11 16,699.83 16,418.86 14,210.26 16,087.27 15,908.65 13,794.15 16,723.93 16,544.97 14,232.31 17,724.12 17,185.66 15,081.39 17,377.56 16,780.29 14,868.89 18,281.11 17,710.95 15,526.02 17,661.23 17,158.46 15,058.87 17,577.18 17,073.52 14,793.79 17,062.37 16,606.04 14,257 17,955.41 17,656.43 14,841.16 18,239.08 18,015.33 14,950.56 Dec. 99 19,079.59 19,074.92 15,599.1 + The S&P 500 Stock Index is an index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter market. The Lipper VA Growth and Income Index is an equally weighted performance index of growth and income funds underlying 10 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* Endeavor Enhanced Index Portfolio --------------------------------- Year Ended 12/31/99 18.16% Inception (05/02/97) through 12/31/99 27.39%
*Assumes reinvestment of all dividends and distributions. 8 ENDEAVOR OPPORTUNITY VALUE PORTFOLIO The Endeavor Opportunity Value Portfolio invests in stocks, bonds and cash equivalents, with a bias toward stocks, which have outperformed other classes of investments for nearly every five-year period since the Depression. The average earnings of the stocks in the S&P 500 Index increased approximately 15% in 1999, and our stocks increased their earnings on average by a similar amount. However, these comparable earnings results did not translate into comparable stock market performance. The Portfolio had a total return of 4.8% in 1999, compared with a return of 21.0% for the S&P 500 Index with dividends included. Of course, returns for the Portfolio and returns for the S&P 500 are not fully comparable, since the Portfolio invests in fixed income securities and cash equivalents as well as in stocks. We remain optimistic about the outlook for our style of value investing and believe the Portfolio is positioned to perform well in the months ahead. For 2000, the consensus estimate of earnings growth for the S&P 500 stocks is approximately 10%, while we expect our companies to gain 15% or more on average. In addition, the companies we own have strong competitive positions, and on average their share prices trade at discounts to the S&P 500. We believe the market will ultimately shift back to an emphasis on company fundamentals, benefiting our value approach. Nonetheless, we have a larger-than-normal cash position, reflecting our caution in adding to equity holdings at a time when technology stocks keep rising and many other stocks have languished. We think there are many opportunities in today's market to buy quality businesses with solid fundamentals inexpensively, and that many of these companies will improve their earnings as the economies of Asia and Europe strengthen. We believe also, however, that we have the luxury of being opportunistic about waiting for attractive prices and building our positions over time given the current malaise of many non-tech issues. We invest in companies which we believe will generate more cash for shareholders over time than the current stock price indicates and which will use that cash to create wealth for shareholders, such as through high-return internal investments, share repurchases or astute acquisitions. During the fourth quarter, we established new positions in the common stocks of Anadarko Petroleum (oil and gas exploration and production) and Kroger (grocery store chain). Both companies are well managed and, in our view, their share prices are inexpensive in relation to business prospects. If the U. S. economy remains on its current course, we expect the Federal Reserve to raise short-term interest rates further, and we are therefore monitoring our exposure to financial stocks to make sure we are not overly vulnerable. During the fourth quarter, we repositioned our financial holdings, taking money from superlative performers such as Citigroup and using it to purchase stocks such as Freddie Mac where share prices were down in 1999 despite continued favorable business results. The Portfolio need not be fully invested in stocks and can own more defensive income-producing instruments. At December 31, 1999, the Portfolio's net assets were allocated 68% to common stocks and securities convertible into common stocks, 7% to U.S. Government Agency notes, and 25% to cash and cash equivalents. This reflects a reduction in stocks, which had represented 82% of net assets at September 30, 1999, and a corresponding increase in notes, bonds and cash during the fourth quarter. OpCap Advisors 9 ENDEAVOR OPPORTUNITY VALUE PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 Invested in Endeavor Opportunity Value Portfolio vs. S&P 500 Stock Index and Lipper VA Flexible Portfolio Index+ November 18, 1996 through December 31, 1999 [Graph] Endeavor Opportunity S & P 500 Lipper VA Flexible Value Portfolio* Stock Index* Portfolio Index* 10,000 9,801.91 10,448.8 Dec. 1996 10,060 9,801.91 10,317.05 10,290 10,413.95 10,636.17 10,170 10,495.71 10,624 10,020 10,065.26 10,311.78 10,290 10,665.61 10,616.65 10,630 11,317.68 11,059.88 11,021.04 11,820.83 11,363.11 11,651.1 12,761.15 12,016.33 11,271.06 12,046.79 11,652.82 11,651.1 12,706.17 12,068.78 11,451.08 12,282.3 11,835.2 11,711.1 12,850.41 12,048.19 Dec. 1997 11,751.11 13,070.94 12,171.67 11,851.12 13,215.37 12,262.1 12,391.17 14,167.96 12,807.58 12,741.2 14,892.9 13,214.3 12,841.21 15,045.41 13,288.03 12,683.19 14,787.16 13,126.18 12,855.14 15,837.36 13,396.39 12,379.77 15,224.74 13,214.7 10,538.99 13,025.13 11,858.63 11,075.04 13,860.25 12,334.38 11,874.06 12,985.91 12,871.84 12,339.31 15,893.81 13,371.11 Dec. 1998 12,359.54 16,809.08 13,924.99 12,066.23 17,511.72 14,201.08 12,015.66 16,967.55 13,790.47 12,297.84 17,646.22 14,148.32 13,370.96 18,329.57 14,519.99 12,889.86 17,897.21 14,253.1 13,240.46 18,889.81 14,733.81 12,817.68 18,300.55 14,457.55 12,436.14 18,209.96 14,334.07 12,436.14 17,711.36 14,171.54 13,178.59 18,831.67 14,657.01 13,044.54 19,214.46 14,898.9 Dec. 1999 12,951.73 20,344.57 15,576.44 +The S&P 500 Stock Index is an index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter market. The Lipper VA Flexible Portfolio Index is an equally weighted performance index of flexible portfolio funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* Endeavor Opportunity Value Portfolio ------------------------------------ Year ended 12/31/99 4.79% Inception (11/18/96) through 12/31/99 8.65%
*Assumes reinvestment of all dividends and distributions. 10 ENDEAVOR VALUE EQUITY PORTFOLIO The Endeavor Value Equity Portfolio had a negative return of 3.1% in 1999, compared with a 21.0% increase for the S&P 500 Index with dividends included. The S&P 500 Index is an unmanaged index of 500 of the largest corporations weighted by market capitalization. In the second half of the year, the Portfolio declined 10.0% compared with a 7.7% increase for the S&P 500 Index. In trailing its benchmarks, the Portfolio's results were affected by a difficult environment for value stocks, which lagged the returns of growth stocks during the period. In addition, results for the Portfolio were affected by its significant holdings of financial stocks, one of the stock market's weakest sectors in 1999. Holdings such as Freddie Mac (home mortgage insurance) and XL Capital (specialty insurance) declined in price due primarily to investor concerns about the potential impact of rising interest rates on their business results. Apart from the Portfolio's financial holdings, stocks which detracted from performance included Waste Management (solid waste collection and disposal) and American Home Products (pharmaceuticals, over-the-counter healthcare products and agricultural products), both which fell because of company-specific problems. Some of the stocks which contributed positively to performance in the year included Computer Associates International (software), McDonald's (fast food) and Minnesota Mining & Manufacturing (diversified technology-based company). Another contributor was Citigroup, the global financial services company, which bucked the downward trend of the financial stocks and advanced in price, propelled by continued strong earnings growth. The Portfolio invests in a diverse group of stocks chosen for their superior business characteristics and reasonable prices. Our goal is to generate favorable long-term investment results without taking large risks. Although results in 1999 did not meet our expectations, we believe the Portfolio is well positioned to deliver strong returns over time through its ownership of quality undervalued securities which offer significant appreciation potential. During the fourth quarter, we increased the Portfolio's investment in the telephone sector by purchasing Bell Atlantic. Bell Atlantic is the local phone service provider in much of the northeastern United States. It is growing rapidly in data and wireless services, has received approval to enter the long-distance market in New York, is reducing costs, and plans to merge with GTE to broaden its markets and achieve greater scale. Also added in the quarter was Alcoa, the world's leading aluminum producer. We remain confident that our value style will generate excellent results over time. OpCap Advisors 11 ENDEAVOR VALUE EQUITY PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 Invested in Endeavor Value Equity Portfolio vs. S&P 500 Stock Index and Lipper VA Capital Appreciation Index+ May 27, 1993 through December 31, 1999 [Graph] Endeavor Value S&P 500 Lipper VA Capital Equity Portfolio* Stock Index* Appreciation Index* 6/30/93 10,070 10,029.19 10,068.76 10,010 9,988.81 10,041.44 10,260 10,366.98 10,533.6 10,150 10,287.47 10,757.78 10,190 10,500.14 10,915.56 10,170 10,400.06 10,547.73 Dec. 1993 10,280 10,525.79 10,879.29 10,570 10,883.3 11,277.26 10,470 10,588.06 11,089.34 10,110 10,127.34 10,490.75 10,460 10,257.08 10,525,13 10,620.15 10,424.75 10,436.59 10,279.83 10,169.65 9,957.14 10,500.04 10,503.35 10,221.35 10,960.48 10,932.99 10,816.65 10,640.17 10,665.85 10,591.53 10,870.39 10,905.13 10,792.64 10,530.07 10,508.48 10,316.49 Dec. 1994 10,700.23 10,664.06 10,480.86 11,000.52 10,940.42 10,452.13 11,440.94 11,366.36 10,884.47 11,721.21 11,701.23 11,225.45 11,982.46 12,045.53 11,479.3 12,559.31 12,526.24 11,826.88 12,994.49 12,816.68 12,538.98 13,530.86 13,241.52 13,476.2 13,530.86 13,274.57 13,603.36 13,854.71 13,834.47 13,964.12 13,561.22 13,785.04 13,669.76 14,188.68 14,389.49 14,049.83 Dec. 1995 14,401.21 14,666.67 14,014.51 15,119.75 15,165.28 14,145.18 15,433.48 15,306.36 14,525.36 15,716.85 15,453.73 14,684.96 15,757.33 15,681.36 15,323.99 16,176.21 16,085.08 15,774.17 16,114.04 16,146.41 15,229.51 15,502.64 15,433.46 14.000.39 16,145.13 15,759.49 14.701.62 16,787.61 16,645.68 15,627.74 17,098.5 17,104.6 15,380.92 17,989.69 18,396.37 16,073.59 Dec. 1996 17,834.25 18,031.95 15,734.86 18,487.1 19,157.89 16,527.88 18,518.19 19,308.29 15,982.53 17,927.51 18,516.43 15,040.94 18,300.57 19,620.85 15,448.92 19,222.85 20,820.42 16,689.09 20,259.28 21,746.02 17,326.73 21,517.42 23,475.88 18,782.29 20,979.75 22,161.71 18,341.47 21,786.25 23,374.74 19,418.99 21,377.63 22,594.97 18,601.56 21,797.01 23,640.08 18,738.36 Dec. 1997 22,259.4 24,045.78 18,847.68 21,990.57 24,311.48 18,947.72 23,496.03 26,063.9 20,526.32 24,646.64 27,397.53 21,494.85 24,840.2 27,678.09 21,783.64 24,417.59 27,202.99 20,943.32 24,726.82 28,307.15 21,825.04 23,832.28 28,007.98 21,065.54 20,232.04 23,961.49 17,217.62 20,839.44 25,497.81 18,446.67 22,970.87 27,568.63 19,618.82 23,843.32 29,238.82 20,844.57 Dec. 1998 23,942.72 30,922.6 22,872.47 22,860.43 32,215.2 23,862.43 22,871.48 31,214.13 22,623.04 23,632.39 32,462.64 23,770.79 24,720.75 33,719.73 24,717.51 25,312.87 32,924.36 24,425.61 25,788.94 34,750.38 25,983.12 24,442.02 33,666.36 25,300.73 23,582.77 33,499.7 24,878.94 22,967.37 32,582.47 24,816.71 24,151.73 34,643.43 26,447.31 23,547.94 35,347.61 28,092.42 Dec. 1999 23,211.21 37,426.61 31,695.15 +The S&P 500 Stock Index is an index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter market. The Lipper VA Capital Appreciation Index is an equally weighted performance index of capital appreciation funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* Endeavor Value Equity Portfolio ------------------------------- Year Ended 12/31/99 (3.06)% Five Years ended 12/31/99 16.74 % Inception (05/27/93) through 12/31/99 13.61 %
*Assumes reinvestment of all dividends and distributions. 12 ENDEAVOR ASSET ALLOCATION PORTFOLIO The Endeavor Asset Allocation Portfolio achieved a total return of 26.4% for the calendar year ended December 31, 1999 versus an 8.3% return from its weighted benchmark, The Lipper VA Flexible Portfolio Index, over the same period. At year-end, the one, three and five year annualized returns for the Portfolio reached 26.39%, 21.60% and 21.09%, respectively, and compare favorably with all relevant benchmarks and peer group statistics. Since its inception in 1991, the Portfolio has generated an annualized return of 15.68%. A review of asset class contributions to the year's total return indicated that the equity portion of the Portfolio returned 41.4% versus the S&P 500's 21% total return, while the Portfolio's fixed income portion lagged the Lehman Aggregated Index with a return of -1.3% versus -0.8%, respectively. Clearly, the strength of our equity performance and our commitment to equities within the asset allocation mix benefited the Portfolio's full year return. We are pleased with the breadth and consistency of the equity portion's stock selection driven performance during the year, particularly in the context of a market that continued to be dominated by a small number of very large capitalization stocks. The combination of concentration and added insight provided an advantage in an increasingly selective market which remained constructive regarding the sustainable growth of the largest companies, particularly those that continue to deliver stellar results. In addition, our emphasis on bottom-up fundamental analysis generated additional benefits in a market environment marked by stock selection as avoiding prominent underperformers remained important to our overall success. At year-end, our ten largest holdings accounted for just under 40% of the equity portion of the Portfolio. A broader review of the equity market reflects a continuing dichotomy in performance and valuation across the S&P 500. After stumbling in the third quarter of 1999, the S&P 500 recovered to an all-time high in the fourth quarter, returning nearly 21.0% for the full year. This marks a record fifth consecutive year in performance across stocks and sectors. Only 50.5% of the stocks in the S&P 500 had a positive return for the year. The other 49.5% of the S&P 500 actually lost money for investors. An equal weighted version of the S&P 500 would have posted an 11.9% return for the year; and, while the average stock provided a return of 13.9%, the median stock returned only 0.4%. For the year, 30 stocks accounted for 100% of the S&P 500's performance. Growth outperformed value; and, once again, technology overshadowed all other sectors, ending the year at 30% of the S&P 500's capitalization. On the fixed income side, the key theme for the year was the sharp rise in interest rates as the Federal Reserve raised the federal funds rate by 75 basis points in three separate increments during the second half. For the year, yields on the most current ("on the run") two year and 30 year Treasury issues rose by 170 and 139 basis points, respectively, bringing their yields to levels not seen since prior to the Asian crisis of mid-1998. The broader fixed income indices posted negative annual returns for the first time since 1994. Despite unfavorable absolute returns, however, the non- Treasury issues with the same degree of interest rate risk as their attractive yield spreads proved an excellent cushion against the unfavorable effects of declining bond prices. Corporates exerted a positive influence on performance during the year as a result of their attractive yield advantage versus Treasuries as well as a modest amount of spread compression. Like corporates, mortgages outperformed Treasuries due to the combined effects of their running yield advantage and some narrowing of yield spreads. Our above-benchmark interest rate sensitivity strategy had an unfavorable impact on relative returns due to the rise in interest rates during the year. The volatility in interest rates did allow us to make some tactical changes in the Portfolio. Historically, periods of high real rates have been excellent environments in which to build above-benchmark sensitivity to changes in interest rates. Given that tight labor markets bias the Federal Reserve to lean against continued rapid growth, the probability of a tightening move in early 2000 appears quite high and there is a likelihood of more than one increase during the year. The market has anticipated the Federal Reserve's moves and the current yield curve already discounts approximately 75 basis points of Federal Reserve tightening in 2000. Looking forward, continued modest GDP growth against an ongoing backdrop of relatively low inflation, a reasonable rate environment domestically and a tentative recovery abroad suggests that the U.S. economy continues to exhibit surprising resiliency as the global economy continues its transition from crisis to recovery. Importantly, the Federal Reserve remains sensitive to the risks posed to the financial system by renewed economic or financial market turmoil. Further action from the Federal Reserve seems well anticipated. Clearly, financial markets could experience increased volatility should market valuations be impacted by further rate hikes. The fundamental economic and financial backdrop, however, remains constructive, particularly for long term investors. We view this environment as an opportunity and continue to feel that the Portfolio is well positioned both strategically and tactically to participate in a market that continues to afford investors a number of attractive options. Morgan Stanley Asset Management 13 ENDEAVOR ASSET ALLOCATION PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 Invested in Endeavor Asset Allocation Portfolio vs. S&P 500 Stock Index, Lipper VA Flexible Portfolio Index and Blended Index April 8, 1991 through December 31, 1999 [Graph] Endeavor Asset Allocation S & P 500 Lipper VA Flexible Portfolio* Stock Index* Portfolio Index* Blended Index* 4/31/91 10,030 10,023.77 10,028.64 10,050.71 10,080 10,454.71 10,280.28 10,350.82 10,090 9,976.11 9,975.45 10,040.5 10,140 10,440.7 10,309.6 10,387.09 10,240 10,687.33 10,578.29 10,616.54 10,330 10,508.41 10,624.66 10,566.44 10,630 10,649.38 10,796.51 10,696.11 10,400 10,221.46 10,622.61 10,449.79 Dec. 1991 11,370 11,388.47 11,450.49 11,307.76 11,610 11,176.51 11,243.86 11,125.59 11,740 11,321.19 11,331.15 11,243.02 11,410 11,101.27 11,150.44 11,082.89 11,440 11,426.87 11,194.76 11,320.3 11,520 11,482.74 11,309.33 11,421.72 11,250 11,311.97 11,201.58 11,359.51 11,570 11,773.72 11,511.87 11,732.02 11,409.03 11,533.2 11,410.94 11,613.01 11,590.12 11,668.77 11,530.28 11,744.89 11,781.28 11,708.82 11,521.41 11,724.13 12,223.96 12.106.42 11,778.5 11,985.3 Dec. 1992 12,394.99 12,254.94 11,957.17 12,139.67 12,797.43 12,357.29 12,074.47 12,277.27 12,857.79 12,525.65 12,162.44 12,452.87 13,290.41 12,789.76 12,377.93 12,641.61 13,149.56 12,480.63 12,239.5 12,468.34 13,402.63 12,813.67 12,428.4 12,691.02 13,544.35 12,851.07 12,552.51 12,785.94 13,564.59 12,799.32 12,579.79 12,775.65 14,040.37 13,283.9 12,997.13 13,160.51 14,192.21 13,182.03 13,068.74 13,106.59 14,293.44 13,454.52 13,214.67 13,299.99 14,222.58 13,326.29 12,987.59 13,184.02 Dec. 1993 14,475.65 13,487.4 13,207.17 13,311.63 15,052.65 13,945.5 13,530.41 13,664.67 14,698.35 13,567.19 13,197.62 13,350 14,040.37 12,976.83 12,686.85 12,869.89 13,832.85 13,143.08 12,742.77 12,948.73 14,137.98 13,357.93 12,813.01 13,089.75 13,507.37 13,031.05 12,588.65 12,870.69 13,843.02 13,458.65 12,851.2 13,226.86 14,270.21 14,009.17 13,134.88 13,591.65 13,873.53 13,666.87 12,868.25 13,313.66 14,076.96 13,973.47 12,969.17 13,511.85 13,761.65 13,465.21 12,609.11 13,175.44 Dec.1994 13,710.79 13,664.57 12,682.08 13,334.29 13,670.11 14,018.68 12,804.83 13,643.92 14,076.96 14,564.48 13,216.72 14,095.41 14,300.72 14,993.56 13,502.45 14,401.93 14,781.82 15,434.74 13,752.04 14,748.3 15,164.82 16,050.7 14,234.86 15,311.14 15,775.56 16,422.87 14,492.63 15,587.19 16,313.83 16,967.24 14,843.83 15,934.07 16,427.7 17,009.59 14,956.35 16,016.28 16,769.29 17,727.03 15,263.23 16,527.66 16,572.62 17,663.69 15,188.21 16,546.4 16,924.56 18,438.22 15,681.26 17,119.4 Dec. 1995 16,852.1 18,793.39 15,884.47 17,416.4 17,090.19 19,432.28 16,226.81 17,864.72 17,328.27 19,613.06 16,241.81 17,904.37 17,597.41 19,801.89 16,315.46 17,998.07 18,063.22 20,093.57 16,461.4 18,164.84 18,611.12 20,610.89 16,655.07 18,494.6 18,316.04 20,689.47 16,667.35 18,608.38 17,652.11 19,775.92 16,194.08 18,029.67 18,052.58 20,193.69 16,475.72 18,296.24 18,927.28 21,329.22 17,095.61 19,116.09 19,043.2 21,917.27 17,403.16 19,603.22 20,223.52 23,572.49 18,184.21 20,762.65 Dec. 1996 19,854.67 23,105.54 17,954.94 20,417.1 20,739.91 24,548.28 18,510.3 21,372.15 20,550.22 24,741 18,489.12 21,512 19,517.44 23,726.33 17,945.76 20,802.23 20,613.45 25,141.51 18,476.32 21,795.7 21,804.31 26,678.6 19,247.7 22,842.94 22,123.78 27,864.63 19,775.4 23,674.07 +The S&P 500 Stock Index is an index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter market. The Lipper VA Flexible Portfolio Index is an equally weighted performance index of flexible portfolio funds underlying 30 variable annuities. The Blended Index is a hypothetical index comprised of 65% S&P 500 Stock Index, 30% Lehman Aggregate Bond Index and 5% 90-Day Treasury Bills. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio NOTE: The performance shown represents past performance has been used. and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* Endeavor Asset Allocation Portfolio ----------------------------------- Year ended 12/31/99 26.39% Five Years ended 12/31/99 21.09% Inception (04/08/91) through 12/31/99 15.68%
*Assumes reinvestment of all dividends and distributions. 14 ENDEAVOR MONEY MARKET PORTFOLIO The Endeavor Money Market Portfolio seeks current income, preservation of capital and maintenance of liquidity through investment in short-term money market securities. The Portfolio's shares are neither insured by nor guaranteed by the U.S. Government. The Portfolio seeks to maintain a constant net asset value of $1.00 per share although no assurances can be given that such constant net asset value will be maintained. In managing the Portfolio over the past quarter, we have implemented a relatively conservative strategy, buying short dated commercial paper, high quality bank certificates of deposit and U.S. agency discount notes. We continue to manage the Portfolio with the goals of preserving capital and earning a high risk-adjusted yield by investing in top quality U.S. dollar denominated money market securities. The potential for continued above-trend economic growth and the risk of further Federal Reserve tightening moves forced U.S. interest rates higher during the fourth quarter. In fact, the sharp rise in interest rates was a key theme throughout 1999. The Federal Reserve raised the federal funds rate by 75 basis points in three separate increments in the second half of 1999. For the year, yields on the most current ("on the run") two year and 30 year Treasury issues rose by 170 and 139 basis points, respectively, bringing their yields to levels not seen since prior to the Asian currency crisis of mid-1998. Some market participants predicted that T-bill yields would decline below 3% as investors stockpiled cash with the approach of year-end. In fact, this market behavior did not occur. Instead, rates for commercial paper and other spread paper maturing in early 2000 traded at very attractive rates. The yield for securities maturing in January and February was in excess of 6% while repurchase rates held steady around 5.35%. From this point on the money market curve, rates were flat as far out as the nine month point on the curve and then they resumed a positive shape. Although the curve maintained a similar shape for the balance of the year, new issue supply dwindled to almost nothing in late December. The Federal Open Market Committee meets again in early February. Given that the tight labor market biases the Federal Reserve to lean against continued rapid growth, the probability of a tightening move at the time is quite high and there is the likelihood of one or more additional tightening moves during the course of the year. The market, however, has already discounted such actions. In fact, the current yield curve already discounts approximately 75 basis points of additional Federal Reserve tightening in 2000. With this degree of tightening already factored into the yield curve and real yields at high levels, bond valuations are attractive. Morgan Stanley Asset Management 15 T. ROWE PRICE EQUITY INCOME PORTFOLIO The last year of the millennium will be remembered as the year the S&P 500 Index continued its unprecedented five-year streak of returns in excess of 20%, but also the year in which more S&P 500 stocks declined than advanced. It was unquestionably a disappointing year for value stocks and your portfolio. Without trying to dodge any bullets, some factors that affected us were beyond our control, but with the benefit of hindsight, there are some stocks we could have avoided in favor of others. PERFORMANCE The T. Rowe Price Equity Income Portfolio enjoyed a very strong first six months of 1999, outperforming both the S&P 500 Index and the Lipper universe of comparably managed funds. However, during the second half of 1999, we struggled relative to the broad market for the year ended December 31, 1999, which was ahead of our Lipper peer group average. PORTFOLIO STRATEGY The major factor behind our lagging relative performance was our underweighting in technology, a sector that nearly doubled in value in 1999. We would not normally expect to hold large positions in this sector, since the lofty valuations of most technology shares exclude them as candidates for purchase. Value investing was rendered even more challenging by a deteriorating interest rate environment. As fixed income investors can testify, bond returns were mostly negative as interest rates rose throughout the year. Similarly, it was difficult to profit from investments in stocks with above-average dividend yields since they, too, suffered as rates climbed. However, every cloud has a silver lining. Because of their weak performance in 1999, value stocks are currently extremely attractive as they are selling at the greatest price/earnings discount to the general market in 25 years. Aside from these issues, a number of investments were successful for us. The Portfolio benefited from several companies involved in merger and acquisition activities. Our winners included BCE, Citigroup, Reynolds Metals, Dow Jones, and U.S. West. However, other solid companies were disappointing, including our holdings in Bank One, National City, Heinz, and Waste Management, which struggled through the year and largely offset our more profitable investments. We took advantage of market volatility by adding new positions and beefing up existing holdings. SUMMARY AND OUTLOOK We believe value stocks offer good potential for appreciation especially when compared with some of the more extended sectors of the market. The best strategy when our investment style has been out of sync with the overall market has been to stick to basics and concentrate on companies with below average price/earning ratios and above-average dividend yields. We will continue to manage the Portfolio in our traditionally conservative style. As always, we appreciate your confidence in T. Rowe Price and your continued support. Brian C. Rogers, Portfolio Manager T. Rowe Price Associates, Inc. 16 T. ROWE PRICE EQUITY INCOME PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 invested in T. Rowe Price Equity Income Portfolio vs. S&P 500 Stock Index and Lipper VA Equity Income Index+ January 3, 1995 through December 31, 1999 [Graph] T. Rowe Price Equity S&P 500 Lipper VA Equity Income Portfolio* Stock Index* Income Index* 1/3/95 10,010 10,259.15 10,256.57 10,370 10,658.57 10,256.57 10,560 10,972.59 10,256.57 10,800 11,295.45 10,256.57 11,150 11,746.22 10,256.57 11,230 12,018.58 10,256.57 11,450 12,416.96 10,256.57 11,620 12,447.96 10,256.57 12,060 12,972.99 10,256.57 12,160 12,926.64 10,256.57 12,640 13,493.45 10,256.57 Dec. 1995 13,050 13,753.37 10,256.57 13,430 14,220.93 10,256.57 13,470 14,353.23 10,330.75 13,660 14,491.42 10,469 13,750 14,704.87 10,583.74 13,977.9 15,083.46 10,712.89 14,068.8 15,140.96 10,713.84 13,674.91 14,472.41 10,293.58 13,977.9 14,778.14 10,521.8 14,553.58 15,609.15 10,922.07 14,886.87 16,039.49 11,161.29 15,735.24 17,250.82 11,852.39 Dec. 1996 15,644.34 16,909.09 11,748.03 16,058.43 17,964.92 12,228.86 16,442.21 18,105.96 12,362.81 16,098.82 17,363.4 11,964.9 16,482.61 18,399.05 12,362.71 17,260.28 19,523.93 13,118.72 17,909.49 20,391.89 13,676.45 18,936.75 22,014.03 14,641.84 18,438.68 20,781.69 14,086.39 19,299.92 21,919.19 14,869.04 18,791.48 21,187.97 14,362.89 19,486.69 22,168 14,813.03 Dec. 1997 20,067.76 22,548.44 15,063.95 19,901.74 22,797.59 15,080.5 20,887.49 24,440.89 15,916.56 21,862.86 25,691.47 16,693.05 21,686.47 25,954.56 16,697.79 21,333.67 25,509.05 16,429.84 21,268.3 26,544.45 16,570.25 20,658.14 26,263.91 16,091.4 18,675.13 22,469.4 13,913.52 19,666.64 23,910.05 14,719.5 20,854.26 25,851.91 15,687.33 21,693.23 27,418.11 16,325.86 Dec. 1998 21,834.87 28,977.04 16,728.84 21,257.4 30,209.14 16,705.96 21,083.07 29,270.41 16,457.48 21,637.66 30,441.17 16,950.87 24,035.79 31,619.99 18,297.25 23,866.65 30,874.14 17,812.85 24,527.04 32,586.46 18,420.34 24,005.68 31,569.95 17,833.41 23,264.19 31,413.65 17,374.7 22,406.85 30,553.54 16,774.09 23,148.34 32,486.17 17,352.61 22,754.42 33,146.5 17,281.69 Dec. 1999 22,592.22 35,096.04 17,634.54 +The S&P 500 Stock Index is an index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter market. The Lipper VA Equity Income Index measures the total returns earned by 10 variable annuities investing in equity income funds. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* T. Rowe Price Equity Income Portfolio ------------------------------------- Year Ended 12/31/99 3.47% Inception (01/03/95) through 12/31/99 17.73%
*Assumes reinvestment of all dividends and distributions. 17 T. ROWE PRICE GROWTH STOCK PORTFOLIO Last year was a fitting conclusion to the decade, the century, and the millennium. The bull market stormed into the future, propelled by the narrow but powerful rally in technology stocks. Internet stocks in particular were the source of much of the market's strength. This explosive performance spread through international markets as well, driving a relatively small number of stocks to valuation levels not seen in years. PERFORMANCE The second half of 1999 was particularly volatile, as a steep correction in the third quarter was followed by strong global rallies in the fourth. The Portfolio returned 22.19% for the year, just ahead of the unmanaged S&P 500 Stock Index but behind the Lipper VA Underlying Growth Funds Average. Virtually all Portfolio performance over the past 12 months can be attributed to our technology holdings. We entered the year underweighted in this sector, which hurt our early results. Subsequently, we shifted toward a more aggressive approach vis-a-vis the group and regained lost ground versus the S&P 500. However, we did not consider it prudent to focus too heavily on technology shares in order to keep up with some exceptionally aggressive members of our Lipper peer group. INVESTMENT REVIEW As mentioned, the Portfolio was initially positioned for the projected slowdown in 1999, which never materialized. As we came to the conclusion that strong economic growth would continue through the year, we aggressively added technology holdings throughout the second quarter. This turned out to be a fortunate decision as almost all of our 20 best-performing stocks were in this sector. America Online, Cisco Systems, Microsoft, Maxim Integrated Products, and Nextel all made positive contributions. In other areas, we benefited from large positions in Citigroup, GE, and Wal-Mart. Few companies such as Waste Management and Network Associates, whose fundamentals failed to meet expectations and hurt performance. Most of our sales were made with the view of reducing exposure to consumer nondurables, banks, and insurance. As we look ahead to 2000 and beyond, we are comfortable with our current stock and sector weightings. OUTLOOK We expect technology spending to remain strong, fueled by the Internet and wireless applications, and our technology investments are positioned to benefit from these trends. As the year progresses, we expect the U.S. economy to cool a bit and traditional businesses to compete more effectively with new Internet competitors. This shifting perception should reward many of our holdings whose valuations have been lowered due to competitive uncertainty. As always, we will continue to work diligently on your behalf in our search for attractive investments, both here and abroad. Robert W. Smith, Portfolio Manager T. Rowe Price Associates, Inc. 18 T. ROWE PRICE GROWTH STOCK PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 Invested in T. Rowe Price Growth Stock Portfolio vs. S&P 500 Stock Index and Lipper VA Growth Index+ January 3, 1995 through December 31, 1999 [Graph] T. Rowe Price S&P 500 Lipper VA Growth Stock Portfolio* Stock Index* Growth Index* 1/31/95 10,010 10,259.15 10,089.1 10,610 10,658.57 10,457.23 11,380 10,972.59 10,738.59 11,510 11,295.45 11,006.57 11,760 11,746.22 11,355.26 12,210 12,018.58 11,761.24 12,630 12,416.96 12,284.12 12,680 12,447.96 12,375.9 13,080 12,972.99 12,789.58 13,050 12,926.64 12,636.83 13,460 13,493.45 13,122.87 Dec. 1995 13,720 13,753.37 13,148.66 14,080 14,220.93 13,457.49 14,260 14,353.23 13,706.71 14,310 14,491.42 13,786.76 14,700 14,704.87 14,153.55 14,860.2 15,083.46 14,476.12 14,809.34 15,140.96 14,320.36 14,148.21 14,472.41 13,452.13 14,707.63 14,778.14 13,925.1 15,500.99 15,609.15 14,736.72 15,643.39 16,039.49 14,880.08 16,660.51 17,250.82 15,827.56 Dec. 1996 16,568.97 16,909.09 15,553.69 17,158.9 17,964.92 16,370.87 17,199.59 18,105.96 16,162.58 16,538.46 17,363.4 15,372.39 17,219.93 18,399.05 16,013.98 18,450.65 19,523.93 17,128.53 19,355.07 20,391.89 17,786.37 20,646.78 22,014.03 19,309.77 19,590.86 20,781.69 18,563.13 20,677.53 21,919.19 19,593.08 20,103.44 21,187.97 18,856.39 20,821.05 22,168 19,201.52 Dec. 1997 21,302.88 22,548.44 19,513.94 21,702.69 22,797.59 19,599.6 23,476.22 24,440.89 21,055.07 24,644.91 25,691.47 22,071.83 24,788.43 25,954.56 22,356.84 24,155.91 25,509.05 21,747.16 25,000.3 26,544.45 22,658.71 24,807.9 26,263.91 22,325.03 21,002.81 22,469.4 18,599.22 22,217.77 23,910.05 19,635.47 24,070.14 25,851.91 21,082.21 25,537.05 27,418.11 22,382.45 Dec, 1998 27,410.84 28,997.04 24,174.14 27,764.18 30,209.14 25,132.07 27,036.08 29,270.41 24,068.53 28,023.3 30,441.17 25,003.82 28,952.7 31,619.99 25,879.7 28,133.47 30,874.14 25,471.2 29,613.57 32,586.46 27,045.11 28,727.84 31,569.95 26,237.86 28,471.45 31,413.65 25,791.18 27,923.7 30,553.54 25,284.55 29,671.84 32,486.17 26,736.51 30,825.62 33,146.5 27,755.65 Dec. 1999 33,494.45 35,096.04 30,406.77 + The S&P 500 Stock Index is an index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter market. The Lipper VA Growth Index is an equally weighted performance index of growth funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* T. Rowe Price Growth Stock Portfolio ------------------------------------ Year Ended 12/31/99 22.19% Inception (01/03/95) through 12/31/99 27.38%
*Assumes reinvestment of all dividends and distributions. 19 T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO The excitement driving U.S. technology, telecom and Internet stocks raced through all international regions in the fourth quarter of 1999, pushing the MSCI EAFE benchmark up 17% (cited in U.S.$). Latin America--not in the MSCI EAFE benchmark--was the strongest region, up 33%. Performances of other regions were in a tight band with the Pacific ex-Japan ahead 19%, Europe up 17%, and Japan 16% higher. The overriding factor propelling markets was enthusiasm for "new economy" stocks: telecom and Internet-related companies and their suppliers. The T. Rowe Price International Stock Portfolio returned 32.35% for the year, markedly outperforming the 27.30% return of the MSCI EAFE benchmark. Country weighting relative to the benchmark was broadly neutral for the full year. Our underweight position in Japan subtracted considerable value, while an overweight position in Latin America added significant value. Also, underweight positions in the weaker UK and German markets were positive contributors. Overweighting the electronic components and consumer electronics sectors and underweighting utilities and insurance also contributed to positive performance. At the end of December, Europe including the UK accounted for about 60% of the Portfolio compared to just over 70% a year ago. We are now underweighted in the region, but continue to favor the Continent relative to the UK. Japan rose from nearly 17% of the Portfolio last year to roughly 23%, below the benchmark at 27%. Somewhat over 9% was invested elsewhere in the Pacific, up from 5% last year and now above the 6% benchmark allocation, reflecting our increased optimism as the Asian crisis passed. In Latin America, we retained our major holdings, but eliminated smaller stocks, maintaining approximately 4% in the region, the same as a year ago. We expect stronger economic growth in Europe. In Japan, declining domestic demand and capital expenditure together with the potential for a strong yen are liable to keep the economy weak. Elsewhere in Asia, economic recovery is well under way and we expect it to continue. We remain cautiously optimistic about Latin America. Although we believe the valuations of some "new economy" stocks in international regions have become excessive, we are enthusiastic about the growth potential of well-managed telecom, Internet-related and technology businesses. Fortified by a year of improvement, international economies are poised for better growth with moderate inflation in 2000. Greater-than-expected progress in restructuring and reform during 1999, as well as more mergers and acquisitions than anticipated, have enhanced the earnings potential of international companies and have paved the way for international stock markets to rise in the year ahead. Rowe Price-Fleming International, Inc. 20 T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical illustration of $10,000 invested in T. Rowe Price International Stock Portfolio vs. Morgan Stanley Capital International EAFE Index and Lipper VA International Index+ March 24, 1995 through December 31, 1999 [Graph] T. Rowe Price Morgan Stanley Lipper VA International Capital International International Stock Portfolio* EAFE Index* Index* 3/24/95 10,000 10,376.09 10,340.34 11,697.08 10,252.4 10,379.83 11,645.77 10,072.6 10,378.15 12,281.93 10,699.69 10,932.77 11,994.63 10,291.53 10,721.01 12,158.8 10,492.53 10,873.11 11,974.11 10,210.49 10,643.7 12,076.72 10,494.58 10,771.43 Dec. 1995 12,507.66 10,917.41 11,056.3 12,846.26 10,962.23 11,253.78 12,928.35 10,999.29 11,317.65 13,164.34 11,232.87 11,434.45 13,564.51 11,559.45 11,773.11 13,524.28 11,346.73 11,791.6 13,689.59 11,410.59 11,821.01 13,234.99 11,077.09 11,378.15 13,441.63 11,101.36 11,525.21 13,741.25 11,396.28 11,718.49 13,679.26 11,279.66 11,627.73 14,299.17 11,728.46 12,137.92 Dec. 1996 14,412.82 11,577.59 12,227.31 14,257.84 11,172.4 12,207.91 14,454.14 11,355.14 12,359.23 14,402.48 11,396.25 12,403.15 14,485.14 11,456.72 12,433.58 15,404.67 12,202.26 13,136.28 16,068.64 12,875.18 13,749.2 16,474.26 13,083.47 14,155.57 14,976.6 12,106.34 13,096.38 15,943.84 12,784.52 13,947.86 14,706.19 11,801.84 12,884.49 14,685.39 11,681.54 12,781.57 Dec. 1997 14,789.39 11,783,42 12,892.95 15,247.01 12,322.32 13,191.52 16,203.85 13,112.99 14,064.63 16,755.07 13,516.76 14,798.67 16,911.07 13,623.75 15,016.97 16,798.75 13,557.63 15,009.85 16,798.75 13,660.26 14,923.17 16,798.02 13,798.76 15,103.46 14,816.22 12,089.24 12,946.75 14,415.5 11,718.61 12,477.37 15,712.58 12,940.16 13,445.04 16,503.48 13,603.1 14,138.04 Dec. 1998 17,072.93 14,139.74 14,485.23 16,862.02 14,097.99 14,598.09 16,556.21 13,762 14,281.08 17,280.67 14,336.45 14,827.96 17,927.1 14,917.34 15,589.92 17,088.22 14,149.12 14,883.04 17,715.91 14,700.75 15,633.12 18,073.04 15,137.71 15,972.47 18,246.19 15,192.99 16,026.8 18,332.77 15,345.92 16,034.37 18,884.7 15,920.71 16,596.21 20,150.9 16,473.87 17,764.28 Dec. 1999 22,596.71 17,952.42 19,795.85 + The Morgan Stanley Capital International EAFE Index is a composite portfolio consisting of equity total returns for the countries of Europe, Australia, New Zealand and countries of the Far East, weighted based on each country's gross domestic product. The Lipper VA International Index is an equally weighted performance index of international funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* T. Rowe Price International Stock Portfolio --------------------------------- Year ended 12/31/99 32.35% Period from (03/24/95) through 12/31/99 14.79%
*Assumes reinvestment of all dividends and distributions. 21 ENDEAVOR SELECT 50 PORTFOLIO PERFORMANCE The year ended December 31, 1999, was an excellent one for the Endeavor Select 50 Portfolio strategy. For the full year the Portfolio was up 49.4% net of investment management fees surpassing both the Standard & Poor's 500 Index and the custom benchmark, which were up 21.0% and 30.9% respectively. For the last quarter of 1999, the Portfolio gained 31.3% net of fees, nearly 16 percentage points over the S&P 500 Index and outperformed its custom benchmark by 13 points. The custom benchmark consists of a blend of the returns of the S&P 500 (40%), Russell 2000 (20%), EAFE (20%) and Morgan Stanley's Emerging Markets Free (20%) Indexes. The international equity allocation contributed most strongly to performance, followed by the emerging markets, emerging growth and large-cap growth allocations. During the second half of the year especially, investments in communications, media and technology stocks boosted the international performance. The equity income allocation was weaker, as investors largely ignored the large-cap value-oriented issues that this strategy focuses on. HIGHLIGHTS The strongest stocks included several communications holdings, such as the international companies Colt Telecom Group and Nokia and the emerging markets companies Aftec (based in India) and Globo Cabo (Brazil). Investors are enthused about prospects for communications companies outside the U.S. as well as at home. Optical Coating Labs manufactures optical thin film coatings and components for fiber optic communications systems. As bandwidth demand rises, we expect this company to continue to do well. The large-cap portfolio's bias toward cyclical stocks hasn't been rewarded yet, although there were two exceptions. The recovering global economy drove appreciation in some basic materials stocks, such as Alcoa and Rio Tinto. OUTLOOK Because of the strong price appreciation in communications and technology stocks in the fourth quarter, many are now priced at historically high valuation levels. In our view, high valuations combined with a rising interest rate environment in the U.S. and Europe will likely to lead to short-term volatility in these securities. In the long run, however, we continue to be positive about the market's prospects, and are still excited about the prospects for the communications and technology stocks that we continue to own. We believe that these sectors are likely to continue to drive economic growth and that the investment environment will be more hospitable in the second half of the year once interest rates have peaked. We also continue to look positively on basic materials. As the global economy shifts into a higher gear and countries continue to build their infrastructure, this sector should profit. Through bottom-up stock selection based on our primary original research, we hope to continue to be able to report solid results. Thank you for investing in the Endeavor Select 50 portfolio. We look forward to writing to you again in our next report. Montgomery Asset Management, LLC 22 ENDEAVOR SELECT 50 PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 invested in Endeavor Select 50 Portfolio vs. S&P 500 Stock Index, Blended Index and Lipper VA Global Index+ February 3, 1998 through December 31, 1999 [Graph] Endeavor Select S&P 500 Lipper VA 50 Portfolio* Stock Index* Global Index* Blended Index* 2/28/98 10,000 10,720.82 10,711.44 10,773.3 11,140 11,269.38 11,241.51 11,242.69 11,500 11,384.78 11,406.88 11,293.49 11,240 11,189.36 11,303.82 10,771.09 11,050 11,643.54 11,385.93 10,767.55 10,750 11,520.48 11,334.83 10,624.02 8,760 9,856.04 9,602.15 8,775.01 9,070 10,487.97 9,610.51 9,173.12 9,650 11,339.76 10,224.37 9,926.15 10,260 12,026.76 10,768.45 10,527.63 Dec. 1998 10,660 12,719.34 11,341.94 10,983.34 10,790 13,251.02 11,598.57 11,189.41 10,440 12,839.26 11,187.1 10,823.15 10,707 13,352.8 11,587.52 11,362.73 11,590 13,869.88 12,105.39 12,057.07 11,510 13,542.72 11,751.48 11,819.42 12,390 14,293.82 12,399.5 12,534.01 12,370 13,847.93 12,407.99 12,305.63 12,120 13,779.38 12,420.04 12,229.34 12,030 13,402.09 12,375.68 12,028.4 12,350 14,249.83 12,919.86 12,514.76 13,540 14,539.48 13,958 13,038.76 Dec. 1999 15,760 15,394.63 15,606 14,169.21 +The S&P 500 Stock Index is an index composed of 500 widely held common stocks listed on the New York Stock Exchange and over-the-counter market. The Blended Index is a hypothetical index comprised: 40% S&P 500 Stock Index, 20% Russell 2000, 20% EAFE and 20% MSCI EM Free Index. The Lipper VA Global Index is an equally weighted performance index of global funds underlying 10 variable annuities. NOTE: The performance shown represents past performance Index information and is not a guarantee of future results. The Portfolio's is available at share price and investment return will vary with market month-end only; conditions, and the principal value of shares, when therefore, the redeemed, may be more or less than original cost. The closest month-end graph above does not reflect separate account expenses for to inception date the Endeavor Variable Annuity. of the Portfolio has been used.
Average Annual Total Return* Endeavor Select 50 Portfolio ---------------------------- Year Ended 12/31/99 47.84% Inception (02/03/98) through 12/31/99 26.90%
*Assumes reinvestment of all dividends and distributions. 23 ENDEAVOR HIGH YIELD PORTFOLIO For the year ended December 31, 1999, the Endeavor High Yield Portfolio provided a total return of 5.82%, which compares to 2.39% for the Lehman Brothers High Yield Bond Index, an unmanaged index of non-investment-grade corporate debt, and to 4.78% for the Lipper High Yield Bond Fund Index. The Lipper Mutual Fund Indices are unmanaged, net asset value weighted indices of the largest qualifying mutual funds within their respective investment objectives, adjusted for the reinvestment of capital gain distributions and income dividends. While many high-yield companies benefited from improved operating results in 1999, the market's overall performance for the year was lackluster. Heavy new issuance of high-yield bonds and a rise in the default rate exerted downward pressure on the prices of existing bonds. The increase in credit problems was largely due to the effects that soft oil prices and Medicare reform had on companies in the energy and health care industries, respectively. While performance for most of the year was indeed lackluster, the high-yield bond market finished on a strong note as more investors began to appreciate the attractive spreads available in this segment of the marketplace. Compared to its benchmarks, the Portfolio performed relatively well this year. Our team held firm to the belief that avoiding mistakes is just as important as picking the best investments. That's why MFS Original Research(R) and depth of professional experience remained so critically important to the Portfolio's relative success. Our time-tested experience in the high-yield bond arena was also critical to our ability to steer clear of trouble spots and avoid bankruptcies in various sectors of the economy. Years of observing the dynamics in energy and health care, for example, enabled us to anticipate as well as avoid the problems that ultimately plagued these industries. The Portfolio's performance benefited from an increased over-weighting in the telecommunications sector, which remains one of the best performing sectors in the high-yield market. Deregulation, both here in the United States and in Europe, has contributed to the exceptional growth in new telecommunication networks, many of which have been financed with high-yield bonds. We continue to favor facility-based operators which are experiencing strong customer demand, in part due to the explosion of Internet traffic. The telecom sector has benefited from consolidation as well as equity investments from outside the industry. We invested in the debt of such telecom companies as MetroNet and Nextel. MetroNet, a competitive local exchange company (CLEC) in Canada, saw its bonds appreciate after announcing its merger with AT&T of Canada, an investment-grade company with better financial resources. Our position in Nextel Communications rose in value after Microsoft announced its $600 million investment in the company. Our second largest exposure was in media, a highly defensive industry. Core holdings included cable television and radio entities such as Charter Communication, one of the fastest growing companies in the field. Controlled by Paul Allen, the co-founder of Microsoft, Charter's valuation has risen following the increased utilization of cable networks as a means of accessing the Internet. Given the optimistic outlook for continued growing corporate earnings in 2000 as well as the higher yield levels available in the market today, we believe that high-yield bonds remain an attractive asset class. Massachusetts Financial Services Company 24 ENDEAVOR HIGH YIELD PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 invested in Endeavor High Yield Portfolio vs. Lehman High Yield Index and Lipper VA High Current Yield Index+ June 1, 1998 through December 31, 1999 [Graph] Endeavor High Lehman High Lipper VA High Yield Portfolio* Yield Index* Current Yield Index* 6/1/98 9,987 10,035.82 10,000.61 10,085 10,093 10,070.98 9,396.7 9,536.08 9,313.55 9,337 9,579.3 9,238.81 9,140 9,382.9 9,026.98 9,750 9,772.23 9,533.97 Dec. 98 9,690 9,782.99 9,490.5 9,930 9,928.33 9,626.19 9,930 9,869.8 9,573.75 10,105 9,963.89 9,965.62 10,260 10,157.01 9,912.48 10,111.51 10,019.51 9,728 10,060.7 9,998.18 9,716.34 10,081.03 10,038.3 9,714.82 9,989.57 9,927.42 9,599.21 9,959.08 9,855.94 9,516.3 9,979.4 9,790.47 9,461.85 10,162.32 9,904.81 9,608.17 Dec. 99 10,253.79 10,016.96 9,723.21 + The Lehman High Yield Index is an index composed of high current yield bonds. The Lipper VA High Current Yield Index is an equally weighted performance index of high current yield funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Average Annual Total Return* Endeavor High Yield Portfolio ----------------------------- Year Ended 12/31/99 5.82% Inception (06/01/98) through 12/31/99 1.60%
*Assumes reinvestment of all dividends and distributions. 25 ENDEAVOR JANUS GROWTH PORTFOLIO Domestic markets registered exceptional gains during 1999 and closed out the year with an unprecedented fifth straight year of 20%-plus returns. While a persistent rise in long-term interest rates prompted substantial volatility that at times tested investors' resolve, a resurgent technology sector fueled the markets to new heights, especially during the later half of the year. In the end, the technology-laden NASDAQ Composite Index climbed to record levels and ended the year well ahead of other benchmarks. However, the continued strength in technology shares also provided a spark for the major indexes, benefiting small and mid-sized stock considerably. Amid this backdrop, the Endeavor Janus Growth Portfolio provided a total return of 36.48%, outperforming its benchmark, the S&P 500 Index, which gained 21.03%. While we enjoyed broad-based gains across many of our holdings, our technology, telecommunications, and media holdings were clear standouts. For example, our position in Cisco System led the technology bellwethers ahead, and we remain optimistic about the company's prospects. Cisco continues to be the clear leader for switches and routers that power the backbone of the Internet, commanding almost a 100% market share in an arena that continues to benefit from the Internet's proliferation. We also experienced robust gains from Nokia as the company solidified its position as the global leader for wireless handsets. Investors grew increasingly excited about the prospects for wireless data transmissions, which further supports an already compelling growth picture. Additionally, our position in Texas Instruments moved ahead. Texas Instruments, a leading semiconductor manufacturer, also benefited from exceptional mobile handset sales. Texas Instrument's digital signal processor chips will power roughly two-thirds of the nearly 300 million mobile handsets sold in 1999, and this trend should increase in the future. Thanks to strong advertising revenues from "dot.com" companies and millennium- related spending, our positions in Viacom and AT&T Liberty Media logged solid gains. Investor appreciation of the cable industry's pending introduction of video-on-demand provided an additional tailwind for these positions, which rallied as the market came to recognize the rich value of their respective media libraries. Among our individual positions, our longtime holding in General Electric also provided strong gains. The company recently announced a three-for-one stock split and Jack Welch, its renowned CEO, blessed Wall Street's upbeat earnings estimates for the coming year. On the downside, we were disappointed with our grocery store holdings, particularly Kroger. While we were optimistic that the company could reap tremendous cost savings from its recent acquisitions, we were disappointed in Kroger's lackluster earnings growth. Without a clear catalyst to drive future earnings, we opted to liquidate our position at a loss. Looking ahead, we remain completely focused on locating dynamic companies that can perform well in any environment. By sifting through the data to track down critical information that others may have overlooked, we build an information edge that helps us invest confidently for the long term, regardless of where the market's going. Ed Keely, Portfolio Manager Janus Capital Corporation 26 ENDEAVOR JANUS GROWTH PORTFOLIO PORTFOLIO HIGHLIGHTS December 31, 1999 Hypothetical Illustration of $10,000 Invested in Endeavor Janus Growth Portfolio vs. S&P 500 Stock Index and Lipper VA Growth Index May 1, 1999 through December 31, 1999 [Graph] Endeavor Janus Growth S&P 500 Lipper VA Portfolio* Stock Index* Growth Index* 5/1/99 10,000 9,708.5 9,842.15 6/30/99 10,266 10,403.34 10,450.32 7/31/99 9,941 10,053.37 10,138.39 8/31/99 10,010 10,192.81 9,965.79 9/30/99 10,289 10,019.33 9,770.03 10/31/99 11,188 10,712.17 10,331.07 11/30/99 12,145 11,170.43 10,724.87 12/31/99 13,648 11,997.38 11,749.27 The S&P 500 Stock Index is an index composed at 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange, and over the counter market. The Lipper VA Growth Index is an equally weighted performance index of growth funds underlying 30 variable annuities. Index information is available at month-end only; therefore, the closest month-end to inception date of the Portfolio has been used. NOTE: The performance shown represents past performance and is not a guarantee of future results. The Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. The graph above does not reflect separate account expenses for the Endeavor Variable Annuity.
Aggregate Total Return* Endeavor Janus Growth Portfolio ------------------------------- Inception (05/01/99) through 12/31/99 36.48%
*Assumes reinvestments of all dividends and distributions. 27 Statement of Net Assets Endeavor Series Trust Dreyfus Small Cap Value Portfolio December 31, 1999
Value Shares (Note 1) ----------- ------------ COMMON STOCK -- 98.5% Advertising Agency -- 1.4% 136,400 Snyder Communications, Inc.+........................ $ 2,625,700 ------------ Aerospace and Defense -- 0.5% 96,000 DONCASTERS Plc, Sponsored ADR+...................... 864,000 ------------ Auto Parts and Equipment -- 1.6% 49,300 Arvin Industries, Inc............................... 1,398,887 57,200 Discount Auto Parts, Inc.+.......................... 1,033,175 36,100 Dura Automotive Systems, Inc.+...................... 629,494 ------------ 3,061,556 ------------ Business Services -- 0.9% 36,700 ChiRex, Inc.+....................................... 536,738 81,400 Modis Professional Services, Inc.+.................. 1,159,950 ------------ 1,696,688 ------------ Chemicals -- 7.2% 124,700 Arch Chemicals, Inc................................. 2,610,906 74,300 CK Witco Corporation................................ 993,762 83,900 Geon Company........................................ 2,726,750 38,000 Georgia Gulf Corporation............................ 1,156,625 220,300 M. A. Hanna Company................................. 2,409,531 91,800 RPM, Inc............................................ 935,212 139,600 Wellman, Inc........................................ 2,600,050 ------------ 13,432,836 ------------ Computer Service and Software -- 9.7% 65,400 Ardent Software, Inc. +............................. 2,550,600 45,000 Autodesk, Inc....................................... 1,518,750 107,400 Avid Technology, Inc.+.............................. 1,402,912 99,900 BARRA, Inc.+........................................ 3,171,825 131,700 Keane, Inc.+........................................ 4,181,475 111,300 Sterling Software, Inc.+............................ 3,505,950 129,400 Structural Dynamics Research Corporation+........... 1,649,850 ------------ 17,981,362 ------------ Computers -- 4.7% 245,000 Ingram Micro, Inc., Class A+........................ 3,215,625 417,300 Maxtor Corporation+................................. 3,025,425 377,900 Quantum Corporation+................................ 2,621,681 ------------ 8,862,731 ------------ Consumer Products -- 0.4% 34,300 American Greetings Corporation, Class A............. 810,338 ------------ Containers -- 0.5% 145,100 Gaylord Container Corporation, Class A+............. 988,494 ------------
Value Shares (Note 1) ----------- ------------ Electronics -- 11.9% 135,900 Actel Corporation+.................................. $ 3,261,600 8,200 ADE Corporation+.................................... 135,300 89,500 Alliance Semiconductor Corporation+................. 1,493,531 164,200 Arrow Electronics, Inc.+............................ 4,166,575 30,300 Avnet, Inc.......................................... 1,833,150 193,600 General Semiconductor, Inc.+........................ 2,746,700 38,300 International Rectifier Corporation+................ 995,800 28,500 Power-One, Inc.+.................................... 1,305,656 94,900 Sterling Commerce, Inc.+............................ 3,232,531 42,800 Thomas & Betts Corporation.......................... 1,364,250 75,400 Trimble Navigation Ltd.+............................ 1,630,525 ------------ 22,165,618 ------------ Entertainment and Leisure -- 1.8% 226,400 Boyd Gaming Corporation+............................ 1,315,950 81,300 Callaway Golf Company............................... 1,437,994 27,800 Sun International Hotels, Ltd.+..................... 538,625 ------------ 3,292,569 ------------ Financial Services -- 2.8% 19,100 FirstFed Financial Corporation+..................... 268,594 154,300 Heller Financial, Inc............................... 3,095,644 66,800 Nationwide Financial Services, Inc., Class A........ 1,866,225 ------------ 5,230,463 ------------ Health Care -- 2.0% 83,300 AmeriPath, Inc.+.................................... 682,019 90,200 AmeriSource Health Corporation, Class A+............ 1,369,912 142,800 Omnicare, Inc....................................... 1,713,600 ------------ 3,765,531 ------------ Insurance -- 1.1% 96,600 Everest Reinsurance Holdings, Inc................... 2,155,387 ------------ Manufacturing -- 5.4% 11,800 AGCO Corporation.................................... 158,562 96,817 AK Steel Holding Corporation........................ 1,827,421 41,100 Alberto-Culver Company, Class A..................... 893,925 81,100 International Home Foods, Inc.+..................... 1,409,112 4,200 Lennox International, Inc........................... 38,588 90,100 Olin Corporation.................................... 1,785,106 125,500 Polaroid Corporation................................ 2,360,969 61,000 Russell Corporation................................. 1,021,750 48,000 Wolverine Tube, Inc.+............................... 678,000 ------------ 10,173,433 ------------
See Notes to Financial Statements. 28 Statement of Net Assets Endeavor Series Trust Dreyfus Small Cap Value Portfolio December 31, 1999
Value Shares (Note 1) ----------- ------------ COMMON STOCK -- (Continued) Media and Communications -- 0.0%** 1,700 TALK.com, Inc.,+.................................... $ 30,175 ------------ Medical and Scientific Supplies -- 7.4% 244,100 Bergen Brunswig Corporation, Class A................ 2,029,081 66,000 CONMED Corporation+................................. 1,707,750 108,800 Henry Schein, Inc.+................................. 1,448,400 37,400 Osteotech, Inc.+.................................... 500,225 128,500 Quest Diagnostic, Inc.+............................. 3,927,281 60,400 Sola International, Inc.+........................... 838,050 38,500 Spacelabs Medical, Inc.+............................ 714,656 177,900 STERIS Corporation+................................. 1,834,594 30,200 West Pharmaceutical Services, Inc................... 934,313 ------------ 13,934,350 ------------ Oil and Gas -- 8.0% 80,700 EEX Corporation+.................................... 237,056 113,200 National-Oilwell, Inc.+............................. 1,775,825 258,600 Newpark Resources, Inc.+............................ 1,583,925 87,500 Noble Affiliates, Inc............................... 1,875,781 285,800 Ocean Energy, Inc.+................................. 2,214,950 140,200 Range Resources Corporation......................... 446,888 46,000 Santa Fe International.............................. 1,190,250 420,300 Santa Fe Snyder Corporation+........................ 3,362,400 79,100 Tesoro Petroleum Corporation+....................... 914,594 28,800 Transocean Sedco Forex, Inc......................... 970,200 21,400 Valero Energy Corporation........................... 425,325 ------------ 14,997,194 ------------ Other -- 0.4% 49,200 Applied Industrial Technologies, Inc................ 817,950 ------------ Publishing -- 4.2% 167,700 Bowne & Company, Inc................................ 2,263,950 30,600 Harcourt General, Inc............................... 1,231,650 274,400 Ziff-Davis, Inc.+................................... 4,338,950 ------------ 7,834,550 ------------ Restaurants -- 0.7% 53,900 Papa John's International, Inc.+.................... 1,404,769 ------------ Retail -- 12.6% 151,000 Abercrombie & Fitch Company, Class A+............... 4,029,813 101,000 Brown Shoe Company, Inc............................. 1,426,625 144,000 Burlington Coat Factory Warehouse Corporation....... 1,998,000
Value Shares (Note 1) ----------- ------------ Retail -- (Continued) 195,500 Consolidated Stores Corporation+.................... $ 3,176,875 63,100 Finlay Enterprises, Inc.+........................... 914,950 285,400 Heilig-Meyers Company............................... 784,850 188,800 Musicland Stores Corporation+....................... 1,593,000 48,800 Neiman Marcus Group, Inc.+.......................... 1,363,350 312,800 OfficeMax, Inc.+.................................... 1,720,400 115,200 Saks, Inc.+......................................... 1,792,800 114,800 ShopKo Stores, Inc.+................................ 2,640,400 321,100 Venator Group, Inc.................................. 2,247,700 ------------ 23,688,763 ------------ Services -- 2.8% 51,800 ACNielsen Corporation+.............................. 1,275,575 96,200 Foster Wheeler Corporation.......................... 853,775 84,000 Pharmaceutical Product Development, Inc.+........... 997,500 68,700 Renaissance Worldwide, Inc.+........................ 506,663 179,466 Ventiv Health, Inc.+................................ 1,648,844 ------------ 5,282,357 ------------ Technology -- 4.0% 55,600 Artesyn Technologies, Inc.+......................... 1,167,600 143,200 Mitel Corporation+.................................. 1,969,000 132,200 Tech Data Corporation+.............................. 3,585,925 55,800 Thermo Electron Corporation+........................ 837,000 ------------ 7,559,525 ------------ Textiles and Apparel -- 3.1% 5,300 Burlington Industries, Inc.+........................ 21,200 67,600 Jones Apparel Group, Inc.+.......................... 1,833,650 128,000 Nautica Enterprises, Inc.+.......................... 1,448,000 7,200 Phillips-Van Heusen Corporation..................... 59,850 96,700 Unifi, Inc.+........................................ 1,190,619 115,600 Wolverine World Wide, Inc........................... 1,264,375 ------------ 5,817,694 ------------ Transportation -- 1.4% 51,200 Kitty Hawk, Inc.+................................... 352,000 136,000 Yellow Corporation+................................. 2,286,500 ------------ 2,638,500 ------------ Waste Disposal -- 2.0% 136,500 Republic Services, Inc+............................. 1,962,188 165,725 Safety-Kleen Corporation+........................... 1,874,764 ------------ 3,836,952 ------------ Total Common Stock (Cost $183,187,113).............. 184,949,485 ------------
See Notes to Financial Statements. 29 Statement of Net Assets Endeavor Series Trust Dreyfus Small Cap Value Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- ------------ REPURCHASE AGREEMENT -- 1.4% (Cost $2,581,000) $ 2,581,000 Agreement with The Boston Company, 2.950% to be repurchased at $2,581,634 on 01/03/2000, collateralized by $2,666,000 U.S. Treasury Bond 6.375% due 08/15/2027, market value $2,632,675... $ 2,581,000 ------------
TOTAL INVESTMENTS (Cost $185,768,113*)...................................... 99.9% 187,530,485 OTHER ASSETS AND LIABILITIES (Net)......................... 0.1% 272,258 ------ ------------ NET ASSETS................................................. 100.0% $187,802,743 ====== ============
NET ASSETS consist of: Accumulated net realized gain on investments...................... $ 30,335,275 Net unrealized appreciation of investments........................ 1,762,372 Paid-in capital................................................... 155,705,096 ------------
Total Net Assets................................................. $187,802,743 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding................................. $ 16.51 ============ Number of Portfolio shares outstanding........................... 11,378,142 ============
- ----------- * Aggregate cost for federal tax purposes was $187,378,393. + Non-income producing security. ** Amount represents less than 0.1% Abbreviation: ADR--American Depositary Receipt See Notes to Financial Statements. 30 Statement of Net Assets Endeavor Series Trust Dreyfus U.S. Government Securities Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- ------------ AGENCY SECURITIES -- 42.4% Federal Home Loan Bank (FHLB) -- 6.4% $ 550,000 5.590% due 01/05/01................................. $ 544,929 5,000,000 5.910% due 03/09/05................................. 4,776,550 ------------ 5,321,479 ------------ Federal Home Loan Mortgage Corporation (FHLMC) -- 0.3% 93,021 9.500% due 07/25/22................................. 98,688 114,286 9.500% due 12/01/22................................. 120,678 ------------ 219,366 ------------ Federal National Mortgage Association (FNMA) -- 7.2% 70,687 7.000% due 08/01/03................................. 70,730 114,773 7.500% due 06/01/09................................. 115,490 590,767 6.500% due 02/01/13................................. 573,410 395,795 6.500% due 03/01/13................................. 384,167 719,872 6.000% due 08/01/13................................. 683,425 3,059,789 6.000% due 11/01/13................................. 2,904,873 872,637 6.000% due 12/01/13................................. 828,455 38,814 7.000% due 07/01/22................................. 37,794 106,332 7.000% due 07/01/23................................. 103,407 178,380 6.500% due 02/01/26................................. 169,183 130,562 7.000% due 09/01/26................................. 126,563 ------------ 5,997,497 ------------ Government National Mortgage Association (GNMA) -- 22.6% 148,403 8.000% due 07/15/17................................. 151,222 96,414 8.500% due 12/15/21................................. 99,606 148,989 9.000% due 12/15/21................................. 156,717 171,446 7.000% due 11/15/23................................. 166,731 255,151 7.500% due 12/15/23................................. 253,556 236,870 8.000% due 06/15/27................................. 239,239 233,598 8.000% due 07/15/27................................. 235,934 1,069,344 8.000% due 08/15/27................................. 1,080,037 626,873 7.000% due 09/20/28................................. 604,222 1,064,159 7.000% due 01/20/29................................. 1,025,708 1,108,212 7.000% due 07/20/29................................. 1,068,169 2,141,547 7.000% due 09/20/29................................. 2,064,167 1,625,519 6.000% due 10/20/29................................. 1,609,359 6,990,378 7.500% due 11/20/29................................. 6,894,490 3,400,000 6.000% due 01/01/30................................. 3,371,313 ------------ 19,020,470 ------------ Small Business Administration (SBA) -- 3.6% 63,172 7.300% due 05/01/17................................. 62,718 844,531 6.300% due 05/01/18................................. 791,748 960,816 5.500% due 10/01/18................................. 853,324
Principal Value Amount (Note 1) ----------- ------------ Small Business Administration (SBA)--(continued) $ 1,434,978 5.800% due 12/01/18............................ $ 1,298,206 ------------ 3,005,996 ------------ Tennessee Valley Authority (TVA) -- 2.3% 2,123,140 TVA, Bonds, 3.375% due 01/15/07........................... 1,936,367 ------------ Total Agency Securities (Cost $36,551,920)..... 35,501,175 ------------ CORPORATE FIXED INCOME SECURITIES -- 17.1% Aerospace and Defense -- 1.9% 1,600,000 Lockheed Martin Corporation, Notes, 8.200% due 12/01/09........................... 1,592,000 ------------ Auto Parts and Equipment -- 2.7% 2,500,000 Federal-Mogul Corporation, Notes, 7.875% due 07/01/10........................... 2,239,300 ------------ Chemicals -- 2.3% 2,000,000 ICI Wilmington, Company Guarantee, 6.950% due 09/15/04........................... 1,949,328 ------------ Communications -- 6.4% 3,000,000 AT&T Canada, Inc., Senior Notes, 7.650% due 09/15/06++.................................... 2,986,914 2,500,000 Charter Communications Holdings LLC, Senior Notes, 8.625% due 04/01/09++......................... 2,309,375 ------------ 5,296,289 ------------ Financial -- 3.5% 3,000,000 Bombardier Capital, Ltd., Notes, 7.500% due 08/15/04...................................... 2,953,514 ------------ Forestry -- 0.3% 250,000 Tembec Industries, Inc., Company Guarantee, 8.625% due 06/30/09........................... 249,375 ------------ Oil and Gas -- 0.0%** 30,000 Norcen Energy Resources, Debentures, 7.375% due 05/15/06........................... 29,204 ------------ Total Corporate Fixed Income Securities (Cost $14,647,514).................................. 14,309,010 ------------
See Notes to Financial Statements. 31 Statement of Net Assets Endeavor Series Trust Dreyfus U.S. Government Securities Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- ----------- U.S. TREASURY OBLIGATIONS -- 41.6% Strip -- 2.8% $ 1,876,000 4.669% due 11/11/01^................................. $ 1,660,072 1,300,000 4.490% due 11/15/09^................................. 662,566 ----------- 2,322,638 ----------- U.S. Treasury Bonds -- 23.8% 2,500,000 12.000% due 08/15/13................................. 3,338,275 3,000,000 7.250% due 05/15/16.................................. 3,135,930 3,000,000 8.750% due 05/15/17.................................. 3,583,110 2,000,000 8.875% due 08/15/17.................................. 2,417,180 2,000,000 8.875% due 02/15/19.................................. 2,434,380 3,000,000 8.750% due 05/15/20.................................. 3,630,930 700,000 5.250% due 11/15/28.................................. 576,625 1,034,000 5.250% due 02/15/29.................................. 854,984 ----------- 19,971,414 ----------- U.S. Treasury Notes -- 15.0% 1,460,000 5.875% due 10/31/01.................................. 1,450,875 500,000 6.375% due 08/15/02##................................ 501,095 1,000,000 5.250% due 05/15/04.................................. 957,970 8,500,000 4.750% due 11/15/08.................................. 7,497,255 2,285,000 6.000% due 08/15/09.................................. 2,213,594 ----------- 12,620,789 ----------- Total U.S. Treasury Obligations (Cost $36,272,961)... 34,914,841 -----------
TOTAL INVESTMENTS (Cost $87,472,395*)....................................... 101.1% 84,725,026 OTHER ASSETS AND LIABILITIES (Net)......................... (1.1)% (948,169) ------ ------------ NET ASSETS................................................. 100.0% $ 83,776,857 ====== ============
NET ASSETS consist of: Undistributed net investment income........ $ 4,742,691 Accumulated net realized loss on investments and futures contracts..... (1,940,094) Net unrealized depreciation of investments and futures contracts..... (2,676,311) Paid-in capital....... 83,650,571 ----------- Total Net Assets........ $83,776,857 =========== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding... $ 11.53 =========== Number of Portfolio shares outstanding... 7,263,812 ===========
- ----------- * Aggregate cost for federal tax purposes was $87,543,894. ^ Zero coupon security as of December 31, 1999. The coupon shown is the step-up rate. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ** Amount represents less than 0.1%. ## Security pledged as collateral for open futures contracts. See Notes to Financial Statements. 32 Statement of Net Assets Endeavor Series Trust Endeavor Enhanced Index Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- 97.7% Basic Industry -- 2.5% 9,100 Alcoa, Inc.......................................... $ 755,300 2,900 Allegheny Technologies, Inc. ....................... 65,069 1,100 Bowater, Inc. ...................................... 59,744 4,900 Fort James Corporation.............................. 134,138 5,600 Freeport-McMoRan Copper & Gold, Inc., Class B+...... 118,300 2,500 Georgia-Pacific Group............................... 126,875 4,700 IMC Global, Inc. ................................... 76,962 8,600 International Paper Company......................... 485,362 1,900 Louisiana-Pacific Corporation....................... 27,075 6,500 Lyondell Chemical Corporation....................... 82,875 300 Phelps Dodge Corporation............................ 20,138 3,100 Reynolds Metals Company............................. 237,538 12,900 Rohm and Haas Company............................... 524,869 7,400 Smurfit-Stone Container Corporation+................ 181,300 6,700 Solutia, Inc. ...................................... 103,431 1,200 Temple-Inland, Inc. ................................ 79,125 11,300 Union Carbide Corporation........................... 754,275 5 Water Pik Technologies, Inc.+....................... 48 ------------ 3,832,424 ------------ Capital Goods -- 0.9% 100 Caterpillar, Inc. .................................. 4,706 3,500 Cooper Industries, Inc. ............................ 141,531 8,400 Deere & Company..................................... 364,350 2,700 Eaton Corporation................................... 196,087 9,300 Emerson Electric Company............................ 533,587 900 Grainger (W.W.), Inc. .............................. 43,031 1,300 Hubbell, Inc., Class B.............................. 35,425 2,500 PACCAR, Inc. ....................................... 110,781 ------------ 1,429,498 ------------ Consumer Staples -- 5.0% 4,600 Bestfoods........................................... 241,788 6,200 Clorox Company...................................... 312,325 16,600 Coca-Cola Company................................... 966,950 7,900 General Mills, Inc. ................................ 282,425 27,200 Gillette Company.................................... 1,120,300 9,400 Heinz (H.J.) Company................................ 374,238 3,400 Hershey Foods Corporation........................... 161,500 800 Nabisco Holdings Corporation, Class A............... 25,300 27,700 Procter & Gamble Company............................ 3,034,881 23,600 Sara Lee Corporation................................ 520,675 10,800 Unilever NV, NY Shares.............................. 587,925 ------------ 7,628,307 ------------ Cyclical -- 2.0% 1,500 Cooper Tire & Rubber Company........................ 23,344 5,300 Dana Corporation.................................... 158,669
Value (Note Shares 1) ----------- ------------ Cyclical -- (Continued) 18,800 Delphi Automotive Systems Corporation............... $ 296,100 28,500 Ford Motor Company.................................. 1,522,969 1,000 Furniture Brands International, Inc.+............... 22,000 4,600 Genuine Parts Company............................... 114,137 5,100 Goodrich (B.F.) Company............................. 140,250 5,200 Goodyear Tire & Rubber Company...................... 146,575 2,800 Hasbro, Inc.. ...................................... 53,375 4,000 Jones Apparel Group, Inc.+.......................... 108,500 2,200 Lear Corporation+................................... 70,400 6,300 Leggett & Platt, Inc. .............................. 135,056 13,500 Mattel, Inc. ....................................... 177,188 1,300 Owens Corning, Inc. ................................ 25,106 800 Reebok International, Ltd.+......................... 6,550 800 USG Corporation..................................... 37,700 ------------ 3,037,919 ------------ Diversified -- 3.1% 11,400 Air Products and Chemicals, Inc. ................... 382,612 11,500 Eastman Kodak Company............................... 761,875 4,800 Ingersoll-Rand Company.............................. 264,300 100 Input/Output, Inc.+................................. 506 500 National Services Industries, Inc. ................. 14,750 1,300 PPG Industries, Inc. ............................... 81,331 3,200 Praxair, Inc. ...................................... 161,000 3,800 Raytheon Company, Class A........................... 94,287 8,500 Raytheon Company, Class B........................... 225,781 17,800 Seagram Company, Ltd. .............................. 799,888 41,298 Tyco International, Ltd. ........................... 1,605,460 700 Unifi, Inc.+........................................ 8,619 25,100 Waste Management, Inc. ............................. 431,406 ------------ 4,831,815 ------------ Drugs -- 8.9% 31,100 Abbott Laboratories................................. 1,129,319 11,100 ALZA Corporation+................................... 384,338 29,100 American Home Products Corporation.................. 1,147,631 6,500 Becton, Dickinson and Company....................... 173,875 44,200 Bristol-Myers Squibb Company........................ 2,837,087 6,300 Forest Laboratories, Inc.+.......................... 387,056 2,300 Genzyme Corporation+................................ 103,500 900 Johnson & Johnson................................... 83,812 30,100 Lilly (Eli) and Company............................. 2,001,650 8,100 Merck & Company, Inc. .............................. 543,206 17,900 Monsanto Company.................................... 637,687 4,600 Pfizer, Inc. ....................................... 149,212 4,500 Pharmacia & Upjohn, Inc. ........................... 202,500 66,500 Philip Morris Companies, Inc. ...................... 1,541,969 15,300 Schering-Plough Corporation......................... 645,469 19,300 Warner-Lambert Company.............................. 1,581,394 2,600 Watson Pharmaceuticals, Inc.+....................... 93,113 ------------ 13,642,818 ------------
See Notes to Financial Statements. 33 Statement of Net Assets Endeavor Series Trust Endeavor Enhanced Index Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Energy -- 5.5% 10,500 Chevron Corporation................................. $ 909,563 1,200 Cooper Cameron Corporation+......................... 58,725 1,900 Columbia Energy Group............................... 120,175 9,200 Conoco, Inc., Class B............................... 228,850 53,147 Exxon Mobil Corporation............................. 4,281,615 4,000 Global Marine, Inc.+................................ 66,500 3,000 Phillips Petroleum Company.......................... 141,000 4,000 R&B Falcon Corporation+............................. 53,000 33,200 Royal Dutch Petroleum Company, NY Shares............ 2,006,525 1,000 Smith International, Inc.+.......................... 49,688 5,100 Texaco, Inc. ....................................... 276,994 3,700 Tosco Corporation................................... 100,594 4,000 Union Pacific Resources Group, Inc. ................ 51,000 2,000 Ultramar Diamond Shamrock Corporation............... 45,375 500 Valero Energy Corporation........................... 9,938 ------------ 8,399,542 ------------ Financial Services -- 10.6% 3,100 AMBAC Financial Group, Inc. ........................ 161,781 9,900 AmSouth BanCorporation.............................. 191,194 1,600 Associated Banc Corporation......................... 54,800 18,700 Associates First Capital Corporation, Class A....... 513,081 900 Astoria Financial Corporation....................... 27,394 1,200 BancWest Corporation................................ 23,400 43,800 Bank of America Corporation......................... 2,198,212 29,400 Bank One Corporation................................ 942,637 2,700 Bear Stearns Companies, Inc. ....................... 115,425 5,400 Charter One Financial, Inc. ........................ 103,275 6,300 CIT Group, Inc., Class A............................ 133,087 13,300 Citigroup, Inc. .................................... 738,981 400 Colonial BancGroup, Inc. ........................... 4,150 3,800 Comerica, Inc. ..................................... 177,412 400 Commercial Federal Corporation...................... 7,125 2,700 Compass Bancshares, Inc. ........................... 60,244 2,800 Countrywide Credit Industries, Inc. ................ 70,700 5,000 Dime Bancorp, Inc. ................................. 75,625 6,000 Equifax, Inc. ...................................... 141,375 20,800 Fannie Mae.......................................... 1,298,700 1,700 FINOVA Group, Inc. ................................. 60,350 2,100 First Merit Corporation............................. 48,300 3,300 First Tennessee National Corporation................ 94,050 26,800 First Union Corporation............................. 879,375 25,200 Firstar Corporation................................. 532,350 22,700 Fleet Boston Financial Corporation.................. 790,244 3,700 Franklin Resources, Inc. ........................... 118,631 18,800 Freddie Mac......................................... 884,775 3,900 Golden West Financial Corporation................... 130,650 6,900 Goldman Sachs Group, Inc. .......................... 649,894 3,500 GreenPoint Financial Corporation.................... 83,344
Value (Note Shares 1) ----------- ------------ Financial Services -- (Continued) 3,700 Hibernia Corporation, Class A....................... $ 39,312 11,500 Household International, Inc. ...................... 428,375 5,900 Huntington Bancshares, Inc. ........................ 140,862 11,500 KeyCorp............................................. 254,437 5,200 Lincoln National Corporation........................ 208,000 200 M & T Bank Corporation.............................. 82,850 4,400 MBIA, Inc. ......................................... 232,375 1,600 Mercantile Bankshares Corporation................... 51,100 9,100 Merrill Lynch & Company............................. 759,850 15,800 National City Corporation........................... 374,262 3,200 North Fork Bancorporation, Inc. .................... 56,000 300 Ocwen Financial Corporation+........................ 1,875 800 Pacific Century Financial Corporation............... 14,950 3,200 Paine Webber Group, Inc. ........................... 124,200 1,400 Peoples Heritage Financial Group, Inc. ............. 21,087 8,100 PNC Bank Corporation................................ 360,450 300 Provident Financial Group, Inc. .................... 10,762 5,600 Regions Financial Corporation....................... 140,700 4,000 SouthTrust Corporation.............................. 151,250 3,800 Sovereign Bancorp, Inc. ............................ 28,322 4,500 Summit Bancorp...................................... 137,812 1,900 TCF Financial Corporation........................... 47,262 8,000 TD Waterhouse Group+................................ 131,500 5,700 Torchmark Corporation............................... 165,656 3,500 Union Planters Corporation.......................... 138,031 19,400 U.S. Bancorp........................................ 461,962 200 Washington Federal, Inc. ........................... 3,950 15,800 Washington Mutual, Inc. ............................ 410,800 400 Wilmington Trust Corporation........................ 19,300 ------------ 16,307,853 ------------ Health Services -- 1.5% 5,100 Aetna, Inc. ........................................ 284,644 14,200 Boston Scientific Corporation+...................... 310,625 5,200 CIGNA Corporation................................... 418,925 8,300 Columbia/HCA Healthcare Corporation................. 243,294 3,900 HEALTHSOUTH Corporation+............................ 20,962 600 Human Genome Sciences, Inc.+........................ 91,575 3,100 Humana, Inc.+....................................... 25,381 8,600 Medtronic, Inc. .................................... 313,363 200 PE Corporation-PE Biosystems Group.................. 24,063 2,900 St. Jude Medical, Inc.+............................. 88,994 11,000 Tenet Healthcare Corporation+....................... 258,500 3,000 United HealthCare Corporation....................... 159,375 2,200 Wellpoint Health Networks, Inc.+.................... 145,062 ------------ 2,384,763 ------------ Insurance -- 2.2% 37,000 Allstate Corporation+............................... 888,000
See Notes to Financial Statements. 34 Statement of Net Assets Endeavor Series Trust Endeavor Enhanced Index Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Insurance -- (Continued) 4,775 American International Group, Inc. ................. $ 516,297 11,600 Aon Corporation..................................... 464,000 5,300 AXA Financial, Inc. ................................ 179,537 300 Financial Security Assurance Holdings, Ltd. ........ 15,637 800 Fremont General Corporation......................... 5,900 9,900 Hartford Financial Services Group, Inc. ....................................... 469,013 1,300 Mercury General Corporation......................... 28,925 5,800 SAFECO Corporation.................................. 144,275 9,000 St. Paul Companies, Inc. ........................... 303,187 2,600 Travelers Property Casualty Corporation, Class A.... 89,050 10,900 UnumProvident Corporation........................... 349,481 ------------ 3,453,302 ------------ Retail -- 6.5% 3,200 Abercrombie & Fitch Company, Class A+............... 85,400 13,300 Albertson's, Inc. .................................. 428,925 2,700 Circuit City Stores-Circuit City Group.............. 121,669 2,100 CVS Corporation..................................... 83,869 13,300 Dayton Hudson Corporation........................... 976,719 6,600 Federated Department Stores, Inc.+.................. 333,713 26,800 Gap, Inc. .......................................... 1,232,800 21,400 Home Depot, Inc. ................................... 1,467,238 14,900 Kmart Corporation+.................................. 149,931 26,200 Kroger Company+..................................... 494,525 10,400 May Department Stores Company....................... 335,400 4,200 Nordstrom, Inc. .................................... 109,988 6,500 Penney (J.C.) Company, Inc. ........................ 129,594 16,000 Safeway, Inc.+...................................... 569,000 200 Sears Roebuck & Company............................. 6,087 9,500 TJX Companies, Inc. ................................ 194,156 47,800 Wal-Mart Stores, Inc. .............................. 3,304,175 ------------ 10,023,189 ------------ Services -- 6.5% 38,700 America Online, Inc.+............................... 2,919,431 4,500 Baker Hughes, Inc. ................................. 94,781 39,900 Cendant Corporation+................................ 1,059,844 17,600 Comcast Corporation, Class A........................ 889,900 300 Extended Stay Amererica, Inc.+...................... 2,287 14,700 Gannett Company, Inc................................ 1,198,969 10,400 Hilton Hotels Corporation........................... 100,100 2,500 International Game Technology....................... 50,781 3,600 Knight Ridder, Inc. ................................ 214,200 3,100 Mandalay Resort Group+.............................. 62,387 11,700 McDonald's Corporation.............................. 471,656 28,100 MediaOne Group, Inc.+............................... 2,158,431
Value (Note Shares 1) ----------- ------------ Services -- (Continued) 10,600 Mirage Resorts, Inc.+............................... $ 162,312 2,200 New York Times Company, Class A..................... 108,075 11,200 Service Corporation International................... 77,700 7,400 Starwood Hotels and Resorts Worldwide, Inc.......... 173,900 2,700 Times Mirror Company, Class A....................... 180,900 99 Washington Post Company, Class B.................... 55,032 ------------ 9,980,686 ------------ Technology -- 24.7% 2,100 Adobe Systems, Inc. ................................ 141,225 100 Apple Computer, Inc.+............................... 10,281 6,500 Applied Materials, Inc.+............................ 823,469 9,400 Automatic Data Processing, Inc. .................... 506,425 5,100 BMC Software, Inc.+................................. 407,681 1,700 Citrix Systems, Inc.+............................... 209,100 31,600 Compaq Computer Corporation......................... 855,175 1,500 CompUSA, Inc.+...................................... 7,688 1,700 Computer Associates International, Inc. ............ 118,894 800 Dell Computer Corporation+.......................... 40,800 1,000 DoubleClick, Inc.+.................................. 253,063 7,800 Electronic Data Systems Corporation................. 522,112 21,700 EMC Corporation+.................................... 2,370,725 2,800 Exodus Communications, Inc.+........................ 248,675 8,100 First Data Corporation.............................. 399,431 39,200 General Electric Company............................ 6,066,200 15,700 Honeywell International, Inc. ...................... 905,694 57,900 Intel Corporation................................... 4,765,894 7,800 International Business Machines Corporation......... 842,400 4,100 ITT Industries, Inc................................. 137,094 2,600 Lexmark International Group, Inc., Class A+......... 235,300 18,000 Lockheed Martin Corporation......................... 393,750 73,700 Microsoft Corporation+.............................. 8,604,475 11,800 Motorola, Inc. ..................................... 1,737,550 3,300 National Semiconductor Corporation+................. 141,281 2,300 Network Associates, Inc.+........................... 61,381 8,100 Novell, Inc.+....................................... 323,494 3,300 Oracle Corporation+................................. 369,806 5,700 QUALCOMM, Inc.+..................................... 1,003,913 3,200 Quantum Corporation+................................ 48,400 4,000 Seagate Technology, Inc.+........................... 186,250 30,400 Sun Microsystems, Inc.+............................. 2,354,100 5 Teledyne Technologies, Inc.+........................ 50 15,200 Texas Instruments, Inc. ............................ 1,472,500 22,100 Xerox Corporation................................... 501,394 400 Xilinx, Inc.+....................................... 18,188 2,100 Yahoo!, Inc.+....................................... 908,644 ------------ 37,992,502 ------------
See Notes to Financial Statements. 35 Statement of Net Assets Endeavor Series Trust Endeavor Enhanced Index Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Telephone -- 15.3% 21,900 AT&T Corporation.................................... $ 1,111,425 28,300 AT&T Corporation--Liberty Media Group, Class A+..... 1,606,025 12,700 Bell Atlantic Corporation........................... 781,844 53,200 Cisco Systems, Inc.+................................ 5,699,050 7,400 Dominion Resources, Inc. ........................... 290,450 12,900 Global Crossing, Ltd.+.............................. 645,000 19,500 GTE Corporation..................................... 1,375,969 6,200 Level 3 Communications, Inc.+....................... 507,625 54,300 Lucent Technologies, Inc. .......................... 4,062,319 51,500 MCI WorldCom, Inc.+................................. 2,732,719 15,100 Nortel Networks Corporation......................... 1,525,100 61,900 SBC Communications, Inc. ........................... 3,017,625 1,400 Sprint Corporation (PCS Group)+..................... 143,500 ------------ 23,498,651 ------------ Transportation -- 0.6% 2,300 AMR Corporation+.................................... 154,100 7,300 Burlington Northern Santa Fe Corporation............ 177,025 600 CNF Transportation, Inc. ........................... 20,700 3,400 CSX Corporation..................................... 106,675 400 FDX Corporation+.................................... 16,375 6,100 Norfolk Southern Corporation........................ 125,050 1,300 Northwest Airlines Corporation+..................... 28,925 900 Ryder System, Inc. ................................. 21,994 7,100 Southwest Airlines Company.......................... 114,931 4,600 Union Pacific Corporation........................... 200,675 200 Wisconsin Central Transportation Corporation+....... 2,688 ------------ 969,138 ------------ Utilities -- 1.9% 3,100 Allegheny Energy, Inc. ............................. 83,506 1,000 American Electric Power Company, Inc. .............. 32,125 8,500 Carolina Power & Light Company...................... 258,719 13,300 Central & South West Corporation.................... 266,000 4,400 Cinergy Corporation................................. 106,150 3,300 CMS Energy Corporation.............................. 102,919 1,700 Consolidated Natural Gas Company.................... 110,394 600 Constellation Energy Group.......................... 17,400 4,100 DTE Energy Company.................................. 128,638 3,100 ENSCO International, Inc. .......................... 70,913 5,000 Entergy Corporation................................. 128,750 5,100 FPL Group, Inc. .................................... 218,344 3,600 GPU, Inc. .......................................... 107,775 3,700 Nisource, Inc. ..................................... 66,138 9,500 Northern States Power Company....................... 185,250 11,200 PG&E Corporation.................................... 229,600 2,300 Pinnacle West Capital Corporation................... 70,294
Value (Note Shares 1) ----------- ------------ Utilities -- (Continued) 4,300 PP&L Resources, Inc. ............................... $ 98,362 8,100 Reliant Energy, Inc. ............................... 185,288 3,800 TECO Energy, Inc. .................................. 70,538 8,200 Texas Utilities Company............................. 291,612 1,300 USEC, Inc. ......................................... 9,100 3,400 Wisconsin Energy Corporation........................ 65,450 ------------ 2,903,265 ------------ Total Common Stock (Cost $135,008,569)................................ 150,315,672 ------------ Principal Amount ----------- U.S. TREASURY OBLIGATIONS -- 5.3% U.S. Treasury Bills -- 5.2% $1,978,000 5.370% due 01/13/00#/##............................. 1,974,463 6,048,000 5.250% due 01/20/00#/##............................. 6,032,588 ------------ 8,007,051 ------------ U.S. Treasury Notes -- 0.1% 200,000 5.875% due 02/15/00#................................ 200,094 ------------ Total U.S. Treasury Obligations (Cost $8,207,231)... 8,207,145 ------------
TOTAL INVESTMENTS (Cost $143,215,800*).................................... 103.0% 158,522,817 ------------ OTHER ASSETS AND LIABILITIES (Net)....................... (3.0)% (4,556,114) ------ ------------ NET ASSETS............................................... 100.0% $153,966,703 ====== ============ NET ASSETS consist of: Undistributed net investment income............................. $ 766,661 Accumulated net realized gain on investments and futures contracts...................................................... 9,430,774 Net unrealized appreciation of investments and futures contracts...................................................... 15,442,178 Paid-in capital................................................. 128,327,090 ------------ Total Net Assets................................................ $153,966,703 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding............................. $ 18.16 ============ Number of Portfolio shares outstanding.......................... 8,479,059 ============
- ----------- * Aggregate cost for federal tax purposes was $143,423,910. + Non-income producing security. # Rate represents annualized yield at date of purchase. ## Security pledged as collateral for open futures contracts. See Notes to Financial Statements. 36 Statement of Net Assets Endeavor Series Trust Endeavor Opportunity Value Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- 68.1% Aerospace and Defense -- 3.8% 41,050 Boeing Company...................................... $ 1,706,141 ------------ Banking -- 10.8% 31,125 Citigroup, Inc. .................................... 1,729,383 1,900 M&T Bank Corporation................................ 787,075 57,000 Wells Fargo Company................................. 2,304,937 ------------ 4,821,395 ------------ Computer Service and Software -- 5.9% 27,500 Compaq Computer Corporation......................... 744,219 27,400 Computer Associates International, Inc. ............ 1,916,288 ------------ 2,660,507 ------------ Consumer Durables -- 2.5% 34,000 ITT Industries, Inc................................. 1,136,875 ------------ Diversified Chemicals -- 6.2% 34,000 duPont (E.I.) de Nemours & Company.................. 2,239,750 14,900 Monsanto Company.................................... 530,812 ------------ 2,770,562 ------------ Drugs and Medical Products -- 2.3% 25,800 American Home Products Corporation.................. 1,017,487 ------------ Financial Services -- 6.5% 45,000 Freddie Mac......................................... 2,117,812 21,000 Household International, Inc. ...................... 782,250 ------------ 2,900,062 ------------ Food and Beverages -- 2.5% 35,500 Diageo Plc, Sponsored ADR........................... 1,136,000 ------------ Insurance -- 3.1% 9,200 Ace, Ltd. .......................................... 153,525 24,111 XL Capital Ltd., Class A............................ 1,250,758 ------------ 1,404,283 ------------ Manufacturing and Mining -- 6.1% 19,700 Caterpillar, Inc. .................................. 927,131 10,000 Minnesota Mining & Manufacturing Company............ 978,750
Value (Note Shares 1) ----------- ------------ Manufacturing and Mining -- (Continued) 11,000 Textron, Inc. ...................................... $ 843,562 ------------ 2,749,443 ------------ Media -- 1.8% 24,000 News Corporation (The), Ltd., Sponsored ADR......... 802,500 ------------ Oil and Gas Exploration -- 0.2% 3,000 Anadarko Petroleum Corporation...................... 102,375 ------------ Paper and Paper Products -- 1.8% 13,300 Champion International Corporation.................. 823,769 ------------ Printing and Graphic Design -- 1.2% 21,792 Donnelley (R.R.) & Sons Company..................... 540,714 ------------ Restaurants -- 4.8% 54,000 McDonald's Corporation.............................. 2,176,875 ------------ Retail -- 0.5% 11,000 Kroger Company+..................................... 207,625 ------------ Telecommunications -- 5.5% 13,800 Bell Atlantic Corporation........................... 849,563 24,000 Sprint Corporation.................................. 1,615,500 ------------ 2,465,063 ------------ Transportation -- 1.9% 11,000 UAL Corporation+.................................... 853,188 ------------ Waste Disposal -- 0.7% 18,500 Waste Management, Inc. ............................. 317,969 ------------ Total Common Stock (Cost $29,685,725)................................. 30,592,833 ------------ Principal Amount --------- AGENCY SECURITIES -- 27.7% Federal Home Loan Bank (FHLB) -- 7.8% $ 445,000 1.500% due 02/07/00#................................ 444,963 3,082,000 5.590% due 01/19/00#................................ 3,073,386 ------------ 3,518,349 ------------
See Notes to Financial Statements. 37 Statement of Net Assets Endeavor Series Trust Endeavor Opportunity Value Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- ----------- AGENCY SECURITIES -- (Continued) Federal National Mortgage Association (FNMA) -- 19.9% $ 5,000,000 5.680% due 02/07/00#................................. $ 4,970,811 4,000,000 6.500% due 08/15/04#................................. 3,950,000 ----------- 8,920,811 ----------- Total Agency Securities (Cost $12,441,241).................................. 12,439,160 -----------
TOTAL INVESTMENTS (Cost $42,126,966*)....................... 95.8% 43,031,993 OTHER ASSETS AND LIABILITIES (Net).......................... 4.2% 1,867,649 ------ ----------- NET ASSETS.................................................. 100.0% $44,899,642 ====== ===========
NET ASSETS consist of: Undistributed net investment income........ $ 615,303 Accumulated net realized gain on investments... 2,411,927 Net unrealized appreciation of investments... 905,027 Paid-in capital....... 40,967,385 ----------- Total Net Assets........ $44,899,642 =========== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding... $ 12.56 =========== Number of Portfolio shares outstanding... 3,573,964 ===========
- ----------- * Aggregate cost for federal tax purposes. + Non-income producing security. # Rate represents annualized yield at date of purchase. Abbreviation: ADR -- American Depositary Receipt See Notes to Financial Statements. 38 Statement of Net Assets Endeavor Series Trust Endeavor Value Equity Portfolio December 31, 1999
Value Shares (Note 1) ----------- ------------ COMMON STOCK -- 98.0% Aerospace and Defense -- 0.8% 66,000 Raytheon Company, Class B........................... $ 1,753,125 ------------ Banking and Finance -- 6.0% 20,500 Chase Manhattan Corporation (The)................... 1,592,594 143,000 Fleet Boston Financial Corporation.................. 4,978,187 150,000 Wells Fargo Company................................. 6,065,625 ------------ 12,636,406 ------------ Communications -- 13.9% 81,000 AMFM, Inc.+ ........................................ 6,338,250 65,000 Bell Atlantic Corporation........................... 4,001,562 121,500 MCI WorldCom, Inc.+................................. 6,447,094 190,000 News Corporation (The), Ltd., Sponsored ADR......... 6,353,125 86,000 Sprint Corporation.................................. 5,788,875 ------------ 28,928,906 ------------ Diversified -- 6.6% 87,000 Minnesota Mining & Manufacturing Company............ 8,515,125 70,000 Textron, Inc........................................ 5,368,125 ------------ 13,883,250 ------------ Diversified Chemicals -- 4.8% 100,000 duPont (E.I.) de Nemours & Company.................. 6,587,500 100,000 Monsanto Company.................................... 3,562,500 ------------ 10,150,000 ------------ Drugs and Medical Products -- 4.5% 155,000 American Home Products Corporation.................. 6,112,812 128,000 Becton, Dickinson & Company......................... 3,424,000 ------------ 9,536,812 ------------ Electronics -- 5.0% 100,000 Emerson Electric Company............................ 5,737,500 100,000 Rockwell International Corporation.................. 4,787,500 ------------ 10,525,000 ------------ Financial Services -- 14.9% 155,000 Citigroup, Inc...................................... 8,612,187 250,000 Conseco, Inc........................................ 4,468,750 130,000 Countrywide Credit Industries, Inc. ................ 3,282,500
Value Shares (Note 1) ----------- ------------ Financial Services -- (Continued) 185,000 Freddie Mac......................................... $ 8,706,563 160,000 Household International, Inc........................ 5,960,000 ------------ 31,030,000 ------------ Food and Beverages -- 2.8% 185,000 Diageo Plc, Sponsored ADR........................... 5,920,000 ------------ Insurance -- 7.6% 220,000 Ace, Ltd............................................ 3,671,250 110,000 AFLAC, Inc.......................................... 5,190,625 131,890 XL Capital, Ltd., Class A........................... 6,841,794 ------------ 15,703,669 ------------ Machinery -- 2.8% 128,000 Dover Corporation................................... 5,808,000 ------------ Manufacturing and Engineering -- 4.7% 50,000 Alcoa, Inc. ........................................ 4,150,000 120,000 Caterpillar, Inc.................................... 5,647,500 ------------ 9,797,500 ------------ Printing and Publishing -- 1.8% 150,000 Donnelley (R.R.) & Sons Company..................... 3,721,875 ------------ Restaurants -- 3.2% 169,000 McDonald's Corporation.............................. 6,812,813 ------------ Retail -- 4.4% 200,000 Kroger Company+..................................... 3,775,000 170,000 May Department Stores Company....................... 5,482,500 ------------ 9,257,500 ------------ Technology -- 8.1% 165,000 Compaq Computer Corporation......................... 4,465,313 180,000 Computer Association International, Inc............. 12,588,750 ------------ 17,054,063 ------------ Transportation -- 4.5% 100,000 AMR Corporation+.................................... 6,700,000 130,000 Canadian Pacific, Ltd............................... 2,803,125 ------------ 9,503,125 ------------ Waste Treatment Systems -- 1.6% 201,000 Waste Management, Inc. ............................. 3,454,688 ------------ Total Common Stock (Cost $181,491,910)................................ 205,476,732 ------------
See Notes to Financial Statements. 39 Statement of Net Assets Endeavor Series Trust Endeavor Value Equity Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- ----------- AGENCY SECURITIES -- 1.9% Federal Home Loan Bank (FHLB) -- 1.9% $4,065,000 FHLB Discount Note, 1.500% due 01/03/00#................................ $ 4,064,661 ----------- Total Agency Securities (Cost $4,064,661)................................... 4,064,661 -----------
TOTAL INVESTMENTS (Cost $185,556,571*)...................................... 99.9% 209,541,393 OTHER ASSETS AND LIABILITIES (Net)......................... 0.1% 111,889 ------ ------------ NET ASSETS................................................. 100.0% $209,653,282 ====== ============
NET ASSETS consist of: Undistributed net investment income.............................. $ 1,792,867 Accumulated net realized gain on investments..................... 28,953,903 Net unrealized appreciation of investments, foreign currencies and net other assets............................................ 23,985,112 Paid-in capital.................................................. 154,921,400 ------------ Total Net Assets................................................. $209,653,282 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding................................. $ 19.99 ============ Number of Portfolio shares outstanding........................... 10,486,047 ============
- ----------- * Aggregate cost for federal tax purposes. + Non-income producing security. # Rate represents annualized yield at date of purchase. Abbreviation: ADR -- American Depositary Receipt See Notes to Financial Statements. 40 Statement of Net Assets Endeavor Series Trust Endeavor Asset Allocation Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- 71.6% Aerospace and Defense -- 1.1% 71,900 General Dynamics Corporation........................ $ 3,792,725 15,600 Litton Industries, Inc. ............................ 778,050 ------------ 4,570,775 ------------ Banking and Financial Services -- 3.4% 33,700 American Express Company............................ 5,602,625 89,300 Bank of New York Company, Inc. ..................... 3,572,000 90,825 Citigroup, Inc. .................................... 5,046,464 ------------ 14,221,089 ------------ Chemicals and Allied Products -- 0.2% 17,600 Monsanto Company.................................... 627,000 ------------ Computer Service and Software -- 8.6% 56,400 America Online, Inc.+............................... 4,254,675 5,200 Cobalt Networks, Inc. .............................. 563,550 11,000 Inktomi Corporation+................................ 976,250 6,100 Internet Capital Group, Inc.+....................... 1,037,000 41,700 IXnet, Inc.+........................................ 1,256,212 2,800 Juniper Networks, Inc+.............................. 952,000 147,300 Microsoft Corporation+.............................. 17,197,275 25,500 Novell, Inc.+....................................... 1,018,406 5,000 Opentv Corporation.................................. 401,250 18,650 Oracle Corporation+................................. 2,089,966 40,400 Sun Microsystems, Inc.+............................. 3,128,475 2,400 VA Linux Systems, Inc. ............................. 495,900 5,500 Yahoo!, Inc.+....................................... 2,379,781 ------------ 35,750,740 ------------ Consumer Non-Durables -- 1.4% 49,800 Philip Morris Companies, Inc. ...................... 1,154,737 44,000 Procter & Gamble Company............................ 4,820,750 ------------ 5,975,487 ------------ Consumer Services -- 0.1% 8,800 TV Guide Inc., Class A+............................. 378,400 ------------ Cosmetics and Personal Care -- 0.1% 7,100 Estee Lauder Companies, Inc., Class A............... 358,106 ------------ Diversified Operations -- 11.0% 96,200 General Electric Company............................ 14,886,950 37,100 Omnicom Group, Inc. ................................ 3,710,000 39,600 Textron, Inc. ...................................... 3,036,825 357,000 Tyco International, Ltd. ........................... 13,878,375 156,500 United Technologies Corporation..................... 10,172,500 ------------ 45,684,650 ------------
Value (Note Shares 1) ----------- ------------ Electronics -- 2.1% 16,400 General Motors Corporation, Class H................. $ 1,574,400 3,300 KLA-Tencor Corporation+............................. 367,537 52,000 Maxim Integrated Products, Inc.+.................... 2,453,750 19,100 Solectron Corporation+.............................. 1,816,887 27,500 Texas Instruments, Inc. ............................ 2,664,063 ------------ 8,876,637 ------------ Food and Beverages -- 1.2% 36,900 Anheuser-Busch Companies, Inc. ..................... 2,615,287 41,500 Keebler Foods Company+.............................. 1,167,187 18,500 Quaker Oats Company................................. 1,214,062 ------------ 4,996,536 ------------ Insurance -- 0.5% 17,800 American International Group, Inc................... 1,924,625 ------------ Media and Entertainment -- 8.8% 54,100 AMFM, Inc.+......................................... 4,233,325 113,500 AT&T Corporation - Liberty Media Group, Class A+.... 6,441,125 37,300 CBS Corporation+.................................... 2,384,869 51,100 Charter Communications, Inc., Class A+.............. 1,117,812 119,800 Clear Channel Communications, Inc.+................. 10,692,150 61,400 MediaOne Group, Inc.+............................... 4,716,287 90,900 Time Warner, Inc. .................................. 6,584,569 13,500 TiVo, Inc.+......................................... 455,625 ------------ 36,625,762 ------------ Medical Services and Supplies -- 8.6% 70,300 American Home Products Corporation.................. 2,772,456 36,300 Amgen, Inc.+........................................ 2,180,269 100,400 Bristol-Myers Squibb Company........................ 6,444,425 10,600 Forest Laboratories, Inc.+.......................... 651,237 45,500 Johnson & Johnson................................... 4,237,187 14,600 Lilly (Eli) & Company............................... 970,900 40,000 Medtronic, Inc. .................................... 1,457,500 60,300 Merck & Company, Inc. .............................. 4,043,869 155,500 Pfizer, Inc. ....................................... 5,044,031 5,100 Tularik, Inc. ...................................... 165,112 96,200 Warner-Lambert Company.............................. 7,882,387 ------------ 35,849,373 ------------ Office Automation and Equipment -- 0.9% 73,300 Pitney Bowes, Inc. ................................. 3,541,306 ------------
See Notes to Financial Statements. 41 Statement of Net Assets Endeavor Series Trust Endeavor Asset Allocation Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Retail -- 6.5% 26,400 Brinker International, Inc.+........................ $ 633,600 71,500 Costco Wholesale Corporation........................ 6,524,375 165,147 Home Depot, Inc..................................... 11,322,891 50,755 Intimate Brands, Inc................................ 2,188,809 23,700 Safeway, Inc.+...................................... 842,831 10,800 Tiffany & Company................................... 963,900 64,600 Wal-Mart Stores, Inc................................ 4,465,475 ------------ 26,941,881 ------------ Technology -- 7.1% 31,100 Applied Materials, Inc.+............................ 3,939,981 27,500 CIENA Corporation+.................................. 1,581,250 142,050 Cisco Systems, Inc.+................................ 15,217,106 104,900 Intel Corporation................................... 8,634,581 ------------ 29,372,918 ------------ Telecommunications -- 9.8% 90,700 American Tower Corporation, Class A+................ 2,772,019 72,200 Bell Atlantic Corporation........................... 4,444,813 9,500 BellSouth Corporation............................... 444,719 89,700 Comcast Corporation, Class A+....................... 4,535,456 22,200 Comcast Corporation, Class H........................ 1,062,825 4,700 Finisar Corporation................................. 422,413 50,200 Lucent Technologies, Inc............................ 3,755,588 133,950 MCI WorldCom, Inc.+................................. 7,107,722 60,500 Motorola, Inc....................................... 8,908,625 25,700 Nortel Networks Corporation......................... 2,595,700 14,700 Pinnacle Holdings, Inc.............................. 622,912 12,100 SBC Communications, Inc............................. 589,875 19,800 Uniphase Corporation................................ 3,193,987 ------------ 40,456,654 ------------ Utilities -- 0.2% 25,600 Montana Power Company............................... 923,200 ------------ Total Common Stock (Cost $197,094,082).............. 297,075,139 ------------ Principal Amount ----------- AGENCY SECURITIES -- 19.6% Federal Home Loan Mortgage Corporation (FHLMC) -- 2.7% $ 2,721,000 5.650% due 01/19/00................................. 2,714,061 469,829 9.500% due 01/01/17................................. 494,348 545,285 11.500% due 05/01/20................................ 597,567 252,277 6.138% due 06/15/20................................. 242,027 7,875,000 6.000% due 02/01/30................................. 7,208,066 ------------ 11,256,069 ------------
Principal Value (Note Amount 1) ----------- ------------ Federal National Mortgage Association (FNMA) -- 9.3% $ 1,760,000 6.400% due 09/27/05................................. $ 1,709,682 2,020,000 6.340% due 02/04/08................................. 1,891,851 7,800,000 5.250% due 01/15/09................................. 6,879,834 504,771 10.000% due 11/01/18................................ 537,312 524,005 11.000% due 09/01/19................................ 571,008 48,325 7.200% due 03/25/24................................. 48,944 514,260 9.000% due 07/01/25................................. 537,750 552,357 9.000% due 04/01/26................................. 576,180 403,368 6.045% due 04/18/28................................. 400,922 18,855,183 6.000% due 05/01/29................................. 17,246,458 9,100,000 6.000% due 01/01/30................................. 8,323,588 ------------ 38,723,529 ------------ Government National Mortgage Association (GNMA) -- 7.6% 159,305 10.500% due 12/15/14................................ 172,673 91,028 9.500% due 04/15/17................................. 96,648 118,065 9.500% due 05/15/17................................. 125,354 166,758 9.500% due 08/15/17................................. 177,053 526,582 10.000% due 08/15/17................................ 566,939 80,431 9.500% due 10/15/17................................. 85,397 69,310 9.500% due 11/15/17................................. 73,589 400,479 9.500% due 12/15/17................................. 427,017 120,486 9.500% due 07/15/18................................. 127,911 393,317 9.500% due 10/15/18................................. 417,600 188,574 9.500% due 09/15/19................................. 200,170 359,217 9.000% due 12/15/19................................. 378,522 539,506 9.500% due 06/15/20................................. 572,681 542,740 10.000% due 12/15/20................................ 584,835 520,384 9.500% due 12/15/21................................. 552,450 440,066 10.000% due 07/15/22................................ 474,197 710,231 6.375% due 01/20/25................................. 722,106 281,437 10.000% due 02/15/25................................ 303,266 173,792 6.375% due 02/20/25................................. 176,697 535,230 6.375% due 03/20/25................................. 543,927 63,112 6.375% due 04/20/25................................. 63,921 497,112 6.375% due 04/20/25................................. 499,955 74,770 6.375% due 05/20/25................................. 75,197 862,709 6.375% due 06/20/25................................. 873,761 327,606 6.750% due 07/20/25................................. 330,679 315,818 6.750% due 09/20/27................................. 318,136 181,245 6.125% due 10/20/27................................. 183,793 450,772 6.125% due 11/20/27................................. 457,110 151,390 6.125% due 12/20/27................................. 153,518 10,775,000 6.000% due 02/01/30................................. 9,955,346 12,200,000 7.000% due 02/15/30................................. 11,826,314 ------------ 31,516,762 ------------ Total Mortgage-Backed Securities (Cost $83,684,649)................................. 81,496,360 ------------
See Notes to Financial Statements. 42 Statement of Net Assets Endeavor Series Trust Endeavor Asset Allocation Portfolio December 31, 1999
Principal Value (Note Amount 1) ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- 7.7% $ 430,000 Albertsons, Inc., Debentures, 7.450% due 08/01/29............................... $ 408,694 210,000 American General Finance Company, 6.750% due 11/15/04............................... 203,692 Associates Corporation of North America, Senior Notes: 150,000 5.250% due 03/30/00................................ 149,702 350,000 6.000% due 06/15/00................................ 349,423 190,000 6.000% due 07/15/05................................ 179,064 580,000 AT&T Corporation, 6.500% due 03/15/29##............................. 496,570 390,000 AXA Financial, Inc., Senior Notes, 6.500% due 04/01/08............................... 363,145 130,000 Bank of America Corporation, Senior Notes, 5.875% due 02/15/09............................... 115,757 200,000 Bank of America Corporation, Subordinate Notes, 6.800% due 03/15/28............................... 174,971 420,000 Bank One Corporation, Subordinate Notes, 6.000% due 02/17/09............................... 373,569 110,000 Becton, Dickinson, Debentures, 7.000% due 08/01/27............................... 98,669 335,000 Becton, Dickinson, Debentures, 6.700% due 08/01/28............................... 288,844 375,000 BellSouth Telecommunications, Inc., Debentures, 6.375% due 06/01/28............................... 315,806 295,000 BT Institutional Capital Trust, 8.090% due 12/01/26++........................................ 268,515 500,000 Burlington Northern Santa Fe, Debentures, 6.700% due 08/01/28............................... 429,125 300,000 Chase Manhattan Corporation, Subordinate Notes, 6.000% due 02/15/09............................... 269,833 105,000 Chase Manhattan Corporation, Subordinate Notes, 7.000% due 11/15/09............................... 101,026 545,000 Chevron Corporation, 6.625% due 10/01/04............................... 535,899 495,000 CIT Group, Inc., Senior Notes, 5.910% due 11/23/05.......................................... 457,954 580,000 CitiCorp, Subordinate Notes, 6.375% due 11/15/08... 535,775 450,000 CMS Panhandle Holding Company, Senior Notes, 7.000% due 07/15/29............................... 394,276 265,000 Comcast Cable Communications, Inc. , 8.375% due 05/01/07............................... 274,956
Principal Value Amount Note 1 ----------- ------------ $ 350,000 Comcast Cable Communications, Inc. , 6.200% due 11/15/08............................... $ 54,262 350,000 Comdisco, Inc. , 6.375% due 11/30/01............................... 343,221 585,000 Conoco , Inc., Senior Notes, 6.950% due 04/15/29............................... 527,693 479,456 Continental Airlines, Inc., Pass Through Certificates, 6.648% due 09/15/17............................... 434,967 174,925 Continental Airlines, Inc., Pass Through Certificates, 6.545% due 08/02/20.... 158,982 545,000 DaimlerChrysler North America Holding Corporation, Company Guarantee, 7.200% due 09/01/09............................... 535,321 110,000 Dayton Hudson Corporation, Debentures, 6.750% due 01/01/28............................... 96,438 300,000 Dayton Hudson Corporation, Debentures, 6.650% due 08/01/28............................... 259,983 515,000 Delphi Auto Systems Corporation, Debentures, 7.125% due 05/01/29............................... 454,708 160,000 Edison Mission Energy Funding, Senior Notes, 7.330% due 09/15/08++............................. 152,117 160,000 Edison Mission Energy Funding, Senior Notes, 7.730% due 06/15/09++............................. 158,285 175,000 El Paso Energy Corporation, Senior Notes, 6.750% due 05/15/09............................... 163,513 240,000 EOP Operating LP, 7.250% due 06/15/28++............................. 204,763 245,000 EOP Operating LP, 7.500% due 04/19/29............................... 215,715 250,000 Equitable Life Assurance, 6.950% due 12/01/05++............................. 242,413 640,000 Farmers Exchange Capital Insurance, 7.050% due 07/15/28++............................. 544,371 360,000 Federated Department Stores, Debentures, 6.900% due 04/01/29++............................. 313,844 301,398 Fifty Seventh Street Association, 7.125% due 06/01/17.......................................... 269,752 115,000 First Chicago Bank, NBD, Company Guarantee, 7.950% due 12/01/26++............................. 106,726 570,000 Florida Windstorm, 7.125% due 02/25/19++............................. 523,113 710,000 Ford Motor Company, 6.625% due 10/01/28............................... 615,939
See Notes to Financial Statements. 43 Statement of Net Assets Endeavor Series Trust Endeavor Asset Allocation Portfolio December 31, 1999
Principal Value (Note Amount 1) ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (Continued) $ 415,000 General Motors Corporation, Debentures, 6.750% due 05/01/28............................... $ 366,072 210,000 Goldman Sachs Group, 6.500% due 02/25/09............................... 193,602 665,000 GTE Corporation, Debentures, 6.940% due 04/15/28... 602,503 295,000 Hartford Life Insurance Company, Debentures, 7.650% due 06/15/27............................... 286,949 440,000 Hertz Corporation, Senior Notes, 7.625% due 08/15/07.......................................... 439,947 585,000 Home Depot, Inc., 6.500% due 09/15/04++............................. 573,376 600,000 Household Finance Corporation, 6.375% due 08/01/10.......................................... 542,466 570,000 IBM Corporation, Debentures, 6.500% due 01/15/28... 503,584 560,000 Johnson and Johnson, Debentures, 6.625% due 09/01/09............................... 538,210 415,000 Kroger Company, Debentures, 7.700% due 06/01/29++.. 392,029 350,000 Lehman Brothers, Inc., Senior Subordinate Notes, 7.125% due 07/15/02..... 347,144 340,000 Lowe's Companies, Inc., Debentures, 6.875% due 02/15/28............................... 299,329 180,000 Lowe's Companies, Inc., Debentures, 6.500% due 03/15/29++............................. 151,681 645,000 Lucent Technologies, Inc., Debentures, 6.450% due 03/15/29............................... 561,466 560,000 May Department Stores Company, 6.700% due 09/15/28............................... 489,804 15,000 May Department Stores Company, Company Guarantee, 9.750% due 02/15/21............................... 17,333 255,000 Merck & Company, Inc., Debentures, 5.950% due 12/01/28............................... 210,765 250,000 Metropolitan Life Insurance Company, 7.450% due 11/01/23++............................. 222,265 250,000 Metropolitan Life Insurance Company, 7.800% due 11/01/25++............................. 244,744 475,000 Monsanto Company, Debentures, 6.600% due 12/01/28.. 418,746 250,000 Nationwide Mutual Insurance, 7.500% due 02/15/24++............................. 218,875
Principal Value (Note Amount 1) ----------- ------------ $ 390,000 Neiman Marcus Group, Inc., Senior Notes, 6.650% due 06/01/08............................... $ 356,140 460,000 News America , Inc., Debentures, 7.280% due 06/30/28............................... 409,492 300,000 News America Holdings, Inc., Senior Notes, 8.500% due 02/15/05............................... 309,333 375,000 Norfolk Southern Corporation, Senior Notes, 6.200% due 04/15/09............................... 336,551 550,000 Northern Trust Company, 6.625% due 10/01/03............................... 538,798 350,000 Norwest Corporation, Medium Term Notes, 6.125% due 10/15/00............................... 349,283 190,000 Norwest Financial, Inc., Senior Notes, 5.625% due 02/03/09............................... 165,256 295,000 PNC Funding Corporation, Company Guarantee, 6.125% due 02/15/09............................... 264,426 285,000 PNC Funding Corporation, Company Guarantee, 7.500% due 11/01/09............................... 279,793 425,000 Prime Property Funding II, 6.800% due 08/15/02++............................. 416,862 990,000 Procter and Gamble Company, 6.600% due 12/15/04............................... 975,645 270,000 Procter and Gamble Company, 6.875% due 09/15/09............................... 263,910 425,000 Prudential Insurance Company, 8.300% due 07/01/25++............................. 429,696 535,000 Scotia Pacific Company LLC, Collateralized Notes, 7.710% due 07/20/28............................... 375,838 265,000 Southern Energy, Senior Notes, 7.900% due 07/15/09++............................. 256,472 215,000 Sun Microsystems, Inc., Senior Notes, 7.650% due 08/15/09............................... 213,074 290,000 Tennessee Gas Pipeline, Debentures, 7.000% due 10/15/28............................... 253,849 280,000 Textron, Inc., 6.750% due 09/15/02............................... 277,254 320,000 Time Warner, Inc., Company Guarantee, 6.625% due 05/15/29............................... 272,858 235,000 Times Mirror Company, 7.450% due 10/15/09............................... 233,536 340,000 Union Pacific Corporation, Debentures, 6.625% due 02/01/29............................... 287,176 355,000 United Parcel Service, Debentures 8.375% due 04/01/20.......................................... 379,534
See Notes to Financial Statements. 44 Statement of Net Assets Endeavor Series Trust Endeavor Asset Allocation Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (Continued) $ 535,000 United Technologies Corporation, 6.700% due 08/01/28............................... $ 472,164 528,906 US Airways, Inc., Pass Through Certificates, 6.850% due 01/30/18............................... 474,508 990,000 Wal-Mart Stores, Inc., Senior Notes, 6.875% due 08/10/09............................... 963,953 345,000 Washington Mutual, Inc., Company Guarantee, 8.375% due 06/01/27............................... 328,364 885,000 World Financial Properties, Inc., Pass Through Certificates, 6.950% due 09/01/13++............................. 832,475 625,000 WorldCom, Inc., Senior Notes, 6.950% due 08/15/28............................... 567,475 ------------ Total Corporate Fixed Income Securities (Cost $34,756,660)...................................... 32,065,996 ------------ ASSET-BACKED SECURITIES -- 5.3% 63,478 Advanta Mortgage Loan Trust, 6.530% due 09/25/12............................... 63,199 77,827 Americredit Automobile Trust, 6.529% due 06/12/01.. 77,810 714,930 Arcadia Auto Recreation Trust, 5.900% due 11/15/02............................... 713,214 750,000 Arcadia Automobile Receivables Trust, 6.375% due 01/15/03............................... 748,343 187,449 BankBoston Home Equity Trust, 6.280% due 11/25/10.. 186,461 550,000 BMW Vehicle Owner Trust, 6.160% due 12/25/01............................... 547,875 334,425 Centex Home Equity, 6.070% due 03/25/18............................... 332,081 434,515 Centex Home Equity, 5.910% due 04/25/19............................... 429,849 750,000 Citibank Credit Card Master Trust, 5.651% due 05/15/02#.............................. 750,683 134,082 Comed Transitional Funding Trust, 5.380% due 03/25/02............................... 133,850 34,790 ContiMortgage Home Equity Loan Trust, 6.493% due 03/15/13............................... 34,831 348,113 ContiMortgage Home Equity Loan Trust, 6.010% due 12/25/13............................... 345,746 348,631 Daimler-Benz Auto Grantor Trust, 6.050% due 03/20/05.......................................... 347,317 266,421 Daimler-Benz Vehicle Trust, 5.230% due 12/20/01............................... 265,960
Principal Value Amount (Note 1) ----------- ------------ $ 120,338 EQCC Home Equity Loan Trust, 6.235% due 04/15/08... $ 119,996 776,410 EQCC Home Equity Loan Trust, 6.548% due 04/25/10... 771,799 236,583 First Security Auto Grantor Trust, 6.100% due 04/15/03.......................................... 236,044 73,547 First Security Auto Owner Trust, 5.182% due 06/15/01.......................................... 73,535 479,647 First Security Auto Owner Trust, 5.492% due 04/15/02.......................................... 478,246 33,958 First Security Auto Owner Trust, 5.970% due 04/15/04.......................................... 232,245 525,000 First USA Credit Card Master Trust, 6.550% due 09/17/03#.............................. 525,000 176,250 Ford Credit Auto Owner Trust, 6.050% due 04/15/01.. 176,194 1,100,000 Ford Credit Auto Owner Trust, 5.470% due 09/15/01.. 1,094,841 1,100,000 Ford Credit Auto Owner Trust, 5.770% due 11/15/01.. 1,094,148 1,100,000 Ford Credit Auto Owner Trust, 6.200% due 04/15/02.. 1,097,106 394,665 Green Point Manufactured Housing, 5.780% due 12/15/09............................... 389,870 228,981 Green Tree Financial Corporation, 5.850% due 11/01/29.......................................... 228,321 650,691 Green Tree Financial Corporation, 5.990% due 07/15/30.......................................... 648,856 800,000 Green Tree Financial Corporation, 5.510% due 02/01/31.......................................... 795,360 360,423 Green Tree Home Equity Loan Trust, 6.040% due 06/15/29............................... 359,406 563,468 Green Tree Home Equity Loan Trust, 5.600% due 12/01/30............................... 558,712 519,133 HFC Home Equity Loan, 6.830% due 12/20/16............................... 517,737 279,505 Honda Auto Receivables Grantor Trust, 5.850% due 02/15/03............................... 278,966 400,218 Honda Auto Receivables Owner Trust, 5.186% due 06/15/01............................... 399,261 576,742 IMC Home Equity Loan Trust, 6.310% due 12/20/12.... 574,215 744,244 MMCA Automobile Trust, 6.300% due 06/15/02............................... 743,055 550,000 Navistar Financial Corporation Owner Trust, 5.550% due 02/15/02............................... 547,158 550,000 New Holland Equipment Receivables Trust, 6.390% due 10/15/02............................... 547,986
See Notes to Financial Statements. 45 Statement of Net Assets Endeavor Series Trust Endeavor Asset Allocation Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- ------------ ASSET-BACKED SECURITIES -- (Continued) $ 197,196 Nissan Auto Receivables Grantor Trust, 6.150% due 02/15/03................................ $ 196,024 595,111 Nissan Auto Receivables Grantor Trust, 5.450% due 04/15/04................................ 588,035 1,075,000 Premier Auto Trust, 5.820% due 02/08/02................................ 1,070,292 400,000 Rental Car Finance Corporation, 6.450% due 08/25/05................................ 388,748 37,921 Residential Funding Mortgage Securities, 5.630% due 02/25/10................................ 37,881 418,512 The Money Store Residential Trust, 6.480% due 06/15/10................................ 417,389 1,100,000 Toyota Auto Receivables Owner Trust, 5.800% due 12/17/01................................ 1,095,182 124,209 WFS Financial Owner Trust, 6.100% due 03/20/02................................ 124,174 108,927 WFS Financial Owner Trust, 6.250% due 03/20/02................................ 109,007 299,800 World Omni Automobile Lease Securitization, 6.080% due 11/25/03................................ 299,704 ------------ Total Asset-Backed Securities (Cost $21,908,507).... 21,791,712 ------------ U.S. TREASURY OBLIGATIONS -- 1.3% Strip -- 0.1% 1,000,000 Strip 11/15/15...................................... 340,350 ------------ U.S. Treasury Bonds -- 0.2% 875,000 8.750% due 08/15/20#................................ 1,060,115 ------------ U.S. Treasury Notes -- 1.0% 600,000 7.500% due 02/15/05#................................ 625,782 3,500,000 6.000% due 08/15/09#................................ 3,390,625 ------------ 4,016,407 ------------ Total U.S. Treasury Obligations (Cost $5,544,226)... 5,416,872 ------------ AGENCY SECURITIES -- 1.6% 6,678,000 FHLMC 5.650% due 01/10/00#.......................... 6,668,567 ------------ Total Agency Securities (Cost $6,668,567)........... 6,668,567
------------
Principal Value Amount (Note 1) ----------- ------------ REPURCHASE AGREEMENT -- 1.7% (Cost $6,975,000) $ 6,975,000 Agreement with J.P. Morgan Securities, Inc., 3.000% to be repurchased at $6,976,744 on 01/03/2000, collateralized by $6,010,000 U.S. Treasury Bond 8.125% due 08/15/2021, market value $7,114,518..... $ 6,975,000 ------------
TOTAL INVESTMENTS (Cost $356,631,691*).... 108.8% $451,489,646 OTHER ASSETS AND LIABILITIES (Net)^ ..... (8.8)% (36,563,848) ------- ------------ NET ASSETS............... 100.0% $414,925,798 ======= ============ NET ASSETS consist of: Undistributed net investment income.......................... $ 5,837,030 Accumulated net realized gain on investments and futures contracts....................... 31,743,188 Net unrealized appreciation of investments and futures contracts....................... 94,964,268 Paid-in capital.................. 282,381,312 ------------ Total Net Assets................. $414,925,798 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding..................... $ 22.89 ============ Number of Portfolio shares outstanding..................... 18,126,124 ============
- ----------- * Aggregate cost for federal tax purposes was $356,888,322. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from reg- istration, normally to qualified institutional buyers. # Rate represents annualized yield at date of purchase.^ ## Security pledged as collateral for open futures contracts. ^ Other liabilities representing greater than 5% of total net assets include the following: Payable for securities purchased.... $37,633,051
See Notes to Financial Statements. 46 Statement of Net Assets Endeavor Series Trust Endeavor Money Market Portfolio December 31, 1999
Principal Value (Note Amount 1) --------- ------------ COMMERCIAL PAPER -- 69.4% $4,000,000 Abbey National North America, 5.900% due 03/06/00#............................... $ 3,957,389 4,500,000 Anheuser-Busch Companies, Inc., 5.950% due 02/18/00#............................... 4,464,300 4,000,000 ANZ (DE), Inc., 5.830% due 01/20/00#............................... 3,987,692 4,000,000 Associates Corporation of North America, 5.920% due 03/03/00#............................... 3,959,218 4,000,000 AT&T Corporation, 5.840% due 02/28/00#............................... 3,962,364 4,400,000 Bank of America Corporation, 6.040% due 03/07/00#............................... 4,351,277 4,000,000 Bellsouth Capital Funding, 5.830% due 03/13/00#............................... 3,953,360 4,000,000 Chevron USA, Inc., 5.940% due 01/21/00#............................... 3,986,800 4,000,000 CIT Group, Inc., 5.920% due 01/20/00#............................... 3,987,502 4,000,000 Clorox Company, 6.150% due 01/20/00#............................... 3,986,333 3,900,000 DaimlerChrysler North America Holding, 5.740% due 01/31/00#............................... 3,881,345 4,100,000 Eastman Kodak Company, 5.840% due 01/20/00#............................... 4,087,363 4,000,000 Emerson Electric Company, 5.900% due 01/31/00#............................... 3,980,333 3,700,000 General Electric Capital Corporation, 5.760% due 02/22/00#............................... 3,669,216 4,000,000 Household Finance Corporation, 5.860% due 02/24/00#............................... 3,964,840 4,000,000 International Lease Finance Corporation, 5.970% due 02/22/00#............................... 3,965,507 4,300,000 Merrill Lynch & Company, Inc., 5.910% due 02/29/00#............................... 4,258,351 4,000,000 Metlife Funding, Inc., 5.940% due 02/29/00#............................... 3,961,060 2,300,000 Monsanto Company, 5.74% due 1/24/00#................................. 2,291,595 4,000,000 Motorola, Inc., 5.72% due 3/24/00#................................. 3,946,419 4,000,000 National Rural Utilities Cooperative Finance Corporation, 5.81% due 3/6/00#.................................. 3,957,750 4,000,000 Prudential Funding Corporation, 6.25% due 1/18/00#................................. 3,988,194 4,000,000 Toyota Motor Credit Corporation, 5.80% due 2/25/00#................................. 3,964,556 3,000,000 USAA Capital Corporation, 5.75% due 1/27/00#................................. 2,987,542 ------------
Total Commercial Paper (Cost $93,500,306).. 93,500,306 ----------
Principal Value (Note Amount 1) --------- ------------ CERTIFICATES OF DEPOSIT (Yankee) -- 2.2% $ 1,000,000 Bank of Austria, New York, 5.04% due 1/12/00................................. $ 999,991 2,000,000 Commerzbank AG, New York, 5.09% due 2/16/00................................. 1,999,964 ------------ Total Certificates of Deposit (Cost $2,999,955).... 2,999,955 ------------ REPURCHASE AGREEMENTS -- 7.2% (Cost $9,702,000) 9,702,000 Agreement with J.P. Morgan Securities, Inc., 3.000% to be repurchased at $9,702,809 on 01/03/2000, collateralized by $8,360,000 U.S. Treasury Bond 8.125% due 08/15/21, market value $9,896,066 ..... 9,702,000 ------------ U.S. GOVERNMENT AGENCY SECURITIES -- 23.6% 12,000,000 Federal Home Loan Bank (FHLB), 5.61% due 2/11/00#................................ 11,923,398 10,000,000 Federal Home Loan Mortgage Corporation (FHLMC), 5.59% due 2/8/00#................................. 9,940,995 10,000,000 Federal National Mortgage Association (FNMA), 5.59% due 2/24/00# ............................... 9,916,150 ------------ Total U.S. Government Agency Securities (Cost $31,780,543)................................ 31,780,543 ------------
TOTAL INVESTMENTS (Cost $137,982,804*)................... 102.4% 137,982,804 ------------ OTHER ASSETS AND LIABILITIES (Net) ...................... (2.4%) (3,204,090) ------- ------------ NET ASSETS .............................................. 100.0% $134,778,714 ======= ============
NET ASSETS consist of: Accumulated net realized gain on investments..................... $ 4,453 Paid-in capital.................................................. 134,774,261 ------------ Total Net Assets................................................. $134,778,714 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding................................. $ 1.00 ============ Number of Portfolio shares outstanding........................... 134,774,261 ============
- ----------- * Aggregate cost for federal tax purposes. # Rate represents annualized discount yield at date of purchase. See Notes to Financial Statements. 47 Statement of Net Assets Endeavor Series Trust T. Rowe Price Equity Income Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- 95.2% Aerospace and Defense -- 1.5% 112,100 Lockheed Martin Corporation......................... $ 2,452,187 28,400 TRW, Inc. .......................................... 1,475,025 ------------ 3,927,212 ------------ Automotive -- 1.3% 25,300 Dana Corporation.................................... 757,419 15,000 General Motors Corporation.......................... 1,090,312 70,350 Genuine Parts Company............................... 1,745,559 ------------ 3,593,290 ------------ Banking and Finance -- 6.7% 32,900 Bank of America Corporation......................... 1,651,169 63,282 Bank One Corporation................................ 2,028,979 10,564 Chase Manhattan Corporation......................... 820,691 67,473 Citigroup, Inc. .................................... 3,748,969 42,900 Firstar Corporation................................. 906,262 35,400 KeyCorp............................................. 783,225 50,300 Mercantile Bankshares Corporation................... 1,606,456 22,800 Morgan (J.P.) & Company, Inc. ...................... 2,887,050 51,500 National City Corporation........................... 1,219,906 52,030 Wells Fargo Company................................. 2,103,963 ------------ 17,756,670 ------------ Building and Construction -- 0.6% 44,400 Armstrong World Industries, Inc. ................... 1,481,850 ------------ Computer Service and Software -- 0.4% 40,900 Compaq Computer Corporation......................... 1,106,856 ------------ Consumer Products -- 4.4% 89,800 Pall Corporation.................................... 1,936,312 81,100 Philip Morris Companies, Inc. ...................... 1,880,506 63,400 Stanley Works....................................... 1,909,925 42,400 Tupperware Corporation.............................. 718,150 29,500 Unilever NV, CVA.................................... 1,630,304 91,000 UST, Inc. .......................................... 2,292,062 20,800 Whirlpool Corporation............................... 1,353,300 ------------ 11,720,559 ------------ Cosmetics and Toiletries -- 2.5% 74,500 International Flavors & Fragrances, Inc. ........... 2,812,375 57,200 Kimberly-Clark Corporation.......................... 3,732,300 ------------ 6,544,675 ------------ Diversified -- 3.7% 106,300 Disney (Walt) Company............................... 3,109,275 42,300 Fortune Brands, Inc. ............................... 1,398,544 59,700 Hasbro, Inc. ....................................... 1,138,031
Value Shares (Note 1) ----------- ------------ Diversified -- (Continued) 13,288 Honeywell International, Inc. ...................... $ 766,523 26,900 PPG Industries, Inc. ............................... 1,682,931 79,200 Xerox Corporation................................... 1,796,850 ------------ 9,892,154 ------------ Diversified Chemicals -- 2.2% 18,900 Dow Chemical Company................................ 2,525,513 50,000 du Pont (E.I.) de Nemours & Company................. 3,293,750 ------------ 5,819,263 ------------ Electrical Equipment -- 2.6% 44,200 Boeing Company...................................... 1,837,063 34,207 Cooper Industries, Inc. ............................ 1,383,246 21,000 Hewlett-Packard Company............................. 2,392,688 43,600 Hubbell, Inc., Class B.............................. 1,188,100 ------------ 6,801,097 ------------ Energy Services -- 1.8% 42,000 Duke Energy Corporation............................. 2,105,250 42,900 Niagara Mohawk Holdings, Inc.+ ..................... 597,919 50,600 Reliant Energy, Inc. ............................... 1,157,475 36,511 Scottish Power Plc.................................. 1,022,308 ------------ 4,882,952 ------------ Financial Services -- 5.4% 41,800 American General Corporation........................ 3,171,575 38,300 Block (H&R), Inc. .................................. 1,675,625 50,900 Fannie Mae.......................................... 3,178,069 96,858 Fleet Boston Financial Corporation.................. 3,371,869 88,674 St. Paul Companies, Inc. ........................... 2,987,205 ------------ 14,384,343 ------------ Food and Beverages -- 7.5% 37,100 Anheuser-Busch Companies, Inc. ..................... 2,629,462 33,700 Brown-Forman Corporation, Class B................... 1,929,325 43,500 Campbell Soup Company............................... 1,682,906 100,000 General Mills, Inc. ................................ 3,575,000 58,600 Heinz (H.J.) Company................................ 2,333,012 47,100 Hershey Foods Corporation........................... 2,237,250 39,600 Kellogg Company..................................... 1,220,175 70,500 McCormick & Company, Inc. .......................... 2,097,375 32,400 Quaker Oats Company................................. 2,126,250 ------------ 19,830,755 ------------ Insurance -- 2.9% 34,900 Chubb Corporation................................... 1,965,306 36,400 Lincoln National Corporation........................ 1,456,000
See Notes to Financial Statements. 48 Statement of Net Assets Endeavor Series Trust T. Rowe Price Equity Income Portfolio December 31, 1999
Value Shares (Note 1) ----------- ------------ COMMON STOCK -- (Continued) Insurance -- (Continued) 52,300 SAFECO Corporation.................................. $ 1,300,963 62,700 UnumProvident Corporation........................... 2,010,319 17,000 XL Capital Ltd., Class A............................ 881,875 ------------ 7,614,463 ------------ Lodging -- 1.2% 127,100 Hilton Hotels Corporation........................... 1,223,338 80,126 Starwood Hotels and Resorts Worldwide, Inc. ........ 1,882,961 ------------ 3,106,299 ------------ Media and Communications -- 2.2% 58,200 Dun & Bradstreet Corporation........................ 1,716,900 45,800 Knight-Ridder, Inc. ................................ 2,725,100 46,600 Reader's Digest Association, Inc., Class A.......... 1,363,050 ------------ 5,805,050 ------------ Medical Supplies and Equipment -- 0.6% 20,600 Becton, Dickinson & Company......................... 551,050 317,700 Smith & Nephew Plc.................................. 1,077,680 ------------ 1,628,730 ------------ Metals and Mining -- 3.3% 42,000 Inco, Ltd.+ ........................................ 987,000 31,600 Minnesota Mining & Manufacturing Company............ 3,092,850 57,836 Newmont Mining Corporation.......................... 1,416,982 23,500 Phelps Dodge Corporation............................ 1,577,438 21,100 Reynolds Metals Company............................. 1,616,788 ------------ 8,691,058 ------------ Paper and Paper Products -- 3.3% 52,900 Consolidated Papers, Inc. .......................... 1,682,881 87,700 Fort James Corporation.............................. 2,400,788 83,993 International Paper Company......................... 4,740,355 ------------ 8,824,024 ------------ Petroleum -- Domestic -- 2.2% 52,500 Atlantic Richfield Company (ARCO)................... 4,541,250 53,600 USX-Marathon Group.................................. 1,323,250 ------------ 5,864,500 ------------ Petroleum -- International -- 11.0% 47,800 Amerada Hess Corporation............................ 2,712,650 74,474 BP Amoco Plc, Sponsored ADR......................... 4,417,239 42,000 Chevron Corporation................................. 3,638,250 107,462 Exxon Mobil Corporation............................. 8,657,387
Value Shares (Note 1) ----------- ------------ Petroleum -- International -- (Continued) 25,700 Phillips Petroleum Company........................ $ 1,207,900 50,400 Royal Dutch Petroleum Company, NY Shares.......... 3,046,050 56,700 Texaco, Inc. ..................................... 3,079,519 73,100 Unocal Corporation................................ 2,453,419 ------------ 29,212,414 ------------ Pharmaceuticals -- 3.8% 47,100 Abbott Laboratories............................... 1,710,319 102,100 American Home Products Corporation................ 4,026,569 19,000 Merck & Company, Inc. ............................ 1,274,188 68,390 Pharmacia & Upjohn, Inc. ......................... 3,077,550 ------------ 10,088,626 ------------ Photography Equipment and Supplies -- 1.2% 46,300 Eastman Kodak Company............................. 3,067,375 ------------ Printing and Publishing -- 1.1% 48,200 Donnelley (R.R.) & Sons Company................... 1,195,962 25,300 Dow Jones & Company, Inc. ........................ 1,720,400 ------------ 2,916,362 ------------ Railroads -- 2.0% 120,400 Norfolk Southern Corporation...................... 2,468,200 62,400 Union Pacific Corporation......................... 2,722,200 ------------ 5,190,400 ------------ Real Estate -- 1.4% 52,200 Rouse Company..................................... 1,109,250 82,832 Simon Property Group, Inc. ....................... 1,899,959 20,600 Vornado Realty Trust.............................. 669,500 ------------ 3,678,709 ------------ Retail -- 1.6% 39,650 May Department Stores Company..................... 1,278,712 33,600 Penney (J.C.) Company, Inc. ...................... 669,900 64,000 Rite Aid Corporation.............................. 716,000 102,700 Toys "R" Us, Inc.+................................ 1,469,894 ------------ 4,134,506 ------------ Specialty Chemicals -- 2.3% 56,006 CK Witco Corporation.............................. 749,080 49,200 Great Lakes Chemical Corporation.................. 1,878,825 76,200 Hercules, Inc. ................................... 2,124,075 28,500 Imperial Chemical Industries Plc, Sponsored ADR... 1,213,031 ------------ 5,965,011 ------------
See Notes to Financial Statements. 49 Statement of Net Assets Endeavor Series Trust T. Rowe Price Equity Income Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Telecommunications -- 8.4% 46,400 ALLTEL Corporation................................. $ 3,836,700 26,650 AT&T Corporation................................... 1,352,487 38,300 BCE, Inc. ......................................... 3,454,181 21,300 BellSouth Corporation.............................. 997,106 60,900 GTE Corporation.................................... 4,297,256 106,574 SBC Communications, Inc. .......................... 5,195,483 42,200 US West, Inc. ..................................... 3,038,400 ------------ 22,171,613 ------------ Transportation Services -- 0.4% 26,100 Burlington Northern Santa Fe Corporation........... 632,925 14,700 GATX Corporation................................... 496,125 ------------ 1,129,050 ------------ Utilities -- 5.0% 115,100 Baker Hughes, Inc. ................................ 2,424,294 51,100 Bell Atlantic Corporation.......................... 3,145,844 38,200 DQE, Inc. ......................................... 1,322,675 38,100 Entergy Corporation................................ 981,075 61,650 FirstEnergy Corporation............................ 1,398,684 73,600 Southern Company................................... 1,729,600 34,600 TECO Energy, Inc. ................................. 642,263 47,300 Unicom Corporation................................. 1,584,550 ------------ 13,228,985 ------------ Waste Disposal -- 0.7% 104,162 Waste Management, Inc. ............................ 1,790,284 ------------ Total Common Stock (Cost $238,341,877)............................... 251,849,135 ------------ Principal Amount ----------- COMMERCIAL PAPER -- 6.2% $3,000,000 Aon Corporation, 6.550% due 02/04/00#.............................. 2,981,442 2,000,000 Corporate Asset Funding, 6.050% due 01/27/00#.............................. 1,991,261 3,000,000 Dexia Finance Company, 6.500% due 01/20/00#.............................. 2,989,708 3,923,000 Greenwich Funding Corporation, 6.000% due 02/07/00#......................................... 3,898,808 2,593,000 Harvard University, 5.000% due 01/03/00#.............................. 2,592,280 2,000,000 Motiva Enterprise, 6.500% due 01/13/00#.............................. 1,995,667 ------------ Total Commercial Paper (Cost $16,449,166)................................ 16,449,166 ------------
Value (Note 1) -----------
TOTAL INVESTMENTS (Cost $254,791,043*)..................... 101.4% $268,298,301 OTHER ASSETS AND LIABILITIES (Net)......................... (1.4%) (3,580,075) ------ ------------ NET ASSETS ................................................ 100.0% $264,718,226 ====== ============
NET ASSETS consist of: Undistributed net investment income..... $ 5,076,774 Accumulated net realized gain on investments, foreign currencies and net other assets.......... 22,021,090 Net unrealized appreciation of investments, foreign currencies and net other assets.......... 13,506,678 Paid-in capital........ 224,113,684 ------------ Total Net Assets....... $264,718,226 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding.. $ 19.50 ============ Number of Portfolio shares outstanding.... 13,575,001 ============
- ----------- * Aggregate cost for federal tax purposes was $254,960,366. + Non-income producing security. # Rate represents annualized yield at date of purchase. Abbreviation: ADR -- American Depositary Receipt See Notes to Financial Statements. 50 Statement of Net Assets Endeavor Series Trust T. Rowe Price Growth Stock Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- 96.1% Banking and Finance -- 9.3% 25,530 Bank of America Corporation......................... $ 1,281,287 62,400 Bank of New York Company, Inc. ..................... 2,496,000 114,648 Citigroup, Inc. .................................... 6,370,129 40,700 Fannie Mae.......................................... 2,541,206 107,900 Firstar Corporation................................. 2,279,387 126,300 Freddie Mac......................................... 5,943,994 51,000 HSBC Holdings Plc................................... 715,122 57,900 Wells Fargo Company................................. 2,341,331 ------------ 23,968,456 ------------ Business Services -- 0.9% 11,200 Lexmark International Group, Inc., Class A+......... 1,013,600 25,700 Randstad Holding N.V. .............................. 1,237,367 ------------ 2,250,967 ------------ Computer Service and Software -- 18.5% 35,800 3Com Corporation+................................... 1,682,600 43,400 America Online, Inc.+............................... 3,273,987 40,000 Automatic Data Processing, Inc. .................... 2,155,000 36,400 BMC Software, Inc.+................................. 2,909,725 55,100 Ceridian Corporation+............................... 1,188,094 47,800 Cisco Systems, Inc.+................................ 5,120,575 9,600 Citrix Systems, Inc.+............................... 1,180,800 1,400 CMGI, Inc.+......................................... 387,625 40,700 Computer Associates International, Inc. ............ 2,846,456 74,300 Dell Computer Corporation+.......................... 3,789,300 32,000 Fujitsu, Ltd. ...................................... 1,459,528 6,666 Getronics N.V....................................... 531,775 41,000 Intel Corporation................................... 3,374,812 74,500 Microsoft Corporation+.............................. 8,697,875 28,400 Oracle Corporation+................................. 3,182,575 53,700 Parametric Technology Corporation+.................. 1,453,256 19,600 Sun Microsystems, Inc.+............................. 1,517,775 10,350 VERITAS Software Corporation+....................... 1,481,344 3,200 Yahoo!, Inc.+....................................... 1,384,600 ------------ 47,617,702 ------------ Consumer Products -- 3.3% 13,400 Colgate-Palmolive Company........................... 871,000 28,300 Corning, Inc. ...................................... 3,648,931 9,100 Gillette Company.................................... 374,806 48,500 Masco Corporation................................... 1,230,687 19,000 NIKE, Inc., Class B................................. 941,687 56,800 Philip Morris Companies, Inc. ...................... 1,317,050 ------------ 8,384,161 ------------
Value (Note Shares 1) ----------- ------------ Diversified -- 8.9% 3,500 American Express Company............................ $ 581,875 24 Berkshire Hathaway, Inc., Class A+.................. 1,346,400 38,400 First Data Corporation.............................. 1,893,600 35,600 General Electric Company............................ 5,509,100 22,700 Honeywell International, Inc. ...................... 1,309,506 219,100 Hutchison Whampoa, Ltd. ............................ 3,184,962 2,100 PE Corporation-PE Biosystems Group.................. 252,656 256,200 Rentokil Initial Plc................................ 934,244 27,800 Teleflex, Inc. ..................................... 870,487 183,260 Tomkins Plc......................................... 595,000 139,644 Tyco International, Ltd. ........................... 5,428,660 17,800 Waters Corporation+................................. 943,400 ------------ 22,849,890 ------------ Electronic Components -- 7.1% 34,000 Altera Corporation+................................. 1,685,125 8,700 Epcos AG+........................................... 652,849 43,500 Flextronics International, Ltd.+.................... 2,001,000 19,600 Hewlett-Packard Company............................. 2,233,175 17,100 Koninklijke (Royal) Philips Electronics N.V. ....... 2,325,237 5,000 Kyocera Corporation................................. 1,296,858 52,500 Maxim Integrated Products, Inc.+.................... 2,477,344 25,700 Solectron Corporation+.............................. 2,444,712 3,000 Sony Corporation.................................... 889,694 23,000 Texas Instruments, Inc. ............................ 2,228,125 ------------ 18,234,119 ------------ Entertainment and Leisure -- 1.0% 8,407 Disney (Walt) Company............................... 245,905 25,600 Fox Entertainment Group, Inc., Class A+............. 638,400 67,200 Mirage Resorts, Inc.+............................... 1,029,000 32,300 Starwood Hotels & Resorts Worldwide, Inc. .......... 759,050 ------------ 2,672,355 ------------ Financial Services -- 2.6% 8,600 AMBAC Financial Group, Inc. ........................ 448,812 50,400 Associates First Capital Corporation, Class A....... 1,382,850 41,000 Capital One Financial Corporation................... 1,975,687 24,500 Hartford Financial Services Group (The), Inc. ...... 1,160,687 12,700 Morgan Stanley Dean Witter & Company................ 1,812,925 ------------ 6,780,961 ------------ Food and Beverages -- 1.1% 90,000 Compass Group Plc................................... 1,235,705 49,000 PepsiCo, Inc. ...................................... 1,727,250 ------------ 2,962,955 ------------
See Notes to Financial Statements. 51 Statement of Net Assets Endeavor Series Trust T. Rowe Price Growth Stock Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Health Care Services -- 5.5% 36,200 American Home Products Corporation.................. $ 1,427,638 22,000 Amgen, Inc.+........................................ 1,321,375 43,800 Bristol-Myers Squibb Company........................ 2,811,413 30,600 IMS Health, Inc. ................................... 831,938 17,200 Johnson & Johnson................................... 1,601,750 22,800 Lilly (Eli) & Company............................... 1,516,200 36,100 United HealthCare Corporation....................... 1,917,813 41,500 Wellpoint Health Networks, Inc.+.................... 2,736,406 ------------ 14,164,533 ------------ Insurance -- 1.7% 91,300 Ace Ltd. ........................................... 1,523,569 1,800 Fairfax Financial Holdings, Ltd.+................... 306,131 1,200 Fairfax Financial Holdings, Ltd.++.................. 204,087 40,632 Mutual Risk Management, Ltd. ....................... 683,126 19,800 PartnerRe, Ltd. .................................... 642,263 19,700 UnumProvident Corporation........................... 631,631 9,800 XL Capital, Ltd., Class A........................... 508,375 ------------ 4,499,182 ------------ Machinery -- 2.9% 20,300 Applied Materials, Inc.+............................ 2,571,756 30,300 Danaher Corporation................................. 1,461,975 14,000 Mannesmann AG....................................... 3,412,564 ------------ 7,446,295 ------------ Media and Communications -- 6.2% 5,000 AMFM, Inc.+......................................... 391,250 42,500 AT&T Corporation--Liberty Media Group, Class A+..... 2,411,875 27,500 Charter Communications, Inc., Class A+.............. 601,562 21,600 Clear Channel Communications, Inc.+................. 1,927,800 38,400 Comcast Corporation, Special Class A............................................ 1,941,600 43,600 Infinity Broadcasting Corporation, Class A+......... 1,577,775 36,500 MediaOne Group, Inc.+............................... 2,803,656 30,800 Omnicom Group, Inc. ................................ 3,080,000 17,600 Time Warner, Inc. .................................. 1,274,900 ------------ 16,010,418 ------------ Medical Products -- 0.7% 28,400 Baxter International, Inc. ......................... 1,783,875 ------------ Oil and Gas -- 0.5% 58,100 Baker Hughes, Inc. ................................. 1,223,731 ------------
Value (Note Shares 1) ----------- ------------ Paper and Paper Products -- 0.5% 19,528 Kimberly-Clark Corporation.......................... $ 1,274,202 ------------ Petroleum -- International -- 2.7% 19,000 Chevron Corporation................................. 1,645,875 33,796 Exxon Mobil Corporation............................. 2,722,677 46,900 Royal Dutch Petroleum Company, NY Shares............ 2,834,519 ------------ 7,203,071 ------------ Pharmaceuticals -- 4.3% 13,300 Genentech, Inc.+.................................... 1,788,850 29,800 Merck & Company, Inc. .............................. 1,998,463 66,000 Pfizer, Inc. ....................................... 2,140,875 50,100 Schering-Plough Corporation......................... 2,113,594 37,600 Warner-Lambert Company.............................. 3,080,850 ------------ 11,122,632 ------------ Publishing -- 1.1% 16,800 Tribune Company..................................... 925,050 29,500 Ver Ned Uitgevers................................... 1,550,471 9,200 Wolters Kluwer N.V. ................................ 311,361 ------------ 2,786,882 ------------ Real Estate -- 0.4% 28,100 Crescent Real Estate Equities Company............... 516,338 28,675 Security Capital U.S. Realty+....................... 403,242 ------------ 919,580 ------------ Retail -- 7.1% 23,500 Cifra S.A. de CV, ADR, V Shares+.................... 470,000 42,418 CVS Corporation..................................... 1,694,069 20,400 Dayton Hudson Corporation........................... 1,498,125 54,000 Home Depot, Inc. ................................... 3,702,375 20,900 Koninklijke Ahold NV................................ 618,704 76,200 Kroger Company+..................................... 1,438,275 23,000 McDonald's Corporation.............................. 927,188 79,500 Safeway, Inc.+...................................... 2,827,219 43,000 Staples, Inc.+...................................... 892,250 62,500 Wal-Mart Stores, Inc. .............................. 4,320,313 ------------ 18,388,518 ------------ Telecommunications -- 9.3% 44,600 CBS Corporation+.................................... 2,851,613 7,800 General Instrument Corporation+..................... 663,000 8,000 JDS Uniphase Corporation+........................... 1,290,500 39,390 Lucent Technologies, Inc. .......................... 2,946,864 76,331 MCI WorldCom, Inc.+................................. 4,050,287 19,500 Nextel Communications, Inc., Class A+........................................... 2,010,938
See Notes to Financial Statements. 52 Statement of Net Assets Endeavor Series Trust T. Rowe Price Growth Stock Portfolio December 31, 1999
Value Shares (Note 1) ----------- ------------ COMMON STOCK -- (Continued) Telecommunications -- (Continued) 48 Nippon Telegraph & Telephone Corporation........... $ 822,158 8,100 Nokia Corporation, Sponsored ADR................... 1,539,000 17,100 SBC Communications, Inc. .......................... 833,625 27,900 Sprint Corporation (FON Group)..................... 1,878,019 568,500 Telecom Italia Mobile (TIM) S.p.A. ................ 2,708,501 81,400 Telecom Italia S.p.A. ............................. 1,147,862 24,550 Vodafone AirTouch Plc, Sponsored ADR............... 1,215,225 ------------ 23,957,592 ------------ Transportation -- 0.5% 17,600 Kansas City Southern Industries, Inc. ............. 1,313,400 ------------ Total Common Stock (Cost $183,649,546)............. 247,815,477 ------------ PREFERRED STOCK -- 0.8% 15,500 Telecomunicacoes Brasileiras S.A., Sponsored ADR+.. 1,991,750 ------------ Total Preferred Stock (Cost $1,286,207)............ 1,991,750 ------------ Principal Amount ----------- COMMERCIAL PAPER -- 3.4% $3,000,000 Corporate Asset Funding, 6.050% due 01/27/2000#............................ 2,986,892 2,000,000 Greenwich Funding Corporation, 6.000% due 02/07/2000#....................................... 1,987,667 1,941,000 Harvard University, 5.000% due 01/03/2000#............................ 1,940,461 2,000,000 Sand Dollar Funding LLC, 6.00% due 02/28/2000#............................. 1,980,668 ------------ Total Commercial Paper (Cost $8,895,687)........... 8,895,688 ------------
TOTAL INVESTMENTS (Cost $193,831,440*)..................................... 100.3% 258,702,915 OTHER ASSETS AND LIABILITIES (Net)........................ (0.3%) (823,850) ------ ------------ NET ASSETS................................................ 100.0% $257,879,065 ====== ============
NET ASSETS consist of: Undistributed net investment income..... $ 254,339 Accumulated net realized gain on investments, foreign currencies and net other assets.......... 26,852,742 Net unrealized appreciation of investments, foreign currencies and net other assets.......... 64,871,186 Paid-in capital........ 165,900,798 ------------ Total Net Assets....... $257,879,065 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding.. $ 28.73 ============ Number of Portfolio shares outstanding.... 8,975,031 ============
- ----------- * Aggregate cost for federal tax purposes, was $194,342,247. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Rate represents annualized yield at date of purchase. Abbreviation: ADR -- American Depositary Receipt See Notes to Financial Statements. 53 Statement of Net Assets Endeavor Series Trust T. Rowe Price International Stock Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- 95.1% Argentina -- 0.2% 7,806 Banco de Galicia y Buenos Aries S.A. de C.V., ADR.. $ 154,656 4,858 Banco Frances del Rio de la Plata S.A., Sponsored ADR............................................... 115,074 7,150 Telefonos de Argentina S.A., Sponsored ADR......... 220,756 ------------ 490,486 ------------ Australia -- 2.1% 13,000 Brambles Industries Ltd. .......................... 359,499 20,520 Broken Hill Proprietary Company Ltd. .............. 269,441 110,743 Colonial Ltd.+..................................... 495,106 34,064 Commonwealth Bank of Australia..................... 586,582 24,650 Lend Lease Corporation Ord. ....................... 345,339 1 National Australia Bank Ltd. ...................... 15 71,106 News Corporation (The) Ltd. ....................... 690,413 66,000 Publishing and Broadcasting Ltd. .................. 503,916 46,000 Tabcorp Holdings Ltd. ............................. 311,473 28,000 Telstra Corporation Ltd. .......................... 98,711 122,049 Telstra Corporation Ltd.+ ......................... 663,436 77,395 Westpac Banking Corporation........................ 533,859 ------------ 4,857,790 ------------ Belgium -- 1.0% 445 Dexia Belgium (Credit Communal).................... 71,313 24,298 Fortis Class B..................................... 876,665 19,810 KBC Bancassurance Holding.......................... 1,067,519 1,100 Societe Europeenne des Satellites.................. 156,224 2,750 UCB S.A. .......................................... 119,246 ------------ 2,290,967 ------------ Brazil -- 1.5% 9,895 Cemig-CIA Energetica Minas Gerais, Sponsored ADR... 221,836 10,959 Pao De Acucar ADS.................................. 354,113 21,305 Telecomunicacoes de Sao Paulo...................... 2,737,692 7,073 Unibanco-Uniao De Bancos Brasileirs, GDR........... 213,074 ------------ 3,526,715 ------------ Canada -- 0.8% 7,210 Alcan Aluminum Ltd. ............................... 296,691 17,770 Celestica, Inc. ................................... 986,235 3,630 Nortel Networks Corporation........................ 366,772 3,920 Royal Bank of Canada............................... 172,442 ------------ 1,822,140 ------------ China -- 0.1% 18,100 Huaneng Power International, Inc., ADR++........... 191,181 ------------
Value (Note Shares 1) ----------- ------------ Denmark -- 0.3% 2,080 Den Danske Bank..................................... $ 228,018 4,980 Tele Danmark AS, Series B........................... 370,017 1,950 UniDanmark AS, Series A............................. 137,233 ------------ 735,268 ------------ Finland -- 2.0% 25,590 Nokia AB, Class A................................... 4,639,596 ------------ France -- 10.2% 5,946 Alcatel............................................. 1,365,517 6,280 Aventis S.A., Series A.............................. 364,983 9,710 Axa Company+........................................ 1,353,607 10,720 Banque Nationale de Paris........................... 989,071 3,790 Cap Gemini S.A. .................................... 962,005 10,790 Carrefour S.A. ..................................... 1,989,973 4,280 Compagnie de Saint-Gobain........................... 804,869 700 Danone.............................................. 164,988 1,813 Dexia France........................................ 300,401 7,292 Equant NV+.......................................... 827,767 3,620 Hermes International................................ 546,208 2,156 Lafarge S.A. Bearer Shares.......................... 251,041 3,633 Legrand S.A. ....................................... 864,702 302 L'OREAL............................................. 242,287 2,830 Pinault-Printemps-Redoute S.A. ..................... 746,836 27,316 Sanofi S.A. ........................................ 1,137,431 14,182 Schneider S.A. ..................................... 1,113,502 3,534 Societe Generale, Class A........................... 822,273 6,742 Sodexho Alliance S.A. .............................. 1,193,158 4,080 Television Francaise Shares......................... 2,136,982 18,620 Total Fina S.A., Class B............................ 2,485,037 29,364 Vivendi............................................. 2,651,569 ------------ 23,314,207 ------------ Germany -- 6.3% 2,930 Allianz AG.......................................... 984,240 16,083 Bayer AG............................................ 761,381 19,512 Bayerische HypoVereinsbank.......................... 1,332,505 1 Celanese AG......................................... 17 13,611 Deutsche Bank AG.................................... 1,149,557 18,051 Deutsche Telekom AG................................. 1,285,458 18,086 Dresdner Bank AG.................................... 983,725 15,400 Gehe AG............................................. 597,199 5,430 Hoechst AG.......................................... 165,722 19,090 Mannesmann AG....................................... 4,653,274 7,226 Rhon-Klimikum AG.................................... 265,661 2,040 SAP AG.............................................. 1,004,793 4,808 Siemens AG.......................................... 611,653 13,511 VEBA AG............................................. 656,632 ------------ 14,451,817 ------------ Hong Kong -- 2.9% 130,800 Cable and Wireless HKT Ltd. ........................ 377,753 53,000 Cheung Kong Holdings Ltd. .......................... 673,281
See Notes to Financial Statements. 54 Statement of Net Assets Endeavor Series Trust T. Rowe Price International Stock Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Hong Kong -- (Continued) 307,000 China Telecom....................................... $ 1,919,367 92,000 CLP Holdings Ltd. .................................. 423,696 41,000 Dao Heng Bank Group Ltd. ........................... 211,501 82,000 Henderson Land Development Company.................. 526,378 110,000 Hutchison Whampoa Ltd. ............................. 1,599,022 71,000 New World Development Company Ltd. ................. 159,838 241,000 Pacific Century CyberWorks Ltd. .................... 561,150 28,000 Sun Hung Kai Properties Ltd. ....................... 291,760 ------------ 6,743,746 ------------ India -- 0.6% 8,000 Hindustan Lever, Ltd. .............................. 413,793 24,833 ICICI Ltd., Sponsored ADR+.......................... 344,558 111,000 Mahanagar Telephone Niagam Ltd., GDR................ 601,494 ------------ 1,359,845 ------------ Ireland -- 0.2% 12,099 CBT Group Plc, Sponsored ADR........................ 405,317 ------------ Italy -- 5.0% 19,840 Assicurazioni Generali S.p.A. Shares................ 655,470 18,000 Banca Popolare di Brescia........................... 1,592,765 148,553 Credito Italiano.................................... 730,195 174,772 Ente Nazionale Idrocarburi.......................... 961,174 51,000 Instituto Nazional Assicurazioni Shares............. 135,102 34,740 Italgas (Societe Italiana II Gas) S.p.A. Shares..... 131,569 51,765 Mediolanum Shares................................... 677,824 52,384 San Paolo IMI....................................... 711,784 104,000 Seat-Pagine Gialle S.p.A. .......................... 341,498 102,600 Tecnost S.p.A. ..................................... 387,540 127,315 Telecom Italia S.p.A. .............................. 1,795,333 301,353 Tim S.p.A. ......................................... 3,366,235 ------------ 11,486,489 ------------ Japan -- 22.6% 13,000 Bridgestone Corporation............................. 286,288 58,000 Canon, Inc. ........................................ 2,304,786 23,000 Citizen Watch Company............................... 146,325 12,000 Daichi Pharmaceutical Company....................... 156,093 40,000 Daiwa House Industry Company........................ 297,543 74 DDI Corporation..................................... 1,013,996 48,000 Denso Corporation................................... 1,146,325 94 East Japan Railway Company.......................... 506,939 7,700 Fanuc Ltd. ......................................... 980,493 27 Fuji Television Network, Inc. ...................... 369,972
Value (Note Shares 1) ----------- ------------ Japan -- (Continued) 43,000 Fujitsu Ltd. ....................................... $ 1,961,241 44,000 Hitachi Ltd. ....................................... 706,274 4,000 Honda Motor Company Ltd. ........................... 148,772 7,000 Ito-Yokado Company Ltd. ............................ 760,497 24,000 Kao Corporation..................................... 684,741 17,000 Kokuyo Company Ltd. ................................ 226,290 17,000 Komori Corporation.................................. 324,293 48,000 Kuraray Company Ltd. ............................... 486,248 17,000 Kyocera Corporation................................. 4,409,318 24,000 Makita Corporation.................................. 216,110 37,000 Marui Company Ltd. ................................. 552,628 71,000 Matsushita Electric Industrial Company.............. 1,966,624 44,000 Mitsubishi Corporation.............................. 339,787 203,000 Mitsubishi Heavy Industries Ltd. ................... 677,528 94,000 Mitsui Fudosan Company Ltd. ........................ 636,664 18,000 Murata Manufacturing Company Ltd. .................. 4,228,247 105,000 NEC Corporation..................................... 2,502,447 226 Nippon Telegraph & Telephone Corporation............ 3,870,999 71,000 Nomura Securities Company Ltd. ..................... 1,282,128 75 NTT Mobile Communications Network Shares............ 2,884,898 41,000 Sankyo Company Ltd. ................................ 842,713 58,000 Sekisui Chemical Company Ltd. ...................... 257,160 41,000 Sekisui House Ltd. ................................. 363,169 4,240 Seven-Eleven Japan Company Ltd. New................. 672,291 18,000 Shinetsu Chemical Company Ltd. ..................... 775,179 22,000 Shiseido Company Ltd. .............................. 320,838 300 SOFTBANK Corporation................................ 287,168 15,700 Sony Corporation.................................... 4,656,063 50,000 Sumitomo Bank Ltd. ................................. 684,643 78,000 Sumitomo Corporation................................ 756,563 73,000 Sumitomo Electric Industries Ltd. .................. 843,819 14,000 TDK Corporation..................................... 1,933,444 17,000 Tokio Marine & Fire Insurance Company............... 198,835 1,700 Tokyo Electron Ltd. ................................ 232,945 37,000 Toppan Printing Company Ltd. ....................... 369,384 152,000 Toshiba Corporation................................. 1,160,419 22,000 UNY Company Ltd. ................................... 215,112 21,000 Yamanouchi Pharmaceutical Company Ltd. ............. 733,777 ------------ 51,378,016 ------------ Korea -- 1.2% 10,000 Korea Telecom Corporation, Sponsored ADR+........... 747,500 6,343 Pohang Iron & Steel Company Ltd., Sponsored ADR..... 222,005 5,601 Samsung Electronics Company......................... 1,312,079 100 Sk Telecom Company Ltd.............................. 358,432 ------------ 2,640,016 ------------
See Notes to Financial Statements. 55 Statement of Net Assets Endeavor Series Trust T. Rowe Price International Stock Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) Mexico -- 1.7% 16,124 Cemex S.A., Sponsored ADS........................... $ 449,457 33,180 Cemex S.A., de CV, Class A.......................... 53,228 16,590 Cemex S.A., de CV, Class B+......................... 26,614 128,340 FEMSA (Fomento Economico Mex S.A.), Units........... 572,959 75,944 Grupo Modelo S.A., de CV, Series C.................. 208,395 7,585 Grupo Televisa-GDR (2 Part Cert) ................... 517,676 69,076 Kimberly-Clark de Mexico, Class A................... 269,743 16,364 Telefonos de Mexicano S.A. de CV, ADS............... 1,840,950 ------------ 3,939,022 ------------ Netherlands -- 7.8% 35,400 ABN Amro Holdings NV................................ 884,285 3,976 Akzo Nobel NV....................................... 199,440 19,660 ASM Lithography Holding NV+......................... 2,184,220 26,954 CSM CVA Non-Exchange Shares......................... 575,568 49,990 Elsevier NV......................................... 597,180 31,550 Fortis NV........................................... 1,136,090 6,254 Gucci Group NV-NY Shares............................ 716,083 41,790 ING Groep NV, CVA Shares............................ 2,523,054 4,254 Koninklijke KPN NV.................................. 415,201 16,248 Philips Electronics Shares.......................... 2,209,383 17,050 Royal Dutch Petroleum Company....................... 1,045,015 12,721 STMicroelectronics NV+.............................. 1,957,861 4,254 TNT Post Groep NV Shares............................ 121,904 2,726 United Pan-Europe Communications NV................. 348,712 13,670 VNU NV.............................................. 718,472 64,750 Wolters Kluwer NV................................... 2,191,374 ------------ 17,823,842 ------------ New Zealand -- 0.2% 103,000 Telecom Corporation of New Zealand, Ltd.+........... 484,357 ------------ Norway -- 0.5% 5,730 Norsk Hydro ASA..................................... 239,480 52,450 Orkla ASA, A Shares................................. 903,013 ------------ 1,142,493 ------------ Portugal -- 0.3% 26,783 Jeronimo Martins SGPS............................... 685,220 ------------ Singapore -- 0.7% 21,904 Singapore Press Holdings Ltd. (F)................... 474,773 104,000 Singapore Telecommunications Ltd.................... 214,806 109,272 United Overseas Bank Ltd. (F)....................... 964,454 ------------ 1,654,033 ------------
Value (Note Shares 1) ----------- ------------ Spain -- 2.9% 14,808 Argentaria S.A...................................... $ 347,975 20,970 Banco Bilbao Vizcaya+............................... 298,666 3,180 Banco Popular Espanol S.A........................... 207,398 103,712 Banco Santander Central Hispano S.A. (Banesto)...... 1,174,175 25,988 Endesa S.A.......................................... 515,937 13,767 Gas Natural S.D.G., S.A............................. 317,134 44,776 Iberdrola S.A....................................... 620,585 25,293 Repsol S.A.......................................... 586,466 100,937 Telefonica S.A...................................... 2,521,387 ------------ 6,589,723 ------------ Sweden -- 3.2% 4,292 ABB AB+............................................. 523,132 11,060 Atlas Copco AB, Series B............................ 314,589 50,740 Electrolux Company AB, Series B..................... 1,276,253 14,280 Ericsson AB, Series B............................... 918,096 67,230 Hennes & Mauritz AB, Series B....................... 2,252,063 139,872 Nordbanken Holding AB............................... 822,003 15,380 Sandvik AB, Series B................................ 489,890 39,094 Securitas AB, Series B.............................. 707,625 ------------ 7,303,651 ------------ Switzerland -- 4.4% 7,413 ABB Ltd.+........................................... 906,664 3,405 Adecco S.A.......................................... 2,651,636 4,220 Credit Suisse Group, Registered Shares.............. 838,806 1,316 Nestle S.A., Registered Shares...................... 2,410,835 136 Roche Holding AG, Genusch........................... 1,614,269 795 Swisscom............................................ 321,535 4,857 UBS AG, Registered Shares+.......................... 1,311,631 ------------ 10,055,376 ------------ Taiwan -- 1.1% 130,720 Hon Hai Precision Industry Company Ltd.............. 1,235,678 207,000 Taiwan Semiconductor Manufacturing Company.......... 1,101,450 71,000 United Microelectronics Corporation Ltd............. 253,369 ------------ 2,590,497 ------------ United Kingdom -- 15.3% 49,000 Abbey National Plc.................................. 783,582 35,433 AstraZeneca Group Plc............................... 1,469,793 50,980 B G Group Plc....................................... 329,395 96,000 BP Amoco Common Stock............................... 965,303 150,000 Cable & Wireless Plc................................ 2,541,675 162,436 Cadbury Schweppes Plc............................... 981,312 62,200 Caradon Plc......................................... 156,736 39,600 Centrica Plc+....................................... 112,260
See Notes to Financial Statements. 56 Statement of Net Assets Endeavor Series Trust T. Rowe Price International Stock Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- (Continued) United Kingdom -- (Continued) 135,000 Compass Group Plc................................... $ 1,853,557 125,064 Diageo Plc.......................................... 1,006,039 37,000 Electrocomponents Plc............................... 409,398 14,000 GKN Plc............................................. 220,488 81,000 Glaxo Wellcome Plc.................................. 2,289,688 9,100 Hays Plc............................................ 144,934 60,000 HSBC Holdings Plc................................... 841,320 186,000 Kingfisher Plc...................................... 2,064,063 80,000 Ladbroke Group Plc.................................. 256,187 28,000 Laing (John) Plc, Class A........................... 126,187 66,500 Marconi Plc......................................... 1,175,147 181,000 National Westminster Bank Plc....................... 3,888,512 21,470 Rank Group Plc...................................... 68,494 254,000 Reed International Plc.............................. 1,901,677 53,000 Rio Tinto Plc....................................... 1,279,883 55,000 Safeway, Inc........................................ 189,231 357,000 Shell Transport & Trading Company................... 2,966,927 58,000 Smith (David S.) Holdings Plc....................... 186,906 172,900 SmithKline Beecham Plc.............................. 2,206,355 221,800 Tesco Plc........................................... 674,450 240,364 Tomkins Plc......................................... 780,403 163,857 Unilever Plc........................................ 1,205,609 51,200 United News & Media Plc............................. 652,530 222,000 Vodafone AirTouch Plc............................... 1,099,995 ------------ 34,828,036 ------------ Total Common Stock (Cost $142,474,117).............. 217,429,846 ------------ PREFERRED STOCK -- 0.9% Australia -- 0.2% 48,107 News Corporation (The) Ltd.......................... 412,148 ------------ Brazil -- 0.6% 2,650,000 Banco Itau S.A. PN Shares of NPV.................... 227,373 5,860,036 Cemig-CIA Energetica Minas Gerais................... 131,376 2,896,549 Petroleo Brasiliero S.A. Petrobras.................. 737,566 9,567,586 Telecomunicacoes de Sao Paulo....................... 231,974 1,684,346 Telesp Celular S.A., Class B........................ 133,330 ------------ 1,461,619 ------------ Germany -- 0.1% 2,042 Fielmann AG......................................... 61,086 870 Fresenius AG........................................ 159,488 ------------ 220,574 ------------ Total Preferred Stock (Cost $1,625,487)............. 2,094,341 ------------
Principal Value (Note Amount 1) ----------- ------------ FOREIGN BONDS -- 0.0%** United Kingdom -- 0.0%** $ 341 BG Transco Holdings Plc, 7.06% due 12/14/09......... $ 552 341 BG Transco Holdings Plc, 4.19% due 12/14/22......... 546 341 BG Transco Holdings Plc, 7.00% due 12/14/24......... 533 ------------ Total Foreign Bonds (Cost $1,658)................... 1,631 ------------
TOTAL INVESTMENTS (Cost $144,101,262*)...................... 96.0% 219,525,818 ------------ OTHER ASSETS AND LIABILITIES (Net).......................... 4.0% 9,129,021 ------ ------------ NET ASSETS.................................................. 100.0% $228,654,839 ====== ============
NET ASSETS consist of: Net investment loss.............................................. $ (69,077) Accumulated net realized gain on investments, foreign currencies and net other assets............................................ 21,933,209 Net unrealized appreciation of investments, foreign currencies and net other assets............................................ 75,422,718 Paid-in capital.................................................. 131,367,989 ------------ Total Net Assets................................................. $228,654,839 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding.............................. $ 20.88 ============ Number of Portfolio shares outstanding........................... 10,952,677 ============
- ----------- * Aggregate cost for federal tax purposes was $144,302,331. **Amount represents less than 0.1% +Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Abbreviations: ADR -- American Depositary Receipt ADS -- American Depositary Shares (F) -- Foreign or Alien Shares GDR -- Global Depositary Receipt Ord. -- Ordinary See Notes to Financial Statements. 57 Statement of Net Assets Endeavor Series Trust T. Rowe Price International Stock Portfolio December 31, 1999 At December 31, 1999, sector diversification of the Portfolio was as follows:
% of Value Sector Diversification Net Assets (Note 1) - ------------------------------------------------------- ---------- ------------ Common Stock: Telecommunications..................................... 17.6% $ 40,217,113 Electronics and Instruments............................ 13.6 31,018,615 Banking................................................ 9.7 22,208,723 Multi-Industry......................................... 7.6 17,704,956 Health and Personal Care............................... 6.1 14,052,371 Broadcasting and Publishing............................ 5.4 12,295,076 Food and Grocery Products.............................. 4.7 10,970,455 Financial Services..................................... 4.6 10,564,878 Computers and Communication............................ 4.6 10,404,036 Diversified Industrial Manufacturing................... 4.0 9,141,789 Energy................................................. 3.0 6,801,784 Retail Trade........................................... 1.7 3,983,336 Household Products..................................... 1.7 3,899,576 Machinery and Engineering Services..................... 1.7 3,892,295 Insurance.............................................. 1.6 3,672,594 Transport and Storage.................................. 1.6 3,595,770 Utilities.............................................. 1.2 2,629,868 Real Estate............................................ 1.1 2,557,363 Construction and Building Materials.................... 0.8 1,789,244 Metals and Mining...................................... 0.7 1,576,575 Chemicals.............................................. 0.6 1,271,835 Textiles and Apparel................................... 0.6 1,262,291 Security Services...................................... 0.3 707,625 Forestry and Paper Products............................ 0.3 682,939 Entertainment and Leisure.............................. 0.2 379,967 Automotive............................................. 0.1 148,772 ------ ------------ TOTAL COMMON STOCK..................................... 95.1 217,429,846 TOTAL PREFERRED STOCK.................................. 0.9 2,094,341 TOTAL BONDS............................................ 0.0# 1,631 ------ ------------ TOTAL INVESTMENTS...................................... 96.0 219,525,818 OTHER ASSETS AND LIABILITIES........................... 4.0 9,129,021 ------ ------------ NET ASSETS............................................. 100.0% $228,654,839 ====== ============
- ----------- #Amount represents less than 0.1% See Notes to Financial Statements. 58 Statement of Net Assets Endeavor Series Trust Endeavor Select 50 Portfolio December 31, 1999
Value (Note Shares 1) ----------- ------------ COMMON STOCK -- 90.5% Aerospace and Defense -- 2.1% 11,500 Honeywell International, Inc.................... $ 663,406 7,200 Moog, Inc., Class A+............................ 194,400 ------------ 857,806 ------------ Banking and Finance -- 3.8% 12,000 Bank of America Corporation..................... 602,250 30,300,000 Yapi Ve Kredi Bankasi........................... 935,703 ------------ 1,537,953 ------------ Building and Construction -- 1.4% 18,700 Elcor Corporation............................... 563,337 ------------ Business Services -- 1.3% 17,900 On Assignment, Inc.+............................ 534,762 ------------ Computer Service and Software -- 6.5% 8,300 Equant NV, NY Registered Shares+................ 929,600 4,300 Hewlett-Packard Company......................... 489,931 7,800 MICROS Systems, Inc.+........................... 577,200 8,800 NIIT, Ltd....................................... 670,732 ------------ 2,667,463 ------------ Computer Software -- 3.6% 14,900 Aftek Infosys, Ltd.............................. 728,216 1,200 Commerce One, Inc.+............................. 235,800 1,900 Macromedia, Inc.+............................... 138,937 20,000 Silverline Technologies, Ltd.................... 372,437 ------------ 1,475,390 ------------ Diversified Chemicals -- 3.3% 6,400 Dow Chemical Company............................ 855,200 15,400 L.G. Chemical, Ltd. ............................ 486,887 ------------ 1,342,087 ------------ Drugs -- 1.5% 10,900 Glaxo Wellcome Plc, Sponsored ADR............... 609,037 ------------ Electronic Components -- 3.0% 2,800 Optical Coating Laboratory, Inc................. 828,800 69,400 Yageo Corporation, Sponsored GDR................ 399,050 ------------ 1,227,850 ------------ Financial Services -- 1.5% 9,500 Fannie Mae...................................... 593,156 ------------
Value (Note Shares 1) ----------- ------------ Food -- Packaged -- 1.0% 59,000 SQL Star International, Ltd.+........... $ 391,028 ------------ Health Care Services -- 3.1% 46,500 First Health Group Corporation+......... 1,249,688 ------------ Machinery -- 3.9% 9,400 Applied Power, Inc., Class A............ 345,450 17,700 Manitowoc Company, Inc.................. 601,800 2,700 Mannesmann AG........................... 658,137 ------------ 1,605,387 ------------ Manufacturing -- 2.6% 16,000 Whirlpool Corporation................... 1,041,000 ------------ Media -- Cable Television -- 3.4% 76,300 Globo Cabo S.A., Sponsored ADR.......... 1,373,400 ------------ Media and Communications -- 7.7% 62,700 Avid Technology, Inc.+.................. 819,019 7,290 Canal Plus.............................. 1,061,042 41,850 Sri Adhikari Brothers Television Network................................ 1,239,914 ------------ 3,119,975 ------------ Metals and Mining -- 4.3% 17,100 Alcoa, Inc. ............................ 1,419,300 3,600 Rio Tinto Plc, Sponsored ADR............ 341,100 ------------ 1,760,400 ------------ Paper and Paper Products -- 3.2% 13,000 International Paper Company............. 733,688 9,000 Kimberly-Clark Corporation.............. 587,250 ------------ 1,320,938 ------------ Petroleum -- 5.0% 16,400 Amerada Hess Corporation................ 930,700 15,000 Coastal Corporation (The)............... 531,563 14,700 Halliburton Company..................... 591,675 ------------ 2,053,938 ------------ Retail -- 6.1% 4,220 Carrefour S.A........................... 778,284 30,400 Duane Reade, Inc.+...................... 837,900 13,900 Linens 'n Things, Inc.+................. 411,788 17,900 Nordstrom, Inc. ........................ 468,756 ------------ 2,496,728 ------------
See Notes to Financial Statements. 59 Statement of Net Assets Endeavor Series Trust Endeavor Select 50 Portfolio December 31, 1999
Value Shares (Note 1) ----------- ------------ COMMON STOCK -- (Continued) Technology -- 1.5% 5,500 International Business Machines Corporation.... $ 594,000 ------------ Telecommunications -- 15.1% 25,600 AT&T Canada, Inc.+............................. 1,030,400 1,000 COLT Telecom Group Plc, Sponsored ADR+......... 204,000 20,600 COLT Telecom Group Plc+........................ 1,054,491 21,500 Global TeleSystems Group, Inc.+................ 744,438 820 Magyar Tavkozlesi, Sponsored ADR............... 29,520 41,700 Magyar Tavkozlesi.............................. 291,735 7,780 Nokia Corporation, Sponsored ADR, Class A...... 1,478,200 12,000 SBC Communications, Inc........................ 585,000 29,600 Videsh Sanchar Nigam Ltd., GDR................. 757,291 ------------ 6,175,075 ------------ Telephone -- 1.0% 3,800 Telefonos de Mexicano, Sponsored ADR........... 427,500 ------------ Textiles and Apparel -- 2.3% 109,000 Chaus (Bernard), Inc.+......................... 258,875 6,000 Gucci Group NV, NY Shares...................... 687,000 ------------ 945,875 ------------ Transportation -- 2.3% 22,500 FDX Corporation+............................... 921,093 ------------ Total Common Stock (Cost $29,093,718).......... 36,884,866 ------------ PREFERRED STOCK -- 2.0% 1,400,000 Telecomunicacoes Brasileiras S.A............... 184,058 4,800 Telecomunicacoes Brasileiras S.A., Sponsored ADR........................................... 616,800 ------------ Total Preferred Stock (Cost $521,904).......... 800,858 ------------
Principal Value Amount (Note 1) ----------- ------------ REPURCHASE AGREEMENT -- 10.8% (Cost $4,412,000) $4,412,000 Agreement with The Boston Company, 2.950% to be repurchased at $4,413,085 on 01/03/2000, collateralized by $3,830,000 U.S. Treasury Bond, 8.125% due 08/15/2019, market value $4,500,250..... $ 4,412,000 ------------
TOTAL INVESTMENTS (Cost $34,027,622*)....................................... 103.3% 42,097,724 ------------ OTHER ASSETS AND LIABILITIES (Net)......................... (3.3)% (1,327,850) ------ ------------ NET ASSETS................................................. 100.0% $ 40,769,874 ====== ============
NET ASSETS consist of: Net investment loss.......... $ (43,507) Accumulated net realized gain on investments, foreign currencies and net other assets........ 4,727,474 Net unrealized appreciation of investments, foreign currencies and net other assets........ 8,144,003 Paid-in capital....... 27,941,904 ------------ Total Net Assets........ $ 40,769,874 ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding... $ 15.77 ============ Number of Portfolio shares outstanding... 2,585,025 ============
- ----------- * Aggregate cost for federal tax purposes was $34,113,837. + Non-income producing security. Abbreviations: ADR -- American Depositary Receipt GDR -- Global Depositary Receipt See Notes to Financial Statements. 60 Statement of Net Assets Endeavor Series Trust Endeavor High Yield Portfolio December 31, 1999
Principal Value (Note Amount 1) --------- ------------ CORPORATE FIXED INCOME SECURITIES -- 88.0% Aerospace and Defense -- 0.5% $ 125,000 BE Aerospace, Senior Subordinate Notes, 8.000% due 03/01/08............................... $ 107,812 ------------ Automotive -- 2.0% 50,000 Dura Operating Corporation, Senior Subordinate Notes, 9.000% due 05/01/09........................ 47,000 Hayes Lemmerz International, Inc., Company Guarantee: 45,000 11.000% due 07/15/06............................... 47,025 100,000 9.125% due 07/15/07................................ 96,750 75,000 Oxford Automotive, Inc., Company Guarantee, 10/125% due 06/15/07.............................. 70,500 150,000 Williams Scotsman, Inc., Company Guarantee, 9.875% due 06/01/07............................... 145,125 ------------ 406,400 ------------ Broadcasting and Media -- 12.8% 75,000 Acme Television, Company Guarantee, 10.875% due 09/30/04.............................. 67,500 Adelphia Communications, Senior Notes: 150,000 8.375% due 02/01/08................................ 139,500 30,000 9.375% due 11/15/09................................ 29,400 100,000 Albritton Communication, Inc., Senior Subordinate Notes, 8.875% due 02/01/08........................ 95,000 50,000 Avalon Cable Holdings, LLP, Senior Discount Notes, 11.875% due 12/01/08^............................. 32,625 75,000 Avalon Cable of Michigan, Senior Subordinate Notes, 9.375% due 12/01/08............................... 75,750 100,000 Chancellor Media Corporation, Company Guarantee, 8.750% due 06/15/07............................... 102,000 125,000 Chancellor Media Corporation, Senior Notes, 8.000% due 11/01/08............................... 125,000 110,000 Charter Communications Holdings LLC, Senior Discount Notes, 9.920% due 04/01/11++............................. 64,487 250,000 Charter Communications Holdings LLC, Senior Notes, 8.250% due 04/01/07++............................. 230,625 70,000 Classic Cable, Inc., Company Guarantee, 9.875% due 08/01/08++............................. 70,087
Principal Value (Note Amount 1) --------- ------------ Broadcasting and Media -- (continued) $50,000 CSC Holdings, Inc., Senior Subordinate Notes, 9.250% due 11/01/05............................... $52,125 100,000 Cumulus Media, Inc., Company Guarantee, 10.375% due 07/01/08.............................. 104,000 200,000 Echostar DBS Corporation, Senior Notes, 9.375% due 02/01/09++............................. 200,500 90,000 Fox/Liberty Networks LLC, Senior Notes, 8.875% due 08/15/07............................... 91,575 175,000 Frontiervision LP, Senior Notes, 11.000% due 10/15/06.............................. 185,500 Granite Broadcasting Corporation, Senior 25,000 Subordinate Notes: 10.375% due 05/15/05........... 25,500 100,000 8.875% due 05/15/08............................... 95,500 125,000 Hollinger International Publishing, Company Guarantee, 9.250% due 03/15/07............................... 123,125 Lenfest Communications, Senior Subordinate Notes: 75,000 10.500% due 06/15/06.............................. 82,500 50,000 8.250% due 02/15/08............................... 50,250 140,000 Lin Holdings Corporation, Senior Discount Notes, 10.000% due 03/01/08^ ............................ 93,800 75,000 Satelites Mexicanos S.A., Senior Notes, 10.125% due 11/01/04 ............................. 51,094 125,000 Telemundo Holdings, Inc., Senior Discount Notes, 11.500% due 08/15/08^............................. 74,375 125,000 Time Warner Telecom LLC, Senior Notes, 9.750% due 07/15/08............................... 128,750 245,000 UnitedGlobalCom, Inc., Senior Discount Notes, 10.750% due 02/15/08^ ............................ 154,963 ------------ 2,545,531 ------------ Building and Construction -- 2.0% 150,000 Formica Corporation, Senior Subordinate Notes, 10.875% due 03/01/09++ ........................... 138,000 80,000 MMI Products, Inc., Senior Subordinate Notes, 11.250% due 04/15/07.............................. 82,400
See Notes to Financial Statements. 61 Statement of Net Assets Endeavor Series Trust Endeavor High Yield Portfolio December 31, 1999
Principal Value Amount (Note 1) --------- ------------ CORPORATE FIXED INCOME SECURITIES -- (Continued) Building and Construction -- (Continued) $ 140,000 Nortek, Inc., Senior Notes, 9.250% due 03/15/07.... $ 136,500 50,000 Nortek, Inc., Senior Subordinate Notes, 9.875% due 03/01/04............................... 49,250 ------------ 406,150 ------------ Capital Goods -- 0.6% 25,000 Johnstown America Industries, Inc., Company Guarantee, 11.750% due 08/15/05................... 25,437 85,000 Johnstown America Industries, Inc., Senior Subordinate Notes, 11.750% due 08/15/05........... 86,487 ------------ 111,924 ------------ Chemicals -- 2.0% 55,000 Lyondell Chemical Company, 9.625% due 05/01/07..... 56,237 90,000 Lyondell Chemical Company, 9.875% due 05/01/07..... 92,250 50,000 NL Industries, Senior Notes, 11.750% due 10/15/03.. 51,750 125,000 PCI Chemicals Canada, Inc., Company Guarantee, 9.250% due 10/15/07............................... 95,937 25,000 Sterling Chemicals, Inc., Company Guarantee, 12.375% due 07/15/06++............................ 25,875 Sterling Chemicals, Inc., Senior Subordinate Notes: 50,000 11.750% due 08/15/06.............................. 37,500 50,000 11.250% due 04/01/07.............................. 36,000 ------------ 395,549 ------------ Commercial Services -- 2.0% 90,000 Allied Waste North America, Senior Subordinate Notes, 10.000% due 08/01/09++ .................... 80,325 30,000 Continental Resources, Senior Subordinate Notes, 10.250% due 08/01/08.............................. 26,400 Iron Mountain, Inc., Company Guarantee: 25,000 10.125% due 10/01/06.............................. 25,500 100,000 8.750% due 09/30/09............................... 96,000 100,000 Pierce Leahy Corporation, Senior Subordinate Notes, 9.125% due 07/15/07............................... 98,500
Principal Value Amount (Note 1) --------- ------------ Commercial Services -- (Continued) World Color Press, Inc., Senior Subordinate Notes: $ 75,000 8.375% due 11/15/08............................... $ 73,687 5,000 7.750% due 02/15/09............................... 4,706 ------------ 405,118 ------------ Computer Service and Software -- 2.9% 75,000 Anacomp, Inc., Senior Subordinate Notes, 10.875% due 04/01/04.............................. 74,812 45,000 Dialog Corporation, Plc, Senior Subordinate Notes, 11.000% due 11/15/07.............................. 21,600 Exodus Communications, Senior Notes: 100,000 11.250% due 07/01/08.............................. 103,250 75,000 10.750% due 12/15/09.............................. 76,312 PSI Net, Inc., Senior Notes: 25,000 10.500% due 12/01/06.............................. 25,187 40,000 11.500% due 11/01/08.............................. 41,800 150,000 11.000% due 08/01/09.............................. 154,500 Verio, Inc., Senior Notes: 25,000 10.375% due 04/01/05.............................. 25,500 50,000 10.625% due 11/15/09.............................. 51,250 ------------ 574,211 ------------ Consumer Goods -- 0.7% 40,000 Fage Dairy Industries S.A., Senior Notes, 9.000% due 02/01/07............................... 36,200 100,000 Sealy Mattress Company , Senior Subordinate Notes, 9.875% due 12/15/07............................... 100,250 ------------ 136,450 ------------ Containers -- 4.6% 60,000 Ball Corporation, Company Guarantee, 8.250% due 08/01/08............................... 57,600 Gaylord Container Corporation, Senior Notes: 175,000 9.750% due 06/15/07............................... 164,500 85,000 9.875% due 02/15/08............................... 73,100 250,000 Packaging Corporation of America, Senior Subordinate Notes, 9.625% due 04/01/09............................... 255,312 175,000 Riverwood International, Company Guarantee, 10.250% due 04/01/06.............................. 177,625 100,000 Silgan Holdings, Inc., Senior Subordinate Debentures, 9.000% due 06/01/09............................... 96,000
See Notes to Financial Statements. 62 Statement of Net Assets Endeavor Series Trust Endeavor High Yield Portfolio December 31, 1999
Principal Value Amount (Note 1) --------- ------------ CORPORATE FIXED INCOME SECURITIES -- (Continued) Containers -- (Continued) $ 90,000 U.S. Can Corporation, Company Guarantee, 10.125% due 10/15/06.............................. $ 92,025 ------------ 916,162 ------------ Cosmetics -- 0.4% 100,000 Revlon Consumer Products, Inc., Senior Subordinate Notes, 8.125% due 02/01/06........................ 72,500 ------------ Educational -- 0.4% 90,000 Kindercare Learning Centers, Inc., Senior Subordinate Notes, 9.500% due 02/15/09............ 86,625 ------------ Engineering and Technology -- 3.7% 135,000 Applied Extrusion Technology, Senior Notes, 11.500% due 04/01/02.............................. 137,025 100,000 Argo-Tech Corporation, Company Guarantee, 8.625% due 10/01/07............................... 89,000 250,000 Building Materials Corporation, Senior Notes, 8.625% due 12/15/06............................... 239,375 80,000 General Binding Corporation, Company Guarantee, 9.375% due 06/01/08............................... 38,400 100,000 Moog, Inc., Senior Subordinate Notes, 10.000% due 05/01/06.............................. 101,500 125,000 Unisys Corporation, Senior Notes, 12.000% due 04/15/03.............................. 133,125 ------------ 738,425 ------------ Entertainment and Leisure -- 3.9% 50,000 AMC Entertainment, Inc., Senior Subordinate Notes, 9.500% due 03/15/09............................... 44,125 150,000 Boyd Gaming Corporation, Senior Subordinate Notes, 9.500% due 07/15/07............................... 148,500 25,000 Eldorado Resorts LLC, Senior Subordinate Notes, 10.500% due 08/15/06.............................. 25,500 100,000 Hollywood Park, Inc., Senior Subordinate Notes, 9.250% due 02/15/07............................... 99,125 160,000 Isle of Capri Casinos, Company Guarantee, 8.750% due 04/15/09............................... 148,000
Principal Value Amount (Note 1) --------- ------------ Entertainment and Leisure -- (Continued) $ 85,000 Lady Luck Gaming, First Mortgage, 11.875% due 03/01/01.............................. $ 84,150 150,000 Park Place Entertainment, Senior Subordinate Notes, 7.875% due 12/15/05............................... 143,250 100,000 Station Casinos, Senior Subordinate Notes, 8.875% due 12/01/08............................... 95,500 ------------ 788,150 ------------ Financial -- 1.9% 170,000 Ono Finance Plc, Company Guarantee, 13.000% due 05/01/09.............................. 175,100 75,000 PTC International Finance II, S.A., Company Guarantee, 11.250% due 12/01/09.............................. 77,250 150,000 Willis Corroon Corporation, Senior Subordinate Notes, 9.000% due 02/01/09........................ 124,875 ------------ 377,225 ------------ Industrial -- 7.4% 200,000 American Standard Companies, Inc., Company Guarantee, 7.375% due 02/01/08............................... 185,500 75,000 Blount, Inc., Senior Subordinate Notes, 13.000% due 08/01/09++............................ 79,125 75,000 Completel Europe NV, Company Guarantee, 14.000% due 02/15/09.............................. 44,250 75,000 Fairfield Manufacturing Company, Inc., Senior Subordinate Notes, 9.625% due 10/15/08............ 70,500 75,000 Huntsman ICI Chemicals, Senior Subordinate Notes, 10.125% due 07/01/09++............................ 77,625 75,000 International Knife & Saw, Inc., Senior Notes, 11.375% due 11/15/06.............................. 54,750 100,000 Jorgensen (Earle M.) Company, Senior Notes, 9.500% due 04/01/05............................... 93,250 135,000 Kappa Beheer BV, Company Guarantee, 10.625% due 07/15/09.............................. 140,400 175,000 K & F Industries, Senior Subordinate Notes, 9.250% due 10/15/07............................... 168,000 25,000 Metal Management, Inc., Company Guarantee, 10.000% due 05/15/08.............................. 18,875
See Notes to Financial Statements. 63 Statement of Net Assets Endeavor Series Trust Endeavor High Yield Portfolio December 31, 1999
Principal Value Amount (Note 1) --------- ------------ CORPORATE FIXED INCOME SECURITIES -- (Continued) Industrial -- (Continued) $ 60,000 Numatics, Inc., Company Guarantee, 9.625% due 04/01/08............................... $ 45,000 50,000 Polymer Group, Inc., Company Guarantee, 9.000% due 07/01/07............................... 48,500 85,000 Simonds Industries, Company Guarantee, 10.250% due 07/01/08.............................. 68,425 Spectrasite Holdings, Inc., Senior Discount Notes: 55,000 12.000% due 07/15/08^ ++.......................... 32,862 150,000 11.250% due 04/15/09^ ............................. 80,625 82,500 Synthetic Industries, Inc., 13.000% due 12/13/00.............................. 81,263 50,000 Thermadyne Holdings Corporation, Company Guarantee, 9.875% due 06/01/08............................... 43,562 85,000 Thermadyne Holdings Corporation, Debentures, 12.500% due 06/01/08^ ............................ 38,887 75,000 US Timberlands, Senior Notes, 9.625% due 11/15/07.. 68,625 50,000 Vlasic Foods International, Inc., Senior Subordinate Notes, 10.250% due 07/01/09++ ........................... 47,625 ------------ 1,487,649 ------------ Machinery and Material Handling -- 1.5% 25,000 Alaris Medical, Inc., Senior Discount Notes, 11.125% due 08/01/08^ ............................ 10,281 Buckeye Technologies, Inc., Senior Subordinate Notes: 35,000 8.500% due 12/15/05............................... 34,037 100,000 8.000% due 10/15/10............................... 92,750 85,000 Columbus McKinnon Corporation, Company Guarantee, 8.500% due 04/01/08............................... 75,437 80,000 Motors and Gears, Inc., Senior Notes, 10.750% due 11/15/06.............................. 79,400 ------------ 291,905 ------------ Medical Services and Supplies -- 1.4% 100,000 Prime Medical Services, Inc., Company Guarantee, 8.750% due 04/01/08............................... 92,000 200,000 Tenet Healthcare Corporation, Senior Notes, 8.000% due 01/15/05............................... 191,500 ------------ 283,500 ------------
Principal Value Amount (Note 1) --------- ------------ Oil and Gas -- 4.5% $ 180,000 Chesapeake Energy Corporation, Company Guarantee, 9.625% due 05/01/05............................... $ 171,000 25,000 Clark R&M, Inc., Senior Notes, 8.625% due 08/15/08.......................................... 15,500 100,000 Forest Oil Corporation, Company Guarantee, 10.500% due 01/15/06.............................. 101,000 100,000 HS Resources, Inc., Company Guarantee, 9.250% due 11/15/06............................... 99,250 50,000 HS Resources, Inc., Senior Subordinate Notes, 9.250% due 11/15/06............................... 49,500 50,000 International Utility Structures, Inc., Senior Subordinate Notes, 10.750% due 02/01/08........... 42,000 125,000 Ocean Energy, Inc., Company Guarantee, 8.875% due 07/15/07............................... 123,750 200,000 P&L Coal Holdings Corporation, Company Guarantee, 9.625% due 05/15/08............................... 197,000 90,000 Pool Energy Services Company, Company Guarantee, 8.625% due 04/01/08............................... 90,675 15,000 Pride International, Inc., Senior Notes, 10.000% due 06/01/09.............................. 15,300 ------------ 904,975 ------------ Restaurants and Lodging -- 1.9% 175,000 Aztar Corporation, Senior Subordinate Notes, 8.875% due 05/15/07............................... 168,000 150,000 Coast Hotels & Casino, Senior Subordinate Notes, 9.500% due 04/01/09++............................. 144,000 75,000 Prime Hospitality Corporation, Senior Subordinate Notes, 9.750% due 04/01/07........................ 72,562 ------------ 384,562 ------------ Retail -- 2.8% 60,000 Cole National Group, Inc., Senior Subordinate Notes, 8.625% due 08/15/07............................... 43,050 80,000 Duane Reade, Inc., Company Guarantee, 9.250% due 02/15/08............................... 78,200 75,000 Finlay Enterprises, Inc., Company Guarantee, 9.000% due 05/01/08............................... 68,250 95,000 J Crew Operating Corporation, Senior Subordinate Notes, 10.375% due 10/15/07....................... 80,750
See Notes to Financial Statements. 64 Statement of Net Assets Endeavor Series Trust Endeavor High Yield Portfolio December 31, 1999
Principal Value (Note Amount 1) --------- ------------ CORPORATE FIXED INCOME SECURITIES -- (Continued) Retail -- (Continued) Jitney-Jungle Stores of America, Inc., Company $ 65,000 Guarantee: 12.000% due 03/01/06................... $ 13,650 10,000 10.375% due 09/15/07............................... 200 100,000 Musicland Group, Senior Subordinate Notes, 9.000% due 06/15/03............................... 96,500 Pathmark Stores, Inc., Senior Subordinate Notes: 45,000 11.625% due 06/15/02.............................. 14,850 10,000 9.625% due 05/01/03................................ 7,400 120,000 Samsonite Corporation, Senior Subordinate Notes, 10.750% due 06/15/08.............................. 101,400 75,000 Southland Corporation, Senior Subordinate Debentures, 5.000% due 12/15/03............................... 64,500 ------------ 568,750 ------------ Steel -- 3.0% 25,000 AK Steel Corporation, Company Guarantee, 7.875% due 02/15/09............................... 23,563 100,000 AK Steel Corporation, Senior Notes, 9.125% due 12/15/06............................... 101,500 75,000 Algoma Steel, Inc., First Mortgage, Yankee, 12.375% due 07/15/05.............................. 70,313 100,000 Commonwealth Aluminum, Senior Subordinate Notes, 10.750%, 10/01/06++............................... 100,250 65,000 Kaiser Aluminum & Chemical Corporation, Senior Notes, 9.875% due 02/15/02............................... 64,350 50,000 NS Group, Inc., Senior Notes, 13.500% due 07/15/03.......................................... 51,500 50,000 Russell Metals, Inc., Units, Yankee, 10.000% due 06/01/09.......................................... 51,688 140,000 WCI Steel, Inc., Senior Notes, 10.000% due 12/01/04.......................................... 143,850 ------------ 607,014 ------------ Telephone and Communications -- 24.8% Allegiance Telecom, Inc., Senior Discount Notes: 40,000 11.750% due 02/15/08^ ............................ 28,600 135,000 12.875% due 05/15/08............................... 150,019 100,000 American Cellular Corporation, Senior Notes, 10.500% due 05/15/08++............................ 110,750
Principal Value (Note Amount 1) --------- ------------ Telephone and Communications -- (Continued) $ 50,000 Bresnan Communications, Senior Discount Notes, 9.250% due 02/01/09^ ............................. $ 34,750 110,000 Bresnan Communications, Senior Notes, 8.000% due 02/01/09++............................. 111,238 135,000 Centennial Cellular, Senior Subordinate Notes, 10.750% due 12/15/08++............................ 144,450 250,000 Colt Telecom Group Plc, Senior Discount Notes, 12.000% due 12/15/06^ ............................ 215,000 110,000 Crown Castle International Corporation, Senior Notes, 9.000% due 05/15/11............................... 108,350 125,000 Dolphin Telecom Plc, Senior Discount Notes, 11.500% due 06/01/08^ ++.......................... 57,188 125,000 Esat Telecom Group Plc, Senior Notes, 11.875% due 12/01/08++............................ 139,063 65,000 Esprit Telecom Group Plc, Senior Notes, 10.875% due 06/15/08.............................. 64,350 75,000 GCI, Inc., Senior Notes, 9.750% due 08/01/07............................... 68,813 50,000 Global Crossing Holdings Ltd., Company Guarantee, 9.625% due 05/15/08............................... 49,875 60,000 Globenet Communications Group, Ltd., Senior Notes, 13.000% due 07/15/07++............................ 61,125 100,000 Hermes Europe Railtel BV, Senior Notes, 10.375% due 01/15/09.............................. 99,000 150,000 Hyperion Telecommunications, Senior Subordinate Notes, 12.000% due 11/01/07++............................ 158,250 200,000 ICG Holdings, Inc., Company Guarantee, 12.500% due 05/01/06^ ............................ 151,000 100,000 Insight Midwest/Insight Capital, Senior Notes, 9.750% due 10/01/09++............................. 103,250 225,000 Intermedia Communication Corporation, Senior Notes, 8.875% due 11/01/07............................... 209,250 ITC Deltacom, Inc., Senior Notes: 11.000% due 50,000 06/01/07.......................................... 52,500 90,000 9.750% due 11/15/08++.............................. 90,675 125,000 Jazztel Plc, Senior Notes, 14.000% due 04/01/09++............................ 128,438
See Notes to Financial Statements. 65 Statement of Net Assets Endeavor Series Trust Endeavor High Yield Portfolio December 31, 1999
Principal Value (Note Amount 1) --------- ------------ CORPORATE FIXED INCOME SECURITIES -- (Continued) Telephone and Communications -- (Continued) $ 10,000 Keystone Consolidated Industries, Inc., Senior Notes, 9.625% due 08/01/07............................... $ 8,900 105,000 L-3 Communications, Inc., Senior Subordinate Notes, 10.375% due 05/01/07.............................. 108,413 250,000 Level 3 Communications, Inc., Senior Notes, 9.125% due 05/01/08............................... 236,250 120,000 Metromedia Fiber Network, Senior Notes, 10.000% due 11/15/08++............................ 122,700 Metronet Communications, Inc., Senior Discount 150,000 Notes, Yankee: 10.750% due 11/01/07^ ............. 126,848 35,000 9.950% due 06/15/08^ .............................. 27,475 145,000 Millicom International Cellular, Inc., Senior Discount Notes, 13.500% due 06/01/06^ ............ 119,625 85,000 MJD Communications, Inc., Senior Subordinate Notes, 9.500% due 05/01/08............................... 80,325 325,000 Nextel International, Inc., Senior Discount Notes, 9.950% due 02/15/08............................... 227,500 200,000 Nextlink Communications, Senior Notes, 10.750% due 06/01/09.............................. 206,000 25,000 Northeast Optic Network, Senior Notes, 12.750% due 08/15/08.............................. 26,750 NTL, Inc., Senior Notes: 65,000 9.750% due 04/01/08^ ++........................... 45,338 250,000 12.375% due 10/01/08^ ............................. 175,000 95,000 Pagemart Wireless, Inc., Senior Discount Notes, 11.250% due 02/01/08^ ............................ 32,300 50,000 Rural Cellular Corporation, Senior Subordinate Notes, 9.625% due 05/15/08........................ 51,125 90,000 Tele1 Europe B.V., Senior Notes, 13.000% due 05/15/09.............................. 91,350 90,000 Telewest Communications Plc, Debentures, 9.625% due 10/01/06............................... 91,575 125,000 Telewest Communications Plc, Senior Discount Notes, 9.250% due 04/15/09^ ++........................... 78,750 45,000 Triton PCS, Inc., Company Guarantee, 11.000% due 05/01/08^ ............................ 31,838
Principal Value (Note Amount 1) --------- ------------ Telephone and Communications -- (Continued) $ 200,000 United Pan-Europe Communications NV, Senior Notes, 10.875% due 08/01/09++............................ $ 204,500 35,000 US Unwired, Inc., Senior Discount Notes, 13.375% due 11/01/09.............................. 20,475 150,000 Versatel Telecom BV, Senior Notes, 13.250% due 05/15/08++........................................ 159,750 130,000 Viatel, Inc., Senior Discount Notes, 12.500% due 04/15/08^ ........................................ 82,550 125,000 Voicestream Wire Company, Senior Notes, 10.375% due 11/15/09.............................. 128,750 30,000 Western Wireless, Inc., Senior Subordinate Notes, 10.500% due 02/01/07.............................. 31,350 95,000 Worldwide Fiber, Inc., Senior Notes, 12.000% due 08/01/09++............................ 97,850 ------------ 4,949,221 ------------ Textiles and Home Furnishings -- 0.3% 60,000 Simmons Company, Senior Subordinate Notes, 10.250% due 03/15/09.............................. 56,700 ------------ Total Corporate Fixed Income Securities (Cost $18,207,163)................................ 17,602,508 ------------ AGENCY SECURITIES -- 7.5% 1,500,000 Federal Home Loan Bank (FHLB), 1.300% due Shares 01/03/00#......................................... 1,499,892 ------------ Total Agency Securities (Cost $1,499,892)................................. 1,499,892 ------------ Shares ------ COMMON STOCK -- 0.1% 537 Viatel, Inc........................................ 28,797 ------------ Total Common Stock (Cost $28,797).................................... 28,797 ------------
See Notes to Financial Statements. 66 Statements of Net Assets Endeavor Series Trust Endeavor High Yield Portfolio December 31, 1999
Value Shares (Note 1) ------ ----------- PREFERRED STOCK -- 1.4% 54,936 Crown Castle International Corporation, 12.750% due 12/15/10#.............................. $ 56,859 37,700 CSC Holdings, Inc., 11.125% due 04/01/08............ 41,470 50,000 Global Crossing Holdings Ltd., 10.500% due 12/01/08........................................... 50,250 1,400 Primedia, Inc., Series H, 8.625% due 04/01/10....... 121,800 ----------- Total Preferred Stock (Cost $269,104)............... 270,379 ----------- WARRANTS -- 0.9% 625 Jazztel Plc, Expire 04/01/09+....................... 116,875 170 Ono Finance Plc, Expire 05/31/09+................... 21,080 100 VersaTel Telecom BV, Expire 05/15/08+............... 45,463 ----------- Total Warrants (Cost $22,724)....................... 183,418 -----------
TOTAL INVESTMENTS (Cost $20,027,680*).................... 97.9% 19,584,994 OTHER ASSETS AND LIABILITIES (Net)................................................... 2.1% 429,697 ------ ----------- NET ASSETS............................................... 100.0% $20,014,691 ====== =========== NET ASSETS consist of: Undistributed net investment income............................. $ 1,105,691 Accumulated net realized loss on investments ................... (257,042) Net unrealized depreciation of investments...................... (442,686) Paid-in capital................................................. 19,608,728 ----------- Total Net Assets................................................ $20,014,691 =========== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding............................. $ 10.09 =========== Number of Portfolio shares outstanding.......................... 1,982,931 ===========
- ----------- * Aggregate cost for federal tax purposes was $20,028,220. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from reg- istration, normally to qualified institutional buyers. # Rate represents annualized yield at date of purchase. ^ Zero coupon security as of December 31, 1999. The coupon shown is the step-up rate. See Notes to Financial Statements. 67 Statement of Net Assets Endeavor Series Trust Endeavor Janus Growth Portfolio December 31, 1999
Value Shares (Note 1) ----------- ------------ COMMON STOCK -- 87.5% Broadcasting and Media -- 4.4% 305,955 AMFM, Inc.+ ........................................ $ 23,940,979 412,189 AT&T Corporation -- Liberty Media Group, Class A+... 23,391,726 ------------ 47,332,705 ------------ Cable Television -- 0.6% 300,695 Charter Communications, Inc., Class A+.............. 6,577,703 ------------ Computer Service and Software -- 17.9% 51,160 BEA Systems, Inc.+.................................. 3,578,003 593,180 Cisco Systems, Inc.+ ............................... 63,544,407 494,231 Dell Computer Corporation+ ......................... 25,205,781 62,280 EMC Corporation+.................................... 6,804,090 253,335 Fiserv, Inc.+ ...................................... 9,705,897 15,405 Juniper Networks, Inc.+ ............................ 5,237,700 643,326 Microsoft Corporation+ ............................. 75,108,311 6,435 Vignette Corporation+............................... 1,048,905 ------------ 190,233,094 ------------ Consumer Staples -- 0.5% 90,941 Coca-Cola Company................................... 5,297,313 ------------ Diversified Operations -- 4.3% 262,135 General Electric Company............................ 40,565,391 144,613 Tyco International, Ltd. ........................... 5,621,830 ------------ 46,187,221 ------------ Drugs and Medical Products -- 2.1% 444,710 Medtronic, Inc...................................... 16,204,121 199,102 Pfizer, Inc. ....................................... 6,458,371 ------------ 22,662,492 ------------ Electronics -- 6.0% 144,324 Lam Research Corporation+ .......................... 16,101,146 256,146 Texas Instruments, Inc.............................. 24,814,144 504,922 Xilinx, Inc.+....................................... 22,958,172 ------------ 63,873,462 ------------ Entertainment and Leisure -- 0.6% 138,077 Royal Caribbean Cruises, Ltd. ...................... 6,808,922 ------------ Financial -- 2.1% 136,681 American Express Company............................ 22,723,216 ------------
Value Shares (Note 1) ----------- ------------ Internet Services -- 14.8% 505,076 Amazon.com, Inc.+ ................................. $ 38,448,911 1,010,894 America Online, Inc.+ ............................. 76,259,316 79,873 eBay, Inc.+ ....................................... 9,999,101 243,140 Exodus Communications, Inc.+ ...................... 21,593,871 55,695 VeriSign, Inc.+ ................................... 10,634,264 ------------ 156,935,463 ------------ Oil and Gas -- 1.9% 466,374 Enron Corporation.................................. 20,695,346 ------------ Retail -- 7.1% 292,731 Costco Wholesale Corporation+...................... 26,711,704 493,212 Home Depot, Inc. .................................. 33,815,848 703,540 Staples, Inc.+..................................... 14,598,455 ------------ 75,126,007 ------------ Telecommunications -- 25.2% 247,686 Comcast Corporation, Class A....................... 12,523,623 94,950 JDS Uniphase Corporation+.......................... 15,316,622 342,781 Lucent Technologies, Inc. ......................... 25,644,304 161,580 Nextel Communications, Inc., Class A+.............. 16,662,938 628,124 Nokia Corporation ADR.............................. 119,343,560 110,060 Nortel Networks Corporation........................ 11,116,060 141,531 NTL, Inc.+......................................... 17,656,023 485 NTT Mobile Communications Network, Inc. ........... 18,655,672 222,771 Time Warner, Inc. ................................. 16,136,974 296,190 Vodafone Airtouch Plc, ADR......................... 14,661,405 ------------ 267,717,181 ------------ Total Common Stock (Cost $634,708,236)............. 932,170,125 ------------ Principal Amount --------- CORPORATE FIXED INCOME SECURITIES -- 0.3% $ 3,543,000 Charter Communications Holdings LLC, Senior Notes, 8.625% due 04/01/09+.............................. 3,299,419 ------------ Total Corporate Fixed Income Securities (Cost $3,628,118)................................. 3,299,419 ------------ AGENCY SECURITIES -- 7.0% Federal Home Loan Bank (FHLB) -- 1.4% 15,000,000 5.770% due 03/23/00#............................... 14,816,550 ------------ Federal Home Loan Mortgage Corporation (FHLMC) -- 4.7% 15,000,000 5.720% due 01/27/00................................ 14,938,033 25,000,000 5.808% due 02/15/00................................ 24,821,563 10,000,000 5.519% due 01/19/00................................ 9,972,400 ------------ 49,731,996 ------------
See Notes to Financial Statements. 68 Statement of Net Assets Endeavor Series Trust Endeavor Janus Growth Portfolio December 31, 1999
Principal Value Amount (Note 1) ----------- -------------- AGENCY SECURITIES -- (Continued) Federal National Mortgage Association (FNMA) -- 0.9% $10,000,000 FNMA, 5.480% due 01/28/00.............................. $ 9,958,900 -------------- Total Agency Securities (Cost $74,493,754)........ 74,507,446 -------------- COMMERCIAL PAPER -- 4.9% 51,800,000 Associates First Capital Corporation, 4.001% due 01/03/00.............................. 51,788,489 -------------- Total Commercial Paper (Cost $51,788,489)......... 51,788,489 --------------
TOTAL INVESTMENTS (Cost $764,618,597*).................................... 99.7% 1,061,765,479 OTHER ASSETS AND LIABILITIES (Net)....................... 0.3% 3,425,627 ------ -------------- NET ASSETS............................................... 100.0% $1,065,191,106 ====== ==============
NET ASSETS consist of: Accumulated net realized loss on investments... $ (17,874,270) Net unrealized appreciation of investments, foreign currencies and net other assets........ 297,146,901 Paid-in capital....... 785,918,475 -------------- Total Net Assets........ $1,065,191,106 ============== NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding... $ 95.37 ============== Number of Portfolio shares outstanding... 11,168,702 ==============
- ----------- * Aggregate cost for federal tax purposes. + Non-income producing security. # Rate represents annualized yield at date of purchase. Abbreviation: ADR -- American Depositary Receipt See Notes to Financial Statements. 69 Statements of Operations Endeavor Series Trust For the Period Ended December 31, 1999
Dreyfus Dreyfus U.S. Endeavor Endeavor Endeavor Small Cap Government Enhanced Opportunity Value Value Securities Index Value Equity Portfolio Portfolio Portfolio Portfolio Portfolio ----------- ----------- ----------- ----------- ------------ INVESTMENT INCOME: Dividends................. $ 917,618 $ -- $ 1,439,888 $ 543,311 $ 3,214,571 Interest.................. 97,160 5,388,617 142,171 458,922 611,376 Foreign taxes withheld.... -- -- (305) -- (98) ----------- ----------- ----------- ---------- ------------ Total Investment Income.. 1,014,778 5,388,617 1,581,754 1,002,233 3,825,849 ----------- ----------- ----------- ---------- ------------ EXPENSES: Investment management fee (Note 2)................. 1,300,689 560,715 782,584 364,453 1,856,971 Administration fees (Note 2)....................... 34,255 16,347 9,860 2,281 45,114 Custodian fees (Note 2)... 55,438 43,253 6,808 5,777 21,954 Transfer agent fees....... 607 324 341 166 804 Marketing fees paid indirectly (Note 2)...... 519,184 -- -- 26,151 175,545 Professional fees......... 42,999 18,747 5,384 5,091 57,815 Amortization of organization costs (Note 6)....................... -- 1,593 4,997 5,194 -- Trustees' fees and expenses (Note 2)........ 13,021 5,206 2,516 754 16,306 Printing fees............. 6,792 4,148 917 3,106 13,196 Insurance fees............ 2,190 1,345 1,326 699 3,685 Other..................... 17,952 12,720 5,041 3,275 21,879 ----------- ----------- ----------- ---------- ------------ Subtotal................. 1,993,127 664,398 819,774 416,947 2,213,269 Waiver/reimbursement (Note 2)....................... -- -- -- -- -- Fees paid indirectly (Note 2)....................... (519,184) -- -- (26,151) (175,545) Credits allowed by the custodian (Note 2)....... (2,345) (35,601) (124) (1,452) (4,998) ----------- ----------- ----------- ---------- ------------ Total net expenses....... 1,471,598 628,797 819,650 389,344 2,032,726 ----------- ----------- ----------- ---------- ------------ NET INVESTMENT INCOME/(LOSS)............ (456,820) 4,759,820 762,104 612,889 1,793,123 ----------- ----------- ----------- ---------- ------------ REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY (Notes 1 and 3): Net realized gain/(loss) on: Investments.............. 32,661,115 (3,597,495) 9,182,409 2,412,613 28,956,944 Futures contracts........ -- 1,758,399 357,634 -- -- Forward foreign exchange contracts............... -- -- -- -- -- Foreign currencies and net other assets........ -- -- -- -- -- ----------- ----------- ----------- ---------- ------------ Net realized gain/(loss) on investments and foreign currency during the period............... 32,661,115 (1,839,096) 9,540,043 2,412,613 28,956,944 ----------- ----------- ----------- ---------- ------------ Net change in unrealized appreciation/depreciation of: Investments.............. 9,954,170 (3,664,893) 7,367,422 (854,443) (37,139,113) Futures contracts........ -- 11,853 138,719 -- -- Forward foreign exchange contracts............... -- -- -- -- -- Foreign currencies and net other assets........ -- -- -- -- 140 ----------- ----------- ----------- ---------- ------------ Net change in unrealized appreciation/depreciation of investments and foreign currency during the period............... 9,954,170 (3,653,040) 7,506,141 (854,443) (37,138,973) ----------- ----------- ----------- ---------- ------------ Net realized and unrealized gain/(loss) on investments and foreign currency during the period................... 42,615,285 (5,492,136) 17,046,184 1,558,170 (8,182,029) ----------- ----------- ----------- ---------- ------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... $42,158,465 $ (732,316) $17,808,288 $2,171,059 $ (6,388,906) =========== =========== =========== ========== ============
- ----------- * Endeavor Janus Growth Portfolio commenced operations on May 1, 1999. See Notes to Financial Statements. 70
T. Rowe T. Rowe T. Rowe Endeavor Endeavor Price Price Price Endeavor Asset Money Equity Growth International Endeavor Endeavor Janus Allocation Market Income Stock Stock Select 50 High Yield Growth Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio* ----------- ---------- ------------ ----------- ------------- ----------- ---------- ------------ $ 1,473,780 $ -- $ 6,744,860 $ 1,866,778 $ 3,501,569 $ 282,301 $ -- $ 1,050,068 7,477,513 6,055,022 710,722 488,903 -- 88,923 1,291,829 2,960,821 -- -- (5,077) (25,201) (408,769) (8,596) -- (42) ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 8,951,293 6,055,022 7,450,505 2,330,480 3,092,800 362,628 1,291,829 4,010,847 ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 2,772,660 580,293 2,160,124 1,712,439 1,697,527 291,700 120,397 4,168,779 75,318 16,387 53,809 42,322 16,229 44,433 41,139 80,523 73,867 9,870 36,091 42,918 146,535 33,826 9,091 61,430 1,366 413 1,013 796 706 95 51 1,758 76,797 -- 23,039 9,160 -- -- -- -- 101,686 17,187 56,140 36,549 3,848 8,908 4,997 95,549 -- -- 2,444 2,444 -- 7,826 4,479 13,669 27,119 3,999 13,754 9,486 4,250 3,082 3,052 33,966 21,423 1,701 6,042 7,951 6,495 1,397 1,242 27,669 5,598 1,686 4,084 3,180 2,805 358 218 11,202 52,361 5,196 22,822 17,091 7,670 4,607 13,819 17,717 ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 3,208,195 636,732 2,379,362 1,884,336 1,886,065 396,232 198,485 4,512,262 -- -- -- -- -- (834) (4,167) (6,667) (76,797) -- (23,039) (9,160) -- -- -- -- (13,258) (1,761) (501) (74) (168,161) (1,347) (4,111) (11,079) ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 3,118,140 634,971 2,355,822 1,875,102 1,717,904 394,051 190,207 4,494,516 ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 5,833,153 5,420,051 5,094,683 455,378 1,374,896 (31,423) 1,101,622 (483,669) ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 32,143,208 4,557 21,983,138 27,126,270 23,159,619 6,785,026 (172,330) (17,874,270) 583,688 -- -- -- -- -- -- -- -- -- -- -- -- (53,972) -- -- -- -- (49,233) (158,528) (371,032) (132,810) -- -- ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 32,726,896 4,557 21,933,905 26,967,742 22,788,587 6,598,244 (172,330) (17,874,270) ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 50,033,364 -- (18,037,290) 18,359,238 34,111,927 5,341,055 (185,280) 297,146,882 110,279 -- -- -- -- -- -- -- -- -- -- 186 -- -- -- -- -- -- 27 324 4,032 (33,014) -- 19 ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 50,143,643 -- (18,037,263) 18,359,748 34,115,959 5,308,041 (185,280) 297,146,901 ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ 82,870,539 4,557 3,896,642 45,327,490 56,904,546 11,906,285 (357,610) 279,272,631 ----------- ---------- ------------ ----------- ----------- ----------- ---------- ------------ $88,703,692 $5,424,608 $ 8,991,325 $45,782,868 $58,279,442 $11,874,862 $ 744,012 $278,788,962 =========== ========== ============ =========== =========== =========== ========== ============
See Notes to Financial Statements. 71 Statements of Changes in Net Assets Endeavor Series Trust For the Period Ended December 31, 1999
Dreyfus Dreyfus U.S. Endeavor Endeavor Endeavor Endeavor Small Cap Government Enhanced Opportunity Value Asset Value Securities Index Value Equity Allocation Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio ------------ ----------- ------------ ----------- ------------ ------------ Net investment income/(loss)............ $ (456,820) $ 4,759,820 $ 762,104 $ 612,889 $ 1,793,123 $ 5,833,153 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period................... 32,661,115 (1,839,096) 9,540,043 2,412,613 28,956,944 32,726,896 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period................... 9,954,170 (3,653,040) 7,506,141 (854,443) (37,138,973) 50,143,643 ------------ ----------- ------------ ----------- ------------ ------------ Net increase/(decrease) in net assets resulting from operations............... 42,158,465 (732,316) 17,808,288 2,171,059 (6,388,906) 88,703,692 Distributions to shareholders from net investment income........ -- (3,363,808) (185,617) (469,456) (2,612,496) (6,134,468) Distributions to shareholders from net realized gains........... (16,262,533) (1,591,479) (4,083,582) (419,666) (9,660,903) (81,460,029) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4)................. 3,244,813 6,575,501 76,369,906 (1,888,582) (17,786,277) 60,815,792 ------------ ----------- ------------ ----------- ------------ ------------ Net increase/(decrease) in net assets............... 29,140,745 887,898 89,908,995 (606,645) (36,448,582) 61,924,987 NET ASSETS: Beginning of period....... 158,661,998 82,888,959 64,057,708 45,506,287 246,101,864 353,000,811 ------------ ----------- ------------ ----------- ------------ ------------ End of period............. $187,802,743 $83,776,857 $153,966,703 $44,899,642 $209,653,282 $414,925,798 ============ =========== ============ =========== ============ ============ Undistributed net investment income/(loss)............ $ -- $ 4,742,691 $ 766,661 $ 615,303 $ 1,792,867 $ 5,837,030 ============ =========== ============ =========== ============ ============
- ----------- * Endeavor Janus Growth Portfolio commenced operations on May 1, 1999. See Notes to Financial Statements. 72
T. Rowe T. Rowe Endeavor Price Price T. Rowe Price Endeavor Money Equity Growth International Endeavor Endeavor Janus Market Income Stock Stock Select 50 High Yield Growth Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio* ------------ ------------ ------------ ------------- ------------ ------------ -------------- $ 5,420,051 $ 5,094,683 $ 455,378 $ 1,374,896 $ (31,423) $ 1,101,622 $ (483,669) 4,557 21,933,905 26,967,742 22,788,587 6,598,244 (172,330) (17,874,270) -- (18,037,263) 18,359,748 34,115,959 5,308,041 (185,280) 297,146,901 ------------ ------------ ------------ ------------ ------------ ------------ -------------- 5,424,608 8,991,325 45,782,868 58,279,442 11,874,862 744,012 278,788,962 (5,420,092) (5,016,696) (515,433) (2,819,874) -- (252,489) -- -- (11,857,644) (16,771,400) (1,807,333) -- -- -- 33,842,375 10,273,031 35,081,701 (9,853,746) 4,030,227 9,703,847 786,402,144 ------------ ------------ ------------ ------------ ------------ ------------ -------------- 33,846,891 2,390,016 63,577,736 43,798,489 15,905,089 10,195,370 1,065,191,106 100,931,823 262,328,210 194,301,329 184,856,350 24,864,785 9,819,321 -- ------------ ------------ ------------ ------------ ------------ ------------ -------------- $134,778,714 $264,718,226 $257,879,065 $228,654,839 $ 40,769,874 $ 20,014,691 $1,065,191,106 ============ ============ ============ ============ ============ ============ ============== $ -- $ 5,076,774 $ 254,339 $ (69,077) $ (43,507) $ 1,105,691 $ -- ============ ============ ============ ============ ============ ============ ==============
See Notes to Financial Statements. 73 Statements of Changes in Net Assets Endeavor Series Trust For the Period Ended December 31, 1998
Dreyfus Dreyfus U.S. Endeavor Endeavor Endeavor Small Cap Government Enhanced Opportunity Value Value Securities Index Value Equity Portfolio Portfolio Portfolio Portfolio Portfolio ------------ ----------- ----------- ----------- ------------ Net investment income/(loss)............ $ (352,684) $ 3,392,493 $ 181,201 $ 462,621 $ 2,622,823 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period................... 14,911,403 1,454,088 3,975,442 418,980 9,505,824 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period................... (18,149,967) (259,787) 6,695,474 547,081 4,084,777 ------------ ----------- ----------- ----------- ------------ Net increase/(decrease) in net assets resulting from operations............... (3,591,248) 4,586,794 10,852,117 1,428,682 16,213,424 Distributions to shareholders from net investment income........ (227,013) (1,993,080) (41,306) (168,154) (2,379,221) Distributions to shareholders from net realized gains........... (19,963,527) (14,764) (94,085) (273,333) (4,227,268) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4)................. 36,248,665 33,768,028 33,529,696 17,717,122 20,456,351 ------------ ----------- ----------- ----------- ------------ Net increase in net assets................... 12,466,877 36,346,978 44,246,422 18,704,317 30,063,286 NET ASSETS: Beginning of period....... 146,195,121 46,541,981 19,811,286 26,801,970 216,038,578 ------------ ----------- ----------- ----------- ------------ End of period............. $158,661,998 $82,888,959 $64,057,708 $45,506,287 $246,101,864 ============ =========== =========== =========== ============ Undistributed net investment income........ $ -- $ 3,356,679 $ 185,177 $ 467,076 $ 2,612,240 ============ =========== =========== =========== ============
- ----------- * The Endeavor Select 50 Portfolio and Endeavor High Yield Portfolio commenced operations on February 3, 1998, and June 1, 1998, respectively. See Notes to Financial Statements. 74
T. Rowe T. Rowe T. Rowe Endeavor Endeavor Price Price Price Asset Money Equity Growth International Endeavor Endeavor Allocation Market Income Stock Stock Select 50 High Yield Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio* Portfolio* ------------ ------------ ------------ ------------ ------------- ----------- ----------- $ 6,431,715 $ 3,814,582 $ 5,087,108 $ 680,293 $ 1,356,902 $ 134,600 $ 249,387 80,203,003 1,020 11,839,723 16,344,563 1,625,036 (2,285,879) (84,649) (31,774,719) -- 2,101,927 22,323,987 21,852,242 2,835,962 (257,406) ------------ ------------ ------------ ------------ ------------ ----------- ----------- 54,859,999 3,815,602 19,028,758 39,348,843 24,834,180 684,683 (92,668) (4,399,126) (3,814,561) (3,237,538) (304,122) (1,283,067) -- -- (28,024,060) -- (8,216,569) (6,475,158) (1,306,396) -- -- 27,461,850 49,769,152 57,525,460 38,502,251 (1,948,591) 24,180,102 9,911,989 ------------ ------------ ------------ ------------ ------------ ----------- ----------- 49,898,663 49,770,193 65,100,111 71,071,814 20,296,126 24,864,785 9,819,321 303,102,148 51,161,630 197,228,099 123,229,515 164,560,224 -- -- ------------ ------------ ------------ ------------ ------------ ----------- ----------- $353,000,811 $100,931,823 $262,328,210 $194,301,329 $184,856,350 $24,864,785 $ 9,819,321 ============ ============ ============ ============ ============ =========== =========== $ 6,409,743 $ 41 $ 5,103,379 $ 507,841 $ 1,612,898 $ -- $ 252,079 ============ ============ ============ ============ ============ =========== ===========
See Notes to Financial Statements. 75 Financial Highlights Endeavor Series Trust Dreyfus Small Cap Value Portfolio For a Portfolio share outstanding throughout each year
Year Year Year Year Year Ended Ended Ended Ended Ended 12/31/99 12/31/98 12/31/97 12/31/96++# 12/31/95 -------- -------- -------- ----------- -------- Operating performance: Net asset value, beginning of year...... $ 14.14 $ 16.41 $ 14.69 $ 12.22 $ 10.98 -------- -------- -------- ------- ------- Net investment income/(loss).......... (0.04) (0.03) 0.02 0.12 0.15 Net realized and unrealized gain/(loss) on investments......... 4.00 (0.13) 3.52 2.95 1.36 -------- -------- -------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations............. 3.96 (0.16) 3.54 3.07 1.51 -------- -------- -------- ------- ------- Distributions: Dividends from net investment income...... -- (0.02) (0.10) (0.14) (0.10) Distributions from net realized gains......... (1.59) (2.09) (1.72) (0.46) (0.17) -------- -------- -------- ------- ------- Total distributions..... (1.59) (2.11) (1.82) (0.60) (0.27) -------- -------- -------- ------- ------- Net asset value, end of year................... $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22 ======== ======== ======== ======= ======= Total return+........... 29.39% (2.18)% 25.56% 25.63% 14.05% ======== ======== ======== ======= ======= Ratios to average net assets/supplemental data: Net assets, end of year (in 000's)............. $187,803 $158,662 $146,195 $85,803 $52,597 Ratio of net investment income/(loss) to average net assets..... (0.28)% (0.23)% 0.20% 0.95% 1.56% Ratio of net expenses to average net assets..... 0.90% 0.86% 0.91% 0.92% 0.87% Ratio of expenses to average net assets..... 1.22% 0.94% 0.91% 0.92% 0.87% Portfolio turnover rate................... 216% 183% 127% 171% 75%
- --------------------------------- + Total return represents aggregate total return for the years indicated. ++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. # The Dreyfus Corporation became the Portfolio's Adviser effective September 16, 1996. See Notes to Financial Statements. 76 Financial Highlights Endeavor Series Trust Dreyfus U.S. Government Securities Portfolio For a Portfolio share outstanding throughout each year
Year Year Year Year Year Ended Ended Ended Ended Ended 12/31/99 12/31/98 12/31/97 12/31/96++ 12/31/95 -------- -------- -------- ---------- -------- Operating performance: Net asset value, beginning of year........................ $ 12.32 $ 11.87 $ 11.23 $ 11.39 $ 9.96 ------- ------- ------- ------- ------- Net investment income........ 0.62 0.40 0.39 0.62 0.30 Net realized and unrealized gain/(loss) on investments.. (0.73) 0.46 0.61 (0.44) 1.25 ------- ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations....... (0.11) 0.86 1.00 0.18 1.55 ------- ------- ------- ------- ------- Distributions: Dividends from net investment income...................... (0.46) (0.41) (0.36) (0.22) (0.12) Distributions from net realized gains.............. (0.22) -- -- (0.12) -- ------- ------- ------- ------- ------- Total distributions.......... (0.68) (0.41) (0.36) (0.34) (0.12) ------- ------- ------- ------- ------- Net asset value, end of year........................ $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39 ------- ------- ------- ------- ------- Total return+................ (0.87)% 7.38% 9.15% 1.81% 15.64% ======= ======= ======= ======= ======= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)...................... $83,777 $82,889 $46,542 $24,727 $12,718 Ratio of net investment income to average net assets...................... 5.52% 5.21% 5.74% 5.68% 5.58% Ratio of net expenses to average net assets.......... 0.73% 0.72% 0.80% 0.82% 0.84% Ratio of expenses to average net assets.................. 0.77% 0.73% 0.80% 0.82% 0.84% Portfolio turnover rate...... 596% 615% 185% 222% 161%
- --------------------------------- + Total return represents aggregate total return for the years indicated. ++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 77 Financial Highlights Endeavor Series Trust Endeavor Enhanced Index Portfolio For a Portfolio share outstanding throughout each period
Year Year Period Ended Ended Ended 12/31/99 12/31/98 12/31/97* -------- -------- --------- Operating performance: Net asset value, beginning of period......... $ 16.08 $ 12.29 $ 10.00 -------- ------- ------- Net investment income........................ 0.08 0.04 0.02 Net realized and unrealized gain on investments................................. 2.78 3.81 2.27 -------- ------- ------- Net increase in net assets resulting from investment operations....................... 2.86 3.85 2.29 -------- ------- ------- Distributions: Dividends from net investment income......... (0.03) (0.02) -- Distributions from net realized gains........ (0.75) (0.04) -- -------- ------- ------- Total distributions.......................... (0.78) (0.06) -- -------- ------- ------- Net asset value, end of period............... $ 18.16 $ 16.08 $ 12.29 ======== ======= ======= Total return++............................... 18.16% 31.39% 22.90% ======== ======= ======= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)......... $153,967 $64,058 $19,811 Ratio of net investment income to average net assets...................................... 0.73% 0.48% 0.55%+ Ratio of net expenses to average net assets.. 0.78% 1.10% 1.30%+ Ratio of expenses to average net assets...... 0.78% 1.10% 1.30%+ Ratio of net expenses to average net assets before waivers ............................. 0.78% 1.10% 1.56%+ Portfolio turnover rate...................... 56% 78% 6%
- --------------------------------- * The Portfolio commenced operations on May 2, 1997. + Annualized. ++ Total return represents aggregate total return for the periods indicated. See Notes to Financial Statements. 78 Financial Highlights Endeavor Series Trust Endeavor Opportunity Value Portfolio For a Portfolio share outstanding throughout each period
Year Year Year Period Ended Ended Ended Ended 12/31/99 12/31/98 12/31/97 12/31/96* -------- -------- -------- --------- Operating performance: Net asset value, beginning of period............................ $ 12.22 $ 11.75 $ 10.06 $10.00 ------- ------- ------- ------ Net investment income/(loss)....... 0.18 0.11 0.07 -- Net realized and unrealized gain on investments....................... 0.41 0.50 1.62 0.06 ------- ------- ------- ------ Net increase in net assets resulting from investment operations........................ 0.59 0.61 1.69 0.06 ------- ------- ------- ------ Distributions: Dividends from net investment income............................ (0.13) (0.05) -- -- Distributions from net realized gains............................. (0.12) (0.09) -- -- ------- ------- ------- ------ Total distributions................ (0.25) (0.14) -- -- ------- ------- ------- ------ Net asset value, end of period..... $ 12.56 $ 12.22 $ 11.75 $10.06 ======= ======= ======= ====== Total return++..................... 4.79% 5.18% 16.81% 0.60% ======= ======= ======= ====== Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)............................ $44,900 $45,506 $26,802 $ 701 Ratio of net investment income/(loss) to average net assets............................ 1.34% 1.22% 1.34% (1.09)%+ Ratio of net expenses to average net assets........................ 0.85% 0.98% 1.15% 1.30%+ Ratio of expenses to average net assets............................ 0.91% 1.00% 1.15% 1.30%+ Ratio of net expenses to average net assets before waivers......... 0.91% 1.00% 1.16% 12.69%+ Portfolio turnover rate............ 48% 43% 44% 0%
- --------------------------------- * The Portfolio commenced operations on November 18, 1996. + Annualized. ++ Total return represents aggregate total return for the periods indicated. See Notes to Financial Statements. 79 Financial Highlights Endeavor Series Trust Endeavor Value Equity Portfolio For a Portfolio share outstanding throughout each year
Year Year Year Year Year Ended Ended Ended Ended Ended 12/31/99 12/31/98 12/31/97 12/31/96++ 12/31/95 -------- -------- -------- ---------- -------- Operating performance: Net asset value, beginning of year.................. $ 21.68 $ 20.70 $ 17.21 $ 14.23 $ 10.69 -------- -------- -------- -------- ------- Net investment income..... 0.18 0.22 0.20 0.20 0.15 Net realized and unrealized gain/(loss) on investments.............. (0.72) 1.36 3.96 3.15 3.52 -------- -------- -------- -------- ------- Net increase/(decrease) in net assets resulting from investment operations.... (0.54) 1.58 4.16 3.35 3.67 -------- -------- -------- -------- ------- Distributions: Dividends from net investment income........ (0.24) (0.22) (0.14) (0.13) (0.09) Distributions from net realized gains........... (0.91) (0.38) (0.53) (0.24) (0.04) -------- -------- -------- -------- ------- Total distributions....... (1.15) (0.60) (0.67) (0.37) (0.13) -------- -------- -------- -------- ------- Net asset value, end of year..................... $ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23 ======== ======== ======== ======== ======= Total return+............. (3.06)% 7.56% 24.81% 23.84% 34.59% ======== ======== ======== ======== ======= Ratios to average net assets/supplemental data: Net assets, end of year (in 000's)............... $209,653 $246,102 $216,039 $127,927 $68,630 Ratio of net investment income to average net assets................... 0.77% 1.10% 1.39% 1.29% 1.56% Ratio of net expenses to average net assets....... 0.88% 0.84% 0.89% 0.91% 0.86% Ratio of expenses to average net assets....... 0.95% 0.85% 0.89% 0.91% 0.86% Portfolio turnover rate... 51% 19% 16% 27% 28%
- --------------------------------- + Total return represents aggregate total return for the years indicated. ++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 80 Financial HIghlights Endeavor Series Trust Endeavor Asset Allocation Portfolio For a Portfolio share outstanding throughout each year
Year Year Year Year Year Ended Ended Ended Ended Ended 12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95 -------- --------- -------- -------- -------- Operating performance: Net asset value, beginning of year....... $ 23.89 $ 22.34 $ 18.84 $ 16.28 $ 13.48 -------- -------- -------- -------- -------- Net investment income.... 0.34 0.43 0.32 0.27 0.33 Net realized and unrealized gain on investments............. 4.80 3.50 3.45 2.61 2.72 -------- -------- -------- -------- -------- Net increase in net assets resulting from investment operations... 5.14 3.93 3.77 2.88 3.05 -------- -------- -------- -------- -------- Distributions: Dividends from net investment income....... (0.43) (0.32) (0.27) (0.32) (0.25) Distributions from net realized gains.......... (5.71) (2.06) -- -- -- -------- -------- -------- -------- -------- Total distributions...... (6.14) (2.38) (0.27) (0.32) (0.25) -------- -------- -------- -------- -------- Net asset value, end of year.................... $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28 ======== ======== ======== ======== ======== Total return+............ 26.39% 18.39% 20.14% 17.82% 22.91% ======== ======== ======== ======== ======== Ratios to average net assets/supplemental data: Net assets, end of year (in 000's).............. $414,926 $353,001 $303,102 $240,210 $198,876 Ratio of net investment income to average net assets.................. 1.58% 1.97% 1.61% 1.59% 2.12% Ratio of net expenses to average net assets...... 0.84% 0.78% 0.84% 0.85% 0.84% Ratio of expenses to average net assets...... 0.87% 0.80% 0.84% 0.85% 0.84% Portfolio turnover rate.. 220% 262% 67% 58% 93%
- --------------------------------- + Total return represents aggregate total return for the years indicated. # Morgan Stanley Asset Management became the Portfolio's Adviser effective April 1, 1998. See Notes to Financial Statements. 81 Financial Highlights Endeavor Series Trust Endeavor Money Market Portfolio For a Portfolio share outstanding throughout each year
Year Year Year Year Year Ended Ended Ended Ended Ended 12/31/99 12/31/98# 12/31/97 12/31/96 12/31/95 -------- --------- -------- -------- -------- Operating performance: Net asset value, beginning of year....... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- -------- Net investment income.... 0.0465 0.0485 0.0498 0.0479 0.0540 -------- -------- -------- -------- -------- Distributions: Dividends from net investment income....... (0.0465) (0.0485) (0.0498) (0.0479) (0.0540) -------- -------- -------- -------- -------- Net asset value, end of year.................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== Total return+............ 4.75% 4.96% 5.07% 4.91% 5.54% ======== ======== ======== ======== ======== Ratios to average net assets/supplemental data: Net assets, end of year (in 000's).............. $134,779 $100,932 $ 51,162 $ 41,545 $ 27,551 Ratio of net investment income to average net assets.................. 4.67% 4.92% 4.99% 4.81% 5.37% Ratio of net expenses to average net assets...... 0.55% 0.60% 0.60% 0.60% 0.60% Ratio of expenses to average net assets...... 0.55% 0.60% 0.60% 0.60% 0.60%
- --------------------------------- + Total return represents aggregate total return for the years indicated. # Morgan Stanley Asset Management became the Portfolio's Adviser effective April 1, 1998. See Notes to Financial Statements. 82 Financial Highlights Endeavor Series Trust T. Rowe Price Equity Income Portfolio For a Portfolio share outstanding throughout each period
Year Year Year Year Period Ended Ended Ended Ended Ended 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++ -------- -------- -------- ----------- ------------ Operating performance: Net asset value, beginning of period.... $ 20.04 $ 19.34 $ 15.49 $ 13.05 $ 10.00 -------- -------- -------- ------- ------- Net investment income... 0.38 0.35 0.25 0.41 0.34 Net realized and unrealized gain on investments............ 0.42 1.33 4.06 2.17 2.71 -------- -------- -------- ------- ------- Net increase in net assets resulting from investment operations.. 0.80 1.68 4.31 2.58 3.05 -------- -------- -------- ------- ------- Distributions: Dividends from net investment income...... (0.40) (0.28) (0.19) (0.10) -- Distributions from net realized gains......... (0.94) (0.70) (0.27) (0.04) -- -------- -------- -------- ------- ------- Total distributions..... (1.34) (0.98) (0.46) (0.14) -- -------- -------- -------- ------- ------- Net asset value, end of period................. $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05 ======== ======== ======== ======= ======= Total return++.......... 3.47% 8.81% 28.27% 19.88% 30.50% ======== ======== ======== ======= ======= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)...... $264,718 $262,328 $197,228 $78,251 $21,910 Ratio of net investment income to average net assets................. 1.89% 2.18% 2.47% 2.89% 3.24%+ Ratio of net expenses to average net assets..... 0.87% 0.85% 0.94% 0.96% 1.15%+ Ratio of expenses to average net assets..... 0.88% 0.85% 0.94% 0.96% 1.15%+ Portfolio turnover rate................... 35% 20% 23% 19% 16%
- --------------------------------- * The Portfolio commenced operations on January 3, 1995. + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the periods since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 83 Financial Highlights Endeavor Series Trust T. Rowe Price Growth Stock Portfolio For a Portfolio share outstanding throughout each period
Year Year Year Year Period Ended Ended Ended Ended Ended 12/31/99 12/31/98 12/31/97 12/31/96+++ 12/31/95*+++ -------- -------- -------- ----------- ------------ Operating performance: Net asset value, beginning of period.... $ 25.60 $ 20.78 $ 16.29 $ 13.72 $ 10.00 -------- -------- -------- ------- ------- Net investment income... 0.03 0.06 0.04 0.11 0.08 Net realized and unrealized gain on investments............ 5.28 5.76 4.59 2.71 3.64 -------- -------- -------- ------- ------- Net increase in net assets resulting from investment operations.. 5.31 5.82 4.63 2.82 3.72 -------- -------- -------- ------- ------- Distributions: Dividends from net investment income...... (0.07) (0.05) (0.03) (0.01) -- Distributions from net realized gains......... (2.11) (0.95) (0.11) (0.24) -- -------- -------- -------- ------- ------- Total distributions..... (2.18) (1.00) (0.14) (0.25) -- -------- -------- -------- ------- ------- Net asset value, end of period................. $ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72 ======== ======== ======== ======= ======= Total return++.......... 22.19% 28.67% 28.57% 20.77% 37.20% ======== ======== ======== ======= ======= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)...... $257,879 $194,301 $123,230 $59,732 $21,651 Ratio of net investment income to average net assets................. 0.21% 0.43% 0.38% 0.75% 0.69%+ Ratio of net expenses to average net assets..... 0.87% 0.87% 0.96% 1.01% 1.26%+ Ratio of expenses to average net assets..... 0.88% 0.87% 0.96% 1.01% 1.26%+ Portfolio turnover rate................... 66% 58% 41% 44% 64%
- --------------------------------- *The Portfolio commenced operations on January 3, 1995. +Annualized. ++Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the monthly average share method which more appropiately presents the per share data for the periods since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 84 Financial Highlights Endeavor Series Trust T. Rowe Price International Stock Portfolio For a Portfolio share outstanding throughout each year
Year Year Year Year Year Ended Ended Ended Ended Ended* 12/31/99 12/31/98++ 12/31/97 12/31/96++ 12/31/95# -------- ---------- -------- ---------- --------- Operating performance: Net asset value, beginning of year...... $ 16.19 $ 14.21 $ 13.95 $ 12.19 $ 11.31 -------- -------- -------- -------- ------- Net investment income... 0.10 0.12 0.10 0.09 0.09 Net realized and unrealized gain on investments............ 5.02 2.08 0.26 1.76 1.06 -------- -------- -------- -------- ------- Net increase in net assets resulting from investment operations.. 5.12 2.20 0.36 1.85 1.15 -------- -------- -------- -------- ------- Distributions: Dividends from net investment income...... (0.26) (0.11) (0.10) (0.09) -- Distributions from net realized gains......... (0.17) (0.11) -- -- (0.27) -------- -------- -------- -------- ------- Total distributions..... (0.43) (0.22) (0.10) (0.09) (0.27) -------- -------- -------- -------- ------- Net asset value, end of year................... $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19 ======== ======== ======== ======== ======= Total return+........... 32.35% 15.44% 2.54% 15.23% 10.37% ======== ======== ======== ======== ======= Ratios to average net assets/supplemental data: Net assets, end of year (000's)................ $228,655 $184,856 $164,560 $134,435 $92,352 Ratio of net investment income to average net assets................. 0.73% 0.76% 0.74% 0.73% 0.81% Ratio of net expenses to average net assets..... 0.91% 0.98% 1.07% 1.18% 1.15% Ratio of expenses to average net assets..... 1.00% 1.10% 1.12% 1.18% 1.15% Portfolio turnover rate................... 30% 21% 19% 11% 111%
- --------------------------------- * Effective March 24, 1995, the name of the Global Growth Portfolio was changed to T. Rowe Price International Stock Portfolio, and the investment objective was changed from investment on a global basis to investment on an international basis (i.e., in non-U.S. companies). + Total return represents aggregate total return for the years indicated. ++ Per share amounts have been calculated using the monthly average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. # Rowe Price-Fleming International, Inc. became the Portfolio's Adviser effective January 3, 1995. See Notes to Financial Statements. 85 Financial Highlights Endeavor Series Trust Endeavor Select 50 Portfolio For a Portfolio share outstanding throughout each period
Year Period Ended Ended 12/31/99 12/31/98*+++ -------- ------------ Operating performance: Net asset value, beginning of period.................. $ 10.66 $ 10.00 ------- ------- Net investment income/(loss).......................... (0.01) 0.07 Net realized and unrealized gain on investments....... 5.12 0.59 ------- ------- Net increase in net assets resulting from investment operations........................................... 5.11 0.66 ------- ------- Net asset value, end of period........................ $ 15.77 $ 10.66 ======= ======= Total return++........................................ 47.84% 6.60% ======= ======= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's).................. $40,770 $24,865 Ratio of net investment income/(loss) to average net assets............................................... (0.12)% 0.75%+ Ratio of net expenses to average net assets........... 1.48% 1.49%+ Ratio of expenses to average net assets............... 1.49% 1.49%+ Ratio of net expenses to average net assets before waivers.............................................. 1.49% 1.55%+ Portfolio turnover rate............................... 157% 128%
- --------------------------------- * The Portfolio commenced operations on February 3, 1998. + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the monthly average share method which more appropriately presents the per share data for the period since use of the undistributed method did not accord with results of operations. See Notes to Financial Statements. 86 Financial Highlights Endeavor Series Trust Endeavor High Yield Portfolio For a Portfolio share outstanding throughout each period
Year Period Ended Ended 12/31/99 12/31/98* -------- --------- Operating performance: Net asset value, beginning of period................... $ 9.69 $ 10.00 ------- ------- Net investment income.................................. 0.47 0.25 Net realized and unrealized gain/(loss) on investments........................................... 0.09 (0.56) ------- ------- Net increase/(decrease) in net assets resulting from investment operations................................. 0.56 (0.31) ------- ------- Distributions: Dividends from net investment income................... (0.16) -- ------- ------- Total distributions.................................... (0.16) -- ------- ------- Net asset value, end of period......................... $ 10.09 $ 9.69 ======= ======= Total return++......................................... 5.82% (3.10)% ======= ======= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)................... $20,015 $ 9,819 Ratio of net investment income to average net assets... 7.07% 6.43%+ Ratio of net expenses to average net assets............ 1.22% 1.30%+ Ratio of expenses to average net assets................ 1.25% 1.43%+ Ratio of net expenses to average net assets before waivers............................................... 1.27% 1.58%+ Portfolio turnover rate................................ 77% 26%
- --------------------------------- * The Portfolio commenced operations on June 1, 1998. + Annualized. ++ Total return represents aggregate total return for the periods indicated. See Notes to Financial Statements. 87 Financial Highlights Endeavor Series Trust Endeavor Janus Growth Portfolio For a Portfolio share outstanding throughout the period
Period Ended 12/31/99* ---------- Operating performance: Net asset value, beginning of period.......................... $ 69.88 ---------- Net investment loss........................................... (0.04) Net realized and unrealized gain on investments............... 25.53 ---------- Net increase in net assets resulting from investment operations................................................... 25.49 ---------- Net asset value, end of period................................ $ 95.37 ========== Total return++................................................ 36.48% ========== Ratios to average net assets/supplemental data: Net assets, end of period (in 000's).......................... $1,065,191 Ratio of net investment loss to average net assets............ (0.09)%+ Ratio of net expenses to average net assets................... 0.83%+ Ratio of expenses to average net assets....................... 0.83%+ Ratio of net expenses to average net assets before waivers.... 0.83%+ Portfolio turnover rate....................................... 43%
- --------------------------------- * The Portfolio commenced operations on May 1, 1999. + Annualized. ++ Total return represents aggregate total return for the period indicated. See Notes to Financial Statements. 88 Notes to Financial Statements Endeavor Series Trust December 31, 1999 1.Significant Accounting Policies Endeavor Series Trust (the "Fund") was organized as a "Massachusetts business trust" on November 19, 1988 under the laws of the Commonwealth of Massachusetts. The Fund is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The Fund offers thirteen managed investment portfolios: Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Enhanced Index Portfolio, Endeavor Opportunity Value Portfolio, Endeavor Value Equity Portfolio, Endeavor Asset Allocation Portfolio, Endeavor Money Market Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio, T. Rowe Price International Stock Portfolio, Endeavor Select 50 Portfolio, Endeavor High Yield Portfolio, and Endeavor Janus Growth Portfolio (each a "Portfolio" and collectively the "Portfolios"). The following is a summary of significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Portfolio Valuation: Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Enhanced Index Portfolio, Endeavor Opportunity Value Portfolio, Endeavor Value Equity Portfolio, Endeavor Asset Allocation Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio, T. Rowe Price International Stock Portfolio, Endeavor Select 50 Portfolio, Endeavor High Yield Portfolio, and Endeavor Janus Growth Portfolio: Generally, a Portfolio's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value as determined by, or under the direction of, the Board of Trustees. Portfolio securities for which the primary market is a domestic or foreign exchange, or which are traded over-the-counter and quoted on the NASDAQ System, are valued at the last sale price on the day of valuation or, if there was no sale that day, at the last reported bid price using prices as of the close of trading. Portfolio securities not quoted on the NASDAQ System that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed to be over-the-counter, are valued at the most recently quoted bid price provided by the principal market makers. In the case of any securities which are not actively traded, such investments are stated at fair value as determined under the direction of the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost. Foreign securities traded outside the United States are generally valued as of the time their trading is complete, which is usually different from the close of the New York Stock Exchange. Occasionally, events affecting the value of such securities may occur between such times and the close of the New York Stock Exchange that will not be reflected in the computation of a Portfolio's net asset value. If events materially affecting the value of such securities occur during such period, these securities will be valued at their fair value according to procedures decided upon in good faith by the Fund's Board of Trustees. All securities and other assets of a Portfolio initially expressed in foreign currencies will be converted to U.S. dollar values at the mean of the bid and offer prices of such currencies against U.S. dollars last quoted on a valuation date by any recognized dealer. Endeavor Money Market Portfolio: The Endeavor Money Market Portfolio's investments are valued on the basis of amortized cost under the guidance of the Board of Trustees, based on their determination that this constitutes fair value. Amortized cost involves valuing a portfolio instrument at its cost initially and, thereafter, assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the instrument. Securities Transactions and Investment Income: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 89 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999 Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Interest income is not accrued until settlement date. Futures Contracts: Certain of the Portfolios may engage in futures contracts for the purpose of hedging against a decline in the value of the portfolio securities held or a rise in the price of the securities a Portfolio intends to purchase, or in order to maintain liquidity. Upon entering into a futures contract, a Portfolio is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by the Portfolio each day, depending on the daily fluctuation of the value of the contract. The daily changes in the contract are recorded as unrealized gain or loss. The Portfolio recognizes a realized gain or loss when the contract is closed. The change in net unrealized appreciation/depreciation, if any, is shown in the Statement of Operations. There are several risks in connection with the use of futures contracts as a hedging device. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the hedged investments. In addition, there is the risk that the Portfolio may not be able to enter into a closing transaction because of an illiquid secondary market. Financial futures contracts open at December 31, 1999 were as follows:
Number of Notional Contracts Cost Expiration Unrealized Purchased/(Sold) Description Amount Date Gain/(Loss) ---------------- ------------------------------------ ---------- ---------- ----------- Dreyfus U.S. Government Securities Portfolio... (42) 30 Year U.S. Treasury Bond contracts $3,892,325 March 2000 $72,949 1 10 Year U.S. Treasury Note contract 97,750 March 2000 (1,891) Endeavor Enhanced Index Portfolio.............. 12 S&P 500 contracts 4,317,435 March 2000 135,161 Endeavor Asset Allocation Portfolio... 56 2 Year U.S. Treasury Note contracts 11,183,809 March 2000 (61,683) 19 5 Year U.S. Treasury Note contracts 1,887,651 March 2000 (25,354) (49) 10 Year U.S. Treasury Note contracts 4,787,176 March 2000 90,067 (29) 30 Year U.S. Treasury Bond contracts 2,740,471 March 2000 103,283
Options: Certain of the Portfolios may purchase or write options which are exchange traded to hedge fluctuation risks in the prices of certain securities. When a Portfolio writes a call or put option, an amount equal to the premium received is reflected as a liability. The liability is subsequently "marked-to-market" to reflect the current market value of the option written. The premium paid by a Portfolio for the purchase of a call or put option is recorded as an investment and subsequently "marked-to-market" to reflect the current market value of the option purchased. The Portfolio is subject to the risk of an imperfect correlation between movement in the price of the instrument and the price of the underlying security or transaction. Risks may also arise due to illiquid secondary markets for the instruments. Forward Foreign Currency Contracts: Dreyfus U.S. Government Securities Portfolio, Endeavor Opportunity Value Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio, T. Rowe Price International Stock Portfolio, Endeavor Select 50 Portfolio, Endeavor High Yield Portfolio and Endeavor Janus Growth Portfolio may engage in forward foreign currency exchange contracts. A Portfolio engages in forward foreign currency exchange transactions to protect against changes in future exchange rates. Forward foreign currency exchange contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Portfolio as an unrealized gain or loss. When the contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of a Portfolio's securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, a Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. 90 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999 Foreign Currency: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investment securities, and items of income and expense, are translated on the respective dates of such transactions. Unrealized gains and losses which result from changes in foreign currency exchange rates have been included in the unrealized appreciation/(depreciation) of investments and net other assets. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gains and losses on investment securities sold. Repurchase Agreements: The Portfolios may enter into repurchase agreements with a bank, broker-dealer or other financial institution, which are secured by obligations of the U.S. government. Each repurchase agreement is at least 100% collateralized. However, in the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral may be subject to certain costs, losses or delays. Dividends and Distributions to Shareholders: Dividends, if any, from net investment income of all Portfolios except Endeavor Money Market Portfolio are declared and paid at least annually. Dividends from net investment income of the Endeavor Money Market Portfolio are declared daily and paid monthly. For all Portfolios, all net realized long-term or short-term capital gains, if any, will be declared and distributed at least annually. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income, gains and losses on various investment securities held by a Portfolio, timing differences in the recognition of income, gains and losses and differing characterizations of distributions made by the Portfolios. Federal Income Taxes: The Fund intends that each Portfolio separately qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and by distributing substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. 2.Investment Management Fee, Administrative Fee, Investment Advisory Fee and Other Related Party Transactions The Fund is managed by Endeavor Management Co. (the "Investment Manager") pursuant to a management agreement. The Investment Manager is responsible for providing investment management and administrative services to the Fund, including selecting the investment advisers (the "Advisers") for the Fund's Portfolios. As compensation for these services, the Fund pays the Investment Manager a monthly fee based on a percentage of the average daily net assets of each Portfolio at the following annual rates: Dreyfus Small Cap Value Portfolio--.80%; Dreyfus U.S. Government Securities Portfolio--.65%; Endeavor Enhanced Index Portfolio--.75%; Endeavor Opportunity Value Portfolio--.80%; Endeavor Value Equity Portfolio--.80%; Endeavor Asset Allocation Portfolio-- .75%; Endeavor Money Market Portfolio--.50%; T. Rowe Price Equity Income Portfolio--.80%, T. Rowe Price Growth Stock Portfolio--.80%; T. Rowe Price International Stock Portfolio--.90%; Endeavor Select 50 Portfolio--1.10%; Endeavor High Yield Portfolio--.775%; Endeavor Janus Growth Portfolio--.80%. For the Endeavor Janus Growth Portfolio the Investment Manager limited its annual fee to .775% of the Portfolio's average daily net assets for the period ended December 31, 1999. At December 31, 1999, the Fund had a liability for investment management fees payable to the Investment Manager of $1,952,957. Effective December 1, 1999, First Data Investor Services Group, Inc. ("Investor Services Group"), the Fund's Administrator and Transfer Agent, became a majority-owned subsidiary of PNC Bank Corp. As a result of this transaction, Investor Services Group is now known as PFPC ("PFPC"). 91 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999 From the management fees, the Investment Manager pays the expenses of providing investment advisory services to the Portfolios, including the fees of the Adviser of each Portfolio. PFPC assists the Investment Manager in the performance of its administrative responsibilities to the Fund. As compensation for these services, the Investment Manager pays PFPC a flat fee of $770,000 per annum. In addition, if the aggregate net assets of the thirteen Portfolios exceed $1 billion, PFPC shall also be entitled to receive an additional fee of 0.01% of any net assets in excess of $1 billion. For the first year of operations of Endeavor Select 50, Endeavor High Yield, and Endeavor Janus Growth Portfolio, PFPC has agreed to waive $10,000 of its fees. Prior to July 2, 1999, the Endeavor Select 50 Portfolio, Endeavor High Yield Portfolio, and Endeavor Janus Growth Portfolio reimbursed the Investment Manager $40,000 each on an annual basis. Effective July 2, 1999, each Portfolio reimburses the Investment Manager for its proportionate share of the administrative fees paid to PFPC. PFPC also serves as the Fund's transfer agent. The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Bank Corporation, serves as the Adviser to Dreyfus Small Cap Value Portfolio and Dreyfus U.S. Government Securities Portfolio. As compensation for its services as investment adviser, the Manager pays Dreyfus a monthly fee based on a percentage of the average daily net assets of each Portfolio at the following annual rates: Dreyfus Small Cap Value Portfolio--.375% and Dreyfus U.S. Government Securities Portfolio--.15%. J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary of J.P. Morgan and Co. Incorporated, serves as the Adviser to Endeavor Enhanced Index Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Morgan a monthly fee at an annual rate of .35% of the average daily net assets of the Portfolio. OpCap Advisors ("OpCap"), a subsidiary of Oppenheimer Capital, serves as the Adviser to Endeavor Opportunity Value Portfolio and Endeavor Value Equity Portfolio pursuant to separate investment advisory agreements between the Investment Manager and OpCap. As compensation for its services as investment adviser, the Investment Manager pays OpCap a monthly fee at the annual rate of .40% of the average daily net assets of each Portfolio. Morgan Stanley Asset Management Inc. ("Morgan Stanley"), a subsidiary of Morgan Stanley Dean Witter & Co., serves as the Adviser to Endeavor Asset Allocation Portfolio and Endeavor Money Market Portfolio pursuant to separate investment advisory agreements between the Investment Manager and Morgan Stanley. As compensation for its services as investment adviser, the Investment Manager pays Morgan Stanley a monthly fee based on a percentage of the average daily net assets of each Portfolio at the following annual rates: Endeavor Asset Allocation Portfolio--.375% and Endeavor Money Market Portfolio--.25%. T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to T. Rowe Price Equity Income Portfolio and T. Rowe Price Growth Stock Portfolio. As compensation for its services as investment adviser, the Investment Manager pays T. Rowe Price a monthly fee at the annual rate of .40% of the average daily net assets of each Portfolio. Rowe Price-Fleming International, Inc. ("Price-Fleming"), a joint venture between T. Rowe Price and Robert Fleming Holdings Limited, serves as the Adviser to T. Rowe Price International Stock Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Price-Fleming a monthly fee at the annual rate of .75% of the average daily net assets of the Portfolio up to $20 million, .60% of the average daily net assets of the Portfolio in excess of $20 million up to $50 million and .50% of the average daily net assets of the Portfolio in excess of $50 million. At such time as the average daily net assets of the Portfolio exceed $200 million, the fee shall be .50% of total average daily net assets. Montgomery Asset Management LLC ("Montgomery"), a wholly-owned subsidiary of Commerzbank AG, serves as Adviser to Endeavor Select 50 Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Montgomery a fee at the annual rate of .70% of the average daily net assets of the Portfolio. Massachusetts Financial Services Company ("MFS"), a subsidiary of Sun Life Assurance Company of Canada (U.S.), serves as the Adviser to Endeavor High Yield Portfolio. As compensation for its services as investment adviser, the Investment Manager pays MFS a fee at the annual rate of .375% of the average daily net assets of the Portfolio. 92 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999 Janus Capital Corporation ("Janus Capital") serves as the Adviser to Endeavor Janus Growth Portfolio. As compensation for its services as investment adviser, the Investment Manager pays Janus Capital a fee at the annual rate of .50% of the average daily net assets of the Portfolio. For the period ended December 31, 1999, Janus Capital waived .10% of the annual fee. From time to time the Investment Manager may waive a portion or all of the fees otherwise payable to it and/or reimburse expenses. For the year ended December 31, 1999, the Investment Manager has voluntarily undertaken to waive its fees and has agreed to bear certain expenses so that total expenses do not exceed the following percentages of the respective Portfolio's average daily net assets: Dreyfus Small Cap Value Portfolio--1.30%, Dreyfus U.S. Government Securities Portfolio--1.00%, Endeavor Enhanced Index Portfolio--1.30%, Endeavor Opportunity Value Portfolio--1.30%, Endeavor Value Equity Portfolio-- 1.30%, Endeavor Asset Allocation Portfolio--1.25%, Endeavor Money Market Portfolio--.99%, T. Rowe Price Equity Income Portfolio--1.30%, T. Rowe Price Growth Stock Portfolio--1.30%, T. Rowe Price International Stock Portfolio-- 1.53%, Endeavor Select 50 Portfolio--1.50%, Endeavor High Yield Portfolio-- 1.30% and Endeavor Janus Growth Portfolio--.87%. Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of Mellon Bank Corporation, serves as the Fund's custodian. Boston Safe Deposit and Trust Company has agreed to compensate the Portfolios and decrease custody fees for cash balances left uninvested by each Portfolio. For the year ended December 31, 1999, the Fund's custodial expenses were reduced by $244,812. For the year ended December 31, 1999, the Fund incurred total brokerage commissions of $3,399,138, of which $917 was paid to Jardine Fleming Group Ltd. and $3,153 was paid to Robert Fleming Holdings Ltd., brokers affiliated with T. Rowe Price International Stock Portfolio. The Fund has asked the Advisers to direct certain portfolio trades, subject to obtaining the best price and execution, to brokers who have agreed to share the brokerage commissions with the Fund's distributor. The recaptured commissions are used solely to promote the marketing of the Fund's shares. For the year ended December 31, 1999, the recaptured commissions amount to as follows: Dreyfus Small Cap Value Portfolio--$519,184, Endeavor Opportunity Value Portfolio-- $26,151, Endeavor Value Equity Portfolio--$175,545, Endeavor Asset Allocation Portfolio $76,797, T. Rowe Price Equity Income Portfolio--$23,039 and T. Rowe Price Growth Stock Portfolio--$9,160. No director, officer or employee of the Investment Manager, the Advisers or PFPC received any compensation from the Fund for serving as an officer or Trustee of the Fund. The Fund pays each Trustee who is not a director, officer or employee of the Manager, the Advisers, PFPC or any of their affiliates $18,000 per annum plus $2,500 per Board or Committee meeting attended and reimburses them for travel and out-of-pocket expenses. 3. Purchases and Sales of Securities Purchases and proceeds from sales of securities, excluding short-term investments, for the year ended December 31, 1999 were as follows:
Purchases Sales ------------------------- ------------------------- U. S. U.S. Government Other Government Other ------------ ------------ ------------ ------------ Dreyfus Small Cap Value Portfolio................ $350,381,128 $362,395,131 Dreyfus U.S. Government Securities Portfolio..... $392,926,433 142,465,544 $368,951,193 148,931,095 Endeavor Enhanced Index Portfolio................ 127,464,618 57,588,391 Endeavor Opportunity Value Portfolio................ 17,828,009 23,412,456 Endeavor Value Equity Portfolio................ 111,286,236 135,830,502 Endeavor Asset Allocation Portfolio................ 618,420,317 252,915,155 617,672,393 271,015,419 T. Rowe Price Equity Income Portfolio......... 89,645,248 92,847,727 T. Rowe Price Growth Stock Portfolio................ 155,555,421 135,691,325 T. Rowe Price International Stock Portfolio................ 53,971,783 68,851,605 Endeavor Select 50 Portfolio................ 40,749,388 39,020,661 Endeavor High Yield Portfolio................ 20,239,309 11,034,847 Endeavor Janus Growth Portfolio................ 978,475,859 322,261,829
93 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999 4.Shares of Beneficial Interest The Fund has authorized an unlimited number of shares of beneficial interest without par value of one or more series. Shares of the Fund are presently divided into thirteen series of shares, each series representing one of the Fund's thirteen Portfolios. Since the Endeavor Money Market Portfolio has sold shares, issued shares as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown below for such transactions. Changes in shares of beneficial interest were as follows:
Year Ended Year Ended 12/31/99 12/31/98 ------------------------ ------------------------ Shares Amount Shares Amount ---------- ------------ ---------- ------------ Dreyfus Small Cap Value Portfolio: Sold...................... 2,775,515 $ 41,416,787 2,899,864 $ 42,743,796 Issued as reinvestment of dividends................ 1,103,293 16,262,533 1,295,096 20,190,540 Redeemed.................. (3,721,600) (54,434,507) (1,883,943) (26,685,671) ---------- ------------ ---------- ------------ Net increase.............. 157,208 $ 3,244,813 2,311,017 $ 36,248,665 ========== ============ ========== ============ Year Ended Year Ended 12/31/99 12/31/98 ------------------------ ------------------------ Shares Amount Shares Amount ---------- ------------ ---------- ------------ Dreyfus U.S. Government Securities Portfolio: Sold...................... 2,044,213 $ 24,345,506 3,690,177 $ 44,539,243 Issued as reinvestment of dividends................ 428,658 4,955,287 170,284 2,007,843 Redeemed.................. (1,935,546) (22,725,292) (1,053,685) (12,779,058) ---------- ------------ ---------- ------------ Net increase.............. 537,325 $ 6,575,501 2,806,776 $ 33,768,028 ========== ============ ========== ============ Year Ended Year Ended 12/31/99 12/31/98 ------------------------ ------------------------ Shares Amount Shares Amount ---------- ------------ ---------- ------------ Endeavor Enhanced Index Portfolio: Sold...................... 5,587,298 $ 94,614,865 4,215,132 $ 59,485,332 Issued as reinvestment of dividends................ 252,468 4,269,241 9,636 135,390 Redeemed.................. (1,344,272) (22,514,200) (1,853,116) (26,091,026) ---------- ------------ ---------- ------------ Net increase.............. 4,495,494 $ 76,369,906 2,371,652 $ 33,529,696 ========== ============ ========== ============ Year Ended Year Ended 12/31/99 12/31/98 ------------------------ ------------------------ Shares Amount Shares Amount ---------- ------------ ---------- ------------ Endeavor Opportunity Value Portfolio: Sold...................... 632,016 $ 7,673,642 1,806,222 $ 22,044,219 Issued as reinvestment of dividends................ 69,517 889,122 35,206 441,487 Redeemed.................. (850,716) (10,451,346) (398,330) (4,768,584) ---------- ------------ ---------- ------------ Net increase/(decrease)... (149,183) $ (1,888,582) 1,443,098 $ 17,717,122 ========== ============ ========== ============ Year Ended Year Ended 12/31/99 12/31/98 ------------------------ ------------------------ Shares Amount Shares Amount ---------- ------------ ---------- ------------ Endeavor Value Equity Portfolio: Sold...................... 786,486 $ 16,486,204 1,927,902 $ 41,464,781 Issued as reinvestment of dividends................ 548,164 12,273,399 297,346 6,606,489 Redeemed.................. (2,199,695) (46,545,880) (1,309,035) (27,614,919) ---------- ------------ ---------- ------------ Net increase/(decrease)... (865,045) $(17,786,277) 916,213 $ 20,456,351 ========== ============ ========== ============
94 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999
Year Ended Year Ended 12/31/99 12/31/98 ----------------------- ----------------------- Shares Amount Shares Amount ---------- ----------- ---------- ----------- Endeavor Asset Allocation Portfolio: Sold........................ 1,590,529 $34,131,322 1,760,590 $40,360,655 Issued as reinvestment of dividends.................. 4,552,729 87,594,497 1,453,955 32,423,186 Redeemed.................... (2,795,981) (60,910,027) (2,003,298) (45,321,991) ---------- ----------- ---------- ----------- Net increase................ 3,347,277 $60,815,792 1,211,247 $27,461,850 ========== =========== ========== ===========
Year Ended Year Ended 12/31/99 12/31/98 ----------------- ----------------- Shares and Amount Shares and Amount ----------------- ----------------- Endeavor Money Market Portfolio: Sold........................................ $ 326,363,081 $125,313,555 Issued as reinvestment of dividends......... 5,423,292 3,172,335 Redeemed.................................... (297,943,998) (78,716,738) ------------- ------------ Net increase................................ $ 33,842,375 $ 49,769,152 ============= ============
Year Ended Year Ended 12/31/99 12/31/98 -------------------------- ------------------------ Shares Amount Shares Amount ----------- ------------- ---------- ------------ T. Rowe Price Equity Income Portfolio: Sold.................... 1,719,791 $ 34,727,686 3,467,152 $ 68,060,919 Issued as reinvestment of dividends........... 802,394 16,874,339 584,990 11,454,107 Redeemed................ (2,036,067) (41,328,994) (1,163,019) (21,989,566) ----------- ------------- ---------- ------------ Net increase............ 486,118 $ 10,273,031 2,889,123 $ 57,525,460 =========== ============= ========== ============ Year Ended Year Ended 12/31/99 12/31/98 -------------------------- ------------------------ Shares Amount Shares Amount ----------- ------------- ---------- ------------ T. Rowe Price Growth Stock Portfolio: Sold.................... 2,044,360 $ 52,013,760 2,192,769 $ 50,311,764 Issued as reinvestment of dividends........... 701,291 17,286,833 301,037 6,779,279 Redeemed................ (1,361,342) (34,218,892) (833,503) (18,588,792) ----------- ------------- ---------- ------------ Net increase............ 1,384,309 $ 35,081,701 1,660,303 $ 38,502,251 =========== ============= ========== ============ Year Ended Year Ended 12/31/99 12/31/98 -------------------------- ------------------------ Shares Amount Shares Amount ----------- ------------- ---------- ------------ T. Rowe Price International Stock Portfolio: Sold.................... 14,257,730 $ 250,830,817 1,639,660 $ 25,500,438 Issued as reinvestment of dividends........... 285,806 4,627,207 162,553 2,589,463 Redeemed................ (15,007,597) (265,311,770) (1,968,079) (30,038,492) ----------- ------------- ---------- ------------ Net decrease............ (464,061) $ (9,853,746) (165,866) $ (1,948,591) =========== ============= ========== ============ Year Ended Period Ended 12/31/99 12/31/98# -------------------------- ------------------------ Shares Amount Shares Amount ----------- ------------- ---------- ------------ Endeavor Select 50 Portfolio: Sold.................... 1,033,646 $ 13,146,679 2,611,380 $ 27,024,440 Issued as reinvestment of dividends........... -- -- -- -- Redeemed................ (780,428) (9,116,452) (279,573) (2,844,338) ----------- ------------- ---------- ------------ Net increase............ 253,218 $ 4,030,227 2,331,807 $ 24,180,102 =========== ============= ========== ============ Year Ended Period Ended 12/31/99 12/31/98## -------------------------- ------------------------ Shares Amount Shares Amount ----------- ------------- ---------- ------------ Endeavor High Yield Portfolio: Sold.................... 1,433,947 $ 14,306,667 1,070,942 $ 10,468,162 Issued as reinvestment of dividends........... 25,299 252,489 -- -- Redeemed................ (489,807) (4,855,309) (57,450) (556,173) ----------- ------------- ---------- ------------ Net increase............ 969,439 $ 9,703,847 1,013,492 $ 9,911,989 =========== ============= ========== ============
95 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999
Year Ended 12/31/99### ------------------------ Shares Amount ---------- ------------ Endeavor Janus Growth Portfolio: Sold................................................. 1,379,867 $105,431,394 Conversion proceeds from WRL Series Fund............. 10,610,293 741,495,920 Redeemed............................................. (821,458) (60,525,170) ---------- ------------ Net increase......................................... 11,168,702 $786,402,144 ========== ============
- ----------- #The Endeavor Select 50 Portfolio commenced operations on February 3, 1998. ##The Endeavor High Yield Portfolio commenced operations on June 1, 1998. ###The Endeavor Janus Growth Portfolio commenced operations on May 1, 1999. 5.Endeavor Series Trust Conversion On May 1, 1999, the WRL Growth Portfolio converted 19.95% of its assets into the Endeavor Janus Growth Portfolio in a taxable exchange. The net assets of the WRL Growth Portfolio immediately before the conversion were $3,716,778,810. At the time of this conversion 10,610,293 shares of Endeavor Janus Growth Portfolio were issued. The net assets of Endeavor Janus Growth Portfolio after the conversion were $741,495,920. 6.Organization Costs Organization costs are amortized on a straight-line basis over a period of five years from the commencement of operations of each Portfolio for Portfolios which commenced operations prior to July 1, 1998. For Portfolios commencing operations after July 1, 1998, organization costs are expensed as they occur. In the event that any of the initial shares (Dreyfus Small Cap Value Portfolio--10 shares, Dreyfus U.S. Government Securities Portfolio--10 shares, Endeavor Enhanced Index Portfolio--10 shares, Endeavor Opportunity Value Portfolio--10 shares, Endeavor Value Equity Portfolio--10 shares, Endeavor Asset Allocation Portfolio--10,000 shares, Endeavor Money Market Portfolio--100,000 shares, T. Rowe Price Equity Income Portfolio--10 shares, T. Rowe Price Growth Stock Portfolio--10 shares, T. Rowe Price International Stock Portfolio--10,000 shares, Endeavor Select 50 Portfolio--10 shares, Endeavor High Yield Portfolio--10 shares, and Endeavor Janus Growth Portfolio--10 shares) owned by a separate account of PFL Life Insurance Company are redeemed during such amortization period, the redemption proceeds will be reduced for any unamortized organization costs in the same proportion as the number of shares redeemed bears to the number of initial shares outstanding at the time of the redemption. The Fund bears the expense of registering and qualifying the shares of the various Portfolios for distribution under Federal and state securities regulations. As of December 31, 1999, all such costs for the Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Value Equity Portfolio, Endeavor Asset Allocation Portfolio, Endeavor Money Market Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio, and T. Rowe Price International Stock Portfolio have been fully amortized. 7.Concentration of Risk The Portfolios may invest in foreign securities. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in the securities of U.S. companies and the U.S. government. These risks include re-valuation of currencies and future adverse political and economic developments. These risks are heightened for investments in emerging market countries. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. The Endeavor High Yield Portfolio invests in securities offering high current income which generally will be in the lower rating categories of recognized ratings agencies (so-called "junk bonds"). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. Each Portfolio may invest up to 15% (10% with respect to Endeavor Money Market Portfolio) of its net assets in illiquid securities, including securities that are not readily marketable, securities that are restricted as to disposition under Federal securities laws or otherwise, repurchase agreements maturing in more than seven days, interest only 96 Notes to Financial Statements -- (Continued) Endeavor Series Trust December 31, 1999 and principal only mortgage-backed securities, certain options traded in the over-the-counter market and the securities to which such options relate. In purchasing securities which cannot be sold by a Portfolio without registration under the Securities Act of 1933, as amended, a Portfolio will endeavor to obtain the right to registration at the expense of the issuer. There generally will be a lapse of time between the decision by a Portfolio to sell any such security and the registration of the security permitting the sale. During any such period, the security will be subject to market fluctuations. 8.Federal Income Taxes For the year ended December 31, 1999, permanent differences in book and tax accounting have been reclassified at year end to undistributed net investment income, accumulated realized gain/(loss) and paid-in capital as follows:
Increase/(Decrease) Increase/(Decrease) Increase/(Decrease) Paid-in Undistributed Net Accumulated Capital Investment Income Realized Gain/(Loss) ------------------- ------------------- -------------------- Dreyfus Small Cap Value Portfolio.............. -- $ 456,820 $ (456,820) Dreyfus U.S. Government Securities Portfolio... -- (10,000) 10,000 Endeavor Enhanced Index Portfolio.............. (4,997) 4,997 -- Endeavor Opportunity Value Portfolio........ (4,794) 4,794 -- Endeavor Value Equity Portfolio.............. -- -- -- Endeavor Asset Allocation Portfolio... -- 11,440 (11,440) Endeavor Money Market Portfolio.............. -- -- -- T. Rowe Price Equity Income Portfolio....... (2,361) (104,592) 106,953 T. Rowe Price Growth Stock Portfolio........ (2,360) (193,447) 195,807 T. Rowe Price International Stock Portfolio.............. -- (236,997) 236,997 Endeavor Select 50 Portfolio.............. 50,138 (12,084) (38,054) Endeavor High Yield Portfolio.............. (4,479) 4,479 -- Endeavor Janus Growth... (483,669) 483,669 --
At December 31, 1999, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value were as follows:
Tax Basis Tax Basis Tax Basis Net Unrealized Unrealized Unrealized Appreciation / Appreciation Depreciation (Depreciation) ------------ ------------ -------------- Dreyfus Small Cap Value Portfolio.... $ 21,256,668 $21,104,576 $ 152,092 Dreyfus U.S. Government Securities Portfolio........................... 113,575 2,932,443 (2,818,868) Endeavor Enhanced Index Portfolio.... 27,798,857 12,699,950 15,098,907 Endeavor Opportunity Value Portfolio........................... 4,302,231 3,397,204 905,027 Endeavor Value Equity Portfolio...... 46,671,741 22,686,919 23,984,822 Endeavor Asset Allocation Portfolio.. 106,034,307 11,432,983 94,601,324 T. Rowe Price Equity Income Portfolio........................... 38,334,035 24,996,100 13,337,935 T. Rowe Price Growth Stock Portfolio........................... 74,584,106 10,223,438 64,360,668 T. Rowe Price International Stock Portfolio........................... 83,352,616 8,129,129 75,223,487 Endeavor Select 50 Portfolio......... 9,283,220 1,299,333 7,983,887 Endeavor High Yield Portfolio........ 464,082 907,308 (443,226) Endeavor Janus Growth Portfolio...... 304,728,186 7,581,304 297,146,882
As of December 31, 1999, the Portfolios had available for federal tax purposes unused capital loss carryforwards as follows:
Expiring in 2007 Expiring in 2006 ---------------- ---------------- Dreyfus U.S. Government Securities Portfolio.................................. $ 1,797,536 -- Endeavor High Yield Portfolio............... 149,375 84,613 Endeavor Janus Growth Portfolio............. 16,306,322 --
97 Report of Ernst & Young, LLP, Independent Auditors Endeavor Series Trust December 31, 1999 To the Shareholders and Board of Trustees Endeavor Series Trust We have audited the accompanying statements of net assets of Endeavor Series Trust (comprising, respectively, the Dreyfus Small Cap Value, Dreyfus U.S. Government Securities, Endeavor Enhanced Index, Endeavor Opportunity Value, Endeavor Value Equity, Endeavor Asset Allocation, Endeavor Money Market, T. Rowe Price Equity Income, T. Rowe Price Growth Stock, T. Rowe Price International Stock, Endeavor Select 50, Endeavor High Yield, and Endeavor Janus Growth Portfolios) (the "Funds") as of December 31, 1999, and the related statements of operations, statements of changes in net assets and financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 1999, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above listed Funds constituting Endeavor Series Trust at December 31, 1999, and the results of their operations, changes in their net assets and their financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States. /s/ Ernst & Young LLP Philadelphia, Pennsylvania February 4, 2000 98 Tax Information (Unaudited) Endeavor Series Trust December 31, 1999 The amounts of long term capital gain distributions paid for the fiscal year ended December 31, 1999 were as follows: Dreyfus Small Cap Value Portfolio.................................. $11,732,693 Dreyfus U.S. Government Securities Portfolio....................... $ 477,444 Endeavor Enhanced Index Portfolio.................................. $ 878,953 Endeavor Opportunity Value Portfolio............................... $ 419,666 Endeavor Value Equity Portfolio.................................... $ 9,660,903 Endeavor Asset Allocation Portfolio................................ $81,460,029 T. Rowe Price Equity Income Portfolio.............................. $ 8,766,549 T. Rowe Price Growth Stock Portfolio............................... $16,715,892 T. Rowe Price International Stock Portfolio........................ $ 1,807,333
99 Special Meeting of Shareholders (Unaudited) Endeavor Series Trust July 2, 1999 At a special meeting of the shareholders of the Portfolios (except Endeavor Janus Growth Portfolio) of Endeavor Series Trust held on July 2, 1999: (i) An amendment to the management agreement between Endeavor Series Trust and the Investment Manager (all Portfolios except Endeavor Select 50 Portfolio and Endeavor High Yield Portfolio) was approved by the shareholders as follows:
Endeavor Asset Endeavor Money Allocation Portfolio Market Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 89.940% (125,626,179.088) 93.233% (84,664,279.232) Against...................... 3.994% (5,578,047.888) 2.460% (2,233,895.542) Abstain...................... 6.066% (8,473,311.601) 4.307% (3,910,751.073) T. Rowe Price International Stock Endeavor Value Portfolio Equity Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.301% (106,232,662.456) 89.928% (96,616,635.064) Against...................... 3.006% (3,536,383.861) 3.446% (3,701,442.616) Abstain...................... 6.693% (7,874,064.796) 6.626% (7,119,172.491) Dreyfus U.S. Dreyfus Small Cap Government Securities Value Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 91.054% (74,499,463.227) 89.476% (62,713,924.370) Against...................... 3.491% (2,856,321.729) 4.256% (2,983,440.123) Abstain...................... 5.455% (4,463,024.137) 6.268% (4,392,977.441) T. Rowe Price Equity T. Rowe Price Growth Income Portfolio Stock Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 89.178% (111,353,457.047) 90.138% (70,619,761.642) Against...................... 4.320% (5,394,255.509) 3.591% (2,813,164.820) Abstain...................... 6.502% (8,118,607.436) 6.271% (4,913,019.623) Endeavor Opportunity Endeavor Enhanced Value Portfolio Index Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 91.012% (33,362,069.714) 92.778% (47,192,619.099) Against...................... 2.606% (955,454.002) 2.043% (1,038,755.273) Abstain...................... 6.382% (2,339,293.349) 5.179% (2,634,564.092) (ii) A new management agreement between Endeavor Series Trust and the Investment Manager relating to all the Portfolios was approved by the shareholders as follows: Endeavor Asset Endeavor Money Allocation Portfolio Market Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.813% (126,845,345.437) 93.367% (84,785,811.417) Against...................... 3.105% (4,336,759.787) 2.280% (2,070,080.105) Abstain...................... 6.082% (8,495,433.353) 4.353% (3,953,034.325)
100 Special Meeting of Shareholders (Unaudited) Endeavor Series Trust July 2, 1999
T. Rowe Price International Stock Endeavor Value Portfolio Equity Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.454% (106,413,406.324) 90.620% (97,359,539.017) Against...................... 2.612% (3,073,490.969) 2.924% (3,141,466.038) Abstain...................... 6.934% (8,157,213.820) 6.456% (6,936,245.116) Dreyfus U.S. Dreyfus Small Cap Government Securities Value Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 91.377% (74,763,733.144) 90.020% (63,095,297.118) Against...................... 3.040% (2,486,744.166) 3.701% (2,593,880.482) Abstain...................... 5.583% (4,568,331.783) 6.279% (4,401,164.334) Endeavor High Yield Endeavor Select 50 Portfolio Portfolio %(Number) of %(Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 96.365% (14,040,553.988) 93.375% (19,916,743.536) Against...................... 0.436% (63,525.984) 1.371% (292,432.186) Abstain...................... 3.199% (466,100.059) 5.254% (1,120,670.099) T. Rowe Price Equity T. Rowe Price Growth Income Portfolio Stock Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.016% (112,399,591.809) 90.520% (70,918,460.378) Against...................... 3.370% (4,208,316.391) 3.078% (2,411,950.537) Abstain...................... 6.614% (8,258,411.792) 6.402% (5,015,535.170) Endeavor Opportunity Endeavor Enhanced Value Portfolio Index Portfolio % (Number)of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 91.915% (33,692,942.048) 93.401% (47,509,280.972) Against...................... 1.745% (639,929.575) 1.426% (725,171.674) Abstain...................... 6.340% (2,323,945.442) 5.173% (2,631,485.818) (iii) New investment advisory agreements between the Investment Manager and each Portfolio's investment adviser were approved by the shareholders as follows: Endeavor Asset Endeavor Money Allocation Portfolio Market Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.970% (127,064,611.711) 93.828% (85,204,065.440) Against...................... 3.122% (4,361,127.367) 1.876% (1,703,925.128) Abstain...................... 5.908% (8,251,799.499) 4.296% (3,900,935.279) T. Rowe Price International Stock Endeavor Value Portfolio Equity Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.762% (106,774,719.513) 90.908% (97,669,068.513) Against...................... 2.423% (2,851,109.816) 2.606% (2,799,381.511) Abstain...................... 6.815% (8,017,281.784) 6.486% (6,968,800.147)
101 Special Meeting of Shareholders (Unaudited) Endeavor Series Trust July 2, 1999
Dreyfus U.S. Dreyfus Small Cap Government Securities Value Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 91.601% (74,947,007.577) 90.123% (63,167,614.669) Against...................... 2.880% (2,356,498.367) 3.658% (2,563,861.876) Abstain...................... 5.519% (4,515,303.149) 6.219% (4,358,865.389) T. Rowe Price Equity T. Rowe Price Growth Income Portfolio Stock Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.535% (113,047,435.269) 91.125% (71,392,810.099) Against...................... 2.839% (3,545,761.909) 2.571% (2,014,003.795) Abstain...................... 6.626% (8,273,122.814) 6.304% (4,939,132.191) Endeavor Opportunity Enhanced Index Value Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 92.039% (33,738,586.364) 93.681% (47,651,529.333) Against...................... 1.499% (549,312.321) 1.271% (646,899.233) Abstain...................... 6.462% (2,368,918.380) 5.048% (2,567,509.898) Endeavor High Yield Endeavor Select 50 Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 96.365% (14,040,553.988) 94.521% (20,161,183.569) Against...................... 0.436% (63,525.984) 0.775% (165,306.305) Abstain...................... 3.199% (466,100.059) 4.704% (1,003,355.947) (iv) A proposal to permit the Investment Manager to hire and replace investment advisers or to modify investment advisory agreements without shareholder approval for all of the Portfolios was approved by the shareholders as follows: Endeavor Asset Endeavor Money Allocation Portfolio Market Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 89.075% (124,417,423.287) 92.218% (83,742,144.461) Against...................... 4.683% (6,541,173.805) 3.239% (2,941,015.474) Abstain...................... 6.242% (8,718,941.485) 4.543% (4,125,765.912) T. Rowe Price International Stock Endeavor Value Portfolio Equity Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 89.135% (104,861,372.073) 88.419% (94,994,506.501) Against...................... 3.957% (4,654,791.246) 5.030% (5,405,062.371) Abstain...................... 6.908% (8,126,947.794) 6.551% (7,037,681.299) Dreyfus U.S. Dreyfus Small Cap Government Securities Value Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.154% (73,762,723.757) 88.574% (62,081,486.913) Against...................... 4.215% (3,448,496.397) 4.921% (3,449,410.763) Abstain...................... 5.631% (4,607,588.939) 6.505% (4,559,444.258)
102 Special Meeting of Shareholders (Unaudited) Endeavor Series Trust July 2, 1999
T. Rowe Price Equity T. Rowe Price Growth Income Portfolio Stock Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 88.044% (109,936,683.831) 88.420% (69,273,666.034) Against...................... 4.997% (6,239,839.256) 5.028% (3,938,931.362) Abstain...................... 6.959% (8,689,796.905) 6.552% (5,133,348.689) Endeavor Opportunity Endeavor Enhanced Value Portfolio Index Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.994% (33,355,369.118) 91.188% (46,383,643.922) Against...................... 2.364% (866,578.909) 3.640% (1,851,543.209) Abstain...................... 6.642% (2,434,869.038) 5.172% (2,630,751.333) Endeavor High Yield Endeavor Select 50 Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 95.213% (13,872,705.514) 91.684% (19,556,055.844) Against...................... 1.603% (233,559.985) 3.183% (678,928.992) Abstain...................... 3.184% (463,914.532) 5.133% (1,094,860.985) (v) The adoption of uniform policies concerning borrowing by all of the Portfolios were approved by the shareholders as follows: Endeavor Asset Endeavor Money Allocation Portfolio Market Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 91.204% (127,392,019.364) 91.950% (83,499,240.668) Against...................... 2.890% (4,036,485.433) 3.695% (3,354,771.279) Abstain...................... 5.906% (8,249,033.780) 4.355% (3,954,913.900) T. Rowe Price International Stock Endeavor Value Portfolio Equity Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.999% (107,054,451.781) 90.808% (97,561,374.287) Against...................... 2.543% (2,991,465.333) 2.730% (2,932,912.937) Abstain...................... 6.458% (7,597,193.999) 6.462% (6,942,962.947) Dreyfus U.S. Dreyfus Small Cap Government Securities Value Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 92.020% (75,289,590.179) 91.889% (64,405,228.876) Against...................... 2.759% (2,257,731.657) 2.076% (1,455,191.228) Abstain...................... 5.221% (4,271,487.257) 6.035% (4,229,921.830) T. Rowe Price Equity T. Rowe Price Growth Income Portfolio Stock Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ------------------------ ----------------------- For.......................... 90.287% (112,737,672.759) 91.057% (71,339,161.816) Against...................... 3.239% (4,044,811.177) 2.528% (1,980,543.182) Abstain...................... 6.474% (8,083,836.056) 6.415% (5,026,241.087)
103 Special Meeting of Shareholders (Unaudited) Endeavor Series Trust July 2, 1999
Endeavor Opportunity Endeavor Enhanced Value Portfolio Index Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ----------------------- ----------------------- For........................... 91.580% (33,570,276.917) 93.653% (47,637,610.045) Against....................... 2.109% (773,302.549) 1.389% (706,540.803) Abstain....................... 6.311% (2,313,237.599) 4.958% (2,521,787.616) Endeavor High Yield Endeavor Select 50 Portfolio Portfolio % (Number) of % (Number) of Shares Voting Shares Voting ----------------------- ----------------------- For........................... 96.721% (14,092,423.829) 94.660% (20,190,832.055) Against....................... 0.123% (17,921.321) 0.695% (148,242.428) Abstain....................... 3.156% (459,834.881) 4.645% (990,771.338)
(vi) An amendment to the Dreyfus U. S. Government Securities Portfolio's investment restriction regarding illiquid securities and a change of this restriction to non-fundamental was approved by the shareholders as follows:
Dreyfus U.S. Government Securities Portfolio % (Number) of Shares Voting ----------------------- For.................................................... 89.135% (62,475,339.529) Against................................................ 3.911% (2,741,045.021) Abstain................................................ 6.954% (4,873,957.384)
(vii) The election of Trustees of Endeavor Series Trust was approved by the shareholders of all Portfolios as follows:
Withholding For Authority --------------- -------------- Vincent J. McGuinness, Jr. ...................... 885,021,631.109 49,089,393.084 Vincent J. McGuinness............................ 885,255,626.526 48,855,397.667 Timothy A. Devine................................ 885,084,429.411 49,026,594.782 Thomas J. Hawekotte.............................. 885,280,478.560 48,830,545.633 Steven L. Klosterman............................. 885,440,159.836 48,670,864.357 Halbert D. Lindquist............................. 885,303,777.866 48,807,246.327 Keith H. Wood.................................... 885,406,588.153 48,704,436.040 Peter F. Muratore................................ 885,085,137.672 49,025,886.521
(viii) The ratification of the selection of Ernst & Young LLP as independent auditors of Endeavor Series Trust was approved by the shareholders of all Portfolios as follows:
FOR AGAINST ABSTAIN --- ------------- -------------- 881,429,594.550 8,202,184.275 44,479,245.368
104 This report and the financial statements contained herein are submitted for the general information of the policyholder of The Endeavor Variable Annuity. This report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. -----END PRIVACY-ENHANCED MESSAGE-----