UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7839
Conseco Fund Group
(Exact name of registrant as specified in charter)
11825 N. Pennsylvania Street
Carmel, IN 46032
(Address of principal executive offices) (Zip code)
Maxwell E. Bublitz
Conseco Fund Group
11825 N. Pennsylvania Street
Carmel, IN 46032
(Name and address of agent for service)
1-800-986-3384
Registrant's telephone number, including area code
Date of fiscal year end: 12/31/2003
----------
Date of reporting period: 06/30/2003
----------
Item 1. Report to Stockholders.
June 30, 2003
Conseco Science & Technology Fund
Conseco 20 Fund
Conseco Equity Fund
Conseco Large-Cap Fund
Conseco Balanced Fund
Conseco Convertible Securities Fund
Conseco High Yield Fund
Conseco Fixed Income Fund
2003
Mid-Year Report
CONSECO FUND GROUP
Investing in step with your life.
Table of Contents
Statements of Assets and Liabilities 2
Statements of Operations 4
Statements of Changes in Net Assets 6
Conseco Science & Technology Fund
Portfolio Manager's Review 14
Schedule of Investments 16
Conseco 20 Fund
Portfolio Manager's Review 17
Schedule of Investments 19
Conseco Equity Fund
Portfolio Manager's Review 20
Schedule of Investments 22
Conseco Large-Cap Fund
Portfolio Manager's Review 25
Schedule of Investments 27
Conseco Balanced Fund
Portfolio Managers' Review 29
Schedule of Investments 31
Conseco Convertible Securities Fund
Portfolio Managers' Review 35
Schedule of Investments 37
Conseco High Yield Fund
Portfolio Managers' Review 40
Schedule of Investments 42
Conseco Fixed Income Fund
Portfolio Managers' Review 47
Schedule of Investments 49
Notes to Financial Statements 54
Financial Highlights 58
Board of Trustees 67
This report is for the information of
Conseco Fund Group shareholders. It is authorized for
distribution to other persons only when preceded, or
accompanied by,
a current prospectus that contains more complete
information, including charges and expenses.
Statements of Assets and Liabilities
June 30, 2003
Conseco Science & Conseco Conseco Conseco
Technology Fund 20 Fund Equity Fund Large-Cap Fund
------------------ ------------ -------------- ---------------
ASSETS:
Investments in securities at cost . . . . . . . . . . . $ 3,100,739 $115,341,328 $103,652,375 $ 4,915,292
- -----------------------------------------------------------------------------------------------------------------------
Investments in securities at value (Note 2) (Including
repurchase agreements of $82,800, $2,573,355,
$6,364,556, $58,900, respectively) . . . . . . . . $ 3,601,561 $ 56,535,716 $116,291,546 $ 4,903,727
Interest and dividends receivable . . . . . . . . . . . 104 10,314 62,935 4,526
Receivable for securities sold . . . . . . . . . . . . 31,922 105,000 12,092,459 283,955
Receivable for shares sold . . . . . . . . . . . . . .
.. . . . . . . . . . . . . 1,224 16,356 7,052 --
Cash . . . . . . . . . . . . . . . . . . . . . . . . . -- -- -- --
Prepaid assets . . . . . . . . . . . . . . . . . . . . 21,969 27,729 29,464 17,243
- -----------------------------------------------------------------------------------------------------------------------
Total assets . . . . . . . . . . . . . . . . . . . 3,656,780 $ 56,695,115 $128,483,456 5,209,451
- -----------------------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS:
Payable to Conseco, Inc. and subsidiaries . . . . . . . 5,053 122,418 169,170 7,949
Accrued expenses . . . . . . . . . . . . . . . . . . . 27,683 88,692 85,918 30,831
Payable to Custodian . . . . . . . . . . . . . . . . . 253 104,783 1,608,708 91,351
Payable for shares redeemed . . . . . . . . . . . . . . 2,578 90,068 158,805 1,774
Payable upon return of securities on loan . . . . . . . 82,800 6,575,398 9,716,873 58,900
Payable for securities purchased . . . . . . . . . . . -- -- 10,554,397 172,861
- -----------------------------------------------------------------------------------------------------------------------
Total liabilities . . . . . . . . . . . . . . . . 118,367 6,981,359 22,293,871 363,666
.. . . . . . . . . . . . . . . .
- -----------------------------------------------------------------------------------------------------------------------
Net assets . . . . . . . . . . . . . . . . . . . . $ 3,538,413 $ 49,713,756 $106,189,585 $ 4,845,785
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital . . . . . . . . . . . . . . . . . . . . $ 51,629,798 $301,970,719 $151,827,533 $ 21,591,319
Accumulated undistributed net investment income (loss) (46,573) (336,371) 8,970 (17,686)
Accumulated undistributed net realized losses on
investments . .. . . . . . . . . . . . . . . . . . . . (48,545,634) (193,114,980) (58,286,089) (16,716,283)
Net unrealized appreciation (depreciation) on investments 500,822 (58,805,612) 12,639,171 (11,565)
- -----------------------------------------------------------------------------------------------------------------------
Net assets . . . . . . . . . . . . . . . . . . . . .$ 3,538,413 $ 49,713,756 $106,189,585 $ 4,845,785
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per share:
Class A Shares:
Shares outstanding (unlimited shares authorized) . . . . . 718,724 1,648,468 1,275,402 154,349
Net assets . . . . . . . . . . . . . . . . . . . . . . . .$ 1,262,171 $ 7,248,457 $ 11,103,083 $ 827,614
Net asset value and redemption price per share (Note 1) . $ 1.76 $ 4.40 $ 8.71 $ 5.36
Maximum sales charge per share (5.75 percent of public
offering price; 5.00 percent of public offering
price for the Conseco Fixed Income Fund) . . . . . . 0.11 0.27 0.53 0.33
Maximum offering price per share . . . . . . . . . . . . .$ 1.87 $ 4.67 $ 9.24 $ 5.69
- -----------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares outstanding (unlimited shares authorized) . . . . . 352,964 4,092,278 1,816,970 378,982
Net assets . . . . . . . . . . . . . . . . . . . . . . . .$ 613,365 $ 17,363,343 $ 15,268,717 $ 1,998,774
Net asset value, offering price and redemption price per share
(Note 1) . $ 1.74 $ 4.24 $ 8.40 $ 5.27
- -----------------------------------------------------------------------------------------------------------------------
Class C Shares:
Shares outstanding (unlimited shares authorized) . . . . . 800,739 3,818,502 1,809,426 298,138
Net assets . . . . . . . . . . . . . . . . . . . . . . . .$ 1,392,530 $ 16,268,852 $ 15,216,952 $ 1,573,725
Net asset value and redemption price per share (Note 1) . $ 1.74 $ 4.26 $ 8.41 $ 5.28
Maximum sales charge per share (1.00 percent of
public offering price) . 0.02 0.04 0.08 0.05
Maximum offering price per share . . . . . . . . . . . . .$ 1.76 $ 4.30 $ 8.49 $ 5.33
- -----------------------------------------------------------------------------------------------------------------------
Class Y Shares:
Shares outstanding (unlimited shares authorized) . . . . . 150,958 1,991,784 7,124,758 82,133
Net assets . . . . . . . . . . . . . . . . . . . . . . . .$ 270,347 $ 8,833,104 $ 64,600,833 $ 445,672
Net asset value, offering price and redemption price
per share (Note 1) . . . . . . . . . . . . . . . . . . . .$ 1.79 $ 4.43 $ 9.07 $ 5.43
- -----------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
CONSECO FUND GROUP
2003 Mid-Year Report
Conseco
Convertible
Conseco Securities Conseco High Conseco Fixed
Balanced Fund Fund Yield Fund Income Fund
---------------------------------------------------------
ASSETS:
Investments in securities at cost . . . . . . . $ 32,770,968 $ 23,598,482 $177,682,241 $ 99,587,049
- --------------------------------------------------------------------------------------------------------
Investments in securities at value (Note 2)
(Including repurchase agreements of
$1,099,207, $3,059,140, $36,942,904,
$5,853,063, respectively) . . . . . . . . . $ 34,062,186 $ 25,339,776 $183,492,220 $ 104,561,998
Interest and dividends receivable . . . . . . . 206,794 130,853 2,405,726 1,132,641
Receivable for securities sold . . . . . . . . 841,988 388,125 880,213 12,485,447
Receivable for shares sold . . . . . . . . . . 34,519 6,177 221,047 89,667
Cash . . . . . . . . . . . . . . . . . . . . . . -- 502,856 507,331 --
Prepaid assets . . . . . . . . . . . . . . . . . 18,860 27,788 42,122 28,513
- --------------------------------------------------------------------------------------------------------
Total assets . . . . . . . . . . . . . . . 35,164,347 26,395,575 187,548,659 118,298,266
- --------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS:
Payable to Conseco, Inc. and subsidiaries . . . 80,219 50,179 302,631 209,841
Accrued expenses . . . . . . . . . . . . . . . . 57,407 24,496 69,243 115,274
Payable to Custodian . . . . . . . . . . . . . . 338,939 -- -- 6,992,191
Payable for shares redeemed . . . . . . . . . . 76,153 120,007 616,713 121,195
Payable upon return of securities on loan . . . 1,099,207 3,059,140 40,195,029 7,253,914
Payable for securities purchased . . . . . . . . 203,231 408,000 4,258,716 3,904,630
- --------------------------------------------------------------------------------------------------------
Total liabilities . . . . . . . . . . . . . 1,855,156 3,661,822 45,442,332 18,597,045
- --------------------------------------------------------------------------------------------------------
Net assets . . . . . . . . . . . . . . . . $ 33,309,191 $ 22,733,753 $142,106,327 $ 99,701,221
- --------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital . . . . . . . . . . . . . . . . $ 57,094,324 $ 35,435,116 $165,711,539 $ 100,612,594
Accumulated undistributed net investment
income (loss) . . . . . . . . . . . . . . . 2,217 81,491 5,971 47,714
Accumulated undistributed net realized losses
on investments . . . . . . . . . . . . . . (25,078,568) (14,524,148) (29,421,162) (5,934,036)
Net unrealized appreciation (depreciation)
on investments . . . . . . . . . . . . . . 1,291,218 1,741,294 5,809,979 4,974,949
- --------------------------------------------------------------------------------------------------------
Net assets . . . . . . . . . . . . . . . . $ 33,309,191 $ 22,733,753 $142,106,327 $ 99,701,221
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and
redemption price per share:
Class A Shares:
Shares outstanding (unlimited shares authorized) 381,040 307,349 7,134,047 1,313,204
Net assets . . . . . . . . . . . . . . . . . . . $ 3,617,959 $ 3,008,224 $ 57,580,693 $ 13,851,609
Net asset value and redemption price per
share (Note 1) . . . . . . . . . . . . . . $ 9.49 $ 9.79 $ 8.07 $ 10.55
Maximum sales charge per share (5.75 percent of
public offering price; 5.00 percent of
public offering price for the Conseco
Fixed Income Fund) . . . . . . . . .. . . . 0.58 0.60 0.49 0.56
Maximum offering price per share . . . . . . . . $ 10.07 $ 10.39 $ 8.56 $ 11.11
- --------------------------------------------------------------------------------------------------------
Class B Shares:
Shares outstanding (unlimited shares authorized) 1,286,054 1,031,990 4,715,762 3,244,365
Net assets . . . . . . . . . . . . . . . . . . . $ 12,020,300 $ 10,038,129 $ 37,834,462 $ 34,089,690
Net asset value, offering price and redemption
price per share(Note 1) $ 9.35 $ 9.73 $ 8.02 $ 10.51
- --------------------------------------------------------------------------------------------------------
Class C Shares:
Shares outstanding (unlimited shares authorized) 975,205 371,111 2,142,404 2,364,071
Net assets . . . . . . . . . . . . . . . . . . . $ 9,195,296 $ 3,622,858 $ 17,167,223 $ 24,984,334
Net asset value and redemption price per
share (Note 1) . . . . $ 9.43 $ 9.76 $ 8.01 $ 10.57
Maximum sales charge per share (1.00 percent of
public offering 0.10 0.10 0.08 0.11
Maximum offering price per share . . . . . . . . $ 9.53 $ 9.86 $ 8.09 $ 10.68
- --------------------------------------------------------------------------------------------------------
Class Y Shares:
Shares outstanding (unlimited shares authorized) 885,907 619,301 3,631,345 2,526,345
Net assets . . . . . . . . . . . . . . . . . . . $ 8,475,636 $ 6,064,542 $ 29,523,949 $ 26,775,588
Net asset value, offering price and
redemption price per share . . . . . . . . . $ 9.57 $ 9.79 $ 8.13 $ 10.60
- -------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the six months ended June 30, 2003 (unaudited)
Conseco
Science & Conseco Conseco Conseco
Technology 20 Equity Large-Cap
Fund Fund Fund Fund
------------- -------------- ------------ -------------
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . $ 1,112 $ 9,406 $ 10,684 $ 633
Dividends . . . . . . . . . . . . . . . . . . . . . . 1,847 116,733 640,776 27,042
Other Income . . . . . . . . . . . . . . . . . . . . 679 16,590 18,263 16
Foreign tax withheld . . . . . . . . . . . . . . . . -- -- (276) --
- ------------------------------------------------------------------------------------------------------------
Total investment income . . . . . . . . . . . . 3,638 142,729 669,447 27,691
- ------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees . . . . . . . . . . . . . . 26,382 168,311 349,053 17,561
Distribution and service fees:
Class A . . . . . . . . . . . . . . . . . . . . 7,886 20,452 23,737 2,201
Class B . . . . . . . . . . . . . . . . . . . . 2,854 81,685 74,880 9,861
Class C . . . . . . . . . . . . . . . . . . . . 6,494 76,678 75,098 8,228
Administration fee . . . . . . . . . . . . . . . . . 5,276 48,089 99,729 5,017
Transfer agent fees and expenses . . . . . . . . . . 20,249 108,945 44,613 20,223
Registration and filing fees . . . . . . . . . . . . 14,818 16,171 20,967 16,333
Custody fees . . . . . . . . . . . . . . . . . . . . 1,333 3,001 10,611 7,650
Audit fees . . . . . . . . . . . . . . . . . . . . . 1,981 5,462 9,829 1,874
Legal fees . . . . . . . . . . . . . . . . . . . . . 260 3,130 7,119 260
Reports - printing . . . . . . . . . . . . . . . . . 1,535 35,295 23,497 1,298
Director fees and expenses . . . . . . . . . . . . . 349 4,578 9,590 362
Insurance . . . . . . . . . . . . . . . . . . . . . . 181 533 1,086 181
Other . . . . . . . . . . . . . . . . . . . . . . . . 181 965 2,848 181
- ------------------------------------------------------------------------------------------------------------
Total expenses . . . . . . . . . . . . . . . . . 89,779 573,295 752,657 91,230
- ------------------------------------------------------------------------------------------------------------
Less expense reductions and reimbursements (Note 3) . (39,568) (94,195) (80,295) (45,853)
- ------------------------------------------------------------------------------------------------------------
Net expenses . . . . . . . . . . . . . . . . . . 50,211 479,100 672,362 45,377
- ------------------------------------------------------------------------------------------------------------
Net investment income (loss) . . . . . . . . . . (46,573) (336,371) (2,915) (17,686)
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON INVESTMENTS:
Net realized gains (losses) on sales of investments . (1,537,528) (14,781,675) (461,473) (324,954)
Net change in unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . . . . . 3,003,902 25,831,080 14,517,020 877,042
- ------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains on investments . . 1,466,374 11,049,405 14,055,547 552,088
- ------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations . . . . . $ 1,419,801 $ 10,713,034 $14,052,632 $ 534,402
- ------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
CONSECO FUND GROUP
2003 Mid-Year Report
Conseco Conseco Conseco
Conseco Convertible High Fixed
Balanced Securities Yield Income
Fund Fund Fund Fund
----------------------------------- ----------
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . $ 518,000 $ 471,934 $ 5,920,272 $3,290,077
Dividends . . . . . . . . . . . . . . . . . . . . . . 175,808 81,460 259,854 --
Other Income . . . . . . . . . . . . . . . . . . . . 3,112 17,201 39,690 14,271
Foreign tax withheld . . . . . . . . . . . . . . . . -- -- -- --
- ----------------------------------------------------------------------------------------------------
Total investment income . . . . . . . . . . . . 696,920 570,595 6,219,816 3,304,348
- ----------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees . . . . . . . . . . . . . . 119,421 84,875 455,070 236,063
Distribution and service fees:
Class A . . . . . . . . . . . . . . . . . . . . 9,172 6,420 131,606 30,556
Class B . . . . . . . . . . . . . . . . . . . . 58,803 47,572 184,648 170,894
Class C . . . . . . . . . . . . . . . . . . . . 52,271 17,967 87,497 147,004
Administration fee . . . . . . . . . . . . . . . . . 34,120 19,971 130,020 104,917
Transfer agent fees and expenses . . . . . . . . . . 22,708 21,672 33,553 30,443
Registration and filing fees . . . . . . . . . . . . 21,104 8,450 16,142 20,389
Custody fees . . . . . . . . . . . . . . . . . . . . 12,064 1,452 8,073 7,997
Audit fees . . . . . . . . . . . . . . . . . . . . . 4,818 2,619 14,577 10,155
Legal fees . . . . . . . . . . . . . . . . . . . . . 2,120 872 8,081 9,284
Reports-- printing . . . . . . . . . . . . . . . . . 6,756 4,695 26,983 28,926
Director fees and expenses . . . . . . . . . . . . . 3,107 1,550 12,058 12,464
Insurance . . . . . . . . . . . . . . . . . . . . . . 543 181 1,004 1,359
Other . . . . . . . . . . . . . . . . . . . . . . . . 1,455 349 2,684 7,699
- ----------------------------------------------------------------------------------------------------
Total expenses . . . . . . . . . . . . . . . . . 348,462 218,645 1,111,996 818,150
- ----------------------------------------------------------------------------------------------------
Less expense reductions and reimbursements (Note 3) . (57,614) (41,840) (123,425) (154,945)
- ----------------------------------------------------------------------------------------------------
Net expenses . . . . . . . . . . . . . . . . . . 290,848 176,805 988,571 663,205
- ----------------------------------------------------------------------------------------------------
Net investment income (loss) . . . . . . . . . . 406,072 393,790 5,231,245 2,641,143
- ----------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES)
ON INVESTMENTS:
Net realized gains (losses) on sales of investments . (434,731) 220,161 (1,179,580) 2,170,232
Net change in unrealized appreciation or
depreciation on investments . . . . . . . . . . 3,692,508 2,340,466 18,295,341 2,976,622
- ----------------------------------------------------------------------------------------------------
Net realized and unrealized gains on investments 3,257,777 2,560,627 17,115,761 5,146,854
- ----------------------------------------------------------------------------------------------------
Net increase in net assets from operations . . . . . $3,663,849 $ 2,954,417 $ 22,347,006 $7,787,997
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
For the six months ended June 30, 2003 (unaudited) and for the year ended
December 31, 2002
Conseco Science &
Technology Fund Conseco 20 Fund
------------------------------------------------------
2003 2002 2003 2002
------------------------------------------------------
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . $ (46,573) $ (245,951) $ (336,371) $(1,225,755)
Net realized losses on sale of investments . . . . (1,537,528) (27,962,051) (14,781,675)
Net change in unrealized appreciation or
depreciation on investments . . . . . . . . . 3,003,902 15,821,591 25,831,080 51,871,990
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) from operations . . . . . . 1,419,801 (12,386,411) 10,713,034 (50,568,623)
- ---------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME:
Class A shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class B shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class C shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class Y shares . . . . . . . . . . . . . . . . . . -- -- -- --
- ---------------------------------------------------------------------------------------------------------
Total dividends from net investment income . . -- -- -- --
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS OF NET
CAPITAL GAINS:
Class A shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class B shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class C shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class Y shares . . . . . . . . . . . . . . . . . . -- -- -- --
- ---------------------------------------------------------------------------------------------------------
Total distributions of net capital gains . . . -- -- -- --
- ---------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold . . . . . . . . . . . . . . . . . . . . 268,849 2,342,871 4,636,583 32,918,743
Reinvested dividends and distributions . . . . . . -- -- -- --
Shares redeemed . . . . . . . . . . . . . . . . . . (4,021,003) (8,273,714) (13,956,997) (64,632,020)
- ---------------------------------------------------------------------------------------------------------
Net decrease from capital share transactions . (3,752,154) (5,930,843) (9,320,414) (31,713,277)
- ---------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets . . . (2,332,353) (18,317,254) 1,392,620 (82,281,900)
- ---------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period . . . . . . . . . . . . . 5,870,766 24,188,020 48,321,136 130,603,036
- ---------------------------------------------------------------------------------------------------------
End of period . . . . . . . . . . . . . . . . $ 3,538,413 $ 5,870,766 $ 49,713,756 $48,321,136
- ---------------------------------------------------------------------------------------------------------
Including undistributed net investment income
(loss) of: . . $ (46,573) $ -- $ (336,371) $ --
- ---------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
CONSECO FUND GROUP
2003 Mid-Year Report
Conseco Science & Conseco 20 Fund
Technology Fund
----------------------------------------------------------
2003 2002 2003 2002
----------------------------------------------------------
SHARE DATA:
Class A shares:
Sold . . . . . . . . . . . . . . . . . 149,585 437,575 568,853 4,694,554
Reinvested dividends and distributions -- -- -- --
Redeemed . . . . . . . . . . . . . . . (2,306,049) (2,911,351) (1,423,907) (6,101,175)
- -------------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . (2,156,464) (2,473,776) (855,054) (1,406,621)
- -------------------------------------------------------------------------------------------------
Shares Outstanding: . . . . . . . . . .
Beginning of period . . . . . 2,875,188 5,348,964 2,503,522 3,910,143
End of period . . . . . . . . 718,724 2,875,188 1,648,468 2,503,522
- -------------------------------------------------------------------------------------------------
Class B shares:
Sold . . . . . . . . . . . . . . . . . 1,289 30,242 35,223 352,466
Reinvested dividends and distributions -- -- -- --
Redeemed . . . . . . . . . . . . . . . (64,384) (401,208) (719,580) (3,326,053)
- -------------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . (63,095) (370,966) (684,357) (2,973,587)
- -------------------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . 416,059 787,025 4,776,635 7,750,222
End of period . . . . . . . . 352,964 416,059 4,092,278 4,776,635
- -------------------------------------------------------------------------------------------------
Class C shares:
Sold . . . . . . . . . . . . . . . . . 23,607 413,662 218,915 739,531
Reinvested dividends and distributions -- -- -- --
Redeemed . . . . . . . . . . . . . . . (177,773) (1,027,323) (911,198) (2,983,550)
- -------------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . (154,166) (613,661) (692,283) (2,244,019)
- -------------------------------------------------------------------------------------------------
Shares Outstanding: . . . . . . . . . .
Beginning of period . . . . . 954,905 1,568,566 4,510,785 6,754,804
End of period . . . . . . . . 800,739 954,905 3,818,502 4,510,785
- -------------------------------------------------------------------------------------------------
Class Y shares:
Sold . . . . . . . . . . . . . . . . . 4,494 78,864 373,293 1,284,834
Reinvested dividends and distributions -- -- -- --
Redeemed . . . . . . . . . . . . . . . (88,571) (200,650) (647,512) (2,307,412)
- -------------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . (84,077) (121,786) (274,219) (1,022,578)
- -------------------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . 235,035 356,821 2,266,003 3,288,581
End of period . . . . . . . . 150,958 235,035 1,991,784 2,266,003
- -------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
For the six months ended June 30, 2003 (unaudited) and for the year ended
December 31, 2002
Conseco Equity Fund Conseco Large-Cap Fund
---------------------------- ---------------------------
2003 2002 2003 2002
---------------------------- ---------------------------
OPERATIONS:
Net investment income (loss) . . . . . . . . . . .$ (2,915) $ 73,548 $ (17,686) $ (115,893)
Net realized losses on sale of investments . . . . (461,473) (8,343,507) (324,954) (6,139,136)
Net change in unrealized appreciation or
depreciation on investments . . . . . . . . . 14,517,020 (11,917,452) 877,042 538,657
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease) from operations . . . 14,052,632 (20,187,411) 534,402 (5,716,372)
- ----------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME:
Class A shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class B shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class C shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class Y shares . . . . . . . . . . . . . . . . . . -- (64,207) -- --
- ----------------------------------------------------------------------------------------------------------
Total dividends from net investment income . -- (64,207) -- --
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS OF NET
CAPITAL GAINS:
Class A shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class B shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class C shares . . . . . . . . . . . . . . . . . . -- -- -- --
Class Y shares . . . . . . . . . . . . . . . . . . -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Total distributions of net capital gains . . -- -- -- --
- ----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold . . . . . . . . . . . . . . . . . . . 28,558,930 103,005,268 58,818 1,491,343
Reinvested dividends and distributions . . . . . . -- 57,620 -- --
Shares redeemed . . . . . . . . . . . . . . . . . (38,540,199) (124,761,361) (1,258,945) (12,009,141)
- ----------------------------------------------------------------------------------------------------------
Net decrease from capital share transactions (9,981,269) (21,698,473) (1,200,127) (10,517,798)
- ----------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets . . . 4,071,363 (41,950,091) (665,725) (16,234,170)
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period . . . . . . . . . . . . . 102,118,222 144,068,313 5,511,510 21,745,680
- ----------------------------------------------------------------------------------------------------------
End of period . . . . . . . . . . . . . . . .$106,189,585 $102,118,222 $ 4,845,785 $ 5,511,510
- ----------------------------------------------------------------------------------------------------------
Including undistributed net investment income
(loss) of: . . . . . . . . . . . . $ 8,970 $ 11,885 $ (17,686) $ --
- ----------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
CONSECO FUND GROUP
2003 Mid-Year Report
Conseco Equity Fund Conseco Large-Cap Fund
-------------------------------------------------------
2003 2002 2003 2002
-------------------------------------------------------
SHARE DATA:
Class A shares:
Sold . . . . . . . . . . . . . . . . . . 1,143,484 4,743,790 -- 38,879
Reinvested dividends and distributions . -- -- -- --
Redeemed . . . . . . . . . . . . . . . . (830,049) (5,405,802) (43,164) (1,267,388)
- -----------------------------------------------------------------------------------------------
Net increase (decrease) . . . . . . 313,435 (662,012) (43,164) (1,228,509)
- -----------------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . . 961,967 1,623,979 197,513 1,426,022
End of period . . . . . . . . . . . 1,275,402 961,967 154,349 197,513
- -----------------------------------------------------------------------------------------------
Class B shares:
Sold . . . . . . . . . . . . . . . . . . 59,849 636,830 6,489 29,989
Reinvested dividends and distributions . -- -- -- --
Redeemed . . . . . . . . . . . . . . . . (419,066) (1,045,068) (73,249) (414,097)
- -----------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . . . (359,217) (408,238) (66,760) (384,108)
- -----------------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . . 2,176,187 2,584,425 445,742 829,850
End of period . . . . . . . . . . . 1,816,970 2,176,187 378,982 445,742
- -----------------------------------------------------------------------------------------------
Class C shares:
Sold . . . . . . . . . . . . . . . . . . 123,043 1,388,450 5,014 52,780
Reinvested dividends and distributions . -- -- -- --
Redeemed . . . . . . . . . . . . . . . . (538,901) (1,509,251) (100,627) (394,351)
- -----------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . . . (415,858) (120,801) (95,613) (341,571)
- -----------------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . . 2,225,284 2,346,085 393,751 735,322
End of period . . . . . . . . . . . 1,809,426 2,225,284 298,138 393,751
- -----------------------------------------------------------------------------------------------
Class Y shares:
Sold . . . . . . . . . . . . . . . . . . 2,297,080 5,230,242 593 114,802
Reinvested dividends and distributions . -- 7,266 -- --
Redeemed . . . . . . . . . . . . . . . .(3,117,416) (6,939,037) (44,062) (299,566)
- -----------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . . . (820,336) (1,701,529) (43,469) (184,764)
- -----------------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . . 7,945,094 9,646,623 125,602 310,366
End of period . . . . . . . . . . . 7,124,758 7,945,094 82,133 125,602
- -----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
For the six months ended June 30, 2003 (unaudited) and for the year ended
December 31, 2002
Conseco Convertible
Conseco Balanced Fund Securities Fund
---------------------------- ----------------------------
2003 2002 2003 2002
---------------------------- ----------------------------
OPERATIONS:
Net investment income . . . . . . . . . . . . . . $ 406,072 $ 1,669,222 $ 393,790 $ 833,062
Net realized gains (losses) on sales of
investments . . . . . . . . . . . (434,731) (13,098,168) 220,161 (4,257,955)
Net change in unrealized appreciation or
depreciation
on investments . . . . . . . . . . . . . . . 3,692,508 171,830 2,340,466 837,350
- ------------------------------------------------------------------------------------------------------------
Net increase (decrease) from operations . . 3,663,849 (11,257,116) 2,954,417 (2,587,543)
- ------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME:
Class A shares . . . . . . . . . . . . . . . . . (54,004) (345,541) (59,412) (109,454)
Class B shares . . . . . . . . . . . . . . . . . (144,098) (402,655) (199,756) (358,729)
Class C shares . . . . . . . . . . . . . . . . . (112,328) (504,566) (74,390) (151,068)
Class Y shares . . . . . . . . . . . . . . . . . (139,945) (423,123) (113,377) (157,551)
- ------------------------------------------------------------------------------------------------------------
Total dividends from net investment income: (450,375) (1,675,885) (446,935) (776,802)
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS OF NET
CAPITAL GAINS:
Class A shares . . . . . . . . . . . . . . . . . -- -- -- --
Class B shares . . . . . . . . . . . . . . . . . -- -- -- --
Class C shares . . . . . . . . . . . . . . . . . -- -- -- --
Class Y shares . . . . . . . . . . . . . . . . . -- -- -- --
- ------------------------------------------------------------------------------------------------------------
Total distributions of net capital gains . . -- -- -- --
- ------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold . . . . . . . . . . . . . . . . . . . 1,968,798 17,524,985 6,109,053 1,946,254
Reinvested dividends and distributions . . . . . 197,353 555,518 110,917 194,852
Shares redeemed . . . . . . . . . . . . . . . . . (10,255,398) (55,901,069) (5,110,007) (14,938,667)
- ------------------------------------------------------------------------------------------------------------
Net increase (decrease) from capital share
transactions . . . (8,089,247) (37,820,566) 1,109,963 (12,797,561)
- ------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets . . (4,875,773) (50,753,567) 3,617,445 (16,161,906)
- ------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period . . . . . . . . . . . . 38,184,964 88,938,531 19,116,308 35,278,214
- ------------------------------------------------------------------------------------------------------------
End of period . . . . . . . . . . . . . . . $ 33,309,191 $ 38,184,964 $ 22,733,753 $ 19,116,308
- ------------------------------------------------------------------------------------------------------------
Including undistributed net investment
income of: . . . . . . . . . . . . . . .$ 2,217 $ 46,520 $ 81,491 $ 134,636
- ------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
CONSECO FUND GROUP
2003 Mid-Year Report
Conseco Balanced Conseco Convertible
Fund Securities Fund
---------------------------------------------
2003 2002 2003 2002
---------------------------------------------
SHARE DATA:
Class A shares:
Sold . . . . . . . . . . . . . . . . . 67,283 268,086 50,891 27,717
Reinvested dividends and distributions 3,281 10,792 2,154 3,878
Redeemed . . . . . . . . . . . . . . . (177,357) (2,041,177) (51,393) (191,975)
- -------------------------------------------------------------------------------------
Net increase (decrease) . . . . . (106,793) (1,762,299) 1,652 (160,380)
- -------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . . . . 487,833 2,250,132 305,697 466,077
End of period . . . . . . . . . . 381,040 487,833 307,349 305,697
- -------------------------------------------------------------------------------------
Class B shares:
Sold . . . . . . . . . . . . . . . . . 35,502 379,892 47,751 74,898
Reinvested dividends and distributions 3,064 9,300 4,639 9,506
Redeemed . . . . . . . . . . . . . . . (207,466) (965,668) (120,214) (856,498)
- -------------------------------------------------------------------------------------
Net decrease . . . . . . . . . . . (168,900) (576,476) (67,824) (772,094)
- -------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . . . .1,454,954 2,031,430 1,099,814 1,871,908
End of period . . . . . . . . . . 1,286,054 1,454,954 1,031,990 1,099,814
- -------------------------------------------------------------------------------------
Class C shares:
Sold . . . . . . . . . . . . . . . . . 24,712 518,722 5,222 39,747
Reinvested dividends and distributions 1,889 5,246 1,452 3,040
Redeemed . . . . . . . . . . . . . . . (573,969) (1,879,354) (65,331) (385,928)
- -------------------------------------------------------------------------------------
Net decrease . . . . . . . . . . . (547,368) (1,355,386) (58,657) (343,141)
- -------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . . . .1,522,573 2,877,959 429,768 772,909
End of period . . . . . . . . . . 975,205 1,522,573 371,111 429,768
- -------------------------------------------------------------------------------------
Class Y shares:
Sold . . . . . . . . . . . . . . . . . 89,932 635,419 534,713 75,324
Reinvested dividends and distributions 13,712 35,638 3,831 5,938
Redeemed . . . . . . . . . . . . . . . (209,090) (1,334,668) (305,596) (264,126)
- -------------------------------------------------------------------------------------
Net increase (decrease) . . . . . (105,446) (663,611) 232,948 (182,864)
- -------------------------------------------------------------------------------------
Shares Outstanding:
Beginning of period . . . . . . . 991,353 1,654,964 386,353 569,217
End of period . . . . . . . . . . 885,907 991,353 619,301 386,353
- -------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
For the six months ended June 30, 2003 (unaudited) and for the year ended
December 31, 2002
Conseco High Yield Fund Conseco Fixed Income Fund
----------------------------- ---------------------------------
2003 2002 2003 2002
----------------------------- ----------------------------
OPERATIONS:
Net investment income . . . . . . . . . . . . . $ 5,231,245 $ 11,057,003 $ 2,641,143 $ 9,739,640
Net realized gains (losses) on sales of
investments . . . . . . . . . . . . . . . . . (1,179,580) (6,793,750) 2,170,232 (5,321,221)
Net change in unrealized appreciation or
depreciation on investments . . . . . . . . 18,295,341 (2,528,943) 2,976,622 2,244,567
- --------------------------------------------------------------------------------------------------------------
Net increase from operations . . . . . . . 22,347,006 1,734,310 7,787,997 6,662,986
- --------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME:
Class A shares . . . . . . . . . . . . . . . . . (2,085,083) (2,795,876) (334,384) (2,093,523)
Class B shares . . . . . . . . . . . . . . . . . (1,430,381) (4,519,251) (841,717) (2,113,239)
Class C shares . . . . . . . . . . . . . . . . . (676,370) (2,488,853) (698,250) (2,834,367)
Class Y shares . . . . . . . . . . . . . . . . . (994,850) (1,134,429) (845,260) (2,703,211)
- --------------------------------------------------------------------------------------------------------------
Total dividends from net investment income: (5,186,684) (10,938,409) (2,719,611) (9,744,340)
- --------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS OF NET
CAPITAL GAINS:
Class A shares . . . . . . . . . . . . . . . . . -- -- -- --
Class B shares . . . . . . . . . . . . . . . . . -- -- -- --
Class C shares . . . . . . . . . . . . . . . . . -- -- -- --
Class Y shares . . . . . . . . . . . . . . . . . -- -- -- --
- --------------------------------------------------------------------------------------------------------------
Total distributions of net capital gains . -- -- -- --
- --------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold . . . . . . . . . . . . . . . . . . 106,632,407 122,719,523 16,968,497 72,574,538
Reinvested dividends and distributions . . . . . 1,894,429 1,651,621 839,147 2,598,766
Shares redeemed . . . . . . . . . . . . . . . . (89,479,610) (123,281,422) (40,146,189) (164,831,690)
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) from capital share 19,047,226 1,089,722 (22,338,545) (89,658,386)
transactions . . . . .
- --------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets . . 36,207,548 (8,114,377) (17,270,159) (92,739,740)
- --------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period . . . . . . . . . . . . 105,898,779 114,013,156 116,971,380 $209,711,120
- --------------------------------------------------------------------------------------------------------------
End of period . . . . . . . . . . . . . . . $ 142,106,327 $ 105,898,779 $ 99,701,221 $116,971,380
- --------------------------------------------------------------------------------------------------------------
Including undistributed net investement
income (loss) of: . . . . . . . . . . . .$ 5,971 $ (38,590) $ 47,714 $ 126,182
- ---------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
CONSECO FUND GROUP
2003 Mid-Year Report
Conseco High Yield Fund Conseco Fixed Income Fund
-------------------------------------------------------
2003 2002 2003 2002
-------------------------------------------------------
SHARE DATA:
Class A shares:
Sold . . . . . . . . . . . . . . . . . . 7,787,779 13,682,306 921,871 2,683,842
Reinvested dividends and distributions . 122,361 94,030 6,281 42,996
Redeemed . . . . . . . . . . . . . . . . (6,996,252) (11,128,588) (1,152,144) (7,631,799)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) . . . . . . 913,888 2,647,748 (223,992) (4,904,961)
- ------------------------------------------------------------------------------------------------
Shares Outstanding: . . . . . . . . . . .
Beginning of period . . . . . . . . 6,220,159 3,572,411 1,537,196 6,442,157
End of period . . . . . . . . . . . 7,134,047 6,220,159 1,313,204 1,537,196
- ------------------------------------------------------------------------------------------------
Class B shares: . . . . . . . . . . . . .
Sold . . . . . . . . . . . . . . . . . . 249,183 928,565 191,289 1,241,495
Reinvested dividends and distributions . 21,895 66,789 13,038 31,968
Redeemed . . . . . . . . . . . . . . . . (617,564) (2,270,491) (462,778) (1,611,513)
- ------------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . . . . (346,486) (1,275,137) (258,451) (338,050)
- ------------------------------------------------------------------------------------------------
Shares Outstanding: . . . . . . . . . . .
Beginning of period . . . . . . . . 5,062,248 6,337,385 3,502,816 3,840,866
End of period . . . . . . . . . . . 4,715,762 5,062,248 3,244,365 3,502,816
- ------------------------------------------------------------------------------------------------
Class C shares: . . . . . . . . . . . . .
Sold . . . . . . . . . . . . . . . . . . 393,252 1,028,640 142,810 1,642,526
Reinvested dividends and distributions . 16,027 46,292 6,863 30,805
Redeemed . . . . . . . . . . . . . . . . (617,747) (2,039,562) (1,332,048) (3,764,822)
- ------------------------------------------------------------------------------------------------
Net decrease . . . . . . . . . . . . (208,468) (964,630) (1,182,375) (2,091,491)
- ------------------------------------------------------------------------------------------------
Shares Outstanding: . . . . . . . . . . .
Beginning of period . . . . . . . . 2,350,872 3,315,502 3,546,446 5,637,937
End of period . . . . . . . . . . . 2,142,404 2,350,872 2,364,071 3,546,446
- ------------------------------------------------------------------------------------------------
Class Y shares: . . . . . . . . . . . . .
Sold . . . . . . . . . . . . . . . . . . 5,613,633 1,825,959 372,538 1,645,361
Reinvested dividends and distributions . 85,705 27,307 54,955 154,850
Redeemed . . . . . . . . . . . . . . . . (3,421,270) (2,028,312) (941,854) (3,511,174)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) . . . . . . 2,278,068 (175,046) (514,361) (1,710,963)
- ------------------------------------------------------------------------------------------------
Shares Outstanding: . . . . . . . . . . .
Beginning of period . . . . . . . . . . . 1,353,277 1,528,323 3,040,706 4,751,669
End of period . . . . . . . . . . . 3,631,345 1,353,277 2,526,345 3,040,706
- ------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Conseco Science & Technology Fund
Portfolio Manager's Review
How did the Fund perform relative to its benchmarks?
From January 1, 2003 to June 30, 2003, the Conseco Science & Technology
Fund (Class A with load) returned 26.62%. The benchmarks, the NASDAQ 100 Index
and the S&P 500 Index, returned 22.08% and 11.77%, respectively, for the same
time period.(1)
What caused the variance in performance between the Fund and its benchmarks?
It is Oak's philosophy to remain fully invested at all times holding less
than 5% of cash. The technology sector led the charge in the first half, with
notable surges in the networking, storage and software sub-sectors, where gains
of more than 35% were posted. Improving profit margins, stabilizing fundamentals
and encouraging economic data contributed to investor appetite for the sector.
Which portfolio holdings enhanced the Fund's performance?
The largest contributors to performance were holdings in the technology
area. EMC Corporation, Juniper Networks, McData Corporation, Semtech and Veritas
Software contributed substantial gains in the first half of 2003.
Which holdings detracted from performance?
Microsoft did not participate in the market rally for the first half of
2003, but we do believe that Microsoft will be a market leader going forward.
Affymetrix lowered 2003 guidance citing a particularly weak capital equipment
environment as the cause. The shortfall appears to be from factors broadly
affecting the life science tools sector and is not primarily company specific.
Some of these macro factors seem to be abating as pharmaceutical budgets are
doubling growth rates from last year. Despite the disappointing revenue
shortfall, Affymetrix remains the leader in the very attractive micro array
market. Micro arrays remain a transforming technology with multiple-potential
downstream applications. What is your outlook for the rest of the fiscal year?
Our outlook remains positive. We believe we are in the early stages of a renewed
bull market that will sustain its gains through year-end and beyond, similar to
what occurred in the early 1990s. While recent gains have been driven to a
certain extent by a "rush to get back in," a healthy amount of market skepticism
remains. Valuations are favorable, particularly against the backdrop of
declining interest rates and continued fiscal and monetary stimulus. Three years
of belt-tightening have introduced considerable leverage into the financial
models of most corporations. As sentiment improves, we expect capital spending
to resume, resulting in sizeable improvements in the profit picture -- the
ultimate long-term driver of stock prices. Even the telecommunications sector,
which some say accounts for over 40% of all IT spending, is showing signs of
life. While there will be fits and starts in the market, the overall trend is
biased to the upside.
Oak Associates, ltd.
Oak Associates, ltd. ("Oak") sub-advises the Fund. Founded in 1985, Oak -- known
for exceptionally low-turnover, aggressive growth performance -- has taxable and
tax-exempt assets under management for more than 100 institutional clients, as
well as, three no-load mutual funds.
- ----------
(1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the Fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco
Science & Technology Fund is 5.75% for Class A and 1.00% for Class C. The
applicable contingent-deferred sales charge is 5.00% in year 1 and
eliminated after year 6 for Class B, and the applicable contingent-deferred
sales charge is 1.00% and eliminated after 12 months for Class C. The
NASDAQ 100 Index is an unmanaged index considered to be representative of
the technology arena in general. The S&P 500 Index is an unmanaged index
considered to be representative of the U.S. stock market in general.
Conseco Science & Technology Fund CONSECO FUND GROUP
(unaudited) 2003 Mid-Year Report
[LINE CHART]
- ------------------------------------------------------------------------
DATE Conseco Science & NASDAQ 100 S&P 500 Index
Technology Fund
(Class A shares)
- ------------------------------------------------------------------------
7/1/00 $9,425.07 $10,000.00 $10,000.00
7/31/00 $10,320.45 $9,590.00 $9,844.00
8/31/00 $11,847.31 $10,833.82 $10,455.31
9/29/00 $10,989.63 $9,487.18 $9,903.27
10/31/00 $9,830.35 $8,721.56 $9,861.68
11/30/00 $7,426.96 $6,660.66 $9,084.58
12/31/00 $6,541.00 $6,222.39 $9,129.09
1/31/01 $7,115.93 $6,890.05 $9,453.18
2/28/01 $4,307.26 $5,071.08 $8,591.05
3/30/01 $3,364.75 $4,180.59 $8,046.37
4/30/01 $4,297.83 $4,929.76 $8,671.58
5/31/01 $3,967.96 $4,782.85 $8,729.68
6/29/01 $3,713.48 $4,863.20 $8,517.54
7/31/01 $3,364.75 $4,473.66 $8,434.07
8/31/01 $2,714.42 $3,905.06 $7,906.10
9/28/01 $1,837.89 $3,104.52 $7,268.08
10/31/01 $2,516.49 $3,626.39 $7,406.90
11/30/01 $3,016.02 $4,241.06 $7,975.01
12/31/01 $2,836.95 $4,190.60 $8,045.19
1/31/02 $2,874.65 $4,119.36 $7,927.73
2/28/02 $2,148.92 $3,611.85 $7,774.72
3/28/02 $2,563.62 $3,860.71 $8,067.05
4/30/02 $2,148.92 $3,393.56 $7,578.19
5/31/02 $1,903.86 $3,210.99 $7,522.11
6/28/02 $1,555.14 $2,793.88 $6,986.54
7/31/02 $1,489.16 $2,556.68 $6,441.59
8/30/02 $1,357.21 $2,504.27 $6,484.10
9/30/02 $1,036.76 $2,212.27 $5,779.28
10/31/02 $1,225.26 $2,629.51 $6,287.86
11/29/02 $1,498.59 $2,965.82 $6,658.21
12/31/02 $1,234.68 $2,615.85 $6,266.71
1/31/03 $1,319.51 $2,612.45 $6,102.52
2/28/03 $1,328.94 $2,683.51 $6,010.98
3/31/03 $1,310.09 $2,707.13 $6,069.29
4/30/03 $1,404.34 $2,939.40 $6,569.40
5/30/03 $1,649.39 $3,183.37 $6,915.60
6/30/03 $1,658.81 $3,193.55 $7,004.12
- --------------------------------------------------------------------------
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/03. Past performance does not
guarantee future results.
Average annual total return(1) (as of
06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
----------------------------------------------------
Science & Technology A . . 07/01/2000 26.62% 0.57% n/a -45.05%
Science & Technology B . . 07/01/2000 28.85% 1.10% n/a -44.74%
Science & Technology C . . 07/01/2000 31.83% 3.83% n/a -44.36%
Science & Technology Y . . 07/01/2000 34.59% 7.19% n/a -43.64%
NASDAQ 100 Index . . . . . 07/01/2000 22.08% 14.29% n/a -31.65%
S&P 500 Index . . . . . . 07/01/2000 11.77% 0.25% n/a -11.19%
Conseco Science & Technology Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
- ------------------------------------------- --------------
COMMON STOCKS (95.6%)
Business Services (21.8%)
6,300 Cognizant Tech Solutions (a). . $ 153,468
2,900 Intuit, Inc. (a) . . . . . . . 129,137
6,500 Microsoft Corp. . . . . . . . 166,465
8,330 VERITAS Software Corp. (a). . . 238,821
10,100 Webmethods Inc. (a) . . . . . . 82,113
-------------
770,004
--------------
Computer Programming
and Data Processing (3.9%)
10,700 Symbol Technologies, Inc.. . . 139,207
-------------
Electronic, Other Electrical
Equipment, except Computers (22.1%)
12,300 Flextronics International Ltd.
(a). . . . . 127,797
1,200 Maxim Integrated Products, 41,028
16,000 McData Corp. (a) . . . . . . . 234,720
3,700 Qlogic Corp. (a) . . . . . . . 178,821
3,300 QUALCOMM, Inc. . . . . . . . . 117,975
2,300 UTStarcom, Inc., (a) . . . . . 81,811
-------------
782,152
--------------
Engineering, Accounting, Research,
Management Services (2.2%)
3,900 Affymetrix, Inc. (a) . . . . . 76,869
--------------
Industrial, Commercial
Machinery, Computers (21.9%)
23,900 Brocade Communications
Systems, Inc. (a) . . . . . 140,771
11,150 Cisco Systems, Inc. (a) . . . . 186,094
15,400 EMC Corp. (a) . . . . . . . . . 161,237
6,670 Emulex Corp. (a) . . . . . . . 151,876
10,810 Juniper Networks, Inc. (a). . . 133,720
-------------
773,698
SHARES OR
PRINCIPAL AMOUNT VALUE
- ------------------------------------ -----------------
Miscellaneous Retail (4.4%)
1,500 eBay, Inc. (a) . . . . . . . . $ 156,270
------------------
Prepackaged Software (5.1%)
9,200 Check Point
Software
Technologies Ltd. (a) . . . 179,860
-----------------
Semiconductors, Related Devices
(6.8%)
9,100 Intersil Corp. - Class A (a). . 242,151
-----------------
Special Industry Machinery (7.5%)
8,200 Applied Materials, Inc. (a). . 130,052
. . . . . . . .
3,700 Novellus Systems, Inc. (a). . . 135,498
-----------------
265,550
-----------------
Total common stock
(cost $2,884,939). . . . . . . . 3,385,761
-----------------
SHORT-TERM INVESTMENTS (6.3%)
82,800 Bank of America, Repurchase
Agreement,
1.280%, due 07/01/2003 (b) 82,800
133,000 Nations Cash Reserve. . . . . . 133,000
-----------------
Total short-term
investments (cost $215,800). 215,800
-----------------
Total investments (cost $3,100,739)(101.9%). . 3,601,561
-----------------
Liabilities, less other assets (-1.9%). . . . . (63,148)
-----------------
Total net assets (100.0%) . . . . . . . . . . . $3,538,413
=================
(a) Non-income producing security.
(b) Securities lending collateral (Note 2).
The accompanying notes are an integral part of these financial statements.
Conseco 20 Fund CONSECO FUND GROUP Portfolio
Manager's Review 2003 Mid-Year Report
How did the Fund perform relative to its benchmarks?
From January 1, 2003 to June 30, 2003, the Conseco 20 Fund (Class A with
load) returned 18.28%. The benchmarks, the S&P 500 Index and the S&P MidCap 400
Index, returned 11.77% and 12.42%, respectively, for the same time period.(1)
What caused the variance in performance between the Fund and its benchmarks?
It is Oak's philosophy to remain fully invested at all times and to
concentrate in the areas that we believe have the greatest potential for growth.
Currently, we are invested in three areas: technology, healthcare and
financials. The largest portion of the portfolio is invested in the technology
sector which led the charge in the first half, with notable surges in the
networking, storage and software sub-sectors, where gains of more than 35% were
posted. Improving profit margins, stabilizing fundamentals and encouraging
economic data contributed to investor appetite for the sector. Our financial
services holdings also generated market-beating results, gaining an average of
26%. Market sensitive names led the pack, supported by improving trading volumes
and credit quality trends. Healthcare posted positive results, but slightly
lagged the S&P 500, which has been typical in prior market recoveries.
Which portfolio holdings enhanced the Fund's performance?
The largest contributors to performance were holdings in the technology
area. Juniper Networks, McData Corporation, PMC-Sierra, Inc. and Veritas
Software contributed substantial gains in the first half of 2003. The healthcare
holdings gained in the first quarter but lagged during the second quarter.
Financial services generated market-beating results for the first half of 2003.
Which portfolio holdings enhanced the Fund's performance?
Microsoft did not participate in the market rally for the first half of
2003, but we do believe that Microsoft will be a market leader going forward.
Charles Schwab Corporation returned negative performance in the first quarter of
2003 and positive returns in the second quarter of 2003, but unfortunately the
gains in the second quarter did not make up for the losses in the first quarter.
We do believe that Charles Schwab Corporation will be a market leader going
forward. What is your outlook for the rest of the fiscal year?
Our outlook remains positive. We believe we are in the early stages of a
renewed bull market that will sustain its gains through year-end and beyond,
similar to what occurred in the early 1990s. While recent gains have been driven
to a certain extent by a "rush to get back in," a healthy amount of market
skepticism remains. Valuations are favorable, particularly against the backdrop
of declining interest rates and continued fiscal and monetary stimulus. Three
years of belt-tightening have introduced considerable leverage into the
financial models of most corporations. As sentiment improves, we expect capital
spending to resume, resulting in sizeable improvements in the profit picture --
the ultimate long-term driver of stock prices. Even the telecommunications
sector - which some say accounts for over 40% of all IT spending - is showing
signs of life. While there will be fits and starts in the market, the overall
trend is biased to the upside.
Oak Associates, ltd.
Oak Associates, ltd. ("Oak") sub-advises the Fund. Founded in 1985, Oak -- known
for exceptionally low-turnover, aggressive growth performance -- has taxable and
tax-exempt assets under management for more than 100 institutional clients, as
well as, three no-load mutual funds.
1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the Fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco 20
Fund is 5.75% for Class A and 1.00% for Class C. The applicable
contingent-deferred sales charge is 5.00% in year 1 and eliminated after
year 6 for Class B, and the applicable contingent-deferred sales charge is
1.00% and eliminated after 12 months for Class C. The S&P MidCap 400 Index
is an unmanaged index considered to be representative of the mid cap stock
arena in general. The S&P 500 Index is an unmanaged index considered to be
representative of the U.S. stock market in general.
Conseco 20 Fund
(unaudited) Growth of $10,000
[LINE CHART]
- --------------------------------------------------------------------------
DATE Conseco 20 Fund S&P 500 Index S&P 400 Midcap
(Class A Shares) Index
- --------------------------------------------------------------------------
1/1/98 $9,425.07 $10,000.00 $10,000.00
1/30/98 $9,905.75 $10,111.00 $9,810.00
2/27/98 $10,763.43 $10,840.00 $10,622.27
3/31/98 $11,658.81 $11,395.01 $11,101.33
4/30/98 $11,470.31 $11,510.10 $11,304.49
5/29/98 $10,725.73 $11,312.13 $10,795.78
6/30/98 $11,225.26 $11,771.40 $10,863.80
7/31/98 $10,622.06 $11,646.62 $10,442.28
8/31/98 $8,803.02 $9,962.52 $8,498.97
9/30/98 $9,302.55 $10,601.12 $9,292.78
10/30/98 $9,717.25 $11,462.99 $10,123.55
11/30/98 $10,556.08 $12,157.65 $10,628.72
12/31/98 $12,064.09 $12,857.93 $11,912.67
1/29/99 $12,111.22 $13,395.39 $11,449.26
2/26/99 $11,771.91 $12,978.79 $10,849.32
3/31/99 $12,318.57 $13,497.94 $11,152.02
4/30/99 $13,034.87 $14,020.31 $12,031.91
5/28/99 $13,327.05 $13,689.43 $12,083.65
6/30/99 $14,542.88 $14,449.20 $12,731.33
7/30/99 $14,552.31 $13,998.38 $12,460.16
8/31/99 $15,155.51 $13,928.39 $12,032.77
9/30/99 $15,221.49 $13,546.75 $11,660.96
10/29/99 $15,947.22 $14,404.26 $12,255.67
11/30/99 $18,058.44 $14,696.67 $12,899.09
12/31/99 $20,587.75 $15,562.30 $13,665.30
1/31/00 $21,334.04 $14,781.08 $13,279.94
2/29/00 $27,413.85 $14,501.71 $14,209.53
3/31/00 $25,145.12 $15,919.98 $15,398.87
4/28/00 $22,627.62 $15,440.79 $14,859.91
5/31/00 $20,846.47 $15,124.25 $14,674.16
6/30/00 $23,742.08 $15,497.82 $14,889.87
7/31/00 $23,324.16 $15,256.06 $15,125.13
8/31/00 $27,622.81 $16,203.46 $16,813.10
9/29/00 $26,866.57 $15,347.91 $16,697.09
10/31/00 $23,224.65 $15,283.45 $16,131.05
11/30/00 $17,592.63 $14,079.12 $14,913.16
12/31/00 $15,302.95 $14,148.11 $16,054.02
1/31/01 $17,007.61 $14,650.36 $16,412.02
2/28/01 $11,451.19 $13,314.25 $15,476.54
3/30/01 $9,121.91 $12,470.13 $14,326.63
4/30/01 $11,334.07 $13,439.06 $15,906.86
5/31/01 $10,540.30 $13,529.10 $16,277.49
6/29/01 $10,045.81 $13,200.34 $16,212.38
7/31/01 $9,278.06 $13,070.98 $15,970.81
8/31/01 $7,820.64 $12,252.73 $15,448.57
9/28/01 $5,959.82 $11,263.94 $13,526.76
10/31/01 $7,143.98 $11,479.08 $14,126.00
11/30/01 $8,354.16 $12,359.52 $15,176.97
12/31/01 $7,963.78 $12,468.29 $15,961.62
1/31/02 $8,093.91 $12,286.25 $15,878.62
2/28/02 $6,766.61 $12,049.13 $15,897.68
3/28/02 $7,703.52 $12,502.17 $17,034.36
4/30/02 $6,766.61 $11,744.54 $16,954.30
5/31/02 $6,389.24 $11,657.63 $16,667.77
6/28/02 $5,439.31 $10,827.61 $15,447.69
7/31/02 $4,996.88 $9,983.06 $13,950.81
8/30/02 $4,775.67 $10,048.94 $14,020.56
9/30/02 $3,942.85 $8,956.62 $12,890.51
10/31/02 $4,528.42 $9,744.81 $13,448.67
11/29/02 $5,374.25 $10,318.78 $14,227.34
12/31/02 $4,567.46 $9,712.03 $13,642.60
1/31/03 $4,541.44 $9,457.58 $13,244.24
2/28/03 $4,619.51 $9,315.71 $12,929.02
3/31/03 $4,619.51 $9,406.07 $13,037.63
4/30/03 $5,283.16 $10,181.14 $13,984.16
5/30/03 $5,790.66 $10,717.68 $15,143.45
6/30/03 $5,725.59 $10,854.87 $15,337.28
- --------------------------------------------------------------------------
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/03. Past performance does not
guarantee future results.
Average annual total return(1) (as of
06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
---------------------------------------------------------
20 A. . . . . . . . . 01/01/1998 18.28% -0.90% -13.63% -9.65%
20 B. . . . . . . . . 02/18/1998 20.07% -0.31% -13.28% -11.41%
20 C. . . . . . . . . 03/10/1998 22.85% 2.66% -13.18% -12.38%
20 Y. . . . . . . . . 04/06/1998 25.50% 5.73% -12.17% -12.44%
S&P 500 Index . . . . 01/01/1998 11.77% 0.25% -1.61% 1.50%
S&P MidCap 400 Index . 01/01/1998 12.42% -0.71% 7.14% 8.09%
Conseco 20 Fund CONSECO FUND GROUP
Schedule of Investments 2003 Mid-Year Report
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
- ------------------------------------------ ---------------
COMMON STOCKS (96.2%)
Business Services (10.3%)
60,000 Microsoft Corp. . . . . . . . . $ 1,536,600
125,180 VERITAS Software Corp. (a). . . 3,588,911
---------------
5,125,511
---------------
Chemicals and Allied Products (5.2%)
2,400 Eli Lilly & Co. . . . . . . . . 165,528
71,000 Pfizer, Inc. . . . . . . . . . 2,424,650
---------------
2,590,178
---------------
Depository Institutions (3.3%)
38,000 Citigroup, Inc. . . . . . . . . 1,626,400
---------------
Electronic, Other Electrical Equipment,
except Computers (24.3%)
128,000 Intel Corp. . . . . . . . . . . 2,660,352
45,000 Linear Technology Corp. . . . . 1,449,450
70,800 Maxim Integrated . . .
Products, Inc. . . 2,420,652
225,000 McData Corp. (a) . . . . . . . 3,300,750
90,000 Xilinx, Inc. (a) . . . . . . . 2,277,900
---------------
12,109,104
---------------
Industrial, Commercial Machinery,
Computers (22.4%)
192,300 Cisco Systems, Inc. (a) . . . . 3,209,487
80,000 Dell Computer Corp. (a) . . . . 2,556,800
275,000 EMC Corp. (a) . . . . . . . . . 2,879,250
200,000 Juniper Networks, Inc. (a) . . 2,474,000
---------------
11,119,537
---------------
Insurance Carriers (5.9%)
53,100 American International . .
Group, Inc. . 2,930,058
---------------
Measuring Instruments,
Photo Goods, Watches (5.7%)
59,000 Medtronic, Inc. . . . . . . . 2,830,230
---------------
Non-Depository Credit Institution (4.6%)
110,000 MBNA Corp. . . . . . . . . . . 2,292,400
---------------
Security and Commodity Brokers (4.8%)
56,000 Morgan Stanley Dean Witter &
Co. . . . 2,394,000
---------------
SHARES OR
PRINCIPAL AMOUNT VALUE
- ----------------------------------------------- ----------------
Semiconductors, Related Devices (3.8%)
160,000 PMC-Sierra, Inc. (a) . . . . . . . $ 1,876,800
----------------
Special Industry Machinery (5.9%)
185,000 Applied Materials, Inc. (a) . . . . 2,934,100
----------------
Total common stock
(cost $106,633,930) . . . . . . . 47,828,318
----------------
VARIABLE RATE BONDS AND CDS (8.1%)
$ 2,000,000 Credit Suisse First Boston
(USA), Inc., 1.540%,
due 02/22/2005 (b) . . . . . . . 1,999,468
1,000,000 Lehman Brothers Holdings,
1.825%, due 09/20/2004 (b) . . . 1,001,710
1,000,000 Toyota Motor Credit Corp.,
1.163%, due 07/19/2005 (b) . . . 1,000,865
----------------
Total variable rate bonds and
CDs
(cost $4,002,043) . . . . . . . 4,002,043
----------------
SHORT-TERM INVESTMENTS (9.5%)
2,573,355 Bank of America Corp.,
Repurchase Agreement,
1.280%, due 07/01/2003 (b) . . . 2,573,355
2,132,000 Nations Cash Reserve . . . . . . . 2,132,000
----------------
Total short-term investments
(cost $4,705,355) . . . . . . . 4,705,355
----------------
Total investments (cost $115,341,328) (113.8%). . . 56,535,716
----------------
Liabilities, less other assets (-13.8%) . . . . . (6,821,960)
----------------
Total net assets (100.0%) . . . . . . . . . . . . $ 49,713,756
================
(a) Non-income producing security.
(b) Securities lending collateral (Note 2).
The accompanying notes are an integral part of these financial statements.
Coneco Equity Fund
Portfolio Manager's Review
How did the Fund perform relative to its benchmarks?
The Conseco Equity Fund (Class A with load) posted a return of 8.21% for
the six months ended June 30, 2003. Over a similar period the benchmarks, the
S&P MidCap 400 Index returned 12.42% and the S&P 500 Index returned 11.77%.(1)
The equity markets negative returns in the first quarter led by a plunge in
consumer confidence, war uncertainty and rising oil prices, however bounced back
in the second quarter with a the quick resolution to the war.
What caused the variance in performance between the Fund and its benchmarks?
Our strategy is to identify and own quality companies which we believe will
outperform their peers that display positive earnings momentum and sell at
reasonable valuations. The run on stocks seems to be more speculative in nature
than a run based on valuation levels and earnings expectations led the Fund
underperformance. The stock market did show great performance over the second
quarter, but the quality of the rally is suspect. There are many examples of
stocks with poor valuations and declining earnings expectations that have done
very well since the beginning of the year.
The market has been buying stocks that have been beaten down the most over
the past year. Anecdotally, this market reaction may be based on the speculation
that a rising economic tide will lift all boats, and accordingly, the stocks
that been beaten down the most will benefit the most. These stocks do not
necessarily look cheap based on trailing earnings or forward expectations, but
may appear cheap to some investors in absolute dollar price terms relative to
historical ranges. The majority of these stocks display poor characteristics of
estimate revisions, earnings quality and/or valuation measures.
Which portfolio holdings enhanced the Fund's performance?
The best performing sectors were Telecom, Health Care and Industrial
sectors while stock selection in the Industrial and the Health Care sectors
contributed the most on a relative basis. The largest contributors to
performance were overweight positions (relative to benchmark weight) in Citrix
Systems, D.R. Horton Inc. and Countrywide Financial Corp., Career Education
Corp, and St. Jude Medical Inc.
Which holdings detracted from performance?
Stock selection in the Technology, Utilities and Consumer Discretionary
sectors were the largest detractors to performance. The largest detractors were
underweight positions (relative to benchmark weight) in Yahoo! Inc., Corning
Inc., and Computer Associates, along with an overweight position in Greater Bay
Bancorp.
What is your outlook for the rest of the fiscal year?
Investors have turned more optimistic about economic recovery in the 2nd
half of 2003 as they anticipate the effects of economic stimulus by both the
Federal Government and the Federal Reserve. Economist also have high
expectations for strong recovery in second half with a Wall Street Journal poll
of economist predicting 3.5% annualized GDP growth in the third quarter and 3.8%
annualized GDP growth in fourth quarter of 2003. The economist have cited tax
cuts, low interest rates, a weak dollar, and increased government spending as
reasons that the economy is poised for recovery.
However, economists are never quick to throw caution to the wind. The tax
cuts by the government may be offset by tax hikes from states that are facing
large deficits, low interest rates have failed to spark capital spending by
businesses that still have overcapacity, and an increase in government spending
has the potential to create a large federal deficit. The effects of these
stimuli may have a positive effect on the economy in the short term, but if the
economy experiences a relapse after a short lived spurt, it faces the risk of
years of sub-par growth and sliding into outright deflation.
There is also hope that the weak dollar will stimulate the domestic economy
as it makes U.S. goods cheaper abroad which will spur exports and reduce the
current account deficit. However, we may still have to wait another year or two
to see the impact of the weaker dollar.
Chicago Equity Partners, LLC
Chicago Equity Partners, LLC ("CEP") sub-advises the Fund. With a history dating
back to 1989, CEP -- known for low- turnover growth performance -- has taxable
and tax-exempt assets under management for more than 100 institutional clients.
(1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco
Equity Fund is 5.75% for Class A and 1.00% for Class C. The applicable
contingent-deferred sales charge is 5.00% in year 1 and eliminated after
year 6 for Class B, and the applicable contingent-deferred sales charge is
1.00% and eliminated after 12 months for Class C. The S&P MidCap 400 Index
is an unmanaged index considered to be representative of the Mid Cap stock
arena in general. The S&P 500 Index is an unmanaged index considered to be
representative of the U.S. stock market in general.
Conseco Equity Fund CONSECO FUND GROUP
(unaudited) 2003 Mid-Year Report
Growth of $10,000
[LINE CHART]
- -------------------------------------------------------------------------------
DATE Conseco Equity Fund S&P 400 Midcap Index S&P 500 Index
(Class A Shares)
1/2/97 $9,425.07 $10,000.00 $10,000.00
1/31/97 $9,679.55 $10,375.00 $10,625.00
2/28/97 $9,396.80 $10,289.93 $10,707.88
3/31/97 $8,963.24 $9,851.57 $10,267.78
4/30/97 $8,868.99 $10,106.73 $10,880.77
5/30/97 $9,792.65 $10,990.06 $11,543.41
6/30/97 $10,226.20 $11,298.88 $12,060.55
7/31/97 $10,999.06 $12,417.47 $13,020.57
8/29/97 $11,206.41 $12,402.57 $12,291.42
9/30/97 $12,271.44 $13,115.71 $12,964.99
10/31/97 $11,677.66 $12,545.18 $12,531.96
11/28/97 $11,762.49 $12,730.85 $13,112.19
12/31/97 $11,583.41 $13,224.81 $13,337.72
1/30/98 $11,740.37 $12,973.54 $13,485.77
2/27/98 $12,807.68 $14,047.74 $14,458.09
3/31/98 $13,778.71 $14,681.30 $15,198.34
4/30/98 $13,768.00 $14,949.96 $15,351.85
5/29/98 $12,835.85 $14,277.22 $15,087.80
6/30/98 $13,210.85 $14,367.16 $15,700.36
7/31/98 $12,289.41 $13,809.72 $15,533.94
8/31/98 $9,975.10 $11,239.73 $13,287.73
9/30/98 $10,500.11 $12,289.52 $14,139.47
10/30/98 $11,014.40 $13,388.20 $15,289.01
11/30/98 $11,978.70 $14,056.27 $16,215.53
12/31/98 $13,449.57 $15,754.27 $17,149.54
1/29/99 $13,160.22 $15,141.43 $17,866.39
2/26/99 $12,474.34 $14,348.02 $17,310.75
3/31/99 $13,160.22 $14,748.33 $18,003.18
4/30/99 $13,642.47 $15,911.97 $18,699.90
5/28/99 $13,588.89 $15,980.39 $18,258.58
6/30/99 $14,847.57 $16,836.94 $19,271.93
7/30/99 $15,008.61 $16,478.32 $18,670.65
8/31/99 $15,062.29 $15,913.11 $18,577.30
9/30/99 $15,180.38 $15,421.39 $18,068.28
10/29/99 $16,211.02 $16,207.89 $19,212.00
11/30/99 $17,885.80 $17,058.80 $19,602.00
12/31/99 $21,058.03 $18,072.09 $20,756.56
1/31/00 $21,303.95 $17,562.46 $19,714.58
2/29/00 $27,464.75 $18,791.83 $19,341.98
3/31/00 $26,739.95 $20,364.71 $21,233.62
4/28/00 $23,866.63 $19,651.94 $20,594.49
5/31/00 $22,028.75 $19,406.29 $20,172.30
6/30/00 $25,316.23 $19,691.57 $20,670.56
7/31/00 $24,474.95 $20,002.69 $20,348.10
8/31/00 $28,396.63 $22,234.99 $21,611.71
9/29/00 $27,529.46 $22,081.57 $20,470.62
10/31/00 $25,018.55 $21,333.01 $20,384.64
11/30/00 $20,164.98 $19,722.36 $18,778.33
12/31/00 $22,105.07 $21,231.13 $18,870.34
1/31/01 $22,060.23 $21,704.58 $19,540.24
2/28/01 $20,446.07 $20,467.42 $17,758.17
3/30/01 $18,921.58 $18,946.69 $16,632.30
4/30/01 $20,423.65 $21,036.51 $17,924.63
5/31/01 $20,759.93 $21,526.66 $18,044.73
6/29/01 $20,558.16 $21,440.55 $17,606.24
7/31/01 $20,020.11 $21,121.09 $17,433.70
8/31/01 $19,302.70 $20,430.43 $16,342.35
9/28/01 $17,307.42 $17,888.88 $15,023.52
10/31/01 $17,800.63 $18,681.36 $15,310.47
11/30/01 $18,921.58 $20,071.26 $16,484.78
12/31/01 $19,688.16 $21,108.94 $16,629.85
1/31/02 $19,800.28 $20,999.17 $16,387.05
2/28/02 $19,777.86 $21,024.37 $16,070.78
3/28/02 $20,786.93 $22,527.61 $16,675.05
4/30/02 $20,697.24 $22,421.73 $15,664.54
5/31/02 $20,473.00 $22,042.81 $15,548.62
6/28/02 $19,441.50 $20,429.27 $14,441.56
7/31/02 $17,782.13 $18,449.68 $13,315.12
8/30/02 $17,804.56 $18,541.93 $13,403.00
9/30/02 $16,391.85 $17,047.45 $11,946.09
10/31/02 $16,907.60 $17,785.60 $12,997.35
11/29/02 $17,535.47 $18,815.39 $13,762.89
12/31/02 $16,997.30 $18,042.07 $12,953.63
1/31/03 $16,795.48 $17,515.25 $12,614.25
2/28/03 $16,683.36 $17,098.38 $12,425.03
3/31/03 $16,817.91 $17,242.01 $12,545.56
4/30/03 $17,894.25 $18,493.78 $13,579.31
5/30/03 $19,262.11 $20,026.91 $14,294.94
6/30/03 $19,508.77 $20,283.26 $14,477.92
- -------------------------------------------------------------------------------
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/03. Past performance does not
guarantee future results.
Average annual total return(1) (as of
06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
------------------------------------------------------
Equity A. . . . . . . . . 01/02/1997 8.21% -5.43% 6.84% 10.84%
Equity B. . . . . . . . . 01/28/1998 9.60% -5.00% 7.41% 9.43%
Equity C. . . . . . . . . 02/19/1998 12.50% -1.93% 7.50% 8.00%
Equity Y. . . . . . . . . 01/02/1997 15.25% 0.99% 8.69% 12.46%
S&P MidCap 400 Index . . . 01/02/1997 12.42% -0.71% 7.14% 11.49%
S&P 500 Index . . . . . . 01/02/1997 11.77% 0.25% -1.61% 5.86%
Conseco Equity Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
COMMON STOCKS (98.8%)
Amusement and Recreation Services (0.5%)
16,400 Westwood One, Inc. (a) . . . . . . $ 556,452
---------------
Apparel and Other Finished Products (0.8%)
24,200 Liz Claiborne, Inc. . . . . . . . . 853,050
---------------
Automotive Dealers and Gasoline Service
Stations (0.7%)
25,600 Carmax, Inc. (a) . . . . . . . . . 771,840
---------------
Automotive Repair, Services, Parking (0.5%)
20,400 Ryder System, Inc. . . . . . . . . 522,648
---------------
Building Construction, General Contractors
and Operative Builders (2.5%)
41,150 D.R. Horton, Inc. . . . . . . . . . 1,156,315
12,500 Lennar Corp. . . . . . . . . . . . 893,750
9,200 Pulte Homes, Inc. . . . . . . . . . 567,272
---------------
2,617,337
---------------
Business Services (8.6%)
36,000 Activision, Inc. (a) . . . . . . . 465,120
15,500 Alliance Data Systems Corp. (a) . . 362,700
41,100 BearingPoint, Inc. (a) . . . . . . 396,615
27,600 Citrix Systems, Inc. (a) . . . . . 561,936
28,700 Computer Sciences Corp. (a) . . . . 1,094,044
10,700 Deluxe Corp. . . . . . . . . . . . 479,360
15,200 Electronic Arts, Inc. (a) . . . . . 1,124,648
14,700 Fair, Isaac & Co., Inc. . . . . . . 756,315
13,200 Fiserv, Inc. (a) . . . . . . . . . 470,052
21,000 GTECH Holdings Corp. (a) . . . . . 790,650
4,500 Pixar, Inc. (a) . . . . . . . . . . 273,780
11,900 Rent-A-Center, Inc. (a) . . . . . . 902,139
23,500 Synopsys, Inc. (a) . . . . . . . . 1,453,475
---------------
9,130,834
---------------
Chemicals and Allied Products (4.6%)
8,500 Biogen, Inc. (a) . . . . . . . . . 323,000
12,000 Chiron Corp. (a) . . . . . . . . . 524,640
10,300 Clorox Corp. . . . . . . . . . . . 439,295
22,700 Cytec Industries, Inc. (a) . . . . 767,260
19,700 Ecolab, Inc. . . . . . . . . . . . 504,320
18,000 Gilead Sciences, Inc. (a) . . . . . 1,000,440
7,700 Invitrogen Corp. (a) . . . . . . . 295,449
21,600 Lubrizol Corp. . . . . . . . . . . 669,384
6,700 Sigma--Aldrich Corp. . . . . . . . 363,006
---------------
4,886,794
---------------
Coal Mining (0.9%)
28,200 Peabody Energy Corp. . . . . . . . 947,238
---------------
Communications by Phone, Television, Radio,
Cable (2.5%)
28,800 Advanced Fibre
Communications, Inc. (a) . . . 468,576
26,100 Centurytel, Inc. . . . . . . . . . 909,585
16,200 Global Payments, Inc. . . . . . . 575,907
39,400 Nextel Communications, Inc. (a) . 712,352
---------------
2,666,420
---------------
The accompanying notes are an integral part of these financial statements.
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
Depository Institutions (8.1%)
32,700 Associated Banc Corp. . . . . . . . $ 1,204,757
19,600 Astoria Financial Corp. . . . . . . 547,428
26,400 First Tennessee National Corp. . . 1,159,224
18,800 GreenPoint Financial Corp. . . . . 957,672
21,500 Hudson United Bancorp . . . . . . . 734,225
27,000 Regions Financial Corp. . . . . . . 912,060
39,400 Sovereign Bancorp, Inc. . . . . . . 616,610
18,500 UnionBanCal Corp. . . . . . . . . . 765,345
35,400 Union Planters Corp. . . . . . . . 1,098,462
15,100 Webster Financial Corp. . . . . . . 570,780
---------------
8,566,563
---------------
Eating and Drinking Places (1.4%)
24,600 Applebee's International, Inc. . . 773,178
27,500 Ruby Tuesday, Inc. . . . . . . . . 680,075
---------------
1,453,253
---------------
Educational Services (1.3%)
12,600 Career Education Corp. (a) . . . . 862,092
21,400 DeVry, Inc. (a) . . . . . . . . . . 498,406
---------------
1,360,498
---------------
Electric, Gas, Water, Cogeneration, Sanitary
Services (6.6%)
44,400 Constellation Energy Group, Inc. . 1,522,920
45,300 Equitable Resources, Inc. . . . . . 1,845,522
22,465 FirstEnergy Corp. . . . . . . . . . 863,779
8,000 Nstar Corp. . . . . . . . . . . . . 364,245
34,900 ONEOK, Inc. . . . . . . . . . . . . 685,087
21,200 Questar Corp. . . . . . . . . . . . 709,564
47,000 TXU Corp. . . . . . . . . . . . . . 1,058,083
---------------
7,049,200
---------------
Electronic, Other Electrical Equipment,
except Computers (5.1%)
39,500 American Power Conversion Co. (a) . 617,203
9,500 Energizer Holdings, Inc. (a) . . . 298,300
5,400 Intersil Corp. - Class A (a) . . . 142,014
40,200 National Semiconductor Corp. (a) . 792,744
13,000 QLogic Corp. (a) . . . . . . . . . 628,290
88,000 Reliant Resources, Inc. (a) . . . . 538,138
25,000 Rockwell Collins, Inc. . . . . . . 615,750
35,900 Scientific-Atlanta, Inc. . . . . . 857,107
26,300 UTStarcom, Inc. (a) . . . . . . . . 935,491
---------------
5,425,037
---------------
Fabricated Metal Products (0.5%)
10,800 Fortune Brands, Inc. . . . . . . . 563,760
---------------
Food and Kindred Products (1.5%)
32,200 Constellation Brands, Inc. -
Class A (a) . . . . . . . . . . 1,011,080
14,300 McCormick & Co., Inc. . . . . . . . 388,960
13,200 Tyson Foods, Inc. - Class A (a) . . 140,184
---------------
1,540,224
---------------
Furniture and Fixtures (0.8%)
18,500 Lear Corp. (a) . . . . . . . . . . 851,370
---------------
General Merchandise Stores (2.1%)
32,200 Federated Department Stores, Inc. . 1,186,570
35,500 Foot Locker, Inc. . . . . . . . . 470,375
18,300 Sears Roebuck & Co. . . . . . . . . 618,414
---------------
2,275,359
---------------
The accompanying notes are an integral part of these financial statements.
Conseco Equity Fund CONSECO FUND GROUP
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
Health Services (3.5%)
20,000 AdvancePCS (a) . . . . . . . . . . $ 764,600
18,800 Coventry Health Care, Inc. (a) . . 867,808
10,500 MedImmune, Inc. (a) . . . . . . . . 381,885
7,200 Quest Diagnostics, Inc. (a) . . . . 459,360
12,600 Renal Care Group, Inc. (a) . . . . 443,646
10,800 SICOR, Inc. (a) . . . . . . . . . . 219,672
13,300 Watson Pharmaceuticals, Inc. (a) . 536,921
---------------
3,673,892
---------------
Home Furniture and Equipment Stores (0.7%)
34,300 Pier 1 Imports, Inc. . . . . . . . 699,720
---------------
Industrial, Commercial Machinery, Computers (6.0%)
12,900 Affiliated Computer Services, Inc. 589,917
78,000 Cypress Semiconductor Corp. (a) . . 936,000
4,300 Donaldson Company, Inc. . . . . . . 191,135
24,000 Jabil Circuit, Inc. (a) . . . . . . 530,400
38,000 Lam Research Corp. (a) . . . . . . 691,980
13,300 Lexmark International, Inc. (a) . . 941,241
17,500 Network Appliance, Inc. (a) . . . . 283,675
12,400 Pall Corp. . . . . . . . . . . . . 279,000
1 Riverstone Networks, Inc. (a) . . . 1
9,600 Sandisk Corp. (a) . . . . . . . . . 387,799
19,900 Storage Technology Corp. (a) . . . 512,226
8,000 Varian Medical Systems, Inc. (a) . 460,560
7,800 Zebra Technologies Corp -
Class A (a) . . . . . . . . . . . . 586,482
---------------
6,390,416
---------------
Insurance Carriers (7.0%)
6,041 Anthem, Inc. (a) . . . . . . . . . 466,063
16,675 Fidelity National Financial, Inc. . 512,923
11,700 Loews Corp. . . . . . . . . . . . . 553,293
11,200 Mid-Atlantic Medical Services, Inc.
(a) . 585,760
26,100 Old Republic International Corp. . 894,447
9,300 Oxford Health Plans (a) . . . . . . 390,879
23,900 Radian Group, Inc. . . . . . . . . 879,773
19,000 Reinsurance Group of America, Inc. 609,900
9,300 Stancorp Financial Group . . . . . 485,646
26,500 Torchmark Corp. . . . . . . . . . . 987,125
12,500 W. R. Berkley Corp. . . . . . . . . 658,750
5,500 Wellpoint Health Networks, Inc. (a) 463,650
---------------
7,488,209
---------------
Measuring Instruments, Photo Goods, Watches (3.2%)
11,400 Beckman Coulter, Inc. . . . . . . . 463,296
25,300 Becton Dickinson & Co. . . . . . . 982,905
6,300 KLA-Tencor Corp. (a) . . . . . . . 292,887
16,600 St. Jude Medical, Inc. (a) . . . . 954,500
22,200 Tektronix, Inc. (a) . . . . . . . . 484,840
4,000 Zimmer Holdings, Inc. (a) . . . . . 180,200
---------------
3,358,628
---------------
Miscellaneous Manufacturing Industries (1.4%)
16,700 AptarGroup, Inc. . . . . . . . . . 601,200
6,500 Blyth, Inc. . . . . . . . . . . . . 178,188
34,900 Mattel, Inc. . . . . . . . . . . . 660,308
---------------
1,439,696
---------------
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
Miscellaneous Retail (4.0%)
24,900 Blockbuster, Inc. . . . . . . . . . $ 419,565
22,300 CBRL Group, Inc. . . . . . . . . . 866,578
26,300 Dollar Tree Stores, Inc. (a) . . . 834,499
14,500 The Estee Lauder Companies, Inc. . 486,185
20,500 Michael's Stores, Inc. . . . . . . 780,230
47,400 PETsMART, Inc. (a) . . . . . . . . 786,366
4,820 Staples, Inc. (a) . . . . . . . . . 88,447
---------------
4,261,870
---------------
Non-Depository Credit Institutions (1.6%)
18,800 Countrywide Financial Corp. . . . . 1,307,916
9,850 Doral Financial Corp. . . . . . . . 439,803
---------------
1,747,719
---------------
Oil and Gas Extraction (3.3%)
14,800 BJ Services Co. (a) . . . . . . . . 552,928
26,700 Cimarex Energy Co. (a) . . . . . . 634,125
21,900 FMC Technologies, Inc. (a) . . . . 460,995
18,100 Marathon Oil Corp. . . . . . . . . 476,935
14,600 Newfield Exploration Co. (a) . . . 548,230
13,900 Pogo Producing Co. . . . . . . . . 594,225
18,600 Varco International, Inc. (a) . . . 364,560
---------------
3,631,998
---------------
Paper and Allied Products (0.9%)
46,600 Pactiv Corp. (a) . . . . . . . . . 918,486
---------------
Personal Services (0.6%)
14,600 H&R Block, Inc. . . . . . . . . . . 631,450
---------------
Petroleum Refining and Related Products (0.5%)
13,400 Valero Energy Corp. . . . . . . . . 486,822
---------------
Primary Metal Industries (0.7%)
29,900 Engelhard Corp. . . . . . . . . . . 740,623
---------------
Printing, Publishing, and Allied Industries (1.1%)
11,900 Dow Jones & Co., Inc. . . . . . . . 512,057
860 The Washington Post Co. - Class B . 630,294
---------------
1,142,351
---------------
Real Estate Investment Trust (REIT's) (4.9%)
48,500 CarrAmerica Realty Corp. . . . . .. . . . . 1,347,956
28,500 Developers Diversified Realty Corp. 810,540
20,300 General Growth Properties, Inc. . . 1,267,532
22,400 Simon Property Group, Inc. . . . . 874,272
19,800 Vornado Realty Trust . . . . . . . 863,280
---------------
5,163,580
---------------
Security and Commodity Brokers (1.2%)
10,100 Bear Stearns Companies, Inc. . . . 731,542
13,200 Franklin Resources, Inc. . . . . . 518,583
---------------
1,250,125
---------------
Textile Mill Products (0.6%)
11,600 Mohawk Industries, Inc. (a) . . . . 644,148
---------------
Transportation Equipment (2.9%)
19,400 ITT Industries, Inc. . . . . . . . 1,269,271
17,150 Paccar, Inc. . . . . . . . . . . . 1,158,654
11,200 Polaris Industries, Inc. . . . . . 687,680
---------------
3,115,605
---------------
The accompanying notes are an integral part of these financial statements.
Conseco Equity Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
------------------
Transportation Services (0.8%)
9,900 C.H. Robinson Worldwide, Inc. . . . $ 352,044
27,800 Swift Transportation Co., Inc. (a) 517,636
------------------
869,680
------------------
Wholesale Trade - Durable Goods (2.2%)
49,200 Arrow Electronics, Inc. (a) . . . . 749,808
12,400 BorgWarner, Inc. . . . . . . . . . 798,560
42,200 IKON Office Solutions, Inc. . . . 375,580
9,500 W.W. Grainger, Inc. . . . . . . . 444,220
------------------
2,368,168
------------------
Wholesale Trade - Non-Durable Goods (2.7%)
7,400 AmerisourceBergen Corp. . . . . . . 513,190
27,300 Dean Foods Co. (a) . . . . . . . . 859,950
30,500 McKesson Corp. . . . . . . . . . . 1,090,070
20,000 SUPERVALU, INC. . . . . . . . . . . 426,400
------------------
2,889,610
------------------
Total common stock
(cost $92,313,918) . . . . . . . . 104,950,673
------------------
VARIABLE RATE BONDS AND CDS (3.2%)
$ 750,000 Credit Suisse First Boston (USA),
Inc., 1.795%, due 07/05/2005 (b) . . 748,798
1,000,000 Lehman Brothers Holdings,
1.825%, due 09/20/2004 (b) . . . . 1,001,710
999,901 Southtrust Bank, National
Association,
1.360%, due 05/24/2004 (b) . . . . 1,001,290
. .
600,000 Toyota Motor Credit Corp.,
1.163%, due 07/19/2005 (b) . . . . 600,519
------------------
Total variable rate bonds and CDs
(cost $3,349,901) . . . . . . . . . 3,352,317
------------------
SHORT-TERM INVESTMENTS (7.4%)
6,364,556 Bank of America, Repurchase
Agreement, 1.280%,
due 07/01/2003 (b) . . . . . . . . 6,364,556
1,624,000 Nations Cash Reserve . . . . . . . 1,624,000
------------------
Total short-term investments
(cost $7,988,556) . . . . . . . . . 7,988,556
Total investments (cost $103,652,375) (109.4%) . . 116,291,546
------------------
Liabilities, less other assets (-9.4%) . . . . . . (10,101,961)
------------------
Total net assets (100.0%) . . . . . . . . . . . . $ 106,189,585
==================
(a) Non-income producing security.
(b) Securities lending collateral (Note 2).
The accompanying notes are an integral part of these financial statements.
Conseco Large-Cap Fund CONSECO FUND GROUP
Portfolio Manager's Review 2003 Mid-Year Report
How did the Fund perform relative to its benchmarks?
The Conseco Large-Cap Fund (Class A with load) posted a return of 5.72% for
the six months ended June 30, 2003. The benchmarks, the S&P 500 Index and the
Russell 1000 Index, returned 11.77% and 12.34%, respectively.(1) The equity
markets negative returns in the first quarter led by a plunge in consumer
confidence, war uncertainty and rising oil prices, however bounced back in the
second quarter with a the quick resolution to the war.
What caused the variance in performance between the Fund and its benchmarks?
Our strategy is to identify and own quality companies which we believe will
outperform their peers that display positive earnings momentum and sell at
reasonable valuations. The run on stocks seems to be more speculative in nature
than a run based on valuation levels and earnings expectations led the Fund
underperformance. The stock market did show great performance over the second
quarter, but the quality of the rally is suspect. There are many examples of
stocks with poor valuations and declining earnings expectations that have done
very well since the beginning of the year.
The market has been buying stocks that have been beaten down the most over
the past year. Anecdotally, this market reaction may be based on the speculation
that a rising economic tide will lift all boats, and accordingly, the stocks
that been beaten down the most will benefit the most. These stocks do not
necessarily look cheap based on trailing earnings or forward expectations, but
may appear cheap to some investors in absolute dollar price terms relative to
historical ranges. The majority of these stocks display poor characteristics of
estimate revisions, earnings quality and/or valuation measures.
Which portfolio holdings enhanced the Fund's performance?
Stock selection in the Health Care sector, Industrial and the Financial
sectors, enhanced returns during first six months of 2003. Within Health Care,
overweighting (relative to benchmark weight) Coventry Health Care Inc. and Amgen
resulted in the biggest contributors to performance as these stocks rose more
than 59% and 36%, respectively during the last six months.
The largest contributors to performance were overweight positions (relative
to benchmark weight) in Capital One Financial Corp. and Rent-A-Center Inc.
Which holdings detracted from performance?
Stock selection in the Consumer Discretionary, Technology and Consumer
Staples sectors were the largest detractors to performance. Overweight positions
in Federated Department Stores and Family Dollar Stores, Inc. were the biggest
detractors within the Consumer Discretionary sector. The largest detractors were
underweight positions (relative to benchmark weight) in MBNA Corp., Wyeth,
Target Corp. and General Electric.
What is your outlook for the rest of the fiscal year?
Investors have turned more optimistic about economic recovery in the 2nd
half of 2003 as they anticipate the effects of economic stimulus by both the
Federal Government and the Federal Reserve. Economist also have high
expectations for strong recovery in second half with a Wall Street Journal poll
of economist predicting 3.5% annualized GDP growth in the third quarter and 3.8%
annualized GDP growth in fourth quarter of 2003. The economist have cited tax
cuts, low interest rates, a weak dollar, and increased government spending as
reasons that the economy is poised for recovery.
However, economists are never quick to throw caution to the wind. The tax
cuts by the government may be offset by tax hikes from states that are facing
large deficits, low interest rates have failed to spark capital spending by
businesses that still have overcapacity, and an increase in government spending
has the potential to create a large federal deficit. The effects of these
stimuli may have a positive effect on the economy in the short term, but if the
economy experiences a relapse after a short lived spurt, it faces the risk of
years of sub-par growth and sliding into outright deflation.
There is also hope that the weak dollar will stimulate the domestic economy
as it makes U.S. goods cheaper abroad which will spur exports and reduce the
current account deficit. However, we may still have to wait another year or two
to see the impact of the weaker dollar.
Chicago Equity Partners, LLC
Chicago Equity Partners, LLC ("CEP") sub-advises the Fund. With a history dating
back to 1989, CEP -- known for low- turnover growth performance -- has taxable
and tax-exempt assets under management for more than 100 institutional clients.
(1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the Fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco
Large-Cap Fund is 5.75% for Class A and 1.00% for Class C. The applicable
contingent-deferred sales charge is 5.00% in year 1 and eliminated after
year 6 for Class B, and the applicable contingent-deferred sales charge is
1.00% and eliminated after 12 months for Class C. The S&P 500 Index is an
unmanaged index considered to be representative of the U.S. stock market in
general. The Russell 1000 Index is an unmanaged index considered to be
representative of the large-cap arena in general. Investors cannot actually
invest in an index. Conseco Large-Cap Fund (unaudited)
Growth of $10,000
[LINE CHART]
- -------------------------------------------------------------------------------
DATE Conseco Large Cap Fund S&P 500 Index Russell 1000
(Class A shares)
7/1/00 $9,425.07 $10,000.00 $10,000.00
7/31/00 $9,330.82 $9,844.00 $9,834.00
8/31/00 $10,593.78 $10,455.31 $10,561.72
9/29/00 $10,216.78 $9,903.27 $10,071.65
10/31/00 $9,462.77 $9,861.68 $9,949.79
11/30/00 $8,086.71 $9,084.58 $9,039.38
12/31/00 $7,945.34 $9,129.09 $9,148.76
1/31/01 $8,350.61 $9,453.18 $9,449.75
2/28/01 $6,993.40 $8,591.05 $8,568.09
3/30/01 $6,220.55 $8,046.37 $7,999.17
4/30/01 $7,002.83 $8,671.58 $8,641.50
5/31/01 $6,908.58 $8,729.68 $8,700.26
6/29/01 $6,757.78 $8,517.54 $8,503.64
7/31/01 $6,559.85 $8,434.07 $8,387.14
8/31/01 $6,041.47 $7,906.10 $7,876.36
9/28/01 $5,494.82 $7,268.08 $7,208.45
10/31/01 $5,739.87 $7,406.90 $7,358.38
11/30/01 $6,239.40 $7,975.01 $7,924.98
12/31/01 $6,220.55 $8,045.19 $8,009.77
1/31/02 $6,145.15 $7,927.73 $7,908.05
2/28/02 $5,909.52 $7,774.72 $7,750.68
3/28/02 $6,079.17 $8,067.05 $8,069.23
4/30/02 $5,626.77 $7,578.19 $7,606.87
5/31/02 $5,504.24 $7,522.11 $7,539.92
6/28/02 $5,032.99 $6,986.54 $6,983.48
7/31/02 $4,740.81 $6,441.59 $6,466.70
8/30/02 $4,806.79 $6,484.10 $6,500.33
9/30/02 $4,344.96 $5,779.28 $5,802.19
10/31/02 $4,684.26 $6,287.86 $6,284.35
11/29/02 $4,816.21 $6,658.21 $6,651.99
12/31/02 $4,505.18 $6,266.71 $6,275.49
1/31/03 $4,410.93 $6,102.52 $6,123.62
2/28/03 $4,401.51 $6,010.98 $6,028.70
3/31/03 $4,514.61 $6,069.29 $6,091.40
4/30/03 $4,787.94 $6,569.40 $6,582.98
5/30/03 $5,004.71 $6,915.60 $6,958.21
6/30/03 $5,051.84 $7,004.12 $7,050.06
- -------------------------------------------------------------------------------
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/03. Past performance does not
guarantee future results.
Average annual total return(1) (as of 06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
------------------------------------------------------
Large-Cap A. . . . 07/01/2000 5.72% -5.47% n/a -20.36%
Large-Cap B. . . . 07/01/2000 6.65% -5.36% n/a -20.04%
Large-Cap C. . . . 07/01/2000 9.70% -2.11% n/a -19.44%
Large-Cap Y. . . . 07/01/2000 12.42% 0.74% n/a -18.42%
S&P 500 Index . . . 07/01/2000 11.77% 0.25% n/a -11.19%
Russell 1000 Index 07/01/2000 12.34% 0.95% n/a -11.00%
Conseco Large-Cap Fund CONSECO FUND GROUP
2003 Mid-Year Report
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------
COMMON STOCKS (99.6%)
Apparel and Other Finished Products (0.5%)
500 Ross Stores, Inc. . . . . . . . . . $ 21,370
--------------
Automotive Dealers and Gasoline Service
Stations (0.6%)
400 AutoZone, Inc. (a) . . . . . . . . 30,388
--------------
Automotive Repair, Services, Parking (0.8%)
1,500 Ryder System, Inc. . . . . . . . . 38,548
--------------
Building Materials, Hardware, Garden - Retail
(2.2%)
3,160 The Home Depot, Inc. . . . . . . . 104,659
--------------
Business Services (10.6%)
1,200 Citrix Systems, Inc. (a) . . . . . 24,432
600 Computer Sciences Corp. (a) . . . . 22,872
500 Electronic Arts, Inc. (a) . . . . . 36,995
800 First Data Corp. . . . . . . . . . 33,152
700 InterActiveCorp (a) . . . . . . . . 27,699
9,600 Microsoft Corp. . . . . . . . . . 245,856
6,400 Oracle Corp. (a) . . . . . . . . . 76,928
600 Rent-A-Center, Inc. (a) . . . . . 45,486
--------------
513,420
--------------
Chemicals and Allied Products (17.3%)
400 Abbott Laboratories, Inc. . . . . . 17,504
1,800 Amgen, Inc. (a) . . . . . . . . . . 119,592
700 Clorox Corp. . . . . . . . . . . . 29,855
600 Cytec Industries, Inc. (a) . . . . 20,280
1,000 Forest Laboratories, Inc. (a) . . . 54,750
300 Genetech, Inc. (a) . . . . . . . . 21,636
300 Gilead Sciences, Inc. (a) . . . . . 16,674
1,900 Merck & Co., Inc. . . . . . . . . . 115,045
550 Mylan Laboratories, Inc. . . . . . 19,124
9,560 Pfizer, Inc. . . . . . . . . . . . 326,474
1,100 The Procter & Gamble Co. . . . . . 98,098
--------------
839,032
--------------
Communications by Phone, Television, Radio,
Cable (1.9%)
3,600 AT&T Wireless Group (a) . . . . . . 29,556
1,200 Comcast Corp. - Class A . . . . . 36,528
700 Global Payments, Inc. . . . . . . . 24,850
--------------
90,934
--------------
Depository Institutions (1.4%)
500 Bank of America Corp. . . . . . . . 39,515
600 Citigroup, Inc. . . . . . . . . . . 25,680
--------------
65,195
--------------
Eating and Drinking Places (0.6%)
1,000 Applebee's International, Inc. . . 31,430
--------------
Educational Services (0.4%)
400 University of Phoenix Online (a) . 20,280
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------
Electronic, Other Electrical Equipment,
except Computers (11.8%)
400 Altera Corp. (a) . . . . . . . . . $ 6,560
9,060 General Electric Co. . . . . . . . 259,841
800 Integrated Circuit Systems, Inc.
(a) . . . . 25,144
7,600 Intel Corp. . . . . . . . . . . . . 157,958
600 Linear Technology Corp. . . . . . . 19,326
700 National Semiconductor Corp. (a) . 13,804
600 QLogic Corp. (a) . . . . . . . . . 28,998
600 Rockwell Collins, Inc. . . . . . . 14,778
400 Scientific-Atlanta, Inc. . . . . . 9,536
500 UTStarcom, Inc. (a) . . . . . . . . 17,785
700 Xilinx, Inc. (a) . . . . . . . . . 17,717
--------------
571,447
--------------
Engineering, Accounting, Research, Management
Services (1.0%)
300 Cephalon, Inc. (a) . . . . . . . . 12,348
700 Moody's Corp. . . . . . . . . . . . 36,897
--------------
49,245
--------------
Fabricated Metal Products (0.8%)
400 Illinois Tool Works . . . . . . . . 26,388
200 Fortune Brands, Inc. . . . . . . . 10,440
--------------
36,828
--------------
Food and Kindred Products (4.9%)
1,000 Anheuser-Busch Companies, Inc. . . 51,050
920 The Coca-Cola Co. . . . . . . . . . 42,697
2,680 PepsiCo, Inc. . . . . . . . . . . . 119,260
400 Wm. Wrigley Jr. Co. . . . . . . . . 22,492
--------------
235,499
--------------
General Merchandise Stores (5.3%)
900 Family Dollar Stores, Inc. . . . . 34,335
1,000 Federated Department Stores, Inc. . 36,850
1,800 The Kroger Co. (a) . . . . . . . . 30,024
2,000 TJX Companies, Inc. . . . . . . . . 37,680
2,190 Wal-Mart Stores, Inc. . . . . . . . 117,537
--------------
256,426
--------------
Health Services (1.3%)
800 Coventry Health Care, Inc. (a) . . 36,928
700 Watson Pharmaceuticals, Inc. (a) . 28,259
--------------
65,187
--------------
Home Furniture and Equipment Stores (1.1%)
800 Bed Bath & Beyond, Inc. (a) . . . . 31,048
1,000 Pier 1 Imports, Inc. . . . . . . . 20,400
--------------
51,448
--------------
Industrial, Commercial Machinery, Computers (8.0%)
8,600 Cisco Systems, Inc. (a) . . . . . . 143,534
3,200 Dell Computer Corp. (a) . . . . . . 102,272
300 Harris Corp. . . . . . . . . . . . 9,015
300 International Business Machines
Corp. . 24,750
1,000 Jabil Circuit, Inc. (a) . . . . . . 22,100
400 Lexmark International, Inc. (a) . . 28,308
200 Sandisk Corp. . . . . . . . . . . 8,079
400 Storage Technology Corp. (a) . . . 10,296
500 Varian Medical Systems, Inc. (a) . 28,785
100 Zebra Technologies Corp.
- Class A (a) . . . . . . . . . . . 7,519
--------------
384,658
--------------
The accompanying notes are an integral part of these financial statements.
Conseco Large-Cap Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------
Insurance Carriers (4.6%)
1,200 The Allstate Corp. . . . . . . . . $ 42,780
600 American International Group, Inc. 33,108
700 Old Republic International Corp. 24,045
600 Oxford Health Plans (a) . . . . . 25,218
800 Radian Group, Inc. . . . . . . . . 29,320
900 UnitedHealth Group, Inc. . . . . . 45,225
300 Wellpoint Health Networks, Inc. (a) 25,290
--------------
224,986
--------------
Leather and Leather Products (0.3%)
300 Timberland Co. (a) . . . . . . . . 15,930
--------------
Measuring Instruments, Photo Goods, Watches (4.2%)
400 Beckman Coulter, Inc. . . . . . . 16,256
1,100 Becton Dickinson & Co. . . . . . . 42,735
400 C.R. Bard, Inc. . . . . . . . . . . 28,524
1,200 Guidant Corp. . . . . . . . . . . 53,268
1,000 KLA-Tencor Corp. (a) . . . . . . . 46,490
400 Zimmer Holdings, Inc. (a) . . . . . 18,020
--------------
205,293
--------------
Miscellaneous Manufacturing Industries (0.5%)
1,400 Mattel, Inc. . . . . . . . . . . . 26,488
--------------
Miscellaneous Retail (0.6%)
300 eBay, Inc. (a) . . . . . . . . . . 31,254
--------------
Motion Pictures (0.3%)
800 Walt Disney Co. . . . . . . . . . . 15,908
--------------
Non-Depository Credit Institutions (4.1%)
800 Capital One Financial Corp. . . . . 39,354
400 Countrywide Financial Corp. . . . . 27,828
1,000 Fannie Mae . . . . . . . . . . . . 67,440
1,600 MBNA Corp. . . . . . . . . . . . . 33,344
700 Washington Mutual, Inc. . . . . . . 28,910
--------------
196,876
--------------
Oil and Gas Extraction (1.3%)
420 Apache Corp. . . . . . . . . . . . 27,325
900 BJ Services Co. (a) . . . . . . . . 33,624
--------------
60,949
--------------
Paper and Allied Products (2.0%)
600 3M Co. . . . . . . . . . . . . . . 77,417
1,100 Pactiv Corp. (a) . . . . . . . . . 21,706
--------------
99,123
--------------
Printing, Publishing, and Allied Industries (2.0%)
1,000 Harte-Hanks, Inc. . . . . . . . . . 19,000
400 The McGraw-Hill Companies, Inc. . . 24,800
1,200 Viacom, Inc. - Class B (a) . . . . 52,382
--------------
96,182
--------------
Railroad Transportation (0.4%)
700 CSX Corp. . . . . . . . . . . . . 21,063
--------------
Security & Commodity Brokers (0.8%)
100 NVR, Inc. (a) . . . . . . . . . . . 41,100
--------------
Tobacco Products (0.5%)
500 Altria Group, Inc. . . . . . . . . 22,720
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
Transportation Equipment (1.4%)
600 Harley-Davidson, Inc. . . . . . . $ 23,916
600 United Technologies Corp. . . . . 42,498
---------------
66,414
---------------
Wholesale Trade - Durable Goods (4.6%)
400 Colgate Palmolive Co. . . . . . . 23,180
3,840 Johnson & Johnson Co. . . . . . . 198,528
---------------
221,708
---------------
Wholesale Trade - Non-Durable Goods (1.5%)
650 Cardinal Health, Inc. . . . . . . 41,795
1,100 SYSCO Corp. . . . . . . . . . . . 33,044
---------------
74,839
---------------
Total common stock (cost
$4,838,392) 4,826,827
---------------
SHORT-TERM INVESTMENTS (1.6%)
58,900 Bank of America, Repurchase Agreement,
1.280%, due 07/01/2003 (b) . . . . 58,900
18,000 Nations Cash Reserve . . . . . . . 18,000
---------------
Total short-term investments
(cost $76,900) . . . . . . . . . . 76,900
---------------
Total investments (cost $4,915,292) (101.2%) . . 4,903,727
---------------
Liabilities, less other assets (-1.2%) . . . . . (57,942)
---------------
Total net assets (100.0%) . . . . . . . . . . . . $ 4,845,785
===============
(a) Non-income producing security.
(b) Securities lending collateral (Note 2).
The accompanying notes are an integral part of these financial statements.
Conseco Balanced Fund CONSECO FUND GROUP
Portfolio Manager's Review 2003 Mid-Year Report
How did the Fund perform relative to its benchmark?
The Conseco Balanced Fund posted a return of 5.24% (Class A with load) for
the six months ended June 30, 2003. Over a similar period the benchmarks, the
Lehman Brothers Aggregate Bond Index returned 3.93% and the S&P MidCap 400 Index
returned 12.42%.(1) The equity markets negative returns in the first quarter led
by a plunge in consumer confidence, war uncertainty and rising oil prices,
however bounced back in the second quarter with a the quick resolution to the
war.
What caused the variance in performance between the Fund and its benchmark?
The equity strategy is to identify and own quality companies that we
believe will outperform their peers, that display positive earnings momentum and
sell at reasonable valuations. The run on stocks seems to be more speculative in
nature than a run based on valuation levels and earnings expectations led the
Fund underperformance. The stock market did show great performance over the
second quarter, but the quality of the rally is suspect. There are many examples
of stocks with poor valuations and declining earnings expectations that have
done very well since the beginning of the year.
The market has been buying stocks that have been beaten down the most over
the past year. Anecdotally, this market reaction may be based on the speculation
that a rising economic tide will lift all boats, and accordingly, the stocks
that been beaten down the most will benefit the most. These stocks do not
necessarily look cheap based on trailing earnings or forward expectations, but
may appear cheap to some investors in absolute dollar price terms relative to
historical ranges. The majority of these stocks display poor characteristics of
estimate revisions, earnings quality and/or valuation measures.
Which portfolio holdings enhanced the Fund's performance?
Stock selection within the Health Care and the Financial sector's
contributed positively to performance over the six months. Within the Banking
sector, Bank of America, First Tennessee National Corp. and Washington Mutual
were the top performers while Diversified Financial providers Citigroup Inc.,
Capital One Financial and J.P. Morgan Chase & Co. performed well as the
financial sector continued to benefit from lower interest rates. Within the
Health Care sector, holdings that performed well were Pfizer, Amgen Inc. and
Genentech Inc.
Also contributing to performance from the fixed income side was the
exposure to the Media, Telecom, and Utilities sectors. Technical trading and
company fundamentals drove the performance of corporate bonds. Specifically, our
exposure to names such as Dynegy, Mirant, Qwest Communications, Sprint, Nortel,
Quebecor, Telus and Tyco led the performance of the Fund.
Which holdings detracted from performance?
Stock selection within Consumer Discretionary, Technology and
Telecommunication sectors detracted the most to relative performance during the
first six months. Stocks that detracted the most to Fund performance were
UnumProvident Corp., Sprint Corp., Safeway Inc. and MBNA Corp.
What is your outlook for the rest of the fiscal year?
Investors have turned more optimistic about economic recovery in the 2nd
half of 2003 as they anticipate the effects of economic stimulus by both the
Federal Government and the Federal Reserve. Economist also have high
expectations for strong recovery in second half with a Wall Street Journal poll
of economist predicting 3.5% annualized GDP growth in the third quarter and 3.8%
annualized GDP growth in fourth quarter of 2003. The economist have cited tax
cuts, low interest rates, a weak dollar, and increased government spending as
reasons that the economy is poised for recovery.
However, economists are never quick to throw caution to the wind. The tax
cuts by the government may be offset by tax hikes from states that are facing
large deficits, low interest rates have failed to spark capital spending by
businesses that still have overcapacity, and an increase in government spending
has the potential to create a large federal deficit. The effects of these
stimuli may have a positive effect on the economy in the short term, but if the
economy experiences a relapse after a short lived spurt, it faces the risk of
years of sub par growth and sliding into outright deflation.
There is also hope that the weak dollar will stimulate the domestic economy
as it makes U.S. goods cheaper abroad which will spur exports and reduce the
current account deficit. However, we may still have to wait another year or two
to see the impact of the weaker dollar.
The key performance driver for the bond market in 2003 will be the
directional move in interest rates. With the war in Iraq largely resolved, we
expect to experience a modest improvement in the economy, resulting in a shift
in asset flows from bonds into stocks. The volatility in the 30-year U.S.
Treasury bond was fairly strong as interest rates fell 65 basis points during
the second quarter in anticipation of an easing by the Federal Reserve, only to
rise sharply 40 basis points after the Federal Reserve cut rates 25 basis points
at the end of June.
Our strategic overweight to the corporate sector has been a solid
contributor to performance this year and remains in place. In general, the
corporate new issue calendar remains manageable as corporate America reduces
balance sheet leverage. With the accounting scandals and corporate governance
issues largely abating, the remainder of the year will focus on company
operating fundamentals. Absent a shock to the financial system, which would
include a terrorist attack on U.S. soil, we believe the corporate sector has the
ability to continue to outperform over the second half of 2003. The sectors most
critical to performance over the next six months include autos, cable/media, and
telecom.
Chicago Equity Partners, LLP Gregory J. Hahn, CFA
Chief Investment Officer
Conseco Capital Management, Inc.
Chicago Equity Partners, LLP ("CEP") and Gregory J. Hahn, CFA, chief investment
officer and senior vice president at Conseco Capital Management, Inc. ("CCM"),
share responsibility for managing this Fund.
In business since 1989, CEP -- known for low-turnover growth performance -- has
taxable and tax-exempt assets under management for more than 100 institutional
clients.
Hahn is the portfolio manager for the fixed-income portion of the Fund, as well
as institutional fixed-income accounts for CCM.
Conseco Balanced Fund
(unaudited)
Growth of $10,000
[LINE CHART]
- ---------------------------------------------------------------------
Conseco Balanced Lehman Brothers
Fund (Class A Aggregate Bond S&P 400 Midcap
DATE Shares) Index Index
- ---------------------------------------------------------------------
1/2/97 $9,425.07 $10,000.00 $10,000.00
1/31/97 $9,557.02 $10,031.00 $10,375.00
2/28/97 $9,434.50 $10,056.08 $10,289.93
3/31/97 $9,123.47 $9,944.46 $9,851.57
4/30/97 $9,123.47 $10,093.62 $10,106.73
5/30/97 $9,720.33 $10,189.51 $10,990.06
6/30/97 $10,051.92 $10,310.77 $11,298.88
7/31/97 $10,623.59 $10,589.16 $12,417.47
8/29/97 $10,709.35 $10,499.15 $12,402.57
9/30/97 $11,447.76 $10,653.49 $13,115.71
10/31/97 $11,083.73 $10,807.96 $12,545.18
11/28/97 $11,112.47 $10,857.68 $12,730.85
12/31/97 $11,045.41 $10,967.34 $13,224.81
1/30/98 $11,261.58 $11,107.72 $12,973.54
2/27/98 $11,920.39 $11,098.84 $14,047.74
3/31/98 $12,508.18 $11,136.57 $14,681.30
4/30/98 $12,570.82 $11,194.48 $14,949.96
5/29/98 $12,153.19 $11,300.83 $14,277.22
6/30/98 $12,450.75 $11,396.89 $14,367.16
7/31/98 $11,968.25 $11,420.82 $13,809.72
8/31/98 $10,678.07 $11,606.98 $11,239.73
9/30/98 $10,992.75 $11,878.58 $12,289.52
10/30/98 $11,172.26 $11,815.63 $13,388.20
11/30/98 $11,710.81 $11,882.98 $14,056.27
12/31/98 $12,420.43 $11,918.63 $15,754.27
1/29/99 $12,335.43 $12,003.25 $15,141.43
2/26/99 $11,952.94 $11,793.19 $14,348.02
3/31/99 $12,360.93 $11,858.05 $14,748.33
4/30/99 $12,670.76 $11,896.00 $15,911.97
5/28/99 $12,553.24 $11,791.31 $15,980.39
6/30/99 $13,321.92 $11,753.58 $16,836.94
7/30/99 $13,343.38 $11,704.22 $16,478.32
8/31/99 $13,364.83 $11,698.37 $15,913.11
9/30/99 $13,443.66 $11,834.07 $15,421.39
10/29/99 $13,960.73 $11,877.85 $16,207.89
11/30/99 $14,714.78 $11,876.66 $17,058.80
12/31/99 $16,088.18 $11,819.66 $18,072.09
1/31/00 $16,064.36 $11,780.65 $17,562.46
2/29/00 $18,946.18 $11,923.20 $18,791.83
3/31/00 $18,621.42 $12,080.58 $20,364.71
4/28/00 $17,497.92 $12,045.55 $19,651.94
5/31/00 $16,732.98 $12,039.53 $19,406.29
6/30/00 $18,196.09 $12,289.95 $19,691.57
7/31/00 $18,148.08 $12,401.79 $20,002.69
8/31/00 $19,852.46 $12,581.61 $22,234.99
9/29/00 $19,480.62 $12,660.88 $22,081.57
10/31/00 $18,673.45 $12,744.44 $21,333.01
11/30/00 $16,962.72 $12,953.45 $19,722.36
12/31/00 $17,260.90 $13,194.38 $21,231.13
1/31/01 $17,556.89 $13,409.45 $21,704.58
2/28/01 $16,933.75 $13,526.11 $20,467.42
3/30/01 $16,263.89 $13,593.74 $18,946.69
4/30/01 $17,016.70 $13,536.65 $21,036.51
5/31/01 $17,079.44 $13,617.87 $21,526.66
6/29/01 $16,821.67 $13,669.62 $21,440.55
7/31/01 $16,821.67 $13,975.82 $21,121.09
8/31/01 $16,317.18 $14,136.54 $20,430.43
9/28/01 $15,522.94 $14,300.52 $17,888.88
10/31/01 $15,681.66 $14,599.40 $18,681.36
11/30/01 $16,157.82 $14,397.93 $20,071.26
12/31/01 $16,161.41 $14,305.79 $21,108.94
1/31/02 $16,065.69 $14,421.66 $20,999.17
2/28/02 $15,874.24 $14,561.55 $21,024.37
3/28/02 $16,164.44 $14,319.83 $22,527.61
4/30/02 $15,747.09 $14,597.64 $22,421.73
5/31/02 $15,714.99 $14,721.72 $22,042.81
6/28/02 $14,957.65 $14,849.79 $20,429.27
7/31/02 $14,116.79 $15,029.48 $18,449.68
8/30/02 $14,359.34 $15,283.48 $18,541.93
9/30/02 $13,550.00 $15,531.07 $17,047.45
10/31/02 $13,990.26 $15,459.62 $17,785.60
11/29/02 $14,495.74 $15,454.99 $18,815.39
12/31/02 $14,146.60 $15,774.91 $18,042.07
1/31/03 $14,097.37 $15,789.10 $17,515.25
2/28/03 $14,080.96 $16,006.99 $17,098.38
3/31/03 $14,262.55 $15,994.19 $17,242.01
4/30/03 $15,041.11 $16,126.94 $18,493.78
5/30/03 $15,604.32 $16,426.90 $20,026.91
6/30/03 $15,803.76 $16,394.05 $20,283.26
- ---------------------------------------------------------------------
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/03. Past performance does not
guarantee future results.
Average annual total return(1) (as of 06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
- ------------------------------------------------------------------------------
Balanced A . . . 01/02/1997 5.24% -0.37% 3.66% 7.30%
Balanced B . . . . . 02/10/1998 6.63% 0.34% 4.15% 5.34%
Balanced C . . . 02/13/1998 9.44% 3.28% 4.22% 5.15%
Balanced Y . . . 01/02/1997 12.13% 6.30% 5.43% 8.84%
LBA Index . . . 01/02/1997 3.93% 10.40% 8.03% 7.90%
S&P MidCap 400 Index 01/02/1997 12.42% -0.71% 10.24% 11.49%%
(1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the Fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco
Balanced Fund is 5.75% for Class A and 1.00% for Class C. The applicable
contingent-deferred sales charge is 5.00% in year 1 and eliminated after
year 6 for Class B, and the applicable contingent-deferred sales charge is
1.00% and eliminated after 12 months for Class C. The Lehman Brothers
Aggregate Bond ("LBA") Index is an unmanaged index considered to be
representative of the bond market in general. The S&P MidCap 400 Index is
an unmanaged index considered to be representative of the mid-cap stock
arena in general.
Conseco Balanced Fund CONSECO FUND GROUP
2003 Mid-Year Report
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
COMMON STOCKS (67.6%)
Apparel and Accessory Stores (0.2%)
1,800 Talbots, Inc. . . . . . . . . . . . $ 53,010
---------------
Automotive Dealers and Gasoline Service
Stations (0.4%)
1,600 AutoZone, Inc. (a) . . . . . . . . 121,552
---------------
Building Construction, General Construction (0.6%)
2,700 Centex Corp. . . . . . . . . . . . 210,033
---------------
Building Materials, Hardware, Garden - Retail
(1.0%)
9,770 The Home Depot, Inc. . . . . . . . 323,582
---------------
Business Services (4.3%)
10,160 AOL Time Warner, Inc. (a) . . . . . 163,474
4,900 Citrix Systems, Inc. (a) . . . . . 99,764
1,100 Computer Sciences Corp. (a) . . . . 41,932
900 Electronic Arts, Inc. (a) . . . . . 66,591
2,760 First Data Corp. . . . . . . . . . 114,374
23,000 Microsoft Corp. . . . . . . . . . 589,030
18,200 Oracle Corp. (a) . . . . . . . . . 218,764
1,600 Rent-A-Center, Inc. (a) . . . . . . 121,296
---------------
1,415,225
---------------
Chemicals and Allied Products (8.4%)
3,400 Amgen, Inc. (a) . . . . . . . . . . 225,896
1,500 Avon Products, Inc. . . . . . . . . 93,300
1,000 Clorox Corp. . . . . . . . . . . . 42,650
3,600 Cytec Industries, Inc. (a) . . . . 121,680
2,200 Forest Laboratories, Inc. (a) . . . 120,450
1,300 Genetech, Inc. (a) . . . . . . . . 93,756
1,000 Invitrogen Corp. (a) . . . . . . . 38,370
2,600 Lubrizol Corp. . . . . . . . . . . 80,574
8,670 Merck & Co., Inc. . . . . . . . . . 524,969
2,100 Mylan Laboratories, Inc. . . . . . 73,017
25,140 Pfizer, Inc. . . . . . . . . . . . 858,531
4,200 The Procter & Gamble Co. . . . . . 374,556
1,900 Sigma-Aldrich Corp. . . . . . . . . 102,942
---------------
2,750,691
---------------
Communications by Phone, Television,
Radio, Cable (3.4%)
2,000 Alltel Corp. . . . . . . . . . . . 96,440
15,700 AT&T Wireless Group (a) . . . . . . 128,897
9,600 BellSouth Corp. . . . . . . . . . . 255,648
5,400 Comcast Corp. - Class A (a) . . . . 162,972
3,300 Fox Entertainment Group, Inc. -
Class A (a) . . . . . . . . . . . . 94,974
1,900 Global Payments, Inc. . . . . . . . 67,450
8,090 Verizon Communications, Inc. . . . 319,151
---------------
1,125,532
---------------
Depository Institutions (7.6%)
7,000 Bank of America Corp. . . . . . . . 553,210
13,632 Citigroup, Inc. . . . . . . . . . . 583,450
3,100 First Tennessee National Corp. . . 136,121
2,800 GreenPoint Financial Corp. . . . . 142,632
6,900 JP Morgan Chase & Co. . . . . . . . 235,842
3,200 National City Corp. . . . . . . . . 104,672
4,200 Regions Financial Corp. . . . . . . 141,876
4,600 Sovereign Bancorp, Inc. . . . . . . 71,990
4,300 Union Planters Corp. . . . . . . . 133,429
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -------------
Depository Institutions (cont.)
5,600 Wachovia Corp. . . . . . . . . . . $ 223,776
3,200 Wells Fargo & Co. . . . . . . . .
. . . . . . . 161,280
---------------
2,488,278
---------------
Eating and Drinking Places (0.4%)
4,700 Applebee's International, Inc. . . 147,721
---------------
Educational Services (0.2%)
1,400 University of Phoenix Online (a) . 70,980
---------------
Electric, Gas, Water, Cogeneration,
Sanitary Services (2.3%)
3,500 Entergy Corp. . . . . . . . . . . . 184,730
4,000 Equitable Resources, Inc. . . . . . 162,960
4,000 Exelon Corp. . . . . . . . . . . . 239,240
2,500 FPL Group, Inc. . . . . . . . . . . 167,125
---------------
754,055
---------------
Electronic, Other Electrical Equipment,
except Computers (4.8%)
1,100 Altera Corp. (a) . . . . . . . . . 18,040
1,700 American Power Conversion Co. (a) . 26,503
21,890 General Electric Co. . . . . . . . 627,805
2,500 Integrated Circuit Systems, Inc.
(a) . . . . 78,575
18,960 Intel Corp. . . . . . . . . . . . . 394,065
900 Linear Technology Corp. . . . . . . 28,989
3,100 National Semiconductor Corp. (a) . 61,132
1,700 QLogic Corp. (a) . . . . . . . . . 82,161
2,000 Rockwell Collins, Inc. . . . . . . 49,260
2,900 Scientific-Atlanta, Inc. . . . . . 69,136
2,100 UTStarcom, Inc. (a) . . . . . . . . 74,697
2,100 Xilinx, Inc. (a) . . . . . . . . . 53,151
---------------
1,563,514
---------------
Engineering, Accounting, Research,
Management Services (0.4%)
500 Cephalon, Inc. (a) . . . . . . . . 20,580
1,900 Moody's Corp. . . . . . . . . . . . 100,149
---------------
120,729
---------------
Fabricated Metal Products (0.2%)
1,500 Fortune Brands, Inc. . . . . . . . 78,300
---------------
Food and Kindred Products (2.4%)
3,300 Anheuser-Busch Companies, Inc. . . 168,465
1,950 The Coca-Cola Co. . . . . . . . . 90,500
2,800 Conagra, Inc. . . . . . . . . . . . 66,080
1,000 Hershey Foods Corp. . . . . . . . . 69,660
1,000 Lancaster Colony Corp. . . . . . . 38,660
6,530 PepsiCo, Inc. . . . . . . . . . . . 290,585
1,400 Wm. Wrigley Jr. Co. . . . . . . . . 78,722
---------------
802,672
---------------
Furniture And Fixtures (0.3%)
2,300 Lear Corp. (a) . . . . . . . . . . 105,846
---------------
General Merchandise Stores (1.8%)
4,400 Federated Department Stores, Inc. . 162,140
5,700 The Kroger Co. (a) . . . . . . . . 95,076
2,800 TJX Companies, Inc. . . . . . . . . 52,752
5,240 Wal-Mart Stores, Inc. . . . . . . . 281,231
---------------
591,199
---------------
The accompanying notes are an integral part of these financial statements.
Conseco Balanced Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
Health Services (0.7%)
2,200 Coventry Health Care, Inc. (a) . . $ 101,552
3,100 Watson Pharmaceuticals. Inc. (a) . 125,147
---------------
226,699
---------------
Home Furniture and Equipment Stores (0.5%)
3,300 Bed Bath & Beyond, Inc. (a) . . . . 128,073
2,300 Pier 1 Imports, Inc. . . . . . . . 46,920
---------------
174,993
---------------
Industrial, Commercial Machinery, Computers (5.0%)
18,740 Cisco Systems, Inc. (a) . . . . . . 312,771
7,200 Dell Computer Corp. (a) . . . . . . 230,112
5,800 EMC Corp. (a) . . . . . . . . . . . 60,726
1,900 Eaton Corp. . . . . . . . . . . . . 149,359
1,100 Harris Corp. . . . . . . . . . . . 33,055
9,343 Hewlett-Packard Co. . . . . . . . . 199,006
1,800 Ingersoll-Rand Company - Class A . 85,176
3,080 International Business Machines Corp. 254,100
1,900 Jabil Circuit, Inc. (a) . . . . . . 41,990
1,200 Lexmark International, Inc. (a) . . 84,924
1 Riverstone Networks, Inc. (a) . . . 1
1,800 Storage Technology Corp. (a) . . . 46,332
1,500 Varian Medical Systems, Inc. (a) . 86,355
700 Zebra Technologies Corp. -
Class A (a) . . . . . . . . . . . . 52,633
---------------
1,636,540
---------------
Insurance Carriers (3.7%)
4,200 The Allstate Corp. . . . . . . . . 149,730
1,300 AMBAC Financial Group, Inc. . . . . 86,125
3,416 American International Group, Inc. 188,467
800 John Hancock Financial Services . . 24,584
2,500 Lincoln National Corp. . . . . . . 89,075
3,400 Metlife, Inc. . . . . . . . . . . . 96,288
2,700 Old Republic International Corp. . 92,529
2,800 Oxford Health Plans (a) . . . . . . 117,684
3,000 Torchmark Corp. . . . . . . . . . . 111,750
2,800 UnitedHealth Group, Inc. . . . . . 140,700
1,000 WellPoint Health Networks, Inc. (a) 84,300
---------------
1,181,232
---------------
Leather and Leather Products (0.2%)
1,000 Timberland Co. (a) . . . . . . . . 52,860
---------------
Measuring Instruments, Photo Goods, Watches (1.6%)
4,400 Becton Dickinson & Co. . . . . . . 170,940
1,100 C.R. Bard, Inc. . . . . . . . . . . 78,441
1,500 Guidant Corp. . . . . . . . . . . . 66,585
2,300 KLA-Tencor Corp. (a) . . . . . . . 106,927
2,000 Tektronix, Inc. (a) . . . . . . . . 43,200
1,600 Zimmer Holdings, Inc. (a) . . . . . 72,080
---------------
538,173
---------------
Metal Mining (0.4%)
5,900 Freeport-McMoRan Copper &
Gold, Inc. (a) . . . . . . . . . . 144,550
---------------
Miscellaneous Manufacturing Industries (0.3%)
5,000 Mattel, Inc. . . . . . . . . . . . 94,600
-------------
SHARES OR
PRINCIPAL AMOUNT VALUE
-------------
Miscellaneous Retail (0.3%)
2,500 Blockbuster, Inc. . . . . . . . . . $ 42,125
500 eBay, Inc. (a) . . . . . . . . . . 52,090
-------------
94,215
-------------
Motion Pictures (0.2%)
3,200 Walt Disney Co. . . . . . . . . . . 63,200
-------------
Non-Depository Credit Institutions (2.6%)
3,200 Capital One Financial Corp. . . . . 157,376
2,400 Countrywide Financial Corp. . . . . 166,968
2,300 Fannie Mae . . . . . . . . . . . . 155,112
1,850 Federal Home Loan Mortgage Corp. . . 93,925
2,700 Prudential Financial, Inc. . . . . 90,855
4,550 Washington Mutual, Inc. . . . . . . 187,915
-------------
852,151
-------------
Oil and Gas Extraction (1.9%)
3,365 Apache Corp. . . . . . . . . . . . 218,927
2,400 B.J. Services Co. (a) . . . . . . . 89,664
6,200 Occidental Petroleum Corp. . . . . 208,010
1,700 Praxair, Inc. . . . . . . . . . . . 102,170
-------------
618,771
-------------
Paper and Allied Products (0.3%)
2,000 3M Co. . . . . . . . . . . . . . . 257,960
5,700 Pactiv Corp. (a) . . . . . . . . . 112,347
-------------
370,307
-------------
Petroleum Refining and Related Industries (2.2%)
1,400 Amerada Hess Corp. . . . . . . . . 68,852
4,210 ChevronTexaco Corp. . . . . . . . . 303,962
9,920 Exxon Mobil Corp. . . . . . . . . . 356,227
-------------
729,041
-------------
Printing, Publishing, and Allied Industries (1.7%)
2,450 Harte-Hanks, Inc. . . . . . . . . . 46,550
3,200 The McGraw-Hill Companies, Inc. . . . 198,400
7,500 Viacom, Inc. - Class B (a) . . . . 327,450
-------------
572,400
-------------
Railroad Transportation (0.5%)
5,100 CSX Corp. . . . . . . . . . . . . . 153,459
-------------
Real Estate Investment Trusts (REITS) (0.8%)
2,700 General Growth Properties, Inc. . . 168,588
3,500 Hospitality Properties Trust Corp. . 109,375
-------------
277,963
-------------
Security and Commodity Brokers (0.9%)
3,000 Bear Stearns Companies, Inc. . . . 217,260
2,090 Morgan Stanley Dean Witter & Co. . . 89,348
-------------
306,608
-------------
Tobacco Products (0.8%)
5,720 Altria Group, Inc. . . . . . . . . 259,917
-------------
Transportation by Air (0.4%)
2,000 Federal Express Corp. . . . . . . 124,060
-------------
Transportation Equipment (1.3%)
6,000 Ford Motor Co. . . . . . . . . . . 65,940
2,100 Harley-Davidson, Inc. . . . . . . . 83,706
1,300 Northrop Grumman Corp. . . . . . . 112,177
2,340 United Technologies Corp. . . . . . 165,742
-------------
427,565
-------------
The accompanying notes are an integral part of these financial statements.
Conseco Balanced Fund CONSECO FUND GROUP
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
Wholesale Trade - Durable Goods (2.0%)
1,300 Colgate Palmolive Co. . . . . . . . $ 75,335
10,080 Johnson & Johnson Co. . . . . . . . 521,136
1,500 W.W. Grainger, Inc. . . . . . . . . 70,140
---------------
666,611
---------------
Wholesale Trade - Non-Durable Goods (0.6%)
1,400 Cardinal Health, Inc. . . . . . . 90,020
1,950 Dean Foods Co. (a) . . . . . . . . 61,425
2,100 SYSCO Corp. . . . . . . . . . . . . 63,084
---------------
214,529
---------------
Total common stocks (cost
$21,772,247) . . 22,503,363
---------------
PREFERRED STOCKS (0.0%)
Communications by Phone, Television,
Radio, Cable (0.0%)
20 Broadwing Communications,
Series B, 12.500% . . . . . . . . . 3,486
---------------
Total preferred stocks (cost
$20,080) . . 3,486
---------------
CORPORATE BONDS (25.1%)
Chemicals and Allied Products (1.6%)
$ 80,000 Lyondell Chemical Co., Series A,
11.125%,
due 07/15/2012 . . . . . . . . . . 82,400
40,000 Polyone Corp., 10.625%, due 05/15/2010,
(b) Cost - $40,000; Acquired -
04/30/2003 . . . . . . . . . . . . 39,200
235,000 Solutia, Inc., 11.250%, due
07/15/2009 204,450
190,000 Terra Capital, Inc., 12.875%,
due 10/15/2008 . . . . . . . . . . 203,300
---------------
529,350
---------------
Communications by Phone, Television,
Radio, Cable (3.4%)
115,000 Crown Castle International Corp.,
9.375%,
due 08/01/2011 . . . . . . . . . . 110,975
110,000 DirecTV Holdings, 8.375%, due 03/15/2013,
(b) Cost - $110,000; Acquired -
02/25/2003 . . . . . . . . . . . . 123,200
75,000 EchoStar Broadband Corp., 10.375%,
due 10/01/2007 . . . . . . . . . . 83,438
300,000 Nextel Communications, Inc., 9.375%,
due 11/15/2009 . . . . . . . . . . 323,625
185,000 Sprint Capital Corp., 6.900%,
due 05/01/2019 . . . . . . . . . . 194,343
190,000 TCI Communications, Inc., 6.875%,
due 02/15/2006 . . . . . . . . . . 210,369
80,000 Trition PCS, Inc., 8.500%, due
06/01/2013,
(b) Cost - $80,000;
Acquired - 05/30/2003 . . . . . . . 86,400
---------------
1,132,350
---------------
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
Electric, Gas, Water, Cogeneration,
Sanitary Services (1.6%)
$ 120,000 Allied Waste North America, 8.875%,
due 04/01/2008 . . . . . . . . . . . $ 130,800
345,000 Avon Energy Partners Holdings,
7.050%,
due 12/11/2007, (b) Cost - $339,211;
Acquired - 01/14/2002 . . . . . . . 297,562
105,000 Southern Natural Gas Co., 8.875%,
due 03/15/2010, (b) Cost - $103,654;
Acquired - 02/28/2003 . . . . . . . 114,975
---------------
543,337
---------------
Electronic, Other Electrical Equipment,
except Computers (3.2%)
270,000 Celestica, Inc., 0.000% (c),
due 08/01/2020 . . . . . . . . . . . 142,425
195,000 Nortel Networks Ltd., 6.125%,
due 02/15/2006 . . . . . . . . . . . 190,125
240,000 Tyco International Ltd., 0.000%,
due 11/17/2020 . . . . . . . . . . . 183,900
535,000 Tyco International Group, 6.875%,
due 01/15/2029 . . . . . . . . . . . 540,885
---------------
1,057,335
---------------
Food and Kindred Products (0.8%)
140,000 Conagra Foods, Inc., 7.400%,
due 09/15/2004 . . . . . . . . . . 149,148
115,000 Kraft Foods, Inc., 6.250%,
due 06/01/2013 . . . . . . . . . . 130,312
---------------
279,460
---------------
Food Stores (0.3%)
105,000 Albertson's, Inc., 6.550%,
due 08/01/2004 . . . . . . . . . . 109,437
---------------
General Merchandise Stores (0.4%)
115,000 JC Penney Co., Inc., 8.000%,
due 03/01/2010 . . . . . . . . . . 121,037
---------------
Health Services (0.2%)
90,000 HEALTHSOUTH Corp., 8.500%,
due 02/01/2008 (e) . . . . . . . . . 71,100
---------------
Hotels, Other Lodging Places (1.6%)
200,000 Hyatt Equities LLC, 6.875%,
due 06/15/2007, (b) Cost - $199,526;
Acquired - 06/12/2002 . . . . . . . 208,470
175,000 Park Place Entertainment, 8.875%,
due 09/15/2008 . . . . . . . . . . 193,375
135,000 Vail Resorts, Inc., 8.750%,
due 05/15/2009, (b) Cost - $128,795;
Acquired - 11/16/2001 . . . . . . . 141,750
---------------
543,595
---------------
Insurance Carriers (0.9%)
250,000 RenaissanceRe Holdings, Ltd., 7.000%,
due 07/15/2008 . . . . . . . . . . 282,727
---------------
The accompanying notes are an integral part of these financial statements.
Conseco Balanced Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------
Lumber and Wood Products, except Furniture (1.4%)
$ 485,000 Georgia--Pacific Corp., 7.700%,
due 06/15/2015 . . . . . . . . . . . . 469,237
--------------
Measuring Instruments, Photo Goods. Watches (0.6%)
105,000 Guidant Corp., 6.150%,
due 02/15/2006 . . . . . . . . . . . . 114,049
70,000 Raytheon Co., 6.300%,
due 03/15/2005 . . . . . . . . . . . . 74,793
--------------
188,842
--------------
Nondepository Credit Institutions (0.5%)
180,000 Prudential Financial, Inc., 5.750%,
due 07/15/2033 . . . . . . . . . . . . 178,648
--------------
Personal Services (0.4%)
145,000 Service Corp. International, 6.875%,
due 10/01/2007 . . . . . . . . . . . . 144,275
--------------
Pipe Lines, except Natural Gas (0.6%)
230,000 Dynegy-Roseton Danskamme, 7.670%,
due 11/08/2016 . . . . . . . . . . . . 186,444
--------------
Printing, Publishing, and Allied Industries (1.9%)
55,000 Moore North American Finance, 7.875%,
due 01/15/2011, (b) Cost - $54,614;
Acquired - 03/11/2003 . . . . . . . . . 57,612
75,000 News America, Inc., 7.625%,
due 11/30/2028 . . . . . . . . . . . . 85,276
315,000 Quebecor Media, Inc., 11.125%,
due 07/15/2011 . . . . . . . . . . . . 362,250
30,000 RH Donnelley Financial Corp., 8.875%,
due 12/15/2010, (b) Cost - $30,000;
Acquired - 11/26/2002 . . . . . . . . . 33,300
75,000 RH Donnelley Financial Corp., 10.875%,
due 12/15/2012, (b) Cost - $75,000;
Acquired - 11/26/2002 . . . . . . . . . 87,750
--------------
626,188
--------------
Real Estate Investment Trusts (REITS) (2.6%)
150,000 Health Care REIT, Inc., 7.500%,
due 08/15/2007 . . . . . . . . . . . . 160,414
150,000 Hospitality Properties, 6.750%,
due 02/15/2013 . . . . . . . . . . . . 159,361
130,000 ISTAR Financial, Inc., 8.750%,
due 08/15/2008 . . . . . . . . . . . . 142,350
365,000 Senior Housing Trust, 8.625%,
due 01/15/2012 . . . . . . . . . . . . 390,550
--------------
852,675
--------------
Stone, Clay, Glass, and Concrete Products (1.6%)
475,000 Owens-Brockway Glass, 8.875%,
due 02/15/2009 . . . . . . . . . . . . 517,750
--------------
Tobacco Products (0.5%)
175,000 Universal Corp., Series B, 7.500%,
due 01/26/2004 . . . . . . . . . . . . 180,503
--------------
Transportation Equipment (0.6%)
215,000 Dana Corp., 7.000%,
due 03/15/2028 . . . . . . . . . . . . 188,394
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
---------------
Wholesale Trade - Non Durable Goods (0.4%)
$ 110,000 Safeway Co., 7.250%,
due 09/15/2004 . . . . . . . . . . . $ 116,918
---------------
Total corporate bonds
(cost $7,738,282) . . . . . . . . . 8,319,602
---------------
MUNICIPAL BONDS (3.2%)
300,000 California County, 7.500%,
due 06/01/2019 . . . . . . . . . . . 298,281
142,561 Educational Enhancement Funding Corp.
S D Tobacco, 6.720%,
due 06/01/2025 . . . . . . . . . . . 134,659
175,000 Indiana State Dev. Fin. Auth. Rev.,
5.500%,
due 01/01/2033 . . . . . . . . . . . 174,492
270,000 Tobacco Settlement Fin. Corp.,
5.920%,
due 06/01/2012 . . . . . . . . . . . 263,790
198,049 Tobacco Settlement Fin. Corp.,
6.360%,
05/15/2025 . . . . . . . . . . . . . 191,046
---------------
Total municipal bonds
(cost $1,087,856) . . . . . . . . . 1,062,268
---------------
ASSET BACKED SECURITIES (0.8%)
234,089 First Union National Bank
Commercial Mortgage, 99-C4 A1,
7.184%, due 12/15/2031 . . . . . . . 256,838
---------------
Total asset backed securities
(cost $235,258) . . . . . . . . . . 256,838
---------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (0.1%)
35,000 U.S. Treasury Bond, 5.375%,
due 02/15/2031 . . . . . . . . . . 39,422
---------------
Total U.S. government and agency obligations
(cost $40,038) . . . . . . . . . . 39,422
---------------
SHORT-TERM INVESTMENTS (5.5%)
1,099,207 Bank of America, Repurchase
Agreement,
1.250%, due 07/01/2003 (d) . . . . 1,099,207
778,000 Nations Cash Reserve . . . . . . . 778,000
---------------
Total short-term investments
(cost $1,877,207) . . . . . . . . . 1,877,207
---------------
Total investments (cost $32,770,968) (102.3%) . . . 34,062,186
---------------
Liabilities, less other assets (-2.3%) . . . . . . (752,995)
---------------
Total net assets (100.0%) . . . . . . . . . . . . . $33,309,191
===============
(a) Non-income producing security.
(b) Restricted under Rule 144A of the Securities Act of 1933.
(c) Zero Coupon - Bonds that make no interest payments.
(d) Securities lending collateral (Note 2).
(e) Security in default.
The accompanying notes are an integral part of these financial statements.
Conseco Convertible Securities Fund CONSECO FUND GROUP
Portfolio Managers' Review 2003 Mid-Year Report
How did the Fund perform relative to its benchmark?
The Conseco Convertible Securities Fund (Class A with load) returned 9.37%
for the six months ended June 30, 2003. This compares to 13.56% for the
benchmark Merrill Lynch Broad Convertible Index over the same six month period.
What caused the variance in performance between the Fund and its benchmark?
The performance variance was attributed to the inclusion of the sales load
in the return calculation. Fund performance is reduced by the inclusion of
shareholder expenses, including sales loads and fees. Excluding the sales load,
the Fund return (Class A) would have been 16.09%, outperforming the Merrill
Lynch Broad Convertible Index.(1)
Which portfolio holdings enhanced Fund performance?
During the six months ended June 30, 2003, Fund performance was driven by
our holdings in the Telecom, Utilities and Biotechnology sectors. These
investments included many previously dislocated names such as AES, Nextel,
American Tower, Gilead Sciences and Tyco International. We invested in several
of these names after our bottom-up research suggested these names were trading
well below their underlying long-term asset values. Fund performance was also
enhanced by the decline in interest rates, as convertible bonds benefited from
Treasury rates moving materially lower over the past six months.
Which holdings detracted from Fund performance?
Fund performance for the six months ending June 30, 2003 was negatively
impacted by our overweight position in the healthcare sector. These holdings
served us well during the market downturn in 2002, offering a defensive and
stable return in that period. As the equity markets began to improve in the
first half of 2003, these investments under-performed the index.
What is your outlook for the rest of the fiscal year?
Looking forward, our focus will continue to be value driven with selective
plays in the utility and retail sectors. We intend to modestly raise beta to be
more correlated to the index, yet maintain a focus on pure yield opportunities
when presented. We believe geopolitical concerns have eased and our confidence
has increased in the rebound in the overall economy. Corporate earnings have
begun to improve, as has our outlook for equity returns. Finally, we will
continue to selectively participate in new issues as attractive opportunities
arise through the balance of the year.
Robert L. Cook, CFA Hirouye Teshome
Senior Vice President Senior Securities Analyst
Director of Research Portfolio Manager
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
Robert Cook, CFA, Senior Vice President at Conseco Capital Management, Inc.
("CCM"), and Hirouye Teshome, Senior Securities Analyst, co-manage the Fund.
Cook joined CCM in 1994 and has a bachelor's degree in finance from Indiana
University. He previously served as a financial analyst at PNC Securities Corp.
Teshome is responsible for hedging market exposure created by sale of Equity
Indexed Annuity products. In addition, he is responsible for trading and
analyzing derivatives instruments in CCM's investment process. Hirouye has his
BSEE and MSEE from Purdue University and MBA from Indiana University. He is
currently a candidate for Level III of the CFA program.
(1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the Fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco
Convertible Securities Fund is 5.75% for Class A and 1.00% for Class C. The
applicable contingent-deferred sales charge is 5.00% in year 1 and
eliminated after year 6 for Class B, and the applicable contingent-deferred
sales charge is 1.00% and eliminated after 12 months for Class C. Our
benchmark index, the Merrill Lynch Broad Convertible ("MLBC") Index is an
unmanaged index considered to be representative of the convertible
securities market in general. Investors cannot actually invest in an index.
Conseco Convertible Securities Fund
(unaudited)
Growth of $10,000
- --------------------------------------------------------------
Conseco Convertible Merrill Lynch
Securities Fund Convertible Bond
DATE (Class A shares) Index
9/28/98 $9,425.07 $10,000.00
9/30/98 $9,321.40 $9,791.00
10/30/98 $9,472.20 $10,025.00
11/30/98 $9,885.78 $10,469.11
12/31/98 $10,465.83 $11,085.74
1/29/99 $11,175.99 $11,603.45
2/26/99 $10,783.16 $11,189.20
3/31/99 $10,958.29 $11,669.22
4/30/99 $11,480.24 $12,180.33
5/28/99 $11,457.47 $12,091.42
6/30/99 $12,212.17 $12,554.52
7/30/99 $12,416.15 $12,476.68
8/31/99 $12,429.30 $12,396.83
9/30/99 $12,403.05 $12,497.24
10/29/99 $12,901.31 $12,950.89
11/30/99 $13,873.66 $13,928.69
12/31/99 $14,665.40 $16,001.27
1/31/00 $15,533.75 $15,868.46
2/29/00 $17,419.22 $17,479.11
3/31/00 $17,157.87 $17,099.82
4/28/00 $16,110.69 $16,020.82
5/31/00 $15,284.74 $15,213.37
6/30/00 $16,549.54 $16,120.09
7/31/00 $16,020.65 $15,623.59
8/31/00 $16,888.52 $16,956.28
9/29/00 $16,127.22 $16,498.46
10/31/00 $15,171.87 $15,648.79
11/30/00 $12,959.17 $13,695.82
12/31/00 $14,143.64 $14,129.98
1/31/01 $14,439.58 $15,037.12
2/28/01 $13,416.73 $13,909.34
3/30/01 $12,650.93 $13,279.24
4/30/01 $13,596.21 $14,137.08
5/31/01 $13,427.56 $14,089.02
6/29/01 $13,016.02 $13,915.72
7/31/01 $12,629.33 $13,715.34
8/31/01 $12,428.97 $13,493.15
9/28/01 $11,341.40 $12,648.48
10/31/01 $11,904.88 $12,967.22
11/30/01 $12,515.18 $13,330.30
12/31/01 $12,550.46 $13,574.25
1/31/02 $12,492.22 $13,475.15
2/28/02 $11,920.69 $13,138.27
3/28/02 $12,506.16 $13,606.00
4/30/02 $12,187.55 $13,430.48
5/31/02 $12,013.97 $13,367.36
6/28/02 $11,526.07 $12,735.08
7/31/02 $10,844.16 $12,052.48
8/30/02 $11,033.71 $12,168.18
9/30/02 $10,785.67 $11,906.57
10/31/02 $11,064.36 $12,142.32
11/29/02 $11,615.11 $12,953.42
12/31/02 $11,642.09 $12,900.32
1/31/03 $11,883.20 $13,137.68
2/28/03 $11,908.57 $13,166.58
3/31/03 $12,135.50 $13,375.93
4/30/03 $12,827.90 $14,005.94
5/30/03 $13,449.91 $14,584.38
6/30/03 $13,515.44 $14,651.47
- --------------------------------------------------------------
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/03. Past performance does not
guarantee future results.
Average annual total return(1) (as of
06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
Convertible Securities A. . . . 09/28/1998 9.37% 10.53% n/a 6.54%
Convertible Securities B. . . . 09/28/1998 10.79% 11.72% n/a 7.02%
Convertible Securities C. . . . 09/28/1998 13.54% 14.45% n/a 7.12%
Convertible Securities Y. . . . 09/28/1998 16.24% 17.79% n/a 8.41%
MLBC Index . . . . . . . . . . 09/28/1998 13.56% 15.06% n/a 8.22%
Conseco Convertible Securities Fund CONSECO FUND GROUP
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------
COMMON STOCKS (11.1%)
Business Services (0.9%)
1,300 First Data Corp. . . . . . . . . . $ 53,872
5,900 Microsoft Corp. . . . . . . . . . . 151,099
--------------
204,971
--------------
Chemicals and Allied Products (0.7%)
900 Eli & Lilly Co. . . . . . . . . . . 62,073
900 Merck & Co., Inc. . . . . . . . . . 54,495
1,600 Pfizer, Inc. . . . . . . . . . . . 54,640
--------------
171,208
--------------
Communications by Phone, Television, Radio,
Cable (2.6%)
4,800 SBC Communications Inc. . . . . . . 122,640
3,457 SpectraSite, Inc. (c) . . . . . . . 172,331
7,500 Verizon Communications Inc. . . . . 295,875
--------------
590,846
--------------
Depository Institutions (1.8%)
26,678 Sovereign Bancorp, Inc. . . . . . . 417,503
--------------
Electronic, Other Electrical Equipment, except Computers (0.9%)
10,555 Tyco International Ltd. . . . . . . 200,334
--------------
Health Services (0.3%)
2,200 Bristol-Meyers Squibb Co. . . . . . 59,730
--------------
Industrial, Commercial Machinery, Computers (1.0%)
8,800 NCR Corp. (c) . . . . . . . . . . . 225,456
--------------
Pipe Lines, Except Natural Gas (0.7%)
2,600 GulfTerra Energy Partners, L.P. . . 97,604
1,800 Plains All American Pipeline, L.P. 56,664
--------------
154,268
--------------
Tobacco Products (0.7%)
3,300 Altria Group, Inc. . . . . . . . . 149,952
--------------
Transportation Equipment (1.5%)
10,400 Boeing . . . . . . . . . . . . . . 356,928
--------------
Total common stocks
(cost $2,072,086) . . . . . . . . . 2,531,196
--------------
PREFERRED STOCKS - CONVERTIBLE (17.4%)
Business Services (2.4%)
10,000 Omnicare, Inc., 4.000%, conv into
OCR common stock . . . . . . . . .. 544,500
--------------
Depository Institutions (1.1%)
1,250 State Street Corp., 6.750%, conv
into
STT common stock . . . . . . . . . 258,656
--------------
Electric, Gas, Water, Cogeneration, Sanitary
Services (4.3%)
5,000 Allied Waste Industries,
6.250%,
conv into AW common stock . . . 293,125
4,800 American Electric Power Co., 9.250%,
conv into AEP common stock . . . 210,336
2,000 Chesapeake Energy, 6.000%,
conv into CHK common stock . . . 125,250
12,500 ONEOK, Inc., 8.500%,
conv into OKE common stock . . . 354,000
--------------
982,711
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
--------------
Insurance Carriers (1.1%)
10,500 Travelers Property Casualty, 4.500%,
due 04/15/2032, conv into
C common stock . . . . . . . . . . $ 259,455
--------------
Non-depository Credit Institutions (3.0%)
6,000 Capital One Financial Corp., 6.250%,
conv into COF common stock . . . . 245,250
7,500 Washington Mutual, Inc., 5.375%,
conv into WM common stock . . . . . 444,375
--------------
689,625
--------------
Real Estate Investment Trusts (REITS) (5.5%)
14,500 Equity Office Property Trust,
5.250%,
conv into EOP common stock . . . . . 720,650
6,000 Host Marriott Financial, 6.750%,
conv into HMT common stock . . . 250,500
2,500 Simon Property Group, Inc., 6.500%,
conv into SPG common stock . . . . . 259,675
--------------
1,230,825
--------------
Total preferred stocks - convertible
(cost $3,714,139) . . . . . . . . . 3,965,772
--------------
CONVERTIBLE BONDS (67.6%)
Building Materials, Hardware, Garden - Retail (1.0%)
$ 300,000 Lowes Companies, 0.000% (b),
due 02/16/2021, conv into LOWO
common stock . . . . . . . . . . . 225,000
--------------
Business Services (7.3%)
500,000 AOL Time Warner, Inc., 0.000% (b),
due 12/06/2019, conv into
AOL common stock . . . . . . . . . 306,250
500,000 BEA Systems, Inc., 4.000%,
due 12/15/2006, conv into BEAS
common stock . . . . . . . . . . . 484,375
250,000 Cendant Corp., 3.875%,
due 11/27/2011, conv into CD
common stock, (a) Cost - $251,565;
Acquired - 1/29/2002 . . . . . . . 265,625
250,000 Computer Associates International,
5.000%,
due 03/15/2007, conv into CA
common stock, (a) Cost - $250,000;
Acquired - 3/13/2002 . . . . . . . 301,563
250,000 Keane, Inc., 2.000%,
due 06/15/2013, conv into KEA
common stock, (a) Cost - $250,625;
Acquired - 06/16/2003 . . . . . . . 256,250
50,000 Young & Rubicon, Inc., 3.000%,
due 01/15/2005, conv. into WPPLN
common stock . . . . . . . . . . . 50,000
--------------
1,664,063
--------------
The accompanying notes are an integral part of these financial statements.
Conseco Convertible Securities Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
Chemicals and Allied Products (5.4%)
$ 250,000 Amgen, Inc., 0.000% (b),
due 03/01/2032, conv into AMGN
common stock, (a) Cost - $178,735;
Acquired - 02/22/2002 . . . . . . . $. . . 197,500
400,000 Amgen, Inc., 0.000%,
due 03/01/2032, conv into AMGN
common stock . . . . . . . . . . . . . . . 316,000
250,000 Gilead Sciences, Inc., 2.000%,
due 12/15/2007, conv into GILD
common stock, (a) Cost - $250,000;
Acquired - 12/13/2002 . . . . . . . 333,125
50,000 IVAX Corp., 5.500%,
due 05/15/2007, conv into IVX
common stock . . . . . . . . . . .. . . . . 50,563
375,000 King Pharmaceuticals, Inc., 2.750%,
due 11/15/2021, conv into KG
common stock, (a) Cost - $365,625;
Acquired - 02/12/2002 . . . . . . . . . . 340,781
--------------
1,237,969
--------------
Communications by Phone, Television, Radio,
Cable (10.5%)
250,000 American Tower Corp., 5.000%,
due 02/15/2010, conv into AMT
common stock . . . . . . . . . . . . . . . 215,000
300,000 Best Buy, 2.250%,
due 01/15/2022, conv into BBY
common stock . . . . . . . . . . .. . . . 312,000
250,000 Centurytel, Inc., 4.750%,
due 08/01/2032 conv into CTL
common stock, (a) Cost - $250,000;
Acquired - 08/21/2002 . . . . . . . . . . 293,750
350,000 Echostar Communications, 5.750%,
due 05/15/2008, conv into DISH
common stock . . . . . . . . . . . . . . . 372,313
200,000 Extreme Networks, Inc., 3.500%,
due 12/01/2006, conv into EXTR
common stock, (a) Cost - $462,594;
Acquired - 12/04/2001 . . . . . . . . . . 181,750
500,000 Nextel Communications, Inc., 5.250%,
due 01/15/2010, conv into
NXTL common stock . . . . . . . . . . . . .472,500
250,000 Nextel Communications, Inc., 6.000%,
due 06/01/2011, conv into
NXTL common stock . . . . . . . . . . . . .262,813
250,000 Telefonos de Mexico, 4.250%,
due 06/15/2004, conv into TMX
common stock . . . . . . . . . . . . . . . 280,938
--------------
2,391,064
--------------
Courier Services, except Air (1.7%)
375,000 United Parcel Service, Inc., 1.750%,
due 09/27/2007, conv into UPS
common stock . . . . . . . . . . . . . . . 377,813
--------------
Electric, Gas, Water, Cogeneration, Sanitary
Services (1.1%)
250,000 Duke Energy Corp., 1.750%,
due 05/15/2023, conv into DUK
common stock . . . . . . . . . . . . . . . 262,188
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
- ------------------ ---------
Electronic, Other Electrical Equipment, except
Computers (12.3%)
$ 500,000 Analog Devices, Inc., 4.750%,
due 10/01/2005, conv into ADI
common stock . . . . . . . . . . $ 511,250
500,000 Celestica, Inc., 0.000% (b),
due 08/01/2020, conv into CLS
common stock . . . . . . . . . . . 263,750
250,000 LSI Logic, 4.000%,
due 11/01/2006, conv into LSI
common stock, (a) Cost - $248,438;
Acquired - 03/06/2002 . . . . . . . . . 233,750
200,000 L-3 Communications Holdings, 5.250%,
due 06/01/2009, conv into LLL
common stock . . . . . . . . . . . 233,750
100,000 McData Corp., 2.250%,
due 02/15/2010, conv into MCDTA
common stock . . . . . . . . . . . 163,625
450,000 Nortel Networks Ltd., 4.250%,
due 09/01/2008, conv into NT
common stock (a) Cost - $172,951;
Acquired - 04/09/2002 . . . . . . . 381,375
250,000 Solectron Corp., 0.000% (b),
due 11/20/2020 . . . . . . . . . . 140,000
200,000 Tyco International Group, 2.750%,
due 01/15/2018, conv into TYC
common stock . . . . . . . . . . . 216,499
600,000 Tyco International Ltd., 3.125%,
due 01/15/2023, conv into TYC
common stock . . . . . . . . . . . . . . 660,000
--------------
2,803,999
--------------
General Merchandise Stores (2.7%)
300,000 Barnes and Noble, 5.250%,
due 03/15/2009, conv into BKS
common stock . . . . . . . . . . . 301,875
400,000 TJX Companies, Inc., 0.000%,
due 02/13/2031, conv into TJX
common stock . . . . . . . . . . . . . . 311,500
--------------
613,375
--------------
Health Services (9.1%)
250,000 Arris Group, Inc., 4.500%,
due 03/15/2008, conv into ARRS
common stock, (a) Cost - $250,000;
Acquired - 3/13/03 . . . . . . . . 316,875
250,000 Axcan Pharmaceutical, Inc., 4.250%,
due 04/15/2008, (a) Cost - $265,000;
Acquired - 3/10/03 . . . . . . . . 294,687
250,000 Lifepoint Hospital, 4.500%,
due 06/01/2009, conv into LPNT
common stock, (a) Cost - $250,000;
Acquired - 05/17/2002 . . . . . . . 242,813
500,000 Res-Care, Inc., 6.000%,
due 12/01/2004, conv into RSCR
common stock . . . . . . . . . . . 474,375
750,000 Universal Health Services, Inc.,
0.426%,
due 06/23/2020, conv into UHS
common stock . . . . . . . . . . . . . . 445,313
250,000 Watson Pharmaceutical, Inc., 1.750%,
due 03/15/2023, conv into WPI
common stock . . . . . . . . . . . . . . 303,438
--------------
2,077,501
--------------
The accompanying notes are an integral part of these financial statements.
Conseco Convertible Securities Fund CONSECO FUND GROUP
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -------
Insurance Agents, Brokers (0.6%)
$ 100,000 AON Corp, 3.500%,
due 11/15/2012, conv into AOC
common stock, (a) Cost - $100,000;
Acquired - 11/05/2002 . . . . . . . $ 129,750
--------------
Insurance Carriers (4.1%)
200,000 First American Corp., 4.500%,
due 04/15/2008, conv into FAF
common stock, (a) Cost - $503,125;
Acquired - 04/19/2001
& 06/15/2001 . . . . . . . . . . . 228,500
250,000 The PMI Group, Inc., 2.500%,
due 07/15/2021, conv into PMI
common stock, (a) Cost - $250,000;
Acquired - 07/10/2001 . . . . . . . 256,250
250,000 Radian Group, Inc., 2.250%,
due 01/01/2022, conv into RDN
common stock, (a) Cost - $250,000;
Acquired - 01/8/2002 . . . . . . . 250,937
300,000 XL Capital Ltd., 0.000% (b),
due 05/23/2021, conv into XL
common stock . . . . . . . . . . . . . . 191,250
--------------
926,937
--------------
Measuring Instruments, Photo Goods, Watches (1.2%)
250,000 Medtronic, Inc., 1.250%,
due 09/15/2021, conv into MDT
common stock, (a) Cost - $262,700;
Acquired - 01/15/2002 . . . . . . . . . 260,625
--------------
Motion Pictures (2.4%)
125,000 Liberty Media Group, 3.250%,
due 03/15/2031, conv into VIA/B
common stock, (a) Cost - $126,390;
Acquired - 03/01/2001 . . . . . . . 130,625
300,000 Liberty Media Group, 3.250%,
due 03/15/2031, conv into PCS
common stock, (a) Cost - $625,000;
Acquired - 11/10/1999 . . . . . . . 313,500
100,000 Regal Entertainment Group, 3.750%,
due 05/15/2008, conv into RGC
common stock, (a) Cost - $100,000;
Acquired - 05/22/2003 . . . . . . . . . 107,875
--------------
552,000
--------------
Nondepository Credit Institutions (2.9%)
250,000 Countrywide Financial Corp., 0.000% (b),
due 02/08/2031, conv into CCR
common stock . . . . . . . . . . . 225,625
300,000 Ford Motor Credit Corp., 7.600%,
due 08/01/2005, conv into FRD
common stock . . . . . . . . . . . 322,261
100,000 Providian Financial Corp., 4.000%,
due 05/15/2008, conv into PVN
common stock . . . . . . . . . . . . . . 111,375
--------------
659,261
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
- ------------------ -------
Personal Services (1.4%)
$ 300,000 Service Corp. International, 6.750%,
due 06/22/2008, conv into SRV
common stock . . . . . . . . . . . . $ 307,874
--------------
Petroleum Refining and Related Industries (2.8%)
625,000 Devon Energy Corp., 4.950%,
due 08/15/2008, conv into CHV
common stock . . . . . . . . . . . . 642,187
--------------
Wholesale - Durable Goods (1.1%)
250,000 IOS Capital LLC, 5.000%,
due 05/01/2007, conv into IKN
common stock, (a) Cost - $254,250;
Acquired - 05/09/2002 . . . . . . . . . 244,062
--------------
Total convertible bonds
(cost $14,345,117) . . . . . . . . . 15,375,668
--------------
SHORT-TERM INVESTMENTS (15.4%)
3,059,140 Bank of America, Repurchase
Agreement,
1.250%, due 07/01/2003 (c) . . . . . 3,059,140
408,000 Nations Cash Reserve . . . . . . . . 408,000
--------------
Total short-term investments
(cost $3,467,140) . . . . . . . . . 3,467,140
--------------
Total investments (cost $23,598,482) (111.5%) . . . 25,339,776
--------------
Liabilities, less other assets (-11.5%) . . . . . . (2,606,023)
--------------
Total net assets (100.0%) . . . . . . . . . . . . . $22,733,753
--------------
(a) Restricted under Rule 144A of the Securities Act of 1933.
(b) Zero Coupon - Bonds that make no interest payments.
(c) Securities lending collateral (Note 2).
The accompanying notes are an integral part of these financial statements.
Conseco High Yield Fund
Portfolio Managers' Review
How did the Fund perform relative to its benchmark?
Conseco High Yield Fund (Class A with load) returned 11.91% for the six
months ended June 30, 2003. This compares to a 17.88% return for the benchmark
Merrill Lynch High Yield Master II Index for the same six-month period.(1)
What caused the variance in performance between the Fund and its benchmark?
The negative performance variance was attributed to the inclusion of the
sales load in the return calculation. Fund performance is reduced by the
inclusion of shareholder expenses, including sales loads and fees. Excluding the
sales load, the Fund's return (Class A) would have been 18.70%, outperforming
the Merrill Lynch High Yield Master II Index.
Which portfolio holdings enhanced the Fund's performance?
During the six months ended June 30, 2003, Fund performance was driven by
our holdings in the Telecom, Cable/Media, and Utility sectors. This included
many previously distressed/dislocated names such as Airgate, Alamosa, Charter
Communications, Madison River, and Dynegy. While many of these names
underperformed during the market turmoil of 2002, they have contributed
significantly to Fund performance through June.
Which holdings detracted from performance?
For the six months ended June 30, 2003, the Fund was most negatively
impacted by its exposure to the airline sector, which continues to be plagued by
bankruptcies, overcapacity, and weak demand. While we were meaningfully
underweight the sector in general, the exposure to Delta and US Air still
contributed negatively to Fund performance. In addition, Fund performance was
negatively affected by the Healthsouth default stemming from allegations of
massive fraud and accounting irregularities.
What is your outlook for the rest of the fiscal year?
As we highlighted in the December 2002 Annual Shareholder Report, we entered
2003 optimistic about the high yield market and believed that investors could be
rewarded with returns in line with historical averages of 8-12%. Given that the
Merrill Lynch High Yield Master II Index is already up 17.88% for the year, it
appears that we may have been too conservative. Expectations for an improving
economy, coupled with strong fund flows and improving capital markets have
combined to drive spreads tighter and bond prices higher. In addition to the
spread tightening, bond prices have received the dual benefit of Treasury rates
moving materially lower over the past six months. While the high yield market
has rallied significantly since and December, it remains fairly valued by
historical standards, as spreads are still 50-75 basis points cheap to the
20-year average. That said, we have and will continue to take advantage of the
rally in the Treasury market and reduce those higher quality securities that no
longer offer compelling a risk/return trade-off at current levels. Similarly, we
will continue to capitalize on the strength in the lower quality names to reduce
riskier credits where we believe the market technicals have gotten ahead of the
fundamentals. The proceeds of these sales will be selectively reinvested in the
new issue market where, we believe, the majority of opportunity and supply
currently exists. As we stated six -months ago, the quality of the issuers in
the market today is better than we have seen in over five years, largely due to
the attrition of many of the over-leveraged business plans that tapped the
market in the late 1990's and early 2000's.
Robert L. Cook, CFA Thomas G. Hauser, CFA
Senior Vice President, Vice President
Director of Research Portfolio Manager
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
Robert Cook, CFA, Senior Vice President at Conseco Capital Management, Inc.
("CCM"), and Thomas G. Hauser, CFA, Vice President at CCM, co-manage the Fund,
as well as help manage institutional and affiliated high-yield portfolios for
CCM.
Cook joined CCM in 1994 and has a bachelor's degree in finance from Indiana
University. He previously served as a financial analyst at PNC Securities Corp.
Hauser came to CCM in 2001 from Van Kampen Investments where he comanaged High
Income Trusts I and II, as well as the Van Kampen Income Trust Fund. In addition
to comanaging this Fund, he assists in the management of other high-yield and
CBO portfolios.
- --------------------------------------------------------------------------------
(1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco
High Yield Fund is 5.75% for Class A and 1.00% for Class C. The applicable
contingent-deferred sales charge is 5.00% in year 1 and eliminated after
year 6 for Class B, and the applicable contingent-deferred sales charge is
1.00% and eliminated after 12 months for Class C. The Merrill Lynch High
Yield Master II Index is an unmanaged market capitalization weighted index
of all domestic and Yankee high yield bonds.
Conseco High Yield Fund CONSECO FUND GROUP
- --------------------------------------------------------------------------------
(unaudited) 2003 Mid-Year Report
[CHART]
Conseco High Yield Fund ML High Yield
DATE (Class A Shares) Master II Index
---- ---------------- ---------------
1/2/98 $9,425.07 $10,000.00
1/30/98 $9,686.62 $10,159.00
2/27/98 $9,918.38 $10,200.65
3/31/98 $10,194.84 $10,297.56
4/30/98 $10,309.39 $10,341.84
5/29/98 $10,338.13 $10,403.89
6/30/98 $10,458.23 $10,457.99
7/31/98 $10,559.72 $10,524.92
8/31/98 $9,845.04 $9,993.41
9/30/98 $9,876.88 $10,019.39
10/30/98 $9,479.73 $9,805.98
11/30/98 $9,971.60 $10,314.91
12/31/98 $10,043.22 $10,296.34
1/29/99 $10,348.83 $10,435.35
2/26/99 $10,436.44 $10,364.39
3/31/99 $10,546.91 $10,484.61
4/30/99 $10,819.65 $10,676.48
5/28/99 $10,568.78 $10,578.26
6/30/99 $10,557.96 $10,551.81
7/30/99 $10,652.20 $10,565.53
8/31/99 $10,508.06 $10,453.53
9/30/99 $10,504.87 $10,411.72
10/29/99 $10,587.73 $10,355.50
11/30/99 $10,835.64 $10,490.12
12/31/99 $10,950.08 $10,553.06
1/31/00 $10,894.52 $10,516.12
2/29/00 $11,062.21 $10,538.21
3/31/00 $10,893.88 $10,383.30
4/28/00 $10,607.82 $10,383.30
5/31/00 $10,220.95 $10,252.47
6/30/00 $10,619.07 $10,450.34
7/31/00 $10,666.97 $10,506.77
8/31/00 $10,580.05 $10,609.74
9/29/00 $10,522.37 $10,518.49
10/31/00 $10,304.09 $10,184.00
11/30/00 $9,583.45 $9,793.96
12/31/00 $9,773.99 $10,017.26
1/31/01 $10,339.75 $10,651.35
2/28/01 $10,435.59 $10,813.25
3/30/01 $10,252.95 $10,596.99
4/30/01 $10,137.20 $10,452.87
5/31/01 $10,260.48 $10,636.84
6/29/01 $10,071.32 $10,357.09
7/31/01 $10,165.40 $10,525.91
8/31/01 $10,305.38 $10,609.07
9/28/01 $9,538.32 $9,875.98
10/31/01 $9,839.52 $10,192.01
11/30/01 $10,205.02 $10,550.77
12/31/01 $10,241.35 $10,467.42
1/31/02 $10,234.38 $10,524.99
2/28/02 $10,060.07 $10,386.06
3/28/02 $10,404.07 $10,647.79
4/30/02 $10,479.77 $10,818.15
5/31/02 $10,484.67 $10,735.93
6/28/02 $9,702.57 $9,904.97
7/31/02 $9,455.53 $9,520.66
8/30/02 $9,576.92 $9,758.68
9/30/02 $9,273.59 $9,606.44
10/31/02 $9,456.74 $9,525.75
11/29/02 $10,261.21 $10,121.11
12/31/02 $10,430.59 $10,268.87
1/31/03 $10,835.29 $10,576.94
2/28/03 $10,989.09 $10,719.73
3/31/03 $11,255.77 $11,002.73
4/30/03 $11,853.44 $11,641.99
5/30/03 $12,043.79 $11,775.87
6/30/03 $12,381.63 $12,105.60
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/03. Past performance does not
guarantee future results.
Average annual total return(1) (as of 06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
---- ---- ------ ------- ----------
High Yield A . . . . . . 01/02/1998 11.91% 20.22% 2.22% 3.96%
High Yield B . . . . . . 02/19/1998 13.39% 21.99% 2.67% 3.64%
High Yield C . . . . . . 02/19/1998 16.26% 24.75% 2.72% 3.54%
High Yield Y . . . . . . 03/02/1998 19.01% 28.39% 4.00% 4.78%
MLHY Master II Index .01/02/1998 17.88% 22.20% 2.96% 3.53%
Conseco High Yield Fund
- --------------------------------------------------------------------------------
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
COMMON STOCKS (0.5%)
Industrial, Commercial Machinery, Computer
Equipment (0.2%)
53,971 Dictaphone Corp. . . . . . . . . . $ 229,377
--------------
Transit & Passenger Transportation (0.3%)
54,211 Laidlaw International, Inc. . . . 398,993
--------------
Total common stocks
(cost $5,163,921) . . . . . . . . . 628,370
--------------
PRIVATE PLACEMENT WARRANTS (0.0%)
Chemicals and Allied Products (0.0%)
945 Solutia, Inc., expire
07/15/2009,
(Acquired 10/31/2002; cost $0) . . . 473
--------------
Industrial, Commercial Machinery, Computer
Equipment (0.0%)
48,724 Dictaphone Corp., expire 03/28/2006,
(Acquired 08/08/2002; cost $0) . . 2,436
--------------
Total private placement
warrants
(cost $0) . . . . . . . . . . . . . 2,909
--------------
CORPORATE BONDS (88.8%)
Amusement and Recreation Services (3.5%)
$1,000,000 Boca Resorts, Inc., 9.875%,
due 04/15/2009 . . . . . . . . . . 1,082,500
. . . . .
500,000 Premier Parks, Inc., 9.750%,
due 06/15/2007 . . . . . . . . . . 497,500
. . . . .
255,000 Six Flags, Inc., 8.875%,
due 02/01/2010, (a) Cost - $996,440;
Acquired - 02/01/2002 . . . . . . . 246,075
. . .
1,400,000 Six Flags, Inc., 9.750%,
due 04/15/2013, (a) Cost - $1,400,000;
Acquired - 04/09/2003 . . . . . . . 1,393,000
. . .
1,260,000 Trump Atlantic City Associates,
11.250%,
due 05/01/2006 (c ) . . . . . . . . 995,400
. . . .
710,000 Venetian Casino, 11.000%,
due 06/15/2010, (a) Cost - $945,000;
Acquired - 05/22/2002 . . . . . . . 804,075
--------------
5,018,550
--------------
Apparel and Other Finished Products (2.2%)
1,305,000 Levis Strauss & Co., 12.250%,
due 12/15/2012, (a) Cost - $1,040,030;
Acquired - 11/26/2002 . . . . . . . 1,092,937
515,000 Oxford Industries, Inc.,
8.875%,
due 06/01/2011, (a) Cost - $511,328;
Acquired - 05/06/2003 . . . . . . . 543,325
1,030,000 Phillips Van Heusen Corp., 8.125%,
due 05/01/2013, (a) Cost - $1,030,000;
Acquired - 04/30/2003 . . . . . . . 1,062,188
470,000 Warnaco, Inc., 8.875%,
due 06/15/2013, (a) Cost - $470,000;
Acquired - 06/05/2003 . . . . . . . 488,800
--------------
3,187,250
--------------
Building Contruction, General Construction (0.7%)
905,000 D.R. Horton, Inc., 8.500%,
due 04/15/2012 . . . . . . . . . . 1,022,650
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Business Services (2.5%)
$ 675,000 Cendant Corp., 7.375%,
due 01/15/2013 . . . . . . . . . . $ 796,500
600,000 H&E Equipment/Finance, 11.125%,
due 06/15/2012, (a) Cost - $873,514;
Acquired - 06/03/2002 . . . . . . . 531,000
. . .
1,075,000 Time Warner, Inc., 9.125%,
due 01/15/2013 . . . . . . . . . . 1,379,606
. . . . .
845,000 Universal Hospital Services, Inc.,
10.250%,
due 03/01/2008 . . . . . . . . . . 874,575
--------------
3,581,681
--------------
Chemicals and Allied Products (6.3%)
770,000 Ethyl Corp., 8.875%,
due 05/01/2010, (a) Cost - $770,000;
Acquired - 04/15/2003 . . . . . . . 789,250
644,000 HMP Equity Holdings Corp., 0.000%,
due 05/15/2008 . . . . . . . . . . 328,440
570,000 Huntsman ICI Chemicals, 10.125%,
due 07/01/2009 . . . . . . . . . . 550,050
250,000 Huntsman International., LLC,
9.875%,
due 03/01/2009, (a) Cost - $262,818;
Acquired - 04/03/2003 . . . . . . . 261,250
700,000 Lyondell Chemical Co., 10.875%,
due 05/01/2009 . . . . . . . . . . 654,500
980,000 Lyondell Chemical Co., 11.125%,
due 07/15/2012 . . . . . . . . . . 1,009,400
1,030,000 Polyone Corp., 8.875%,
due 05/01/2012 . . . . . . . . . . 1,009,400
330,000 Solutia, Inc., 6.720%,
due 10/15/2037 . . . . . . . . . . 265,650
945,000 Solutia, Inc., 11.250%,
due 07/15/2009 . . . . . . . . . . 822,150
2,055,000 Terra Capital, Inc., 11.500%,
due 06/01/2010, (a) Cost - $2,042,711;
Acquired - 05/16/2003 . . . . . . . 1,900,875
570,000 Terra Capital, Inc., 12.875%,
due 10/15/2008 . . . . . . . . . . 609,900
825,000 Witco Corp., 6.875%,
due 02/01/2026 . . . . . . . . . . 717,750
--------------
8,918,615
--------------
Communications by Phone, Television, Radio,
Cable (19.8%)
2,110,000 AirGate PCS, Inc., STEP (b) 0.000%/
13.500%, due 10/01/2009 (c) . . . . 1,002,250
1,100,000 American Tower Corp., 5.000%,
due 02/15/2010 . . . . . . . . . . 946,000
830,000 Can West Media, Inc., 7.625%,
due 04/15/2013, (a) Cost - $830,000;
Acquired - 03/31/2003 . . . . . . . 886,025
4,250,000 Charter Communications Holdings,
LLC,
STEP (b) 0.000%/13.500%,
due 01/15/2011 . . . . . . . . . . 2,231,250
660,000 Crown Castle International Corp.,
9.375%,
due 08/01/2011 . . . . . . . . . . 636,900
1,160,000 DirecTV Holdings/Finance, 8.375%,
due 03/15/2013, (a) Cost - $1,160,000;
Acquired - 02/25/2003 . . . . . . . 1,299,200
1,100,000 EchoStar DBS Corp., 9.375%,
due 02/01/2009 . . . . . . . . . . 1,178,375
1,380,000 Fairpoint Communications, 12.500%,
due 05/01/2010 . . . . . . . . . . 1,469,700
The accompanying notes are an integral part of these financial statements.
Conseco High Yield Fund CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Communications by Phone, Television, Radio,
Cable (cont.)
$1,500,000 Insight Communications, Inc., STEP
(b)
0.000% /12.250%,
due 02/15/2011 . . . . . . . . . . $ 1,252,500
705,000 Intermedia Communications, Inc.,
Series B,
8.600%, due 06/01/2008 (c) . . . . 525,225
1,325,000 Madison River Capital, LLC, 13.250%,
due 03/01/2010 . . . . . . . . . . 1,305,125
1,375,000 Nextel Communications, Inc., STEP
(b)
0.000%/9.950%, due 02/15/2008 . . 1,443,750
1,000,000 Nextel Partners, Inc., 8.125%,
due 07/01/2011, (a) Cost - $1,000,000;
Acquired - 06/16/2003 . . . . . . . 1,002,500
4,065,000 Qwest Capital Funding, Inc., 7.250%,
due 02/15/2011 . . . . . . . . . . 3,353,625
1,000,000 Qwest Corp., 8.875%, due 03/15/2012,
(a) Cost - $585,133;
Acquired - 11/26/2002 . . . . . . . 1,122,500
770,000 Rogers Wireless, Inc., 9.625%,
due 05/01/2011 . . . . . . . . . . 889,350
. . . . .
635,000 Sinclair Broadcast Group, 8.000%,
due 03/15/2012, (a) Cost - $478,948;
Acquired - 12/17/2002 . . . . . . . 681,038
1,030,000 Spectrasite, Inc., 8.250%,
due 05/15/2010, (a) Cost - $1,031,931;
Acquired - 05/16/2003
& 05/19/2003 . . . . . . . . . . . 1,076,350
1,735,000 Sprint Capital Corp., 8.375%,
due 03/15/2012 . . . . . . . . . . 2,081,339
545,000 Triton PCS, Inc., 8.750%,
due 11/15/2011 . . . . . . . . . . 546,363
755,000 Triton PCS, Inc., 8.500%,
due 06/01/2013, (a) Cost - $755,000;
Acquired - 05/30/2003 . . . . . . . 815,400
1,635,000 Vivendi Universal, 9.250%,
due 04/15/2010, (a) Cost - $1,635,000;
Acquired - 04/03/2003 . . . . . . . 1,867,987
1,880,000 Worldcom, Inc., 6.950%,
due 08/15/2028 (c) . . . . . . . . 559,299
--------------
28,172,051
--------------
Eating and Drinking Places (0.7%)
925,000 Advantica Restaurant Group, Inc., 11.250%,
due 01/15/2008 . . . . . . . . . . 716,875
250,000 Domino's, Inc., 8.250%,
due 07/01/2011, (a) Cost - $248,150;
Acquired - 06/18/2003 . . . . . . . 259,375
--------------
976,250
--------------
Electric, Gas, Water, Cogeneration, Sanitary
Services (4.0%)
670,000 Allied Waste North America, 7.875%,
due 01/01/2009 . . . . . . . . . . 704,338
980,000 Browning-Ferris, 7.400%,
due 09/15/2035 . . . . . . . . . . 906,500
470,000 MSW Energy Holdings, 8.500%,
due 09/01/2010, (a) Cost - $470,000;
Acquired - 06/11/2003 . . . . . . . 485,275
950,000 PG&E Corp., 6.875%,
due 07/15/2008, (a) Cost - $950,000;
Acquired - 06/27/2003 . . . . . . . 985,625
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Electric, Gas, Water, Cogeneration, Sanitary
Services ( cont.)
$1,170,000 Southern Natural Gas, 8.875%,
due 03/15/2010, (a) Cost - $1,155,000;
Acquired - 02/28/2003 . . . . . . . $ 1,281,150
1,000,000 Transcontinental Gas Pipe Corp.,
7.000%,
due 08/15/2011 . . . . . . . . . . 1,030,000
235,000 Williams Companies, Inc., 8.625%,
due 06/01/2010 . . . . . . . . . . 246,750
--------------
5,639,638
--------------
Electronic, Other Electrical Equipment, except
Computers (8.5%)
1,000,000 Alamosa Delaware, Inc., 13.625%,
due 08/15/2011 . . . . . . . . . . 845,000
870,000 Alamosa PCS Holdings, Inc., STEP (b)
0.000%/12.875%,
due 02/15/2010 . . . . . . . . . . 508,950
1,760,000 Celestica, Inc., 0.000% (d),
due 08/01/2020 . . . . . . . . . . 928,400
1,225,000 IPC Acquisition Corp., 11.500%,
due 12/15/2009, (a) Cost - $1,050,000;
Acquired - 12/14/2001 . . . . . . . 1,304,625
830,000 Nortel Networks Ltd., 6.125%,
due 02/15/2006 . . . . . . . . . . 809,250
1,160,000 Sanmina Corp., 10.375%,
due 01/15/2010, (a) Cost - $1,160,000;
Acquired - 12/18/2002 . . . . . . . 1,299,200
1,105,000 Soletron Corp., 0.000% (d),
due 11/20/2020 . . . . . . . . . . 618,800
1,339,000 TeleCorp PCS, Inc., STEP (b)
0.000%/11.625%, due 04/15/2009 . 1,392,560
499,000 TeleCorp PCS, Inc., 10.625%,
due 07/15/2010 . . . . . . . . . . 605,038
850,000 Tyco International Group, 6.775%,
due 02/15/2011 . . . . . . . . . . 905,250
2,710,000 Tyco International Ltd., 6.375%,
due 10/15/2011 . . . . . . . . . . 2,872,600
--------------
12,089,673
--------------
Fabricated Metal Products, except Machinery and
Transportation Equipment (1.0%)
475,000 Jacuzzi Brands, Inc., 9.625%,
due 07/01/2010, (a) Cost - $475,000;
Acquired - 06/30/2003 . . . . . . . 475,000
1,140,000 Park-Ohio Industries, Inc. 9.250%,
due 12/01/2007 . . . . . . . . . . 974,700
--------------
1,449,700
--------------
Food and Kindred Products (0.8%)
930,000 Eagle Family Foods Co., Series B,
8.750%,
due 01/15/2008 . . . . . . . . . . 637,050
500,000 Le-Nature's, Inc., 9.000%,
due 06/15/2013 . . . . . . . . . . 517,500
--------------
1,154,550
--------------
Food Stores (0.3%)
475,000 Merisant Co., 9.500%,
due 07/15/2013, (a) Cost - $475,000;
Acquired - 06/27/2003 . . . . . . . 494,000
--------------
General Merchandise Stores (0.4%)
550,000 JC Penney Co., Inc., 8.000%,
due 03/01/2010 . . . . . . . . . . 578,875
--------------
The accompanying notes are an integral part of these financial statements.
Conseco High Yield Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Health Services (3.6%)
$ 805,000 HEALTHSOUTH Corp., 10.750%,
due 10/01/2008 (c) . . . . . . . . $ 422,625
810,000 HEALTHSOUTH Corp., 8.500%,
due 02/01/2008 (c) . . . . . . . . 639,900
610,000 Matria Healthcare, 11.000%,
due 05/01/2008 . . . . . . . . . . 628,300
830,000 Res-Care, Inc., 10.625%,
due 11/15/2008 . . . . . . . . . . 784,350
1,200,000 Tenet Healthcare Corp., 6.500%,
due 06/01/2012 . . . . . . . . . . 1,119,000
1,585,000 Tenet Healthcare Corp., 7.375%,
due 02/01/2013 . . . . . . . . . . 1,537,450
--------------
5,131,625
--------------
Holding, Other Investment Offices (0.3%)
365,000 Istar Financial, 8.750%,
due 08/15/2008 . . . . . . . . . . 382,446
--------------
Hotels, Other Lodging Places (3.2%)
1,120,000 Park Place Entertainment, 8.125%,
due 05/15/2011 . . . . . . . . . . 1,234,800
1,060,000 RFS Partnership, 9.750%,
due 03/01/2012, (a) Cost - $1,470,000;
Acquired - 02/21/2002 . . . . . . . 1,075,900
1,095,000 Starwood Hotel & Resorts, 7.375%,
due 11/15/2015 . . . . . . . . . . 1,137,431
875,000 Vail Resorts, Inc., 8.750%,
due 05/15/2009 . . . . . . . . . . 918,750
200,000 Vail Resorts, Inc., 8.750%,
due 05/15/2009, (a) Cost - $831,361;
Acquired - 11/16/01 . . . . . . . . 210,000
--------------
4,576,881
--------------
Industrial, Commercial Machinery, Computer
Equipment (2.5%)
1,650,000 Cummins Engine, Inc., 5.650%,
due 03/01/2098 . . . . . . . . . . 1,142,625
600,000 Rexnord Corp., 10.125%,
due 12/15/2012, (a) Cost - $370,000;
Acquired - 11/19/2002 . . . . . . . 663,000
660,000 Terex Corp., 10.375%, due 04/01/2011 732,600
1,000,000 Unova, Inc., 7.000%, due 03/15/2008 936,250
--------------
3,474,475
--------------
Insurance Carriers (0.4%)
705,000 Fairfax Financial Holdings,
7.375%,
due 04/15/2018 . . . . . . . . . . 620,400
--------------
Leather and Leather Products (0.8%)
1,145,000 Samsonite Corp., 10.750%,
due 06/15/2008 . . . . . . . . . . 1,176,485
--------------
Lumber and Wood Products, except Furniture (2.8%)
1,140,000 Georgia-Pacific Corp., 9.500%,
due 12/01/2011 . . . . . . . . . . 1,261,125
2,775,000 Georgia-Pacific Corp., 7.750%,
due 11/15/2029 . . . . . . . . . . 2,684,813
--------------
3,945,938
--------------
Measuring Instruments, Photo Goods,
Watches (0.2%)
490,000 Hudson Respiratory Care, Inc.,
9.125%,
due 04/15/2008 . . . . . . . . . . 276,850
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Miscellaneous Retail (0.5%)
$ 720,000 Toys R Us, 7.625%, due 08/01/2011 . $ 773,265
--------------
Non-Depository Credit Institutions (1.1%)
1,425,000 Ford Motor Credit Corp., 7.600%,
due 08/01/2005 . . . . . . . . . . 1,496,105
--------------
Oil and Gas Extraction (3.2%)
1,025,000 Citgo Petroleum Corp., 11.375%,
due 02/01/2011, (a) Cost - $1,090,528;
Acquired - 03/28/2003 & 04/09/200 1,148,000
705,000 Dynegy Holdings, Inc., 6.750%,
due 12/15/2005 . . . . . . . . . . 669,750
. . . . .
880,000 Dynegy Holdings, Inc., 7.125%,
due 05/15/2018 . . . . . . . . . . 721,600
. . . . .
940,000 Houston Exploration Co., 7.000%,
due 06/15/2013, (a) Cost - $940,000;
Acquired - 06/05/2003 . . . . . . . 975,250
. . .
1,000,000 Pogo Producing Co., 8.750%,
due 05/15/2007 . . . . . . . . . . 1,035,000
--------------
4,549,600
--------------
Paper and Allied Products (1.3%)
1,045,000 Mail-Well, Inc., 9.625%,
due 03/15/2012, (a) Cost - $678,000;
Acquired - 03/08/2002 . . . . . . . 1,105,087
755,000 Pliant Corp., 11.125%,
due 09/01/2009, (a) Cost - $758,187;
Acquired - 05/22/2003
& 05/23/2003 . . . . . . . . . . . 805,963
--------------
1,911,050
--------------
Personal Services (1.0%)
470,000 Service Corp. International, 6.500%,
due 03/15/2008 . . . . . . . . . . 461,775
. . . . .
970,000 Service Corp. International, 6.875%,
due 10/1/2007 . . . . . . . . . . . 965,150
--------------
1,426,925
--------------
Petroleum Refining and Related Industries (0.6%)
770,000 Tesoro Petroleum Corp., 8.000%,
due 04/15/2008, (a) Cost - $765,787;
Acquired - 04/07/2003 & 04/09/2003 793,100
--------------
Pipelines, except Natural Gas (0.4%)
510,000 El Paso Production Holding, 7.750%,
due 06/01/2013, (a) Cost - $510,000;
Acquired - 05/20/2003 . . . . . . . 511,275
--------------
Printing, Publishing, and Allied Industries (5.3%)
230,000 Dex Media East, LLC, 9.875%,
due 11/15/2009, (a) Cost - $230,000;
Acquired - 10/30/2002 . . . . . . . 257,600
805,000 Dex Media East, LLC, 12.125%,
due 11/15/2012, (a) Cost - $805,000;
Acquired - 10/30/2002 . . . . . . . 955,938
600,000 Hollinger International Publishing,
9.000%,
due 12/15/2010, (a) Cost - $600,000;
Acquired - 12/16/2002 . . . . . . . 645,000
970,000 Houghton Mifflin Co., 8.250%,
due 02/01/2011, (a) Cost - $970,000;
Acquired - 01/24/2003 . . . . . . . 1,028,200
. . .
405,000 Houghton Mifflin Co., 9.875%,
due 02/01/2013, (a) Cost - $401,841;
Acquired - 01/24/2003 . . . . . . . 441,450
. . .
The accompanying notes are an integral part of these financial statements.
Conseco High Yield Fund CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Printing, Publishing, and Allied Industries (cont.)
$ 810,000 Moore North American Finance, 7.875%,
due 01/15/2011, (a) Cost - $804,321;
Acquired - 03/11/2003 . . . . . . . $ 848,475
580,000 Quebecor Media, Inc., 11.125%,
due 07/15/2011 . . . . . . . . . . 667,000
1,440,000 R.H. Donnelley Financial Corp.,
10.875%,
due 12/15/2012, (a) Cost - $1,440,000;
Acquired - 11/26/2002 . . . . . . . 1,684,800
925,000 Sun Media Corp., 7.625%,
due 02/15/2013 . . . . . . . . . . 989,750
--------------
7,518,213
--------------
Railroad Transportation (0.6%)
795,000 TFM SA DE CV, STEP (b) 0.000%/11.750%,
due 06/15/2009 . . . . . . . . . . 812,888
--------------
Real Estate Investment Trusts (REITS) (3.3%)
480,000 Felcor Lodging LP, 9.500%,
due 09/15/2008 . . . . . . . . . . 498,000
1,040,000 Host Marriott LP, 9.500%,
due 01/15/2007 . . . . . . . . . . 1,123,200
400,000 ISTAR Financial, Inc., 8.750%,
due 08/15/2008 . . . . . . . . . . 438,000
400,000 JDN Realty Corp., 6.800%,
due 04/01/2004 . . . . . . . . . . 418,595
875,000 JDN Realty Corp., 6.950%,
due 08/01/2007 . . . . . . . . . . 976,405
525,000 Senior Housing Trust, 8.625%,
01/15/2012 . . . . . . . . . . . . 561,750
585,000 Senior Housing Trust, 7.875%,
due 04/15/2015 . . . . . . . . . . 599,625
--------------
4,615,575
--------------
Stone, Clay, Glass, and Construction (1.8%)
465,000 Hexcel Corp., 9.750%,
due 01/15/2009 . . . . . . . . . . 465,000
220,000 Hexcel Corp., 9.875%,
due 10/01/2008, (a) Cost - $217,694;
Acquired - 03/07/2003 . . . . . . . 243,100
515,000 Owens-Brockway Glass, 7.750%,
due 05/15/2011, (a) Cost - $515,000;
Acquired - 04/29/2003 . . . . . . . 547,188
775,000 Owens-Brockway Glass, 8.250%,
due 05/15/2013, (a) Cost - $775,000;
Acquired - 04/29/2003 . . . . . . . 813,750
515,000 Owens-Illinois, Inc., 7.500%,
due 05/15/2010 . . . . . . . . . . 507,275
--------------
2,576,313
--------------
Transportation by Air (0.3%)
1,420,000 US Airways, Inc., 9.820%,
due 01/01/2013 (c) . . . . . . . . 352,480
--------------
Transportation Equipment (2.8%)
980,000 Dana Corp., 9.000%,
due 08/15/2011 . . . . . . . . . . 1,065,750
475,000 General Motors Corp., 7.125%,
due 07/15/2013, (a) Cost - $471,799;
Acquired - 06/26/2003 . . . . . . . 473,133
950,000 General Motors Corp., 8.375%,
due 07/15/2033 . . . . . . . . . . 933,081
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Transportation Equipment (cont.)
$ 950,000 United Components, Inc., 9.375%,
due 06/15/2013, (a) Cost - $967,400;
Acquired - 06/06/2003
& 06/09/2003 . . . . . . . . . . . $ 990,375
475,000 Vought Aircraft Industries, Inc.,
8.000%,
due 07/15/2011, (a) Cost - $475,000;
Acquired - 06/27/2003 . . . . . . . 470,549
--------------
3,932,888
--------------
Water Transportation (1.1%)
1,540,000 Royal Caribbean Cruises, 8.000%,
due 05/15/2010 . . . . . . . . . . 1,609,300
--------------
Wholesale Trade - Durable Goods (1.05%)
585,000 TRW Automotive, Inc., 11.000%,
due 02/15/2013, (a) Cost - $585,000;
Acquired - 02/06/2003 . . . . . . . 640,575
780,000 TRW Automotive, Inc., 9.375%,
due 02/15/2013, (a) Cost - $780,000;
Acquired - 02/06/2003 . . . . . . . 850,200
--------------
1,490,775
--------------
Total corporate bonds
(cost $117,905,286) . . . . . . . . 126,238,335
--------------
INTERNATIONAL/YANKEE (U.S. $ Denominated) (1.6%)
810,000 Alliance Atlantis Communications,
Inc.,
13.000%, due 12/15/2009 . . . . . . 927,450
775,000 CanWest Media, Inc., 10.625%,
due 05/15/2011 . . . . . . . . . . 887,375
470,000 Federative Republic of Brazil,
10.250%,
due 06/17/2013 . . . . . . . . . . 450,025
--------------
Total international/yankee
(cost $2,060,160) . . . . . . . . . 2,264,850
--------------
PREFERRED STOCKS (5.3%)
Apparel and Other Finished Products (0.5%)
29,065 Tommy Hilfiger USA, 9.000% . . . . 727,497
--------------
Communications by Phone, Television, Radio,
Cable (4.8%)
9 Broadwing Communications,
Series B, 12.500% . . . . . . . . . 1,577
18,578 CSC Holdings, Inc., 11.125%, . 1,908,890
Series M
2,086 Crown Castle International Corp.,
PIK (b), 12.750% . . . . . . . . . 2,289,880
1 Intermedia Communications, Inc.,
Series B, 13.500% . . . . . . . . . 34
2,001 Nextel Communications, Inc.,
Series D, PIK (b), 13.000% . . . . 2,128,564
0.1870 Nextel Communications, Inc.,
Series D, PIK (b), 11.125% . . . . 200
3,470 Sinclair Capital, 11.625% . . . . . 366,085
--------------
6,695,230
--------------
The accompanying notes are an integral part of these financial statements.
Conseco High Yield Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Measuring Instruments, Photo Goods,
Watches (0.0%)
0.41 River Holding Corp., Series B . . . $ --
Total preferred stocks
(cost $5,620,044) . . . . . . . . . 7,422,727
--------------
VARIABLE RATE BONDS AND CDS (2.4%)
$ 750,000 Credit Suisse First Boston (USA),
Inc.,
1.730%, due 07/05/2005 (e) . . . . 748,798
1,000,000 Lehman Brothers Holdings, 1.760%,
due 09/20/2004 (e) . . . . . . . . 1,001,710
749,926 Southtrust Bank, National
Association,
1.500%, due 05/24/2004 (e) . . . . 750,968
750,000 Toyota Motor Credit Corp., 1.490%,
due 07/19/2005 (e) . . . . . . . . 750,649
--------------
Total variable rate bonds and CDs
(cost $3,249,926) . . . . . . . . . 3,252,125
--------------
SHORT-TERM INVESTMENTS (30.5%)
350,000 Aim Government Tax Advantage . . . 350,000
36,942,904 Bank of America, Repurchase
Agreement, 1.250%,
due 07/01/2003 (e) . . . . . . . . 36,942,904
6,390,000 Nations Cash Reserve . . . . . . . 6,390,000
--------------
Total short-term investments
(cost $43,682,904) . . . . . . . . 43,682,904
--------------
Total investments (cost $177,682,241) (129.1%) . . 183,492,220
--------------
Liabilities, less other assets (-29.1%) . . . . . (41,385,893)
--------------
Total net assets (100.0%) . . . . . . . . . . . . $142,106,327
--------------
- ----------------
(a) Restricted under Rule 144A of the Securities Act of 1933.
(b) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate.
(c) Security in default.
(d) Zero Coupon - Bonds that make no interest payments.
(e) Securities lending collateral (Note 2).
Conseco Fixed Income Fund CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
Portfolio Managers' Review
How did the Fund perform relative to its benchmark?
The Conseco Fixed Income Fund (Class A with load) returned 2.43% for the
six months ended June 30, 2003. This compares to a 3.93% return for the
benchmark Lehman Brothers Aggregate Bond Index for the same six-month period.(1)
What caused the variance in performance between the Fund and its benchmark?
inclusion of the sales load in the return calculation. Fund performance is
reduced by the inclusion of shareholder expenses, including sales loads and
fees. Excluding the sales load, the Fund's return (Class A) would have been
7.83%, outperforming the benchmark index.
Which portfolio holdings enhanced the Fund's performance?
For the six months ended June 30, 2003, the largest contribution to
performance came as a result of our exposure to the Media, Telecom, and
Utilities sectors. Also, our position in structured securities, particularly,
the commercial mortgage backed securities (CMBS) sector performed well. Security
selection played a big role in performance. Technical trading and company
fundamentals drove the performance of corporate bonds. Specifically, our
exposure to names such as Dynegy, Mirant, Qwest Communications, Sprint, Nortel,
Quebecor, Telus and Tyco led the performance of the Fund.
Which holdings detracted from performance?
For the six months ended June 30, 2003, the Fund was most negatively
impacted by its exposure to the Tobacco sector, due to ratings downgrades. We
sold our position in R.J. Reynolds before the bonds were downgraded by rating
agencies. In addition, Fund performance was negatively affected by the
Healthsouth default stemming from allegations of fraud and accounting
irregularities.
What is your outlook for the rest of the fiscal year?
The key performance driver for the bond market in 2003 will be the
directional move in interest rates. With the war in Iraq largely resolved, we
expect to experience a modest improvement in the economy, resulting in a shift
in asset flows from bonds into stocks. The volatility in the 30-year U.S.
Treasury bond was fairly strong as interest rates fell 65 basis points during
the second quarter in anticipation of an easing by the Federal Reserve, only to
rise sharply 40 basis points after the Federal Reserve cut rates 25 basis points
at the end of June.
Our strategic overweight to the corporate sector has been a solid
contributor to performance this year and remains in place. In general, the
corporate new issue calendar remains manageable as corporate America reduces
balance sheet leverage. With the accounting scandals and corporate governance
issues largely abating, the remainder of the year will focus on company
operating fundamentals. Absent a shock to the financial system, which would
include a terrorist attack on U.S. soil, we believe the corporate sector has the
ability to continue to outperform over the second half of 2003. The sectors most
critical to performance over the next six months include autos, cable/media, and
telecom.
Gregory J. Hahn, CFA Michael D. Richman, CFA
Chief Investment Officer Second Vice President
Conseco Capital Management, Inc. Portfolio Manager
Conseco Capital Management, Inc.
Gregory J. Hahn, CFA and Michael D. Richman, CFA share the responsibility for
managing the Fund. Hahn is the Chief Investment Officer for Conseco Capital
Management, Inc. ("CCM") and chairs the Portfolio Management Group. Richman, a
Second Vice President at CCM, co-manages the Fund and co-chairs CCM's Portfolio
Management Group.
- --------------------------------------------------------------------------------
(1) Past performance does not guarantee future results. Your investment return
and principal will fluctuate, and your shares may be worth more or less
than their original cost. Total return is provided in accordance with SEC
guidelines for comparative purposes and reflects certain contractual
expense reimbursements through April 30, 2004. If the expense
reimbursements were not in place, the Fund's return would have been lower.
The total returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Total return is shown with the applicable sales load or
contingent-deferred sales charge. The maximum sales load for the Conseco
Fixed Income Fund is 5.00% for Class A and 1.00% for Class C. The
applicable contingent-deferred sales charge is 5.00% in year 1 and
eliminated after year 6 for Class B, and the applicable contingent-deferred
sales charge is 1.00% and eliminated after 12 months for Class C. The
Lehman Brothers Aggregate Bond ("LBA") Index is an unmanaged index
considered to be representative of the bond market in general.
Conseco Fixed Income Fund
- --------------------------------------------------------------------------------
(unaudited)
[CHART]
Conseco Fixed Income Fund Lehman Brothers Aggregate
DATE (Class A Shares) Bond Index
---- ---------------- ----------
1/2/97 $9,496.68 $10,000.00
1/31/97 $9,572.65 $10,031.00
2/28/97 $9,610.75 $10,056.08
3/31/97 $9,515.03 $9,944.46
4/30/97 $9,582.37 $10,093.62
5/30/97 $9,688.84 $10,189.51
6/30/97 $9,820.17 $10,310.77
7/31/97 $10,088.61 $10,589.16
8/29/97 $9,990.47 $10,499.15
9/30/97 $10,133.48 $10,653.49
10/31/97 $10,252.23 $10,807.96
11/28/97 $10,295.03 $10,857.68
12/31/97 $10,320.02 $10,967.34
1/30/98 $10,455.51 $11,107.72
2/27/98 $10,473.94 $11,098.84
3/31/98 $10,554.20 $11,136.57
4/30/98 $10,616.22 $11,194.48
5/29/98 $10,720.20 $11,300.83
6/30/98 $10,782.83 $11,396.89
7/31/98 $10,814.29 $11,420.82
8/31/98 $10,877.54 $11,606.98
9/30/98 $11,004.63 $11,878.58
10/30/98 $10,924.81 $11,815.63
11/30/98 $11,058.43 $11,882.98
12/31/98 $11,101.38 $11,918.63
1/29/99 $11,220.98 $12,003.25
2/26/99 $11,044.15 $11,793.19
3/31/99 $11,126.33 $11,858.05
4/30/99 $11,160.44 $11,896.00
5/28/99 $11,039.34 $11,791.31
6/30/99 $10,979.31 $11,753.58
7/30/99 $10,979.76 $11,704.22
8/31/99 $10,949.00 $11,698.37
9/30/99 $11,032.30 $11,834.07
10/29/99 $11,063.63 $11,877.85
11/30/99 $11,099.67 $11,876.66
12/31/99 $11,071.04 $11,819.66
1/31/00 $11,040.89 $11,780.65
2/29/00 $11,160.75 $11,923.20
3/31/00 $11,293.98 $12,080.58
4/28/00 $11,254.90 $12,045.55
5/31/00 $11,190.41 $12,039.53
6/30/00 $11,466.74 $12,289.95
7/31/00 $11,584.62 $12,401.79
8/31/00 $11,762.80 $12,581.61
9/29/00 $11,842.73 $12,660.88
10/31/00 $11,880.95 $12,744.44
11/30/00 $12,026.52 $12,953.45
12/31/00 $12,211.25 $13,194.38
1/31/01 $12,460.71 $13,409.45
2/28/01 $12,578.21 $13,526.11
3/30/01 $12,650.96 $13,593.74
4/30/01 $12,707.47 $13,536.65
5/31/01 $12,849.78 $13,617.87
6/29/01 $12,891.08 $13,669.62
7/31/01 $13,191.22 $13,975.82
8/31/01 $13,349.23 $14,136.54
9/28/01 $13,351.01 $14,300.52
10/31/01 $13,590.76 $14,599.40
11/30/01 $13,389.02 $14,397.93
12/31/01 $13,269.61 $14,305.79
1/31/02 $13,362.94 $14,421.66
2/28/02 $13,431.98 $14,561.55
3/28/02 $13,303.89 $14,319.83
4/30/02 $13,454.04 $14,597.64
5/31/02 $13,549.84 $14,721.72
6/28/02 $13,409.32 $14,849.79
7/31/02 $13,091.93 $15,029.48
8/30/02 $13,429.58 $15,283.48
9/30/02 $13,455.98 $15,531.07
10/31/02 $13,409.61 $15,459.62
11/29/02 $13,679.51 $15,454.99
12/31/02 $13,946.29 $15,774.91
1/31/03 $14,124.38 $15,789.10
2/28/03 $14,329.65 $16,006.99
3/31/03 $14,435.89 $15,994.19
4/30/03 $14,709.95 $16,126.94
5/30/03 $14,923.42 $16,426.90
6/30/03 $15,036.46 $16,394.05
The growth of $10,000 chart is a comparison of the change in value of a $10,000
investment with dividends and capital gains reinvested for the period from
inception of the Class A shares through 06/30/02. Past performance does not
guarantee future results.
Average annual total return(1) (as of 06/30/03)
Inception Year-to- Since
date Date 1 year 5 years inception
---- ---- ------ ------- ---------
Fixed Income A . . . .01/02/1997 2.43% 6.59% 5.79% 6.45%
Fixed Income B . . . .03/20/1998 2.60% 6.66% 6.13% 6.38%
Fixed Income C . . . .03/05/1998 5.48% 9.56% 6.27% 6.56%
Fixed Income Y . . . .01/02/1997 8.05% 12.79% 7.50% 7.95%
LBA Index . . . . . . . . .01/02/1997 3.93% 10.40% 7.54% 7.90%
Conseco Fixed Income Fund CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
Schedule of Investments
December 31, 2002
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
CORPORATE BONDS (59.7%)
Building Construction, General Construction (0.1%)
$ 131,000 Pulte Homes, Inc., 7.000%,
due 12/15/2003 . . . . . . . . . . $ 132,855
--------------
Business Services (1.6%)
635,000 AOL Time Warner, Inc., 7.700%,
due 05/01/2032 . . . . . . . . . . 744,141
170,000 Cendant Corp., 7.750%,
due 12/01/2003 . . . . . . . . . . 200,600
625,000 Cendant Corp., 6.875%,
due 08/15/2006 . . . . . . . . . . 699,687
--------------
1,644,428
--------------
Chemicals and Allied Products (1.8%)
235,000 Lyondell Chemical Co., Series A,
9.625%,
due 05/01/2007 . . . . . . . . . . 242,050
120,000 Polyone Corp., 10.625%,
due 05/15/2010, (a) Cost - $120,000;
Acquired - 04/30/2003 . . . . . . . 117,600
460,000 Solutia, Inc., 11.250%,
due 07/15/2009 . . . . . . . . . . 400,200
. . . . .
215,000 Terra Capital, Inc., 12.875%,
due 10/15/2008 . . . . . . . . . . 230,050
715,000 Wyeth, Inc., 5.250%,
due 03/15/2013 . . . . . . . . . . 756,986
--------------
1,746,886
--------------
Communications by Phone, Television, Radio,
Cable (9.9%)
165,000 AT&T Wireless Services, Inc.,
8.750%,
due 03/01/2031 . . . . . . . . . . 204,677
414,000 Chancellor Media CCU, 8.000%,
due 11/01/2008 . . . . . . . . . . 483,345
191,000 Clear Channel Communications, Inc.,
6.625%, due 06/15/2008 . . . . . . 217,954
505,000 Comcast Corp., 7.050%,
due 03/15/2033 . . . . . . . . . . 563,100
410,000 Cox Enterprises, 4.375%,
due 05/01/2008, (a) Cost - $409,733;
Acquired - 04/14/2003 . . . . . . . 426,801
340,000 Crown Castle International Corp.,
9.375%,
due 08/01/2011 . . . . . . . . . . 328,100
540,000 Deutsche Telcom International Finance,
Inc.,
8.250%, due 06/15/2030 . . . . . . 690,480
330,000 DirecTV Holdings, 8.375%,
due 03/15/2013, (a) Cost - $330,000;
Acquired - 02/25/2003 . . . . . . . 369,600
175,000 EchoStar Broadband Corp., 10.375%,
due 10/01/2007 . . . . . . . . . . 194,687
285,000 France Telecom, 8.750%,
due 06/01/2006 . . . . . . . . . . 321,759
200,000 Insight Midwest LLP, 10.500%,
due 11/01/2010 . . . . . . . . . . 220,500
400,000 Nextel Communications, Inc., 9.375%,
due 11/15/2009 . . . . . . . . . . 431,500
1,000,000 Qwest Capital Funding, Inc., 7.500%,
due 11/01/2008 . . . . . . . . . . 930,000
990,000 Qwest Capital Funding, Inc., 7.250%,
due 02/15/2011 . . . . . . . . . . 816,750
760,000 Sprint Capital Corp., 6.900%,
due 05/01/2019 . . . . . . . . . . 798,384
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Communications by Phone, Television, Radio,
Cable (cont.)
$ 440,000 Sprint Capital Corp., 6.875%,
due 11/15/2028 . . . . . . . . . . . . $ 443,010
350,000 Tele-Communications, Inc., 9.80%,
due 02/01/2012 . . . . . . . . . . . . 464,357
1,065,000 Telus Corp, 8.000%,
due 06/01/2011 . . . . . . . . . . . . 1,235,400
235,000 Triton PCS, Inc., 8.500%,
due 06/01/2013, (a) Cost - $235,000;
Acquired - 05/30/2003 . . . . . . . . 253,800
520,000 Verizon Global, 4.000%,
due 01/15/2008 . . . . . . . . . . . . 543,567
--------------
9,937,771
--------------
Depository Institutions (0.5%)
520,000 JP Morgan Chase & Co., 4.000%,
due 02/01/2008 . . . . . . . . . . . . 544,242
--------------
Eating and Drinking Places (1.0%)
875,000 Yum! Brands, Inc., 7.700%,
due 07/01/2012 . . . . . . . . . . . . 1,001,893
--------------
Electric, Gas, Water, Cogeneration, Sanitary
Services (10.4%)
410,000 Allied Waste North America, 8.875%,
due 04/01/2008 . . . . . . . . . . . . 446,900
800,000 AMERENENERGY Generating, Series C,
7.750%, due 11/01/2005 . . . . . . . . 896,347
745,000 Avon Energy Partners Holdings, 7.050%,
due 12/11/2007, (a) Cost - $734,524;
Acquired - 01/14/2002 . . . . . . . . 642,562
315,000 Cilcorp, Inc., 8.700%,
due 10/15/2009 . . . . . . . . . . . . 394,338
355,000 Cinergy Corp., 6.250%,
due 09/01/2004 . . . . . . . . . . . . 372,867
500,000 Detroit Edison Co., 5.050%,
due 10/01/2005 . . . . . . . . . . . . 534,183
. . .
450,000 Dominion Resources, Inc., 4.125%,
due 02/15/2008 . . . . . . . . . . . . 471,583
. . .
200,000 Duke Captial Corp., 6.250%,
due 02/15/2013 . . . . . . . . . . . . 212,994
. . .
615,000 Duke Energy Field Services, 5.750%,
due 11/15/2006 . . . . . . . . . . . . 741,447
. . .
330,000 First Energy Corp., 7.375%,
due 11/15/2031 . . . . . . . . . . . . 371,017
510,000 Kansas City Power & Light, 7.125%,
due 12/15/2005 . . . . . . . . . . . . 568,025
286,249 Mirant Mid-Atlantic, Series B, 9.125%,
due 06/30/2017 . . . . . . . . . . . . 278,805
745,000 Niagara Mohawk Power Co., 5.375%,
due 10/01/2004 . . . . . . . . . . . . 778,549
575,000 Pinnacle West Capital Corp., 6.400%,
due 04/01/2006 . . . . . . . . . . . . 621,651
350,000 PSI Energy, Inc., 6.650%,
due 06/15/2006 . . . . . . . . . . . . 385,061
595,000 Sempra Energy, Inc., 6.950%,
due 12/01/2005 . . . . . . . . . . . . 659,784
320,000 Southern Natural Gas Co, 7.350%,
due 02/15/2031, (a) Cost - $103,654;
Acquired - 02/28/2003 . . . . . . . . 350,400
770,000 Southwestern Public Service Co, Series
B, 5.125%, due 11/01/2006 . . . . . . 816,344
The accompanying notes are an integral part of these financial statements.
Conseco Fixed Income Fund
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Electric, Gas, Water, Cogeneration, Sanitary
Services cont.)
(
$ 255,000 Texas Eastern Transmissions LP,
7.000%,
due 07/15/2032 . . . . . . . . . . . $ 291,984
525,000 USA Waste Services, Inc., 7.125%,
due 10/01/2007 . . . . . . . . . . . 602,881
--------------
10,437,722
--------------
Electronic, Other Electrical Equipment, except
Computers (3.0%)
825,000 Celestica, Inc. 0.000% (b),
due 08/01/2020 . . . . . . . . . . . 435,187
455,000 Nortel Networks Ltd., 6.125%,
due 02/15/2006 . . . . . . . . . . . 443,625
312,000 TeleCorp PCS, Inc., 10.625%,
due 07/15/2010 . . . . . . . . . . . 378,300
730,000 Tyco International Group, 0.000%,
11/17/2020 . . . . . . . . . . . . . 559,362
1,165,000 Tyco International Group, 6.875%,
01/15/2029 . . . . . . . . . . . . . 1,177,815
--------------
2,994,289
--------------
Food and Kindred Products (1.3%)
430,000 Conagra Foods, Inc., 7.400%,
due 09/15/2004 . . . . . . . . . . . 458,098
345,000 Kraft Foods, Inc., 6.250%,
due 06/01/2012 . . . . . . . . . . . 390,935
400,000 Tyson Foods, Inc., 8.250%,
due 10/01/2011 . . . . . . . . . . . 474,339
--------------
1,323,372
--------------
Food Stores (0.4%)
340,000 Albertson's, Inc., 6.550%,
due 08/01/2004 . . . . . . . . . . . 354,368
--------------
General Merchandise Store (0.4%)
355,000 JC Penney Co., Inc., 8.000%,
due 03/01/2010 . . . . . . . . . . . 373,637
--------------
Health Services (0.9%)
625,000 HCA, Inc., 8.750%, due 09/01/2010 . . 729,040
250,000 HEALTHSOUTH Corp., 8.500%,
due 02/01/2008 (c) . . . . . . . . . 197,500
--------------
926,540
--------------
Hotels, Other Lodging Places (1.9%)
495,000 Hyatt Equities LLC, 6.875%,
due 06/15/2007, (a) Cost - $493,827;
Acquired - 6/12/2002 . . . . . . . . 515,964
. . .
340,000 MGM Mirage, 6.875%,
due 02/06/2008 . . . . . . . . . . . 365,500
. . . .
390,000 Marriott International, Inc., 7.875%,
due 09/15/2009 . . . . . . . . . . . 473,885
. . . .
150,000 Park Place Entertainment, 8.875%,
due 09/15/2008 . . . . . . . . . . . 165,750
. . . .
310,000 Vail Resorts, Inc., 8.750%,
due 05/15/2009, (a) Cost - $299,287;
Acquired - 11/16/2001 . . . . . . . 325,500
--------------
1,846,599
--------------
Insurance Carriers (3.7%)
785,000 American International Group, 2.875%,
due 05/15/2008, (a) Cost - $780,658;
Acquired - 05/08/2003 . . . . . . . 782,456
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Insurance Carriers (cont.)
$ 500,000 John Hancock Financial Services,
5.625%, due 12/01/2008 . . . . . . $ 556,236
375,000 Protective Life US Funding Trust,
5.875%,
due 08/15/2006, (a) Cost - $377,970;
Acquired - 08/28/2001 . . . . . . . 415,835
580,000 Prudential Financial, Inc., 5.750%,
due 07/15/2033 . . . . . . . . . . 575,644
750,000 RenaissanceRe Holdings, Ltd.,
7.000%,
due 07/15/2008 . . . . . . . . . . 848,181
465,000 TGT Pipeline LLC, 5.200%,
due 06/01/2018, (a) Cost - $463,800;
Acquired - 05/22/2003 . . . . . . . 464,734
--------------
3,643,086
--------------
Lumber and Wood Products, except Furniture (2.2%)
1,505,000 Georgia - Pacific Corp., 7.750%,
due 11/15/2029 . . . . . . . . . . 1,456,087
640,000 Weyerhauser Co., 5.950%,
due 11/01/2008 . . . . . . . . . . 716,883
--------------
2,172,970
--------------
Measuring Instruments, Photo Goods, Watches (1.1%)
305,000 Guidant Corp., 6.150%,
due 02/15/2006 . . . . . . . . . . 331,285
250,000 Raytheon Co., 6.300%,
due 03/15/2005 . . . . . . . . . . 267,117
500,000 Steers Credit Backed 2002 - F1,
8.500%,
due 03/01/2007, (a) Cost - $499,840;
Acquired - 01/31/2002 . . . . . . . 455,000
--------------
1,053,402
--------------
Miscellaneous Manufacturing Industries (0.3%)
270,000 CIT Group Holdings, 7.750%,
due 04/02/2012 . . . . . . . . . . 322,464
--------------
Miscellaneous Retail (0.7%)
635,000 Toys R Us, 7.625%, due 08/01/2011 . 681,977
--------------
Non-Depository Credit Institutions (2.5%)
400,000 Aristar, Inc., 5.850%, due 410,437
01/27/2004 .
375,000 Countrywide Home Loan, 6.250%,
due 04/15/2009 . . . . . . . . . . 430,567
695,000 Gemstone Investors Ltd., 7.710%,
due 10/31/2004, (a) Cost - $699,451;
Acquired - 10/25/2001 . . . . . . . 695,000
345,000 Household Finance Corp., 6.375%,
due 11/27/2012 . . . . . . . . . . 357,565
535,000 MBNA Corp., 6.250%,
due 01/17/2007 . . . . . . . . . . 588,754
--------------
2,482,323
--------------
Oil and Gas Extraction (0.6%)
540,000 Petroleos Mexicanos, 6.500%,
due 02/01/2005, (a) Cost - $598,230;
Acquired - 08/15/2001 . . . . . . . 575,100
--------------
Personal Services (0.6%)
600,000 Service Corp. International, 7.700%,
due 04/15/2009, (a) Cost - $754,628,
Acquired - 09/25/2002 . . . . . . . 615,000
--------------
Pipe Lines, except Natural Gas (1.2%)
536,000 Dynegy-Roseton Danskamme, 7.670%,
due 11/08/2016 . . . . . . . . . . 434,495
The accompanying notes are an integral part of these financial statements.
Conseco Fixed Income Fund CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Pipe Lines, except Natural Gas (cont.)
$ 680,000 Northern Border Pipeline, 6.250%,
due 05/01/2007, (a) Cost - $1,379,351;
Acquired - 4/23/2002 . . . . . . . . . $ 744,785
--------------
1,179,280
--------------
Printing, Publishing, and Allied Industries (2.2%)
160,000 Moore North American Finance, 7.875%,
due 01/15/2011, (a) Cost - $158,878;
Acquired - 03/11/2003 . . . . . . . . 167,600
225,000 News America, Inc., 7.280%,
due 06/30/2028 . . . . . . . . . . . . 255,827
460,000 News America, Inc., 7.625%,
due 11/30/2028 . . . . . . . . . . . . 543,889
725,000 Quebecor Media, Inc., 11.125%,
due 07/15/2011 . . . . . . . . . . . . 833,750
115,000 R.H. Donnelley Financial Corp., 8.875%,
due 12/15/2010, (a) Cost - $115,000;
Acquired - 11/26/02 . . . . . . . . . 127,650
210,000 R.H. Donnelley Financial Corp.,
10.875%,
due 12/15/2012, (a) Cost - $210,000;
Acquired - 11/26/02 . . . . . . . . . 245,700
--------------
2,174,416
--------------
Real Estate Investment Trusts (REITS) (6.7%)
685,000 Avalon Bay Communities, Inc., 6.800%,
due 07/15/2006 . . . . . . . . . . . . 769,984
625,000 Duke Realty Corp., 7.375%,
due 09/22/2005 . . . . . . . . . . . . 684,974
440,000 EOP Operating, LP, 8.375%,
due 03/15/2006 . . . . . . . . . . . . 504,799
455,000 ERP Operating, LP, 7.100%,
due 06/23/2004 . . . . . . . . . . . . 478,139
230,000 Health Care REIT, Inc., 7.500%,
due 08/15/2007 . . . . . . . . . . . . 245,968
465,000 Hospitality Properties, 6.750%,
due 02/15/2013 . . . . . . . . . . . . 494,018
350,000 ISTAR Financial, Inc., 8.750%,
due 08/15/2008 . . . . . . . . . . . . 383,250
590,000 JDN Realty Corp, 6.800%,
due 04/01/2004 . . . . . . . . . . . . 617,428
555,000 New Plan Excel Realty, 5.875%,
due 06/15/2007 . . . . . . . . . . . . 595,268
535,000 Post Apartment Homes, 6.850%,
due 03/16/2015 . . . . . . . . . . . . 566,290
330,000 Prologis, 6.700%, due 04/15/2004 . . . 344,672
895,000 Senior Housing Trust, 8.625%,
due 01/15/2012 . . . . . . . . . . . . 957,650
--------------
6,642,440
--------------
Real Estate Operators, Agents, Managers (0.1%)
100,000 Regency Centers, LP, 7.400%,
due 04/01/2004 . . . . . . . . . . . . 104,387
--------------
Rubber & Miscellaneous Plastic Products (0.9%)
400,000 Sealed Air Corp., 5.625%,
due 07/15/2013, (a) Cost - $398,652;
Acquired - 06/26/2003 . . . . . . . . 404,264
480,000 Sealed Air Corp., 6.875%,
due 07/15/2033, (a) Cost - $478,282,
Acquired - 06/26/2003 . . . . . . . . 491,098
--------------
895,362
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
Tobacco Products (0.4%)
$ 350,000 Universal Corp., Series B, 7.500%,
due 01/26/2004 . . . . . . . . . . $ 361,005
--------------
Transportation Equipment (1.4%)
400,000 Dana Corp, 7.000%,
due 03/15/2028 . . . . . . . . . . 350,500
1,100,000 General Motors Corp., 8.375%,
due 07/15/2033 . . . . . . . . . . 1,080,409
--------------
1,430,909
--------------
Wholesale Trade - Non-Durable Goods (1.2%)
320,000 Cardinal Health, Inc., 4.000%,
due 06/15/2015 . . . . . . . . . . 307,190
505,000 DIMON, Inc., 9.625%,
due 10/15/2011 . . . . . . . . . . 558,026
330,000 Safeway, Inc., 7.250%,
due 09/15/2004 . . . . . . . . . . 350,753
--------------
1,215,969
--------------
Total corporate bonds
(cost $54,567,043) . . . . . . . . 58,814,692
--------------
MUNICIPAL BONDS (5.6%)
745,000 California County, 7.500%,
due 06/01/2019 . . . . . . . . . . 740,731
300,000 Decatur Texas Hospital Authority
Hospital,
Revenue 7.750%, due 09/01/2009 . 328,287
595,000 Duarte California Certificate of Participation,
6.250%, due 04/01/2005 . . . . . . 632,301
403,922 Educational Enhancement Funding
Corp.,
6.720%, due 06/01/2025 . . . . . . 381,533
630,000 Eufaula Ala, 4.000%, due 08/15/2012 653,890
535,000 Indiana State Dev. Fin. Auth. Rev.,
5.500%,
due 01/01/2033 . . . . . . . . . . 533,448
455,000 San Diego California Community
College,
1.340%, due 05/01/2004 . . . . . . 454,477
545,000 Sisters of Providence Obligated
Group,
Revenue, 7.470%, due 10/01/2007 . 637,345
615,000 Tobacco Settlement Fin. Corp.,
5.920%,
due 06/01/2012 . . . . . . . . . . 600,854
609,382 Tobacco Settlement Fin Corp.,
6.360%,
due 05/15/2025 . . . . . . . . . . 587,834
--------------
Total municipal bonds
(cost $5,454,437) . . . . . . . . . 5,550,700
--------------
ASSET BACKED SECURITIES (9.7%)
685,000 Deutsche Mortgage and Asset
Receiving Corp., 98-C1, A2, 6.538%,
due 06/15/2031 . . . . . . . . . . 774,175
800,000 Centex Home Equity, 2001-A A6, 6.250%,
due 04/25/2031 . . . . . . . . . . 852,451
3,145 Chase Funding Mortgage Loan, 99-2
IA2,
6.860%, due 12/26/2024 . . . . . . 3,200
600,000 Chase Funding Mortgage Loan, 2001-3
1A4, 5.602%, due 05/25/2027 . . . . 627,453
487,000 Chase Funding Mortgage Loan, 2002-19
2A3, 6.020%, due 07/25/2032 . . . . 497,378
The accompanying notes are an integral part of these financial statements.
Conseco Fixed Income Fund
- --------------------------------------------------------------------------------
Schedule of Investments
June 30, 2003
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
ASSET BACKED SECURITIES (cont.)
$ 703,770 CMAT 1999-C1 A1, #1999CA, 6.250%,
due 01/17/2032 . . . . . . . . . . . . $ 758,775
. . .
172,604 First Union Lehman Brothers Commercial
Mortgage Trust, 1997-C2 A2, 6.600%,
due 05/18/2007 . . . . . . . . . . . . 179,147
1,100,000 First Union National Bank Commercial
Mortgage, #2001-C3 A2, 6.180%,
due 08/15/2033 . . . . . . . . . . . . 1,245,468
315,000 GMAC Mortgage Corporation Loan Trust,
2001-HE4 A5, 5.680%,
04/25/2027 . . . . . . . . . . . . . . 334,003
242,859 GMAC Commercial Mortgage Services,
1999C2, 6.570%, due 09/15/2033 . 266,460
165,000 Residential Asset Mortgage Products,
Inc.,
2002-RZ3 A4, 4.730%,
due 11/25/2010 . . . . . . . . . . . . 171,481
182,555 Residential Asset Securities
Corporation,
2001-KS3 AI3, 5.180%,
due 07/25/2027 . . . . . . . . . . . . 184,845
1,250,000 Residential Asset Securities
Corporation,
1999-KS4 AI4, 7.220%,
due 06/25/2028 . . . . . . . . . . . . 1,332,171
925,000 Residential Asset Securities
Corporation,
2001-KS2, 6.417%,
due 02/25/2029 . . . . . . . . . . . . 968,952
900,000 Residential Asset Mortgage Products,
Inc.,
2001-RZ4 A4, 5.200%,
due 03/25/2030 . . . . . . . . . . . . 917,096
535,000 Residential Asset Mortgage Products,
Inc.,
2002-A4, A3, 6.750%,
due 05/25/2032 . . . . . . . . . . . . 548,428
--------------
Total asset backed securities
(cost $9,248,154) . . . . . . . . . . 9,661,483
--------------
COLLATERIZED MORTGAGE
OBLIGATIONS (6.8%)
1,485,000 Countrywide Home Loans, 2002-S1 A5,
5.960%, due 11/25/2016 . . . . . . . . 1,556,662
870,000 Countrywide Home Loans, 2001-1
AF-6, 6.434%, due 07/25/2031 . . . 932,921
1,627,955 Morgan Stanley Dean Witter Capital,
Inc.,
2001-PPM A2, 6.400%,
due 02/01/2031 . . . . . . . . . . . . 1,812,396
456,008 Mortgage Capital Funding, Inc., 1998 -
MC2 A1, 6.325%, 10/18/2007 . . . . 488,887
187,474 Paine Webber Mortgage Acceptance Corp.,
1999-04 2B1, 6.265%,
due 01/28/2009 . . . . . . . . . . . . 188,769
1,109,766 Residential Asset Mortgage Products,
Inc.,
2001-RZ3 A4, 6.130%,
due 03/25/2030 . . . . . . . . . . . . 1,123,322
657,854 Vende Mortgage Trust, 01-2 D,
6.750%, due 09/15/2019 . . . . . . . . 660,814
--------------
Total collaterized mortgage obligations
(cost $6,449,059) . . . . . . . . . . 6,763,771
--------------
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (6.5%)
$ 150,000 Federal Home Loan Mortgage Corp.,
#2433 NC, 6.500%,
due 02/15/2025 . . . . . . . . . . $ 151,473
98,845 Federal Home Loan Mortgage Corp.,
#G00479, 9.000%,
due 04/01/2025 . . . . . . . . . . 110,293
585,000 Federal Home Loan Mortgage Corp.,
#2478EF, 6.000%,
due 03/15/2026 . . . . . . . . . . 594,806
525,000 Federal Home Loan Mortgage Corp.,
#2435, 6.250%, due 05/15/2027 . . 535,237
24,531 Federal Home Loan Mortgage Corp.
PC Gold, #C28063, 6.500%,
due 07/01/2029 . . . . . . . . . . 25,568
12 Federal Home Loan Mortgage Corp.,
#C35364, 7.500%,
due 01/01/2030 . . . . . . . . . . 13
640,000 Federal Home Loan Mortgage Corp.,
#2422 CD, 6.000%, 02/01/2032 . . 649,991
986,363 Federal National Mortgage Assn.,
#253845, 6.000%, 06.01/2016 . . . . 1,030,118
1,022,715 Federal National Mortgage Assn.,
#645649, 6.000%, 06/01/2017 . . . . 1,068,100
100,000 Federal National Mortgage Assn.,
#199463, 7.000%, 04/25/2024 . . . . 111,194
17,059 Federal National Mortgage Assn.,
#250307,7.500%, 07/01/2025 . . . . 18,235
14,522 Federal National Mortgage Assn.,
#250758,7.000%, 11/01/2026 . . . . 15,345
454,040 Federal National Mortgage Assn.,
#1999T2, 7.500%, 01/19/2031 . . . 506,964
1,022,715 Federal National Mortgage Assn.,
#609583, 6.000%,
due 11/01/2031 . . . . . . . . . . 1,219,654
423,585 Government National Mortgage Assn.,
#1998-19A, 6.500%,
due 10/20/2020 . . . . . . . . . . 425,112
50,000 U.S. Treasury, 5.375% . . . . . . . 55,335
--------------
Total U.S. government and agency obligations
(cost $6,615,323) . . . . . . . . . 6,517,438
--------------
VARIABLE RATE BONDS AND CD'S (1.4%)
300,000 Credit Suisse First Boston (USA),
Inc.,
1.795%, due 07/05/2005 (d) . . . . 299,519
. .
300,000 Lehman Brothers Holdings, 1.825%,
due 09/20/2004 (d) . . . . . . . . 300,513
. . . . .
299,970 Southtrust Bank, National
Association,
1.360%, due 05/24/2004 (d) . . . . 300,387
. .
500,000 Toyota Motor Credit Corp., 1.163%,
due 07/19/2005 (d) . . . . . . . . 500,432
--------------
Total variable rate bonds and CD's
(cost $1,399,970) . . . . . . . . . 1,400,851
--------------
SHORT-TERM INVESTMENTS (15.9%)
2,000,000 Allstate Corp., 1.280%,
due 07/01/2003 . . . . . . . . . . 2,000,000
. . . . .
5,853,063 Bank of America Corp.,
Repurchase Agreement, 1.250%,
due 07/01/2003 (d) . . . . . . . . 5,853,063
. . . . .
The accompanying notes are an integral part of these financial statements.
Conseco Fixed Income Fund CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
SHARES OR
PRINCIPAL AMOUNT VALUE
- ---------------- -----
SHORT-TERM INVESTMENTS (cont.)
$4,000,000 General Dynamics Corp., 1.300%,
due 07/01/2003 . . . . . . . . . . $ 4,000,000
$4,000,000 Johnson Controls, Inc., 1.280%,
due 07/01/2003 . . . . . . . . . . 4,000,000
--------------
Total short-term investments
(cost $15,853,063) . . . . . . . . 15,853,063
--------------
Total investments (cost $99,587,049) (104.9%) . . 104,561,998
--------------
Liabilities, less other assets (-4.9%) . . . . . . (4,860,778)
--------------
Total net assets (100.0%) . . . . . . . . . . . . $ 99,701,221
==============
- --------------
(a) Restricted under Rule 144A of the Securities Act of 1933.
(b) Zero Coupon - Bonds that make no interest payments.
(c) Security in default.
(d) Securities lending collateral (Note 2).
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
June 30, 2003 (Unaudited)
1. ORGANIZATION
Conseco Fund Group (the "Trust") is an open-end management investment
company registered with the Securities and Exchange Commission under the
Investment Company Act of 1940 (the "1940 Act"). The Trust was organized as a
Massachusetts business trust on September 24, 1996. The Trust is a "series" type
of mutual fund that issues separate series of shares of beneficial interest,
each of which represents a separate portfolio of investments. Eight series
("Funds"), each with its own investment objective and investment policies, are
included in this report. The Funds are the Conseco Science & Technology Fund,
Conseco 20 Fund, Conseco Equity Fund, Conseco Large-Cap Fund, Conseco Balanced
Fund, Conseco Convertible Securities Fund, Conseco High Yield Fund and Conseco
Fixed Income Fund. The Conseco Equity, Conseco Balanced, and Conseco Fixed
Income Funds became operational and available for sale on January 2, 1997. The
Conseco 20 and Conseco High Yield Funds commenced operations on January 1, 1998.
The Conseco Convertible Securities Fund became operational and available for
sale on September 28, 1998. The Conseco Science & Technology Fund and Conseco
Large-Cap Fund commenced operations on July 1, 2000.
Each one of the Funds has a distinct investment strategy. The Conseco
Science & Technology Fund invests in companies the Adviser believes are
positioned to take advantage of scientific or technological advances to power
earnings growth. The Conseco 20 Fund concentrates its investments in a core
position of approximately 20 to 30 common stocks believed to have above-average
growth prospects. The Conseco Equity Fund invests in selected equity securities
and other securities having the investment characteristics of common stocks. The
Conseco Large-Cap Fund invests in larger, well-established companies. The
Conseco Balanced Fund invests in several asset classes including debt
securities, equity securities, and money-market instruments. The Conseco
Convertible Securities Fund invests primarily in below-investment-grade
securities that are convertible into common stock. The Conseco High Yield Fund
invests primarily in below-investment-grade securities, commonly known as "junk
bonds" or high-yield securities. The Conseco Fixed Income Fund invests primarily
in investment-grade debt securities.
The Funds offer four classes of shares: Class A, Class B, Class C and Class
Y. Sales of Class A and Class C shares may be subject to a front-end sales
charge. Redemptions of Class B and Class C shares may be subject to a
contingent-deferred sales charge (as a percentage of the offering price or net
asset value at the time of sale, whichever is less). Class Y shares are
available with no sales charge to certain institutional investors and qualifying
individual investors. The Funds are authorized to issue an unlimited number of
shares.
Class B shares have a contingent-deferred sales charge for redemptions
occurring within six years of their purchase. The contingent-deferred sales
charge is a percentage of the net asset value of the shares at the date of
purchase or the net asset value of the shares at the date of redemption,
whichever is less. These charges are 5% in year one, 4% in year two, 3% in year
three, 3% in year four, 2% in year five and 1% in year six. Class B shares will
automatically convert to a number of Class A shares of equal dollar value eight
years after purchase. This conversion feature benefits shareholders because
Class A shares have lower ongoing expenses than Class B shares. Class C shares
have a a maximum up-front sales charge of 1% of your investment. Class C shares
that are held for less than one year are subject to a contingent deferred sales
charge upon redemption in an amount equal to 1% of the lower of the net asset
value of the shares at the date of purchase or the net asset value of the shares
at the date of redemption. Class C shares held one year or longer are not
subject to this contingent-deferred sales charge. The contingent-deferred sales
charge will not apply to shares acquired due to reinvestment of dividends or
capital gains distributions.
2. SIGNIFICANT ACCOUNTING POLICIES
Security Valuation, Transactions, and Related Investment Income
The investments in each portfolio are valued at the close of regular
trading on the New York Stock Exchange on each business day. Investment
transactions are accounted for on the trade date (the date the order to buy or
sell is executed). Dividend income is recorded on the ex-dividend date and
interest income is accrued daily. The cost of investments sold is determined on
the specific identification basis. All Funds may invest in
U.S.-dollar-denominated, corporate-debt securities of domestic issuers, and all
Funds except the Conseco Equity Fund may invest in debt securities of foreign
issuers that may or may not be U.S.-dollar-denominated.
The following summarizes the investments, which carry certain restrictions
as to resale from the Trust to certain qualified buyers:
% of
Fund Cost Value Net Assets
- ---- ---- ----- ----------
Conseco Balanced - bonds . . . . . $ 1,160,800 $1,190,219 3.57%
Conseco Convertible Securities - bonds . 5,916,998 5,561,968 24.47%
Conseco High Yield - bonds . . . . 41,252,921 42,626,033 30.00%
Conseco Fixed Income - bonds . . 9,640,765 9,186,449 9.21%
These securities are eligible for resale to qualified institutional buyers
in transactions exempt from registration under Rule 144A of the Securities Act
of 1933. In addition, Conseco Capital Management, Inc., ("the Adviser"), a
wholly owned subsidiary of Conseco, Inc. ("Conseco"), which serves as investment
adviser to the funds, has determined that the securities are liquid securities
through a procedure approved by the Board of Trustees of the Trust ("Trustees").
In each Fund of the Trust, Fund securities which are traded on stock
exchanges excluding the NASDAQ national market system, are valued at the last
sale price as of the close of business on the day the securities are being
valued, or lacking any sales, at the mean between the closing bid and asked
prices. Securities that are principally traded on the NASDAQ national market
system are generally valued at the NASDAQ Official Closing Price ("NOCP").
Securities traded in the over-the-counter market are valued at the mean between
the bid and asked prices obtained from an independent pricing service or
brokers. Prices for fixed income securities may be obtained from an independent
pricing service which uses information provided by market makers or estimates of
market value obtained from yield data relating to investments or securities with
similar characteristics. Fund securities that are traded both in the
over-the-counter market and on a stock exchange are valued according to the
broadest and most representative market, and it is expected that for debt
securities this ordinarily will be the over-the-counter market. Securities for
which market quotations are not readily available are valued at fair value as
determined under policies approved by the Trustees. Debt securities with
maturities of sixty (60) days or less are valued at amortized cost which
approximates value.
Dividends to Shareholders
Dividends from the Conseco Convertible Securities, Conseco High Yield and
Conseco Fixed Income Funds will be declared and distributed monthly. Dividends
from the Conseco Balanced Fund will be declared and distributed quarterly.
Dividends from the Conseco Science & Technology, Conseco 20, Conseco Equity, and
Conseco Large-Cap Funds will be declared and distributed annually. However, the
Trustees may decide to declare dividends at other intervals.
CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2002 Annual Report
Dividends to shareholders from net investment income are determined in
accordance with income tax regulations that may differ from accounting
principles generally accepted in the United States of America. Permanent book
and tax differences relating to dividends to shareholders may result in
reclassifications to paid-in capital and may affect the per-share allocation
between net investment income, and realized and unrealized gains (losses). Any
taxable income or gain of the Trust remaining at fiscal year end will be
declared and distributed in the following year to the shareholders of the Fund
or Funds to which such gains are attributable.
Federal Income Taxes
For federal income tax purposes, the Funds intend to qualify as regulated
investment companies under Subchapter M of the Internal Revenue Code by
distributing substantially all of their taxable income and net capital gains to
their shareholders annually and otherwise complying with the requirements for
regulated investment companies. Therefore, no provision has been made for
federal income taxes.
Securities Lending
The Funds have entered into a Securities Lending Agreement (the
"Agreement") with the Bank of New York. Under terms of the Agreement, the Funds
may lend portfolio securities to qualified institutional borrowers in order to
earn additional income. The Agreement requires that loans are collateralized at
all times by cash equal to at least 102% of the market value of any loaned
securities, plus accrued interest. Cash collateral is invested in short-term
securities or variable rate bonds and CDs which are included in the respective
Fund's Schedule of Investments.
At June 30, 2003, the Conseco Science & Technology Fund, Conseco 20 Fund,
Conseco Equity Fund, Conseco Large-Cap Fund, Conseco Balanced Fund, Conseco
Convertible Securities Fund, Conseco High Yield Fund and the Conseco Fixed
Income Fund had securities with a market value of $81,972, $6,436,275,
$9,412,710, $57,666, $1,071,877, $2,995,292, $39,074,542 and $7,076,121,
respectively, on loan (included within Investments in securities in the
Statements of Assets and Liabilities) and had received $82,800, $6,575,398,
$9,716,873, $58,900, $1,099,207, $3,059,140, $40,195,029, $7,253,914,
respectively, in collateral. Amounts earned as interest on investments of cash
collateral, net of rebates and other securities lending expenses, are included
in Other income in the Statements of Operations. For the six months ended June
30, 2003, this securities lending income totaled $679, $16,590, $18,263, $16,
$2,638, $6,576, $38,418, and $14,271, respectively.
The primary risk associated with securities lending is if the borrower
defaults on its obligation to return the securities loaned because of insolvency
or other reasons. The Funds could experience delays and costs in recovering
securities loaned or in gaining access to the collateral.
Expenses
Expenses shared by the Trust are allocated to each Fund based upon current
net assets. Expenses directly attributable to a Class of shares are charged to
that Class. The Fund pays the expenses of its Trustees who are not affiliated
persons of the Adviser or Trust.
Use of Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported assets and
liabilities and the disclosure of contingent assets and liabilities as of the
date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results may differ from these estimates.
3. AGREEMENTS WITH SUBSIDIARIES OF CONSECO Investment Advisory Agreement
The Adviser supervises the Trust's management and investment program,
performs a variety of services in connection with the management and operation
of the Funds and pays all compensation of officers and Trustees of the Trust who
are affiliated persons of the Adviser or the Trust. The following summarizes the
total fees incurred for such services for the six months ended June 30, 2003:
Fund Gross Amount Waiver
---- ------------ ------
Conseco Science & Technology. . . . . . . $ 26,382 $ (26,382)
Conseco 20 . . . . . . . . . . . . . . . . 168,311 (94,195)
Conseco Equity . . . . . . . . . . . . . 349,053 (80,295)
Conseco Large-Cap . . . . . . . . . . . 17,561 (17,561)
Conseco Balanced . . . . . . . . . . . . . . . . . 119,421 (57,614)
Conseco Convertible Securities . . . . . . . . . . . 84,875 (41,840)
Conseco High Yield . . . . . . . . . . . . . . . 455,070 (123,425)
Conseco Fixed Income . . . . . . . . . . . . . .. . 236,063 (154,945)
Under the investment advisory agreement, the Adviser receives an investment
advisory fee equal to an annual rate of 1.00% of the average daily net asset
value of the Conseco Science & Technology, 0.70% of the average daily net asset
value of the Conseco 20, Conseco Equity, Conseco Large-Cap, Conseco Balanced,
and Conseco High Yield Funds, 0.85% of the average daily net asset value of the
Conseco Convertible Fund, and 0.45% of the average daily net asset value of the
Conseco Fixed Income Fund. The Adviser also manages other registered investment
companies and the invested assets of its parent company, Conseco, which owns or
manages several life insurance subsidiaries. On December 17, 2002, Conseco filed
a petition for reorganization under Chapter 11 of Title 11 of the United States
Bankruptcy Code. The Funds are separate legal entities and are not included in
the petition filed by Conseco. Therefore, the assets of the Funds are not
subject to the claims of the creditors of Conseco. The Adviser has entered into
Subadviser agreements for the management of the investments in the Conseco
Science & Technology Fund, Conseco 20 Fund, Conseco Equity Fund, Conseco
Large-Cap Fund and the equity portion of the Conseco Balanced Fund. The Adviser
is solely responsible for the payment of all fees to the Subadviser. The
Subadviser for the Conseco Science & Technology Fund and the Conseco 20 Fund is
Oak Associates ltd. The Subadviser for the Conseco Equity Fund, Conseco
Large-Cap Fund and the equity portion of the Conseco Balanced Fund is Chicago
Equity Partners, LLC. The Adviser has contractually agreed to reimburse the
Funds to the extent that the ratio of expenses to net assets exceeds the
following:
Fund Class A Class B Class C Class Y
---- ------- ------- ------- -------
Conseco Science & Technology . . 1.75% 2.25% 2.25% 1.25%
Conseco 20. . . . . . . . . . . 1.75% 2.25% 2.25% 1.25%
Conseco Equity. . . . . . . . . . 1.50% 2.00% 2.00% 1.00%
Conseco Large-Cap. . . . . . . . .1.50% 2.00% 2.00% 1.00%
Conseco Balanced. . . . . . . . . 1.50% 2.00% 2.00% 1.00%
Conseco Convertible Securities . 1.55% 2.05% 2.05% 1.05%
Conseco High Yield . . . . 1.40% 1.90% 1.90% .90%
Conseco Fixed Income . . 1.10%(a) 1.60% 1.60% .60%
(a) Class A rate change effective May 1, 2001. Prior to this date the rate was
1.25%.
The Adviser may discontinue these contractual limits at any time after
April 30, 2004. After this date, the Adviser may elect to continue, modify or
terminate the limitation on Fund operating expenses. Further, under the terms of
this agreement any fund expenses including initial organizational costs, waived
or reimbursed after May 1, 2000, may be recouped by the Adviser from the Fund to
the extent actual operating expenses for a period are less than the expense
limitation Notes to Financial Statements June 30, 2003 caps, provided that the
Adviser may only be entitled to recoup such amounts for a period of three years
from the fiscal year such amounts were waived or reimbursed. Reimbursed/absorbed
expenses subject to potential recovery by year of expiration are as follows:
Year of Expiration
--------------------------
December
31,
Fund 2003 2004 2005
---- ---- ---- ----
Conseco Science &
Technology . . . . . . . . . $ 76,522 $ 95,616 $ 86,186
Conseco 20 . . . . . . . . . . . -- -- 57,247
Conseco Equity . . . . . . . . . -- 142,531 114,495
Conseco Large-Cap . . . . . . . .72,412 103,682 84,366
Conseco Balanced . . . . . . . .144,081 47,436 123,484
Conseco Convertible
Securities . . . . . . . . . . .132,971 70,570 111,370
Conseco High Yield . . . . . . .204,872 13,373 218,449
Conseco Fixed Income. . . . . . 124,612 82,001 385,555
Administration Agreement
Conseco Services, LLC (the "Administrator"), a wholly-owned subsidiary of
Conseco, supervises the preparation and filing of all documents required for
compliance by the Funds with applicable laws and regulations, supervises the
maintenance of books and records of the Funds and provides other general and
administrative services. For providing these services, the Administrator
receives compensation at the annual rate of 0.20% of the average daily net
assets of each Fund. The Administrator has contractually agreed to reimburse the
Funds to the extent that the ratio of expenses to average net assets on an
annual basis exceeds the expense limitations as stated above for the investment
advisory agreement. The Administrator may discontinue these contractual limits
at any time after April 30, 2004. The following summarizes the total fees
incurred for such services for the six months ended June 30, 2003:
Fund Amount
- ---- ------
Conseco Science & Technology. . . . . . . . . . . . . $ 5,276
Conseco 20 . . . . . . . . . . . . . . . . . . . . . 48,089
Conseco Equity . . . . . . . . . . . . . . . . . . . 99,729
Conseco Large-Cap . . . . . . . . . . . . . . . . . . 5,017
Conseco Balanced . . . . . . . . . . . . . . . . . . 34,120
Conseco Convertible Securities . . . . . . . . . . . 19,971
Conseco High Yield . . . . . . . . . . . . . . . . . 130,020
Conseco Fixed Income . . . . . . . . . . . . . . . . 104,917
.. . . . . . . . .
Distribution Arrangements
Conseco Equity Sales, Inc. (the "Distributor"), a wholly-owned subsidiary
of Conseco, serves as the principal underwriter for each Fund pursuant to an
Underwriting Agreement, initially approved by the Trustees. The Distributor is a
registered broker-dealer and member of the National Association of Securities
Dealers, Inc. ("NASD"). Shares of each Fund will be continuously offered and are
sold by selected brokers, dealers and other financial intermediaries who have
executed selling agreements with the Distributor. The Distributor bears all the
expenses of providing services pursuant to the Principal Underwriting Agreement
including the payment of the expenses relating to the distribution of
prospectuses for sales purposes, as well, as any advertising or sales
literature.
The Trust has adopted Distribution and Service Plans (the "Plans"), dated
March 28, 1997 for Class A shares for the Conseco Equity, Conseco Balanced and
Conseco Fixed Income Funds and December 31, 1997 for Class B and Class C shares
for the Conseco Equity, Conseco Balanced and Conseco Fixed Income Funds and
Class A, Class B and Class C shares for the Conseco 20, Conseco Convertible
Securities and Conseco High Yield Funds; and July 1, 2000 for Class A, Class B
and Class C shares for the Conseco Science & Technology and Conseco Large-Cap
Funds in accordance with the requirements of Rule 12b-1 under the 1940 Act and
the requirements of the applicable rules of the NASD regarding asset based sales
charges. Pursuant to the Plans, a Fund may compensate the Distributor for its
expenditures in financing any activity primarily intended to result in the sale
of Class A, Class B and Class C shares of the Fund and for account maintenance
provided to existing Class A, Class B and Class C shareholders. The Conseco
Science and Technology, Conseco 20, Conseco Equity, Conseco Large-Cap, Conseco
Balanced, Conseco Convertible Securities and Conseco High Yield Funds' Plans
authorize payments to the Distributor up to 0.50%, and beginning May 1, 2001,
the Conseco Fixed Income Fund's Plans authorize payments to the Distributor up
to 0.50%, changed from 0.65%, annually of each Fund's average daily net assets
attributable to its Class A shares. Class B and Class C share's Plan authorizes
payments to the Distributor up to 1.00% annually for each Fund's average daily
net assets attributable to their respective class. The Plans provide for
periodic payments by the Distributor to brokers, dealers and financial
intermediaries for providing shareholder services to accounts that hold Class A,
Class B and Class C shares and for promotional and other sales related costs.
The following summarizes the total fees incurred for such services for
Class A, Class B, and Class C shares for the six months ended June 30, 2003:
Fund Amount
- ---- ------
Conseco Science & Technology. . . . . . . . . . . . . $ 17,234
Conseco 20 . . . . . . . . . . . . . . . . . . . . . 178,815
Conseco Equity . . . . . . . . . . . . . . . . . . . 173,715
Conseco Large-Cap . . . . . . . . . . . . . . . . . . 20,290
Conseco Balanced . . . . . . . . . . . . . . . . . . 120,246
Conseco Convertible Securities . . . . . . . . . . . 71,959
Conseco High Yield . . . . . . . . . . . . . . . . . 403,751
Conseco Fixed Income . . . . . . . . . . . . . . . . 348,454
4. Investment Transactions
The aggregate cost of purchases and the aggregate proceeds from sales of
long-term investments for the six months ended June 30, 2003 are shown below:
Purchases: Sales:
---------------------------------------------------------
U.S. Government Other U.S. Government Other
---------------------------------------------------------
Conseco Science & Technology Fund . . . $ -- 1,274,395 $ -- 4,897,217
Conseco 20 Fund . . . . . . . . . . . . -- 1,290,298 -- 11,044,066
Conseco Equity Fund . . . . . . . . . . -- 54,952,460 -- 61,823,984
Conseco Large-Cap Fund . . . . . . .. . -- 1,325,726 65,399 2,456,180
Conseco Balanced Fund . . . . . . . 3,702,048 15,178,562 4,547,422 22,747,576
Conseco Convertible Securities Fund . . -- 19,778,940 -- 19,316,290
Conseco High Yield Fund . . . . . . . . -- 89,757,915 -- 64,024,285
Conseco Fixed Income Fund . . . . . 48,253,698 90,796,233 55,327,261 116,226,934
CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2002 Annual Report
5. Federal Income Taxes
The following information for the Funds is presented on an income tax basis as
of June 30, 2003:
Net
unrealized
appreciation
Gross Gross (depreciation) Distributable Distributable
Cost of unrealized unrealized on ordinary long-term
investments(a) appreciation depreciation investments income gains
-------------- ------------ ------------ ----------- ------ -----
Conseco Science &
Technology Fund . . . $ 8,070,106 $ 707,117 $ (5,175,662) $ (4,468,545) $ (46,573) $ --
Conseco 20 Fund . . . . . . 115,380,395 1,942,051 (60,786,730) (58,844,679) (336,371) --
Conseco Equity Fund . . . . 104,300,736 14,214,492 (2,223,682) 11,990,810 8,970 --
Conseco Large-Cap Fund . . 5,470,884 408,841 (975,998) (567,157) (17,686) --
Conseco Balanced Fund . . . 33,533,668 2,709,279 (2,180,761) 528,518 2,217 --
Conseco Convertible
Securities Fund . . . . . 23,760,270 2,005,565 (426,059) 1,579,506 81,491 --
Conseco High Yield Fund . . 178,407,478 12,996,066 (7,911,324) 5,084,742 5,971 --
Conseco Fixed Income Fund . 99,947,506 5,530,257 (915,765) 4,614,492 47,714 --
(a) Represents cost for federal income tax purposes and differs from the cost
for financial reporting purposes by the amount of losses recognized for the
financial reporting purposes in excess of federal income tax purposes.
The tax components of dividends paid during the six months ended June 30, 2003
and the year ended December 31, 2002 were as follows:
Long-term Capital
Ordinary Income Dividends Gain Distributions
June 30, December 31, June 30, December 31,
2003 2002 2003 2002
Conseco Science & Technology Fund . $ -- $ -- $ -- $ --
Conseco 20 Fund . . . . . . . . . . -- -- -- --
Conseco Equity Fund. . . . . . . . -- 64,207 -- --
Conseco Large Cap Fund. . . . . . . -- -- -- --
Conseco Balanced Fund . . . . . . . 450,375 1,675,885 -- --
Conseco Convertible Securities Fund 446,935 776,802 -- --
Conseco High Yield Fund . . . . . . 5,186,684 10,938,409 -- --
Conseco Fixed Income Fund . . . . . 2,719,611 9,744,340 -- --
For corporate shareholders in the Funds, the percentage of dividend income
distributed for the year ended December 31, 2002, which is designated as
qualifying for the dividends-received deduction, is as follows (unaudited):
Conseco Equity Fund 47.6%, Conseco Balanced Fund 31.3%, Conseco Convertible
Securities Fund 1.5% and the Conseco High Yleld Fund 2.6%.
As of December 31, 2002, the following Funds have capital loss carryforwards
available to offset capital gains, if any in the future:
Fund Amount Expires
Conseco Science & Technology . . $ 1,075,374 2008
Conseco Science & Technology . . 13,751,410 2009
Conseco Science & Technology . . 26,449,050 2010
Conseco 20 . . . . . . . . . . . 77,079,380 2009
Conseco 20 . . . . . . . . . . . 79,991,018 2010
Conseco Equity . . . . . . . . . 46,604,588 2009
Conseco Equity . . . . . . . . . 9,608,110 2010
Conseco Large-Cap . . . . . . . 146,019 2008
Conseco Large-Cap . . . . . . . 8,645,848 2009
Conseco Large-Cap . . . . . . . 6,822,004 2010
Fund Amount Expires
Conseco Balanced . . . . . . . . $ 8,964,956 2009
Conseco Balanced . . . . . . . . 13,683,503 2010
Conseco Convertible Securities . 7,692,492 2009
Conseco Convertible Securities . 6,522,809 2010
Conseco High Yield . . . . . 687,761 2006
Conseco High Yield . . . . . 1,841,847 2007
Conseco High Yield . . . . . 11,314,158 2008
Conseco High Yield . . . . . 6,618,233 2009
Conseco High Yield . . . . . 6,767,059 2010
Conseco Fixed Income . . . . . . 7,739,500 2010
Net realized gains or losses may differ for Federal income tax purposes
primarily as a result of wash sales and post-October losses which may not be
recognized for tax purposes until the first of the following fiscal year. Such
amounts may be used to offset future capital gains. The following summarizes the
amount of post-October losses deferred, on a tax basis, for the year ended
December 31, 2002:
Fund Amount Fund Amount
Conseco Science & Technology . . $ 762,905 Conseco Balanced . . . . . . . $ 1,232,405
Conseco 20 . . . . . . . . . . . 21,223,840 Conseco Convertible Securities. 306,727
Conseco Equity . . . . . . . . . 963,557 Conseco High Yield . . . . . . 281,684
Conseco Large-Cap . . . . . . . 221,867
Financial Highlights CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Annual Report
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through each year or period ended December 31
Conseco Science & Technology Fund
---------------------------------
2003 2002 2001 2000(f)
---------------------------------
CLASS A SHARES
Net asset value per share, beginning of period $1.31 $3.01 $6.94 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . . . . (0.04) (0.05) (0.04) (0.05)
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . .. 0.49 (1.65) (3.89) (3.01)
- --------------------------------------------------------------------------------
Total income (loss) from investment operations 0.45 (1.70) (3.93) (3.06)
- --------------------------------------------------------------------------------
Distributions:
Dividends from net investment income . . . . . -- -- -- --
Distributions of net realized gains . . . . . . -- -- -- --
- --------------------------------------------------------------------------------
Total distributions . . . . . . . . . . . . . . -- -- .-- .--
- --------------------------------------------------------------------------------
Net asset value per share, end of period . . . $1.76 $1.31 $3.01 $6.94
- --------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . . . . . 34.35% (56.48%)(56.63%)(30.60%)
- --------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . . . . .$1,262 $3,778 $16,077 $19,850
Ratio of expenses to average net assets (b)(e)
Before expense reimbursement . . . . . . . . . 3.25% 2.38% 2.18% 2.17%
After expense reimbursement . . . . . . . . . . 1.75% 1.75% 1.75% 1.75%
Ratio of net investment income (loss) to
average net assets (b)(e) . . . . . . . . . . (1.61%) (1.69%) (1.50%) (1.23%)
Conseco 20 Fund
---------------------------------------------
2003 2002 2001 2000 1999 1998
---------------------------------------------
CLASS A SHARES
Net asset value per share,
beginning of period $3.51 $6.12 $11.76 $20.68 $12.80 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . . (0.03) (0.07) (0.08) (0.28) (0.18) (0.02)
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . 0.92 (2.54) (5.56) (5.22) 9.19 2.82
- ---------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.89 (2.61) (5.64) (5.50) 9.01 2.80
- ---------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income . . -- -- -- -- -- --
Distributions of net realized gains . . . -- -- -- (3.42) (1.13) --
- ---------------------------------------------------------------------------------------
Total distributions . . . . . . . . . . . -- -- -- (3.42) (1.13) --
- ---------------------------------------------------------------------------------------
Net asset value per share,
end of period . . . $4.40 $3.51 $6.12 $11.76 $20.68 $12.80
- ---------------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . . 25.36% (42.65%)(47.96%)(25.67%)70.40% 28.00%
- ---------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . .$7,249 $8,778 $23,948 $33,439$53,463 $33,845
Ratio of expenses to average
net assets (b)(e)
Before expense reimbursement . . . . . . 2.14% 1.82% 1.67% 1.51% 1.70% 2.15%
After expense reimbursement . . . . . . . 1.75% 1.75% 1.67% 1.51% 1.68% 1.75%
Ratio of net investment income
(loss) to
average net assets (b)(e) . . . . . . . . (1.16%) (1.19%) (1.19%) (1.14%)(1.02%)(0.22%)
Conseco Equity Fund
---------------------------------------------
2003 2002 2001 2000 1999 1998
---------------------------------------------
CLASS A SHARES
Net asset value per share,
beginning of period . $7.58 $8.79 $9.86 $16.27 $12.55 $11.07
Income from investment operations (a):
Net investment income (loss) . . . . . . (0.01) (0.01) (0.01) (0.13) (0.14) --
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . 1.14 (1.20) (1.06) 0.40 7.18 1.79
- --------------------------------------------------------------------------------------
Total income (loss) from investment
operations . . . . . . . . . . . . . 1.13 (1.21) (1.07) 0.27 7.04 1.79
- --------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income . . -- -- -- -- -- (0.01)
Distributions of net realized gains . . . -- .-- (0.00)(h)(6.68)(3.32) (0.30)
- --------------------------------------------------------------------------------------
Total distributions . . . . . . . . . . . -- .-- (0.00) (6.68) (3.32) (0.31)
- --------------------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . . . .$8.71 $7.58 $8.79 $9.86 $16.27 $12.55
- --------------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . . 14.78% (13.77%)(10.93%) 4.97% 56.21% 16.11%
- --------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . .$11,103 $7,290 $14,268 $15,210 $29,480 $26,203
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . . 1.66% 1.59% 1.60% 1.47% 1.66% 2.10%
After expense reimbursement . . . . . . . 1.50% 1.50% 1.50% 1.47% 1.50% 1.50%
Ratio of net investment income
(loss) to
average net assets (b)(e) . . . . . . . .(0.16%) (0.09%) (0.08%) (0.80%)(0.83%) --
Conseco Large-Cap Fund
-------------------------------
2003 2002 2001 2000(f)
-------------------------------
CLASS A SHARES
Net asset value per share,
beginning of period . . . . . . . . . . $4.78 $6.60 $8.43 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . . (0.01) (0.07) (0.06) --
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . 0.59 (1.75) (1.77) (1.57)
- -------------------------------------------------------------------------
Total income (loss) from
investment operations . . . . . . . . 0.58 (1.82) (1.83) (1.57)
- -------------------------------------------------------------------------
Distributions:
Dividends from net investment income . . -- -- -- --
Distributions of net realized gains . . . -- -- -- --
- -------------------------------------------------------------------------
Total distributions . . . . . . . . . . . -- -- -- --
- -------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . . . . $5.36 $4.78 $6.60 $8.43
- -------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . . (12.13%)(27.58%)(21.71%)(15.70%)
- -------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . . $827 $945 $9,417 $13,737
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . . 3.33% 2.10% 1.96% 2.06%
After expense reimbursement . . . . . . . 1.50% 1.50% 1.50% 1.50%
Ratio of net investment income
(loss) to
average net assets (b)(e) . . . . . . . .(0.39%) (0.64%) (0.80%) (0.16%)
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 2000 and 1998. Per share
amounts for Conseco Convertible Securities Fund only are presented based on
an average of monthly shares outstanding for the year ended December 31,
2001. Per share amounts for Conseco Large Cap, Balanced and Fixed Income
Funds only are presented based on an average of monthly shares outstanding
for the year ended December 31, 2002.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 1.75% for the Conseco Science & Technology and
Conseco 20, 1.50% for the Conseco Equity, Conseco Large-Cap and Conseco
Balanced 1.55% for the Conseco Convertible Securities, 1.40% for the
Conseco High Yield and 1.10% for the Conseco Fixed Income Funds. These
contractual limits may be discontinued at any time after April 30, 2004.-
CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
Conseco Balanced Fund
- --------------------------------------------------
2003 2002 2001 2000 1999 1998
- --------------------------------------------------
$8.62 $10.13 $11.08 $13.51 $11.69 $10.73
0.12 0.24 0.25 0.28 0.22 0.30
0.88 (1.49) (0.96) 0.64 3.18 1.03
- ---------------------------------------------------
1.00 (1.25) (0.71) 0.92 3.40 1.33
- ---------------------------------------------------
(0.13) (0.26) (0.24) (0.25) (0.23) (0.24)
-- -- -- (3.10) (1.35) (0.13)
- ---------------------------------------------------
(0.13) (0.26) (0.24) (3.35) (1.58) (0.37)
- ---------------------------------------------------
$9.49 $8.62 $10.13 $11.08 $13.51 $11.69
- ---------------------------------------------------
11.71% (12.47%) (6.37%) 7.29% 29.44% 12.45%
- ---------------------------------------------------
$3,618 $4,205 $22,802 $24,311 $31,932 $26,064
1.84% 1.68% 1.68% 1.74% 1.96% 2.26%
1.50% 1.50% 1.50% 1.50% 1.50% 1.50%
2.59% 2.62% 2.43% 1.92% 1.87% 2.66%
Conseco Convertible Securities Fund
-----------------------------------------------------------
2003 2002 2001 2000 1999 1998(g)
-----------------------------------------------------------
$8.63 $9.62 $11.80 $14.93 $11.00 $10.00
0.19 0.32 0.30 0.43 0.46 0.10
1.18 (1.02) (1.63) (1.08) 3.89 1.00
- -------------------------------------------------------------------
1.37 (0.70) (1.33) (0.65) 4.35 1.10
- -------------------------------------------------------------------
(0.21) (0.29) (0.36) (0.36) (0.27) (0.10)
-- -- (0.49) (2.12) (0.15) --
- -------------------------------------------------------------------
(0.21) (0.29) (0.85) (2.48) (0.42) (0.10)
- -------------------------------------------------------------------
$9.79 $8.63 $9.62 $11.80 $14.93 $11.00
- -------------------------------------------------------------------
16.09% (7.24%) (11.27%) (3.56%) 40.12% 11.04%
- -------------------------------------------------------------------
$3,008 $2,639 $4,482 $15,022 $22,927 $27,611
1.97% 1.98% 1.90% 1.70% 1.95% 2.12%
1.55% 1.55% 1.55% 1.55% 1.55% 1.55%
4.17% 3.50% 3.15% 2.49% 2.11% 3.80%
Conseco High Yield Fund
- -----------------------------------------------------------
2003 2002 2001 2000 1999 1998
- -----------------------------------------------------------
$7.08 $7.76 $8.20 $10.00 $10.00 $10.00
0.32 0.80 0.79 0.81 1.00 0.76
0.98 (0.70) (0.41) (1.83) (0.13) (0.10)
- ---------------------------------------------------------------
1.30 0.10 0.38 (1.02) 0.87 0.66
- ---------------------------------------------------------------
(0.31) (0.78) (0.82) (0.78) (0.87) (0.66)
-- -- -- -- -- --
- ---------------------------------------------------------------
(0.31) (0.78) (0.82) (0.78) (0.87) (0.66)
- ---------------------------------------------------------------
$8.07 $7.08 $7.76 $8.20 $10.00 $10.00
- ---------------------------------------------------------------
18.70% 1.85% 4.78% (10.74%) 9.03% 6.56%
- ---------------------------------------------------------------
$57,581 $44,059 $27,712 $19,689 $42,591 $28,199
1.59% 1.61% 1.61% 1.58% 1.66% 2.12%
1.40% 1.40% 1.40% 1.40% 1.40% 1.40%
8.17% 10.86% 9.95% 8.43% 8.93% 7.76%
Conseco Fixed Income Fund
-----------------------------------------------------------
2003 2002 2001 2000 1999 1998(g)
-----------------------------------------------------------
$10.05 $10.14 $9.94 $9.60 $10.21 $10.13
0.27 0.56 0.55 0.62 0.63 0.55
0.51 (0.06) 0.30 0.33 (0.65) 0.20
- -------------------------------------------------------------------
0.78 0.50 0.85 0.95 (0.02) 0.75
- -------------------------------------------------------------------
(0.28) (0.59) (0.55) (0.61) (0.56) (0.55)
-- -- (0.10) -- (0.03) (0.12)
- -------------------------------------------------------------------
(0.28) (0.59) (0.65) (0.61) (0.59) (0.67)
- -------------------------------------------------------------------
$10.55 $10.05 $10.14 $9.94 $9.60 $10.21
- -------------------------------------------------------------------
7.83% 5.11% 8.66% 10.30% (0.27%) 7.57%
- -------------------------------------------------------------------
$13,852 $15,455 $65,303 $32,693 $30,681 $30,684
1.40% 1.32% 1.33% 1.44% 1.64% 1.94%
1.10% 1.10% 1.13% 1.25% 1.25% 1.25%
5.20% 5.73% 5.44% 6.42% 5.69% 5.28%
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included. (d) Not annualized for periods of less than
one full year.
(e) Annualized for periods of less than one full year.
(f) Period from July 1, 2000 (commencement of operations) through December 31,
2000.
(g) Period from September 28, 1998 (commencement of operations) through
December 31, 1998.
(h) Amount calculated is less than $0.005 per share.
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through each year or period ended December 31
Conseco Science & Technology Fund
---------------------------------
2003 2002 2001 2000 (f)
---------------------------------
CLASS B SHARES
Net asset value per share, beginning of period $1.30 $2.98 $6.93 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . . . . . (0.02) (0.06) (0.07) (0.05)
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . . . . .0.46 (1.62) (3.88) (3.02)
- --------------------------------------------------------------------------------
Total income (loss) from investment operations . 0.44 (1.68) (3.95) (3.07)
- --------------------------------------------------------------------------------
Distributions:
Dividends from net investment income . . . . . . -- -- -- --
Distributions of net realized gains . . . . . .. -- -- -- --
- --------------------------------------------------------------------------------
Total distributions . . . . . . . . . . . . . .. -- -- -- --
- --------------------------------------------------------------------------------
Net asset value per share, end of period . . . $1.74 $1.30 $2.98 $6.93
- --------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . . . . . (33.85%) (56.38%)(57.00%)(30.70%)
- --------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . . . $613 $540 $2,348 $4,699
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement . . . . . . . . . 3.75% 2.88% 2.68% 2.67%
After expense reimbursement . . . . . . . . . .. 2.25% 2.25% 2.25% 2.25%
Ratio of net investment income (loss) to
average net assets (b)(e) . . . . . . . . . . . (2.11%) (2.19%) (2.00%) (1.73%)
Conseco 20 Fund
-------------------------------------------------
2003 2002 2001 2000 1999 1998 (g)
-------------------------------------------------
CLASS B SHARES
Net asset value per share, beginning of period . $3.39 $5.95 $11.48 $20.40 $12.71 $11.21
Income from investment operations (a):
Net investment income (loss) . . . . . . . . . . .(0.03) (0.10) (0.13) (0.39) (0.10) (0.07)
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . . . . . 0.88 (2.46) (5.40) (5.11) 8.94 1.57
- ----------------------------------------------------------------------------------------------------
Total income (loss) from investment operations . 0.85 (2.56) (5.53) (5.50) 8.84 1.50
- ----------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income . . . . . . -- -- -- -- -- --
Distributions of net realized gains . . . . . . . -- -- -- (3.42) (1.15) --
- ----------------------------------------------------------------------------------------------------
Total distributions . . . . . . . . . . . . . . . -- -- -- (3.42) (1.15) --
- ----------------------------------------------------------------------------------------------------
Net asset value per share, end of period . . . . .$4.24 $3.39 $5.95 $11.48 $20.40 $12.71
- ----------------------------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . . . . . . 25.07% (43.03%)(48.17%)(25.99%) 69.56% 13.38%
- ----------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $17,363 $16,197 $46,136 $89,044 $71,233 $7,270
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement . . . . . . . . . . 2.64% 2.32% 2.17% 2.01% 2.20% 2.73%
After expense reimbursement . . . . . . . . . . . 2.25% 2.25% 2.17% 2.01% 2.18% 2.25%
Ratio of net investment income (loss) to
average net assets (b)(e) . . . . . . . . . . . . (1.66%) (1.69%) (1.69%) (1.64%) (1.52%) (0.78%)
Conseco Equity Fund
----------------------------------------------
2003 2002 2001 2000 1999 1998 (h)
----------------------------------------------
CLASS B SHARES
Net asset value per share,
beginning of period $7.33 $8.54 $9.63 $16.13 $12.47 $11.09
Income from investment
operations (a):
Net investment income (loss) . . . .. (0.03) (0.06) (0.05) (0.20) (0.14) (0.06)
Net realized gains (losses)
and change in
unrealized appreciation
or depreciation
on investments . . . . . . . . . . .. 1.10 (1.15) (1.04) 0.38 7.07 1.75
- ---------------------------------------------------------------------------------------
Total income (loss) from
investment operations . . . . . . 1.07 (1.21) (1.09) 0.18 6.93 1.69
- ---------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income. -- -- -- -- -- (0.01)
Distributions of net realized gains . -- -- (0.00)(m) (6.68) (3.27) (0.30)
- ---------------------------------------------------------------------------------------
Total distributions . . . . . . . . . -- -- (0.00) (6.68) (3.27) (0.31)
- ---------------------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . .$8.40 $7.33 $8.54 $9.63 $16.13 $12.47
- ---------------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . .. 14.60% (14.17%) (11.30%) 4.44% 55.63% 15.20%
- ---------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . $15,269 $15,956 $22,075 $19,621 $3,489 $1,634
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . .. 2.16% 2.09% 2.10% 1.97% 2.16% 4.85%
After expense reimbursement . . . . . 2.00% 2.00% 2.00% 1.97% 2.00% 2.00%
Ratio of net investment
income (loss) to
average net assets (b)(e) . . . . . .(0.66%) (0.59%) (0.58%) (1.30%) (1.33%) (0.60%)
Conseco Large-Cap Fund
----------------------------------
2003 2002 2001 2000 (f)
----------------------------------
CLASS B SHARES
Net asset value per share,
beginning of period . . . . . . . . . . $4.72 $6.55 $8.41 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . . . (0.02) (0.10) (0.08) (0.01)
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . . 0.57 (1.73) (1.78) (1.58)
- -----------------------------------------------------------------------------
Total income (loss) from
investment operations . . . . . . . . . 0.55 (1.83) (1.86) (1.59)
- -----------------------------------------------------------------------------
Distributions:
Dividends from net investment income . . . -- -- -- --
Distributions of net realized gains . . . . -- -- -- --
- -----------------------------------------------------------------------------
Total distributions . . . . . . . . . . . . -- -- -- --
- -----------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . . . . $5.27 $4.72 $6.55 $8.41
- -----------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . . . 11.65% (27.94%)(22.12%)(15.90%)
- -----------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . . $1,999 $2,102 $5,439 $8,096
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . . . 3.83% 2.60% 2.46% 2.56%
After expense reimbursement . . . . . . . . 2.00% 2.00% 2.00% 2.00%
Ratio of net investment income (loss) to
average net assets (b)(e) . . . . . . . . .(0.89%) (1.14%) (1.30%) (0.66%)
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 2000 and 1998. Per share
amounts for Conseco Convertible Securities Fund only are presented based on
an average of monthly shares outstanding for the year ended December 31,
2001. Per share amounts for Conseco Large Cap, Balanced and Fixed Income
Funds only are presented based on an average of monthly shares outstanding
for the year ended December 31, 2002.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 2.25% for the Conseco Science & Technology and
Conseco 20, 2.00% for the Conseco Equity, Conseco Large-Cap and Conseco
Balanced 2.05% for the Conseco Convertible Securities, 1.90% for the
Conseco High Yield and 1.60% for the Conseco Fixed Income Funds. These
contractual limits may be discontinued at any time after April 30, 2004.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
Conseco Balanced Fund
- --------------------------------------------------------------
2003 2002 2001 2000 1999 1998(i)
$8.49 $9.98 $10.92 $13.38 $11.61 $11.20
0.09 0.18 0.20 0.19 0.12 0.19
0.88 (1.45) (0.94) 0.66 3.18 0.57
- -----------------------------------------------------------------
0.97 (1.27) (0.74) 0.85 3.30 0.76
- -----------------------------------------------------------------
(0.11) (0.22) (0.20) (0.21) (0.18) (0.22)
-- -- -- (3.10) (1.35) (0.13)
(0.11) (0.22) -- (3.31) (1.53) (0.35)
- -----------------------------------------------------------------
$9.35 $8.49 $9.98 $10.92 $13.38 $11.61
- -----------------------------------------------------------------
11.63% (12.89%) (6.79%) 6.79% 28.79% 6.83%
- -----------------------------------------------------------------
$12,020 $12,345 $20,279 $13,958 $2,854 $1,301
2.34% 2.18% 2.18% 2.24% 2.46% 3.93%
2.00% 2.00% 2.00% 2.00% 2.00% 2.00%
2.09% 2.12% 1.93% 1.42% 1.37% 2.09%
Conseco Convertible Securities Fund
------------------------------------------------------------
2003 2002 2001 2000 1999 1998(j)
$8.58 $9.56 $11.74 $14.88 $11.00 $10.00
0.17 0.27 0.24 0.34 0.06 0.08
1.17 (1.00) (1.63) (1.07) 4.21 1.00
- -----------------------------------------------------------------
1.34 (0.73) (1.39) (0.73) 4.27 1.08
- -----------------------------------------------------------------
(0.19) (0.25) (0.30) (0.29) (0.24) (0.08)
-- -- (0.49) (2.12) (0.15) --
(0.19) (0.25) (0.79) (2.41) (0.39) (0.08)
- -----------------------------------------------------------------
$9.73 $8.58 $9.56 $11.74 $14.88 $11.00
- -----------------------------------------------------------------
15.79% (7.61%) (11.77%) (4.07%) 39.40% 10.89%
- -----------------------------------------------------------------
$10,038 $9,438 $17,903 $30,872 $13,690 $1
2.47% 2.48% 2.40% 2.20% 2.45% 154.76%
2.05% 2.05% 2.05% 2.05% 2.05% 2.05%
3.67% 3.00% 2.65% 1.99% 1.61% 3.02%
Conseco High Yield Fund
- ----------------------------------------------------------
2003 2002 2001 2000 1999 1998 (k)
- ----------------------------------------------------------
$7.04 $7.71 $8.16 $9.97 $9.97 $10.44
0.29 0.75 0.76 0.73 0.55 0.60
0.98 (0.67) (0.43) (1.80) 0.28 (0.48)
- -----------------------------------------------------------
1.27 0.08 0.33 (1.07) 0.83 0.12
- -----------------------------------------------------------
(0.29) (0.75) (0.78) (0.74) (0.83) (0.59)
-- -- -- -- -- --
- -----------------------------------------------------------
(0.29) (0.75) (0.78) (0.74) (0.83) (0.59)
- -----------------------------------------------------------
$8.02 $7.04 $7.71 $8.16 $9.97 $9.97
- -----------------------------------------------------------
18.39% 1.49% 4.17% (11.31%) 8.57% 1.12%
- -----------------------------------------------------------
$37,834 $35,654 $48,857 $41,319 $47,433 $11,271
2.09% 2.11% 2.11% 2.08% 2.16% 2.75%
1.90% 1.90% 1.90% 1.90% 1.90% 1.90%
7.67% 10.36% 9.45% 7.93% 8.43% 7.27%
Conseco Fixed Income Fund
-----------------------------------------------------------
2003 2002 2001 2000 1999 1998(l)
-----------------------------------------------------------
$10.02 $10.10 $9.91 $9.59 $10.19 $10.24
0.25 0.50 0.51 0.58 0.41 0.36
0.49 (0.04) 0.29 0.32 (0.46) 0.14
- ---------------------------------------------------------------
0.74 0.46 0.80 0.90 (0.05) 0.50
- ---------------------------------------------------------------
(0.25) (0.54) (0.51) (0.58) (0.52) (0.45)
-- -- (0.10) -- (0.03) (0.10)
- ---------------------------------------------------------------
(0.25) (0.54) (0.61) (0.58) (0.55) (0.55)
- ---------------------------------------------------------------
$10.51 $10.02 $10.10 $9.91 $9.59 $10.19
- ---------------------------------------------------------------
7.60% 4.64% 8.16% 9.74% (0.49%) 4.97%
- ---------------------------------------------------------------
$34,090 $35,087 $38,793 $9,340 $5,230 $2,619
1.90% 1.82% 1.80% 1.79% 1.99% 2.77%
1.60% 1.60% 1.60% 1.60% 1.60% 1.60%
4.70% 5.23% 4.98% 6.07% 5.34% 4.83%
(e) Annualized for periods of less than one full year.
(f) Period from July 1, 2000 (commencement of operations) through December 31,
2000.
(g) Period from February 18, 1998 (commencement of operations) through December
31, 1998.
(h) Period from January 28, 1998 (commencement of operations) through December
31, 1998.
(i) Period from February 10, 1998 (commencement of operations) through December
31, 1998.
(j) Period from September 28, 1998 (commencement of operations) through
December 31, 1998.
(k) Period from February 19, 1998 (commencement of operations) through December
31, 1998.
(l) Period from March 20, 1998 (commencement of operations) through December
31, 1998.
(m) Amount calculated is less than $0.005 per share.
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through each year or period ended December 31
Conseco Science
& Technology Fund
-------------------------------
2003 2002 2001 2000(f)
-------------------------------
CLASS C SHARES
Net asset value per share,
beginning of period $1.30 $2.99 $6.92 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . (0.02) (0.06) (0.06) (0.05)
Net realized gains (losses) and
change in unrealized appreciation or
depreciation on investments . . . . . 0.46 (1.63) (3.87) (3.03)
- ------------------------------------------------------------------------
Total income (loss) from investment
operations 0.44 (1.69) (3.93) (3.08)
- ------------------------------------------------------------------------
Distributions:
Dividends from net investment income . -- -- -- --
Distributions of net realized gains . -- -- -- --
- ------------------------------------------------------------------------
Total distributions . . . . . . . . . -- -- -- --
- ------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . . $1.74 $1.30 $2.99 $6.92
- ------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . 33.85% (56.52%) (56.79%) (30.80%)
- ------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . $1,393 $1,240 $4,684 $5,122
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . 3.75% 2.88% 2.68% 2.67%
After expense reimbursement . . . . . 2.25% 2.25% 2.25% 2.25%
Ratio of net investment
income (loss) to
average net assets (b)(e) . . . . . . (2.11%) (2.19%) (2.00%) (1.73%)
Conseco 20 Fund
-----------------------------------------------
2003 2002 2001 2000 1999 1998(g)
-----------------------------------------------
CLASS C SHARES
Net asset value per share,
beginning of period $3.40 $5.98 $11.52 $20.46 $12.75 $11.82
Income from investment operations (a):
Net investment income (loss) . . . . . (0.03) (0.10) (0.12) (0.39) (0.09) (0.07)
Net realized gains (losses) and
change in unrealized appreciation or
depreciation on investments . . . . . 0.89 (2.48) ( 5.42) (5.13) 8.96 1.00
- ---------------------------------------------------------------------------------------
Total income (loss) from investment
operations 0.86 (2.58) (5.54) (5.52) 8.87 0.93
- ---------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income . -- -- -- -- -- --
Distributions of net realized gains . -- -- -- (3.42) (1.16) --
- ----------------------------------------------------------------------------------------
Total distributions . . . . . . . . . -- -- -- (3.42) (1.16) --
- ----------------------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . . $4.26 $3.40 $5.98 $11.52 $20.46 $12.75
- ----------------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . 24.93% (42.98%) (48.09%) (26.02%) 69.54% 7.87%
- ----------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . .$16,269 $15,359 $40,383 $64,272 $37,093 $2,982
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . 2.64% 2.32% 2.17% 2.01% 2.20% 2.72%
After expense reimbursement . . . . . 2.25% 2.25% 2.17% 2.01% 2.18% 2.25%
Ratio of net investment
income (loss) to
average net assets (b)(e) . . . . . . (1.66%) (1.69%) (1.69%) (1.64%) (1.52%) (0.81%)
Conseco Equity Fund
-----------------------------------------------
2003 2002 2001 2000 1999 1998(h)
-----------------------------------------------
CLASS C SHARES
Net asset value per share,
beginning of period . . $7.34 $8.55 $9.63 $16.12 $12.54 $11.98
Income from investment operations (a):
Net investment income (loss) . . . . . (0.03) (0.06) (0.04) (0.20) (0.07) (0.06)
Net realized gains (losses) and change
in unrealized appreciation or
depreciation on investments . . . . . . 1.10 (1.15) (1.04) 0.39 7.02 0.93
- ---------------------------------------------------------------------------------------
Total income (loss) from investment
operations . . . . . . . . . . . . 1.07 (1.21) (1.08) 0.19 6.95 0.87
- ---------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income . -- -- -- -- -- (0.01)
Distributions of net realized gains . -- -- (0.00)(l)(6.68) (3.37) (0.30)
- ---------------------------------------------------------------------------------------
Total distributions . . . . . . . . . -- -- (0.00) (6.68) (3.37) (0.31)
- ---------------------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . . $8.41 $7.34 $8.55 $9.63 $16.12 $12.54
- ---------------------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . 14.58% (14.15%) (11.19%) 4.51% 55.89% 7.21%
- ---------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . .$15,217 $16,329 $20,055 $13,793 $2,972 $616
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . 2.16% 2.09% 2.10% 1.97% 2.16% 8.51%
After expense reimbursement . . . . . 2.00% 2.00% 2.00% 1.97% 2.00% 2.00%
Ratio of net investment income
(loss) to average net assets (b)(e) . .(0.66%) (0.59%) (0.57%) (1.30%) (1.33%)(0.68%)
Conseco Large-Cap Fund
-------------------------------
2003 2002 2001 2000 (f)
-------------------------------
CLASS C SHARES
Net asset value per share,
beginning of period . . $4.72 $6.56 $8.42 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . (0.02) (0.10) (0.10) (0.01)
Net realized gains (losses) and change
in unrealized appreciation or
depreciation on investments . . . . . 0.58 (1.74) (1.76) (1.57)
- --------------------------------------------------------------------------
Total income (loss) from investment
operations . . . . . . . . . . . . 0.56 (1.84) (1.86) (1.58)
- --------------------------------------------------------------------------
Distributions:
Dividends from net investment income . -- -- -- --
Distributions of net realized gains . -- -- -- --
- --------------------------------------------------------------------------
Total distributions . . . . . . . . . -- -- -- --
- --------------------------------------------------------------------------
Net asset value per share,
end of period . . . . . . . . . . . $5.28 $4.72 $6.56 $8.42
- --------------------------------------------------------------------------
Total return (b)(c)(d) . . . . . . . . 11.86% (28.05%) (22.09%) (15.80%)
- --------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . $ $1,574 $1,858 $4,825 $7,513
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . 3.83% 2.60% 2.46% 2.56%
After expense reimbursement . . . . . 2.00% 2.00% 2.00% 2.00%
Ratio of net investment income
(loss) to average net assets (b)(e) . (0.89%) (1.14%) (1.30%) (0.66%)
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 2000 and 1998. Per share
amounts for Conseco Convertible Securities Fund only are presented based on
an average of monthly shares outstanding for the year ended December 31,
2001. Per share amounts for Conseco Large Cap, Balanced and Fixed Income
Funds only are presented based on an average of monthly shares outstanding
for the year ended December 31, 2002.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 2.25% for the Conseco Science & Technology and
Conseco 20, 2.00% for the Conseco Equity, Conseco Large-Cap and Conseco
Balanced 2.05% for the Conseco Convertible Securities, 1.90% for the
Conseco High Yield and 1.60% for the Conseco Fixed Income Funds. These
contractual limits may be discontinued at any time after April 30, 2004.
(c) Total return figures do not include sales loads; results would be lower if
sales charges were included.
(d) Not annualized for periods of less than one full year.
CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
Conseco Balanced Fund
- ------------------------------------------------------------
2003 2002 2001 2000 1999 1998 (i)
- ------------------------------------------------------------
$8.56 $10.06 $11.01 $13.46 $11.66 $11.31
0.11 0.18 0.19 0.19 0.13 0.20
0.87 (1.46) (0.94) 0.66 3.20 0.48
0.98 (1.28) (0.75) 0.85 3.33 0.68
(0.11) (0.22) (0.20) (0.20) (0.18) (0.20)
-- -- -- (3.10) (1.35) (0.13)
(0.11) (0.22) (0.20) (3.30) (1.53) (0.33)
$9.43 $8.56 $10.06 $11.01 $13.46 $11.66
11.60% (12.94%) (6.77%) 6.79% 28.81% 6.10%
$9,195 $13,026 $28,946 $8,487 $2,264 $1,197
2.34% 2.18% 2.18% 2.24% 2.46% 3.40%
2.00% 2.00% 2.00% 2.00% 2.00% 2.00%
2.09% 2.12% 1.93% 1.42% 1.37% 2.08%
Conseco Convertible Securities Fund
- ------------------------------------------------------------
2003 2002 2001 2000 1999 1998(j)
- ------------------------------------------------------------
$8.61 $9.60 $11.78 $14.91 $11.00 $10.00
0.18 0.28 0.24 0.34 0.06 0.08
1.16 (1.02) (1.63) (1.06) 4.23 1.00
1.34 (0.74) (1.39) (0.72) 4.29 1.08
(0.19) (0.25) (0.30) (0.29) (0.23) (0.08)
-- -- (0.49) (2.12) (0.15) --
(0.19) (0.25) (0.79) (2.41) (0.38) (0.08)
$9.76 $8.61 $9.60 $11.78 $14.91 $11.00
15.73% (7.68%) (11.72%) (3.99%) 39.52% 10.89%
$3,623 $3,701 $7,417 $11,919 $4,107 $1
2.47% 2.48% 2.40% 2.20% 2.45% 154.76%
2.05% 2.05% 2.05% 2.05% 2.05% 2.05%
3.66% 3.00% 2.65% 1.99% 1.61% 3.02%
Conseco High Yield Fund
- ----------------------------------------------------------
2003 2002 2001 2000 1999 1998 (h)
- ----------------------------------------------------------
$7.03 $7.70 $8.15 $9.95 $9.95 $10.44
0.29 0.75 0.75 0.73 0.50 0.59
0.98 (0.67) (0.42) (1.79) 0.33 (0.50)
1.27 0.08 0.33 (1.06) 0.83 0.09
(0.29) (0.75) (0.78) (0.74) (0.83) (0.58)
-- -- -- -- -- --
(0.29) (0.75) (0.78) (0.74) (0.83) (0.58)
$8.01 $7.03 $7.70 $8.15 $9.95 $9.95
18.42% 1.49% 4.18% (11.22%) 8.60% 0.88%
$17,167 $16,538 $25,532 $18,645 $18,541 $3,685
2.09% 2.11% 2.11% 2.08% 2.16% 3.03%
1.90% 1.90% 1.90% 1.90% 1.90% 1.90%
7.67% 10.36% 9.45% 7.93% 8.43% 7.22%
Conseco Fixed Income Fund
-----------------------------------------------------------
2003 2002 2001 2000 1999 1998(k)
-----------------------------------------------------------
$10.07 $10.15 $9.95 $9.63 $10.23 $10.13
0.26 0.50 0.51 0.58 0.41 0.38
0.49 (0.04) 0.30 0.32 (0.45) 0.26
0.75 0.46 0.81 0.90 (0.04) 0.64
(0.25) (0.54) (0.51) (0.58) (0.53) (0.44)
-- -- (0.10) -- (0.03) (0.10)
(0.25) (0.54) (0.61) (0.58) (0.56) (0.54)
$10.57 $10.07 $10.15 $9.95 $9.63 $10.23
7.53% 4.69% 8.26% 9.69% (0.47%) 6.44%
$24,984 $35,719 $57,239 $5,171 $2,655 $539
1.90% 1.82% 1.80% 1.79% 1.99% 5.91%
1.60% 1.60% 1.60% 1.60% 1.60% 1.60%
4.70% 5.23% 4.98% 6.07% 5.34% 4.98%
(e) Annualized for periods of less than one full year.
(f) Period from July 1, 2000 (commencement of operations) through December 31,
2000.
(g) Period from March 10, 1998 (commencement of operations) through December
31, 1998.
(h) Period from February 19, 1998 (commencement of operations) through December
31, 1998.
(i) Period from February 13, 1998 (commencement of operations) through December
31, 1998.
(j) Period from September 28, 1998 (commencement of operations) through
December 31, 1998.
(k) Period from March 5, 1998 (commencement of operations) through December 31,
1998.
(l) Amount calculated is less than $0.005 per share.
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through each year or period ended December 31
Conseco Science & Technology Fund
- --------------------------------------------------------------------------------
2003 2002 2001 2000 (f)
- --------------------------------------------------------------------------------
CLASS Y SHARES
Net asset value per share,
beginning of period . . . . . . . . . . . $1.33 $3.03 $6.96 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . . .(0.01) (0.03) (0.04) (0.02)
Net realized gains (losses) and
change in
unrealized appreciation
or depreciation
on investments . . . . . . . . . . . . . . 0.47 (1.67) (3.89) (3.02)
Total income (loss) from
investment operations. . . . . . . . . 0.46 (1.70) (3.93) (3.04)
Distributions:
Dividends from net investment income . . . -- -- -- --
Distributions of net realized gains . . . -- -- -- --
Total distributions . . . . . . . . . . . -- -- -- --
Net asset value per share,
end of period . . . . . . . . . . . . $1.79 $1.33 $3.03 $6.96
Total return (b)(c)(d) . . . . . . . . . 34.59% (56.11%) (56.47%) (30.40%)
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . . $270 $313 $1,080 $2,242
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . . . . 2.75% 1.88% 1.68% 1.67%
After expense reimbursement . . . . . . . 1.25% 1.25% 1.25% 1.25%
Ratio of net investment income (loss) to
average net assets (b)(e) . . . . . . . . (1.11%) (1.19%) (1.00%) (0.73%)
Conseco 20 Fund
- ---------------------------------------------------------------------------------------
2003 2002 2001 2000 1999 1998 (g)
- ---------------------------------------------------------------------------------------
CLASS Y SHARES
Net asset value per share,
beginning of period . . . . . . . . . $3.53 $6.13 $11.70 $20.49 $12.68 $12.33
Income from investment operations (a):
Net investment income (loss) . . . . ..(0.01) (0.04) (0.05) (0.16) (0.01) 0.04
Net realized gains (losses) and
change in
unrealized appreciation
or depreciation
on investments . . . . . . . . . . . .. 0.91 (2.56) (5.52) (5.21) 9.04 0.31
Total income (loss) from
investment operations. . . . . . . 0.90 (2.60) (5.57) (5.37) 9.03 0.35
Distributions:
Dividends from net investment income .. -- -- -- -- -- --
Distributions of net realized gains . -- -- -- (3.42) (1.22) --
Total distributions . . . . . . . . . -- -- -- (3.42) (1.22) --
Net asset value per share,
end of period . . . . . . . . . . $4.43 $3.53 $6.13 $11.70 $20.49 $12.68
Total return (b)(c)(d) . . . . . . . . 25.50% (42.41%)(47.61%)(25.23%) 71.36% 2.84%
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . $8,833 $7,988 $20,149 $30,401 $55,806 $172
Ratio of expenses to average
net assets (b)(e):
Before expense reimbursement . . . . .. 1.64% 1.32% 1.17% 1.01% 1.20% 3.77%
After expense reimbursement . . . . . 1.25% 1.25% 1.17% 1.01% 1.18% 1.25%
Ratio of net investment
income (loss) to
average net assets (b)(e) . . . . . . (0.66%) (0.69%) (0.69%) (0.64%) (0.52%) 0.62%
Conseco Equity Fund
------------------------------------------------
2003 2002 2001 2000 1999 1998
------------------------------------------------
CLASS Y SHARES
Net asset value per share,
beginning of period . . . . . . . . . . $7.87 $9.09 $10.16 $16.47 $12.67 $11.13
Income from investment operations (a):
Net investment income (loss) . . . . . . . 0.01 0.04 0.03 (0.05) (0.03) 0.05
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . . 1.19 (1.25) (1.09) 0.42 7.24 1.83
Total income (loss) from
investment operations. . . . . . . . . 1.20 (1.21) (1.06) 0.37 7.21 1.88
Distributions:
Dividends from net investment income . . . -- (0.01) (0.01) -- -- (0.04)
Distributions of net realized gains . . . -- -- (0.00)(c)(6.68) (3.41) (0.30)
Total distributions . . . . . . . . . . . -- (0.01) (0.01) (6.68) (3.41) (0.34)
Net asset value per share, end of period . $9.07 $7.87 $9.09 $10.16 $16.47 $12.67
Total return (b)(c)(d) . . . . . . . . . . 15.25% (13.33%) (10.38%) 5.51% 57.13% 16.82%
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . .$64,601 $62,544 $87,671 $106,512 $110,008 $60,816
Ratio of expenses to average net assets
(b)(e):
Before expense reimbursement . . . . . . . 1.16% 1.09% 1.10% 0.97% 1.16% 1.42%
After expense reimbursement . . . . . . . 1.00% 1.00% 1.00% 0.97% 1.00% 1.00%
Ratio of net investment income (loss) to
average net assets (b)(e) . . . . . . . . 0.34% 0.41% 0.42% (0.30%) (0.33%) 0.40%
Conseco Large-Cap Fund
-------------------------------
2003 2002 2001 2000 (f)
-------------------------------
CLASS Y SHARES
Net asset value per share,
beginning of period . . . . . . . . . . $4.83 $6.65 $8.45 $10.00
Income from investment operations (a):
Net investment income (loss) . . . . . . -- (0.04) (0.01) --
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments . . . . . . . . . . . . . 0.60 (1.78) (1.79) (1.55)
Total income (loss) from
investment operations. . . . . . . . . 0.60 (1.82) (1.80) (1.55)
Distributions:
Dividends from net investment income . . -- -- -- --
Distributions of net realized gains . . . -- -- -- --
Total distributions . . . . . . . . . . . -- -- -- --
Net asset value per share, end of period $5.43 $4.83 $6.65 $8.45
Total return (b)(c)(d) . . . . . . . . . 12.42% (27.37%) (21.30%) (15.50%)
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period . . . . . . . . . . . . . . $446 $606 $2,064 $1,268
Ratio of expenses to average net assets
(b)(e):
Before expense reimbursement . . . . . . 2.83% 1.60% 1.46% 1.56%
After expense reimbursement . . . . . . . 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income (loss) to
average net assets (b)(e) . . . . . . . . 0.11% (0.14%) (0.30%) 0.34%
(a) Per share amounts presented are based on an average of monthly shares
outstanding for the periods ended December 31, 2000 and 1998. Per share
amounts for Conseco Convertible Securities Fund only are presented based on
an average of monthly shares outstanding for the year ended December 31,
2001. Per share amounts for Conseco Large Cap, Balanced and Fixed Income
Funds only are presented based on an average of monthly shares outstanding
for the year ended December 31, 2002.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, 1.25% for the Conseco Science & Technology and
Conseco 20, 1.00 % for the Conseco Equity, Conseco Large-Cap and Conseco
Balanced 1.05% for the Conseco Convertible Securities, 0.90% for the
Conseco High Yield and 0.60% for the Conseco Fixed Income Funds. These
contractual limits may be discontinued at any time after April 30, 2004.
(c) Amount calculated is less than $0.005 per share.
(d) Not annualized for periods of less than one full year.
CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
Conseco Balanced Fund
- ---------------------------------------------------------
2003 2002 2001 2000 1999 1998
- ---------------------------------------------------------
$8.68 $10.22 $11.17 $13.59 $11.75 $10.78
0.14 0.28 0.31 0.34 0.24 0.32
0.90 (1.50) (0.96) 0.66 3.24 1.06
1.04 (1.22) (0.65) 1.00 3.48 1.38
(0.15) (0.32) (0.30) (0.32) (0.29) (0.28)
-- -- -- (3.10) (1.35) (0.13)
(0.15) (0.32) (0.30) (3.42) (1.64) (0.41)
$9.57 $8.68 $10.22 $11.17 $13.59 $11.75
12.13% (12.06%) (5.83%) 7.82% 30.07% 12.90%
$8,476 $8,609 $16,912 $15,784 $9,186 $4,138
1.34% 1.18% 1.18% 1.24% 1.46% 2.19%
1.00% 1.00% 1.00% 1.00% 1.00% 1.00%
3.09% 3.12% 2.93% 2.42% 2.37% 2.67%
Conseco Convertible Securities Fund
-----------------------------------------------------------
2003 2002 2001 2000 1999 1998(h)
-----------------------------------------------------------
$8.64 $9.62 $11.81 $14.94 $11.00 $10.00
0.19 0.36 0.35 0.51 0.04 0.11
1.20 (1.01) (1.64) (1.08) 4.38 1.00
1.39 (0.65) (1.29) (0.57) 4.42 1.11
(0.24) (0.33) (0.41) (0.44) (0.33) (0.11)
-- -- (0.49) (2.12) (0.15) --
(0.24) (0.33) (0.90) (2.56) (0.48) (0.11)
$9.79 $8.64 $9.62 $11.81 $14.94 $11.00
16.24% (6.70%) (10.87%) (3.04%) 40.91% 11.17%
$6,065 $3,338 $5,475 $9,787 $30,357 $1
1.47% 1.48% 1.40% 1.20% 1.45% 149.31%
1.05% 1.05% 1.05% 1.05% 1.05% 1.05%
4.67% 4.00% 3.65% 2.99% 2.61% 3.87%
Conseco High Yield Fund
- ----------------------------------------------------------
2003 2002 2001 2000 1999 1998 (i)
- ----------------------------------------------------------
$7.13 $7.79 $8.24 $10.03 $10.02 $10.49
0.33 0.84 0.82 0.90 0.45 0.62
1.00 (0.68) (0.41) (1.86) 0.48 (0.48)
1.33 0.16 0.41 (0.96) 0.93 0.14
(0.33) (0.82) (0.86) (0.83) (0.92) (0.61)
-- -- -- -- -- --
(0.33) (0.82) (0.86) (0.83) (0.92) (0.61)
$8.13 $7.13 $7.79 $8.24 $10.03 $10.02
19.01% 2.64% 5.15% (10.14%) 9.64% 1.36%
$29,524 $9,648 $11,913 $7,388 $24,021 $1,237
1.09% 1.11% 1.11% 1.08% 1.16% 3.24%
0.90% 0.90% 0.90% 0.90% 0.90% 0.90%
8.67% 11.36% 10.45% 8.93% 9.43% 7.66%
Conseco Fixed Income Fund
-----------------------------------------------------------
2003 2002 2001 2000 1999 1998
-----------------------------------------------------------
$10.10 $10.17 $9.98 $9.64 $10.25 $10.15
0.30 0.61 0.61 0.69 0.58 0.65
0.50 (0.04) 0.28 0.32 (0.54) 0.17
0.80 0.57 0.89 1.01 0.04 0.82
(0.30) (0.64) (0.60) (0.67) (0.62) (0.60)
-- -- (0.10) -- (0.03) (0.12)
(0.30) (0.64) (0.70) (0.67) (0.65) (0.72)
$10.60 $10.10 $10.17 $9.98 $9.64 $10.25
8.05% 5.75% 9.20% 10.96% 0.38% 8.32%
$26,775 $30,711 $48,376 $27,189 $27,044 $14,403
0.90% 0.82% 0.80% 0.79% 0.99% 1.46%
0.60% 0.60% 0.60% 0.60% 0.60% 0.60%
5.70% 6.23% 5.98% 7.07% 6.34% 6.26%
(e) Annualized for periods of less than one full year.
(f) Period from July 1, 2000 (commencement of operations) through December 31,
2000.
(g) Period from April 6, 1998 (commencement of operations) through December 31,
1998.
(h) Period from September 28, 1998 (commencement of operations) through
December 31, 1998.
(i) Period from March 2, 1998 (commencement of operations) through December 31,
1998.
Financial Highlights
- --------------------------------------------------------------------------------
For the six months ended June 30, 2003 (unaudited) and the year or period ended
December 31 Supplemental data for all classes:
Conseco
Science & Conseco Conseco
Technology Conseco 20 Equity Large-Cap
Fund Fund Fund Fund
---- ---- ---- ----
Net Assets (dollars in thousands):
2003 . . . . . . . . . . . . $3,538 $49,714 $106,190 $4,846
2002 . . . . . . . . . . . . 5,871 48,321 102,118 5,512
2001 . . . . . . . . . . . . 24,188 130,603 144,068 21,746
2000 . . . . . . . . . . . . 31,913 217,156 155,135 30,614
1999 . . . . . . . . . . . . n/a 217,595 145,950 n/a
1998 . . . . . . . . . . . . n/a 44,269 89,270 n/a
Portfolio turnover rate (c)
2003 . . . . . . . . . . . . 25% 3% 55% 27%
2002 . . . . . . . . . . . . 41% 9% 108% 78%
2001 . . . . . . . . . . . . 39% 8% 120% 85%
2000 . . . . . . . . . . . . 263%(a) 449% 440% 190%
1999 . . . . . . . . . . . . n/a 280% 364% n/a
1998 . . . . . . . . . . . . n/a 412% 350% n/a
Conseco Conseco
Conseco Convertible Conseco High Fixed
Balanced Fund Securities Fund Yield Fund Income Fund
------------- --------------- ---------- -----------
Net Assets
(dollars in thousands):
2003 . . . . . . . $33,309 $22,734 $142,106 $99,701
2002 . . . . . . . $38,185 $19,116 $105,899 $116,971
2001 . . . . . . . 88,939 35,278 114,013 209,711
2000 . . . . . . . 62,539 67,601 87,040 74,393
1999 . . . . . . . 46,236 71,081 132,588 65,610
1998 . . . . . . . 32,700 27,614 44,392 48,245
Portfolio
turnover rate (c)
2003 . . . . . . . 56% 101% 56% 143%
2002 . . . . . . . 183% 185% 229% 438%
2001 . . . . . . . 226% 280% 197% 744%
2000 . . . . . . . 386% 187% 256% 342%
1999 . . . . . . . 321% 115% 312% 361%
1998 . . . . . . . 341% 13%(b) 432% 421%
(a) Period from July 1, 2000 (commencement of operations) through December 31,
2000 for the Conseco Science & Technology Fund and the Conseco Large-Cap
Fund.
(b) Period from September 28, 1998 (commencement of operations) through
December 31, 1998 for the Conseco Convertible Securities Fund.
(c) Not annualized for periods of less than one full year.
Board of Trustees CONSECO FUND GROUP
- --------------------------------------------------------------------------------
2003 Mid-Year Report
Name, (Age) Position Held Principal Occupation(s)
Address With Trust During Past 5 Years
- ---------------------------------------------------------------------------------------------------------
William P. Daves, Jr. (77) Chairman of the Board, Trustee Consultant to insurance and healthcare
11825 N. Pennsylvania St. Since December 1996 industries. Director, Chairman and Chief
Carmel, IN 46032 Executive Officer, FFG Insurance Co.
Chairman of the Board and Trustee
of other mutual funds managed by the Adviser.
Maxwell E. Bublitz* (47) President and Trustee Chartered Financial Analyst. CEO, President
11825 N. Pennsylvania St. Since December 1996 and Director, Adviser. Senior Vice President,
Carmel, IN 46032 Investments of Conseco, Inc. President and
Trustee of other mutual funds managed by
the Adviser.
Gregory J. Hahn* (42) Vice President for Investments Chartered Financial Analyst. Senior Vice
11825 N. Pennsylvania St. and Trustee President, Adviser. Portfolio Manager of the
Carmel, IN 46032 Since December 1996 fixed income portion of Balanced and Fixed
Income Funds. Trustee and portfolio manager
of other mutual funds managed by the Adviser.
Harold W. Hartley (79) Trustee Chartered Financial Analyst. Director, Ennis
11825 N. Pennsylvania St. Since December 1996 Bussines Forms Inc. Retired, Executive Vice
Carmel, IN 46032 President, Tenneco Financial Services, Inc.
Trustee of other mutual funds managed by
the Adviser.
Dr. R. Jan LeCroy (71) Trustee Director, Southwest Securities Group, Inc.
11825 N. Pennsylvania St. Since December 1996 Retired, President, Dallas Citizens Council.
Carmel, IN 46032 Trustee of other mutual funds managed by
the Adviser.
Dr. Jess H. Parrish (75) Trustee Higher Education Consultant. Former President,
11825 N. Pennsylvania St. Since December 1996 Midland College Trustee of other mutual
Carmel, IN 46032 funds managed by the Adviser.
David N. Walthall (57) Trustee Principal, Walthall Asset Management. Former
11825 N. Pennsylvania St. Since October 1998 President, Chief Executive Officer and
Carmel, IN 46032 Director of Lyrick Corporation. Formerly,
President and CEO, Heritage Media Corporation.
Formerly, Director, Eagle National Bank.
Trustee of other mutual funds managed
by the Adviser.
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* The Trustee so indicated is an "interested person," as defined in the 1940
Act, of the Trust due to the positions indicated with the Adviser and its
affiliates.
All Trustees will serve until their successors are duly elected and
qualified.
All Trustees oversee the 17 portfolios that make up the Conseco fund
complex including Conseco Fund Group, Conseco Series Trust, Conseco
Strategic Income Fund and Conseco StockCar Stocks Mutual Fund, Inc.
For More Information
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INVESTMENT ADVISER DISTRIBUTOR
Conseco Capital Management, Inc. Conseco Equity Sales, Inc.
Carmel, IN Carmel, IN
TRANSFER AGENT CUSTODIAN
US Bancorp Fund Services, LLC The Bank of New York
Milwaukee, WI New York, NY
INDEPENDENT AUDITORS LEGAL COUNSEL
PricewaterhouseCoopers LLP Kirkpatrick & Lockhart LLP
Indianapolis, IN Washington, DC
INVESTMENT SUB-ADVISERS
Oak Associates, ltd.
Akron, OH
Chicago Equity Partners, LLC
Chicago, IL
Conseco Science & Technology Fund CSTAX
Conseco 20 Fund CTWAX
Conseco Equity Fund CEYAX
Conseco Large-Cap Fund CELAX
Conseco Balanced Fund COAAX
Conseco Convertible Securities Fund CCSAX
Conseco High Yield Fund CHYAX
Conseco Fixed Income Fund COFAX
The NASDAQ symbols are for Class A shares.
CONSECO FUND GROUP
distributed by
CONSECO EQUITY SALES, INC.
11815 N. Pennsylvania Street, Carmel, IN 46032
Item 2. Code of Ethics.
Not applicable to annual reports filed for periods ending before July 15, 2003.
Item 3. Audit Committee Financial Expert.
Not applicable to annual reports filed for periods ending before July 15, 2003.
Item 4. Principal Accountant Fees and Services.
Not required for annual reports filed for periods ending before December 15,
2003.
Item 5. Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6. [Reserved]
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. [Reserved]
Item 9. Controls and Procedures.
(a) Based on their evaluation of the Registrant's Disclosure Controls and
Procedures as of a date within 90 days of the Filing Date, the Registrant's
President and Treasurer/CFO have determined that the Disclosure Controls
and Procedures (as defined in Rule 30a-2(c) under the Act) are designed to
ensure that information required to be disclosed by the Registrant is
recorded, processed, summarized and reported by the filing Date, and that
information required to be disclosed in the report is communicated to the
Registrant's management, as appropriate, to allow timely decisions
regarding required disclosure.
(b) There were no significant changes in the Registrant's internal controls or
in other factors that could significantly affect these controls subsequent
to the date of their evaluation, and there were no corrective actions with
regard to significant deficiencies and material weaknesses.
Item 10. Exhibits.
(a) Any code of ethics or amendment thereto. Not applicable to annual reports
for periods ending before July 15, 2003.
(b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
Filed herewith.
(c) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Conseco Fund Group
By (Signature and Title) /s/ Maxwell E. Bublitz
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Maxwell E. Bublitz, President
Date September 4, 2003
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Maxwell E. Bublitz
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Maxwell E. Bublitz, President
Date: September 4, 2003
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By (Signature and Title) /s/ Audrey L. Bruch
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Audrey L. Bruch, Treasurer
Date: September 4, 2003
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