<PAGE>
[LETTERHEAD]
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees of PPM America Funds
In our opinion, the accompanying statement of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the PPM America Value Equity Fund
and the PPM America Small Cap Value Equity Fund, two of the portfolios
constituting the PPM America Funds (the "Trust") at December 31, 1998, and the
results of each of their operations and the changes in each of their net assets
and the financial highlights for the period from inception to December 31, 1998,
in conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1998 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Chicago, Illinois
January 22, 1999
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA
VALUE SMALL CAP
EQUITY FUND VALUE EQUITY FUND
- ---------------------------------------------------------------------------------------------------------------------------------
ASSETS:
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investments in securities, at cost ......................................................... $ 5,207,976 $11,296,190
----------- -----------
----------- -----------
Investments in securities, at value ........................................................ $ 5,266,109 $11,673,740
Cash ....................................................................................... -- --
Receivables:
Dividends and interest ............................................................ 2,019 1,756
Reimbursement from Adviser ........................................................ 4,959 4,745
----------- -----------
TOTAL ASSETS ............................................................................... 5,273,087 11,680,241
----------- -----------
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS:
- ---------------------------------------------------------------------------------------------------------------------------------
Payables:
Investment advisory fees .......................................................... 897 1,976
Investment securities purchased ................................................... 103,538 1,287,161
Other liabilities ................................................................. 5,184 5,185
----------- -----------
TOTAL LIABILITIES .......................................................................... 109,619 1,294,322
----------- -----------
NET ASSETS ................................................................................. $ 5,163,468 $10,385,919
----------- -----------
----------- -----------
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
- ---------------------------------------------------------------------------------------------------------------------------------
Paid-in capital ............................................................................ $ 5,105,335 $10,008,369
Undistributed net investment income ........................................................ -- --
Accumulated net realized gain on investments ............................................... -- --
Net unrealized appreciation on investments ................................................. 58,133 377,550
----------- -----------
NET ASSETS ................................................................................. $ 5,163,468 $10,385,919
----------- -----------
----------- -----------
TOTAL SHARES OUTSTANDING, NO PAR VALUE, UNLIMITED SHARES AUTHORIZED ........................ 1,021,054 2,001,613
----------- -----------
----------- -----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ................................... $ 5.06 $ 5.19
----------- -----------
----------- -----------
</TABLE>
See notes to the financial statements.
2
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD FROM DECEMBER 23, 1998
(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 1998
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA
VALUE SMALL CAP
EQUITY FUND VALUE EQUITY FUND
- -----------------------------------------------------------------------------------------
INVESTMENT INCOME:
- -----------------------------------------------------------------------------------------
<S> <C> <C>
Dividends ................................. $ 1,925 $ 1,744
Interest .................................. 4,532 9,041
--------------- ---------------
TOTAL INVESTMENT INCOME ............................ 6,457 10,785
--------------- ---------------
EXPENSES
Investment advisory fees .................. 897 1,976
Custodian fees ............................ 359 317
Portfolio accounting fees ................. 637 680
Professional fees ......................... 3,750 3,750
Transfer agent fees ....................... 438 438
--------------- ---------------
TOTAL OPERATING EXPENSES ........................... 6,081 7,161
Less:
Reimbursement from Adviser ................ 4,959 4,745
--------------- ---------------
NET EXPENSES ....................................... 1,122 2,416
--------------- ---------------
NET INVESTMENT INCOME .............................. 5,335 8,369
--------------- ---------------
- -----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS:
- -----------------------------------------------------------------------------------------
Net realized gain on investments ................... -- --
Net change in unrealized appreciation on investments 58,133 377,550
--------------- ---------------
NET REALIZED AND UNREALIZED GAINS .................. 58,133 377,550
--------------- ---------------
Net increase in net assets resulting from operations $ 63,468 $ 385,919
--------------- ---------------
--------------- ---------------
</TABLE>
See notes to the financial statements.
3
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD FROM DECEMBER 23, 1998
(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 1998
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA
VALUE SMALL CAP
EQUITY FUND VALUE EQUITY FUND
- --------------------------------------------------------------------------------------------------------
OPERATIONS:
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
Net investment income ....................................... $ 5,335 $ 8,369
Net realized gain on investments ............................ -- --
Net change in unrealized appreciation on investments ........ 58,133 377,550
------------ ------------
Net increase in net assets from operations .................. 63,468 385,919
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .................................. (5,335) (8,369)
From net realized gains on investment transactions .......... -- --
------------ ------------
Total distributions to shareholders ......................... (5,335) (8,369)
------------ ------------
SHARE TRANSACTIONS:
Proceeds from the sale of shares ............................ 5,100,000 10,000,000
Reinvestment of distributions ............................... 5,335 8,369
Cost of shares redeemed ..................................... -- --
------------ ------------
Net increase in net assets from share transactions .......... 5,105,335 10,008,369
------------ ------------
Net increase in net assets ........................................... 5,163,468 10,385,919
- --------------------------------------------------------------------------------------------------------
NET ASSETS:
- --------------------------------------------------------------------------------------------------------
Net assets beginning of period ....................................... -- --
------------ ------------
NET ASSETS END OF PERIOD ............................................. $ 5,163,468 $ 10,385,919
------------ ------------
------------ ------------
UNDISTRIBUTED NET INVESTMENT INCOME .................................. $ -- $ --
------------ ------------
------------ ------------
</TABLE>
See notes to the financial statements.
4
<PAGE>
PPM AMERICA FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA
VALUE SMALL CAP
EQUITY FUND VALUE EQUITY FUND
--------------------- ---------------------
PERIOD FROM PERIOD FROM
DECEMBER 23, 1998* TO DECEMBER 23, 1998* TO
DECEMBER 31, 1998 DECEMBER 31, 1998
--------------------- ---------------------
SELECTED PER SHARE DATA
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ......................... $ 5.00 $ 5.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................... 0.01 0.01
Net realized and unrealized gains on investments .... 0.06 0.19
---------- ----------
Total income from investment operations ............. 0.07 0.20
---------- ----------
LESS DISTRIBUTIONS:
From net investment income .......................... (0.01) (0.01)
From net realized gains on investment transactions .. -- --
---------- ----------
Total distributions ................................. (0.01) (0.01)
---------- ----------
Net increase ........................................ 0.06 0.19
---------- ----------
NET ASSET VALUE, END OF PERIOD ............................... $ 5.06 $ 5.19
---------- ----------
---------- ----------
TOTAL RETURN (a) ............................................. 1.24% 3.86%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands) ............ $ 5,163 $ 10,386
Ratio of net operating expenses to average
net assets (b) .................................... 1.00% 1.10%
Ratio of net investment income to average
net assets (b) .................................... 4.76% 3.81%
Portfolio turnover .................................. -- --
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets (b) ..... 5.42% 3.26%
Ratio of net investment income to average
net assets (b) ................................ 0.34% 1.65%
</TABLE>
- ---------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total return
is not annualized for the period ended December 31, 1998.
(b) Annualized for the period ended December 31, 1998.
See notes to the financial statements.
5
<PAGE>
- --------------------------------------------------------------------------------
PPM AMERICA FUNDS
NOTES TO THE FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
PPM America Funds (the "Trust") is an open-end management investment company
comprised of PPM America Value Equity Fund and PPM America Small Cap Value
Equity Fund, (collectively the "Funds"). The Trust is organized under the laws
of Massachusetts. The Trust is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions. Actual results could differ from those estimates.
SECURITY VALUATION -- Equity securities listed on a U.S. securities exchange
or NASDAQ National Market for which market quotations are available are valued
at the last quoted sale price on the day the valuation is made. Price
information on listed equity securities and listed U.S. equity securities not
traded on the valuation date or for which market quotations are not readily
available, and securities, the value of which have been materially affected by
events, occurring after the close of the market on which they principally trade,
are determined in good faith at a fair value using methods approved by the Board
of Trustees. Short-term securities maturing within 60 days are valued at
amortized cost, which approximates market value.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for as the date purchased or sold. Dividend income is recorded on the
ex-dividend date. Interest income is recorded on the accrual basis and includes
amortization of discounts and premiums. Gains and losses are determined on the
identified cost basis, which is the same basis used for federal income tax
purposes.
UNREGISTERED SECURITIES -- A Fund may own certain investment securities which
are unregistered and thus restricted to resale. These securities are valued by
the Funds after giving due consideration to pertinent factors including recent
private sales, market conditions and the issuer's financial performance. Where
future dispositions of the securities require registration under the Securities
Act of 1933, the Funds have the right to include their securities in such
registration generally without cost to the Funds. The Funds have no right to
require registration of unregistered securities. Unregistered and other
illiquid securities are limited to 15% of the net assets of a Fund.
REPURCHASE AGREEMENTS -- A Fund may invest in repurchase agreements. A
repurchase agreement involves the purchase of a security by a Fund and a
simultaneous agreement (generally by a bank or broker-dealer) to repurchase that
security back from the Fund at a specified price and date or upon demand.
Securities pledged as collateral for repurchase agreements are held by the
Funds' custodian bank until the maturity of the repurchase agreement.
Procedures for all repurchase agreements have been designed to assure that the
daily market value of the collateral is in excess of the repurchase agreement in
the event of default.
DISTRIBUTIONS TO SHAREHOLDERS -- The Funds normally declare and pay dividends
from net investment income annually, but may do so more frequently to avoid
excise tax. Distributions of net realized capital gains, if any, will be
distributed at least annually.
FEDERAL INCOME TAXES -- The Funds' policy is to comply with the requirements
of the Internal Revenue Code applicable to regulated investment companies and
to distribute income in amounts that will avoid federal income or excise taxes
for each Fund. A Fund may periodically make reclassifications among certain of
its capital accounts as a result of the recognition and characterization of
certain income and capital gain distributions determined annually in accordance
with federal tax regulations which may differ from generally accepted accounting
principles.
6
<PAGE>
- --------------------------------------------------------------------------------
PPM AMERICA FUNDS
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
Each Fund has an investment advisory agreement with PPM America, Inc. ("PPM
America"). As compensation for management services rendered, each Fund pays an
advisory fee, calculated daily and paid monthly, based on average daily net
assets, at the annual rate of 0.80% for the PPM America Value Equity Fund and
0.90% for the PPM America Small Cap Value Equity Fund.
Jackson National Financial Services, LLC ("JNFS"), an affiliate, provides
accounting and administrative services to the Funds. For its services, JNFS is
paid $27,000 per Fund per year plus 0.04% of the average daily net assets of
each Fund.
PPM America has voluntarily agreed to reimburse each of the Funds for total
annual operating expenses (excluding advisory fees) which exceed 0.20% of the
fund's average daily net assets. These voluntary reimbursements may be modified
or discontinued at any time.
Trustees and officers of the Trust who are affiliated persons receive no
compensation from the Trust. Trustees who are not interested persons of the
Trust, as defined in the 1940 Act, collectively received no compensation from
the Trust for the period ended December 31, 1998.
The Trust's distributor is National Planning Corporation, an affiliate.
Prudential Corporation plc, an affiliate of the advisor, owns substantially
all of the outstanding shares of the Trust.
NOTE 4. SECURITY TRANSACTIONS
During the period ended December 31, 1998, the cost of purchases and proceeds
from sales and maturities of securities, other than short-term investments, were
as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM SALES
PURCHASES AND MATURITIES
--------- -------------------
<S> <C> <C>
PPM America Value Equity Fund............... $ 5,097,680 $ --
PPM America Small Cap Value Equity Fund..... 9,966,650 --
</TABLE>
The federal income tax cost basis and gross unrealized appreciation and
depreciation on investments as of December 31, 1998 were as follows:
<TABLE>
<CAPTION>
TAX GROSS GROSS NET
COST UNREALIZED UNREALIZED UNREALIZED
BASIS APPRECIATION DEPRECIATION APPRECIATION
----- ------------ ------------ ------------
<S> <C> <C> <C> <C>
PPM America Value Equity Fund ......... $ 5,207,976 $ 94,650 $ (36,517) $ 58,133
PPM America Small Cap Value Equity Fund 11,296,190 386,882 (9,332) 377,550
</TABLE>
NOTE 5. FUND TRANSACTIONS
Transactions of fund shares for the period ended December 31, 1998 were as
follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
--------- ------------- -------- ---------
<S> <C> <C> <C> <C>
PPM America Value Equity Fund ............... 1,020,000 1,054 -- 1,021,054
PPM America Small Cap Value Equity Fund ..... 2,000,000 1,613 -- 2,001,613
</TABLE>
7
<PAGE>
PPM AMERICA VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1998
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS - 97.91%
AEROSPACE & DEFENSE - 3.79%
Lockheed Martin Corp. ..................................................... 1,200 $ 101,700
United Technologies Corp. ................................................. 900 97,875
----------
199,575
APPAREL - 4.41%
Jones Apparel Group Inc. (a) .............................................. 2,700 59,569
Liz Claiborne Inc. ........................................................ 2,200 69,438
V.F. Corp. ................................................................ 2,200 103,125
----------
232,132
AUTO MANUFACTURERS - 3.57%
Ford Motor Co. ............................................................ 1,500 88,031
General Motors Corp. ...................................................... 1,400 100,187
----------
188,218
AUTO PARTS & EQUIPMENT - 1.92%
TRW Inc. .................................................................. 1,800 101,138
BANKS - 6.79%
BankAmerica Corp. ......................................................... 1,700 102,212
Chase Manhattan Corp. ..................................................... 1,400 95,287
KeyCorp ................................................................... 3,300 105,600
Union Planters Corp. ...................................................... 1,200 54,375
----------
357,474
CHEMICALS - 3.79%
Dow Chemical Co. .......................................................... 1,100 100,031
Rohm & Haas Co. ........................................................... 3,300 99,413
----------
199,444
COMPUTERS - 3.05%
Adaptec Inc. (a) .......................................................... 3,900 68,494
International Business Machines Corp. ..................................... 500 92,375
----------
160,869
ELECTRIC - 3.91%
FirstEnergy Corp. ......................................................... 3,200 104,200
GPU Inc. .................................................................. 2,300 101,631
----------
205,831
ELECTRONICS - 2.18%
Parker-Hannifin Corp. ..................................................... 3,500 114,625
FOREST PRODUCTS & PAPER - 2.00%
Mead Corp. ................................................................ 3,600 105,525
HEALTH CARE - 2.26%
Columbia/HCA Healthcare Corp. ............................................. 4,800 118,800
INSURANCE - 9.31%
Aetna Inc. ................................................................ 1,000 78,625
American Financial Group Inc. ............................................. 1,400 61,425
American General Corp. .................................................... 900 70,200
CIGNA Corp. ............................................................... 1,300 100,506
Hartford Financial Services Group Inc. .................................... 1,800 98,775
Transamerica Corp. ........................................................ 700 80,850
----------
490,381
IRON & STEEL - 1.97%
Nucor Corp. ............................................................... 2,400 $ 103,800
LEISURE TIME - 2.49%
Brunswick Corp. ........................................................... 2,800 69,300
Hasbro Inc. ............................................................... 1,700 61,412
----------
130,712
METALS & MINING - 1.93%
Phelps Dodge Corp. ........................................................ 2,000 101,750
MANUFACTURING - 6.89%
Cooper Industries Inc. .................................................... 1,600 76,300
ITT Industries Inc. ....................................................... 2,000 79,500
PPG Industries Inc. ....................................................... 1,800 104,850
Tenneco Inc. .............................................................. 3,000 102,188
----------
362,838
OFFICE & BUSINESS EQUIPMENT - 2.02%
Harris Corp. .............................................................. 2,900 106,212
OIL & GAS PRODUCERS - 6.76%
Ashland Inc. .............................................................. 1,800 87,075
Chevron Corp. ............................................................. 900 74,644
Occidental Petroleum Corp. ................................................ 6,200 104,625
Phillips Petroleum Co. .................................................... 2,100 89,513
----------
355,857
RETAIL - 6.39%
Federated Department Stores Inc. (a) ...................................... 2,600 113,263
Kmart Corp. (a) ........................................................... 7,900 120,969
Sears, Roebuck and Co. .................................................... 2,400 102,000
----------
336,232
SAVINGS & LOANS - 4.30%
Charter One Financial Inc. ................................................ 3,900 108,225
Washington Mutual Inc. .................................................... 3,100 118,381
----------
226,606
TELEPHONE - 10.52%
AT&T Corp. ................................................................ 1,000 75,250
Bell Atlantic Corp. ....................................................... 1,700 96,581
GTE Corp. ................................................................. 1,500 101,156
SBC Communications Inc. ................................................... 1,900 101,888
Sprint Corp. .............................................................. 900 75,713
US West Inc. .............................................................. 1,600 103,400
----------
553,988
TOBACCO - 3.90%
Philip Morris Cos. Inc. ................................................... 1,900 101,650
RJR Nabisco Holdings Corp. ................................................ 3,500 103,906
----------
205,556
See notes to the financial statements.
8
<PAGE>
PPM AMERICA VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<CAPTION>
MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION - 3.76%
Burlington Northern Santa Fe Corp. ........................................ 2,800 $ 94,500
CSX Corp. ................................................................. 2,500 103,750
----------
198,250
----------
Total Common Stocks
(cost $5,097,680) ................................................... 5,155,813
----------
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
SHORT TERM INVESTMENTS - 2.09%
DIVERSIFIED FINANCIAL SERVICES - 1.90%
Household Finance Corp., 5.10%, 01/04/1999 ................................ $ 100,000 99,958
MONEY MARKET FUND - 0.19%
Dreyfus Treasury Cash Management
Fund, 5.01% (b) ........................................................ 10,338 10,338
----------
Total Short Term Investments
(cost $110,296) ..................................................... 110,296
----------
TOTAL INVESTMENTS - 100%
(cost $5,207,976) ......................................................... $5,266,109
----------
----------
</TABLE>
_________________________________________________________________
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1998.
See notes to the financial statements.
9
<PAGE>
PPM AMERICA SMALL CAP VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1998
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS - 88.61%
AEROSPACE & DEFENSE - 5.09%
Alliant Techsystems Inc. (a) .............................................. 3,000 $ 247,312
Gencorp Inc. .............................................................. 13,900 346,631
-----------
593,943
APPAREL - 3.86%
Columbia Sportswear Co. (a) ............................................... 15,400 259,875
Garan Inc. ................................................................ 6,800 191,250
-----------
451,125
AUTO PARTS & EQUIPMENT - 2.74%
Superior Industries International, Inc. ................................... 11,500 319,844
BANKS - 6.69%
CCB Financial Corp. ....................................................... 3,600 205,200
GBC Bancorp ............................................................... 12,400 319,300
Peoples Heritage Financial Group .......................................... 12,800 256,000
-----------
780,500
CHEMICALS - 2.16%
Ferro Corp. ............................................................... 9,700 252,200
COMMERICAL SERVICES - 2.50%
Franklin Covey Co. (a) .................................................... 17,400 291,450
COMPUTERS - 5.24%
Adaptec Inc. (a) .......................................................... 14,300 251,144
Banctec Inc. (a) .......................................................... 28,700 360,544
-----------
611,688
ELECTRIC - 3.37%
Black Hills Corp. ......................................................... 7,000 184,625
Sierra Pacific Resources .................................................. 5,500 209,000
-----------
393,625
ELECTRICAL COMPONENTS &
EQUIPMENT - 3.39%
Tecumseh Products Co. ..................................................... 8,500 396,313
ELECTRONICS - 2.67%
Flowserve Corp. ........................................................... 18,800 311,375
HAND & MACHINE TOOLS - 2.99%
Kennametal Inc. ........................................................... 16,400 348,500
HOME BUILDERS - 1.85%
Champion Enterprises Inc. (a) ............................................. 7,900 216,262
HOUSEWARES - 3.99%
Mikasa Inc. ............................................................... 13,100 167,025
National Presto Industries Inc. ........................................... 7,000 298,375
-----------
465,400
Insurance - 7.33%
American Financial Group Inc. ............................................. 8,700 $ 381,713
Fremont General Corp. ..................................................... 12,800 316,800
Reliastar Financial Corp. ................................................. 3,400 156,825
-----------
855,338
IRON & STEEL - 6.32%
AK Steel Holding Corp. .................................................... 15,600 366,600
Cleveland-Cliffs Inc. ..................................................... 9,200 370,875
-----------
737,475
LEISURE TIME - 2.78%
Brunswick Corp. ........................................................... 13,100 324,225
MACHINERY - 3.09%
Esterline Technologies Corp. (a) .......................................... 16,600 361,050
MEDIA - 4.85%
Central Newspapers Inc. ................................................... 3,600 257,175
King World Productions Inc. (a) ........................................... 10,500 309,094
-----------
566,269
MANUFACTURING - 2.83%
Lancaster Colony Corp. .................................................... 10,300 330,887
OIL & GAS PRODUCERS - 6.72%
Peoples Energy Corp. ...................................................... 5,100 203,362
Ultramar Diamond Shamrock Corp. ........................................... 15,600 378,300
WD-40 Co. ................................................................. 7,100 203,238
-----------
784,900
RETAIL - 2.13%
Sbarro Inc. ............................................................... 9,500 248,781
SAVINGS & LOANS - 1.85%
Charter One Financial Inc. ................................................ 7,800 216,450
TRANSPORTATION - 1.77%
Frozen Food Express Industries, Inc. ...................................... 26,200 206,325
TRUCKING & LEASING - 2.40%
Gatx Corp. ................................................................ 7,400 280,275
-----------
Total Common Stocks
(cost $9,966,650) ................................................... 10,344,200
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
SHORT TERM INVESTMENTS - 11.39%
DIVERSIFIED FINANCIAL SERVICES - 10.27%
American Express Credit Corp., 4.85%,
01/04/1999 ............................................................. $ 400,000 399,838
Household Finance Corp., 5.10%,
01/04/1999 ............................................................. 400,000 399,830
USAA Capital Corp., 5.15%, 01/04/1999 ..................................... 400,000 399,828
-----------
1,199,496
See notes to the financial statements.
10
<PAGE>
PPM AMERICA SMALL CAP VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------- ---------------
<S> <C> <C>
SHORT TERM INVESTMENTS (CONTINUED)
FOOD - 0.86%
Sara Lee Corp., 5.00%, 01/04/1999 .......................................... $ 100,000 $ 99,959
MONEY MARKET FUND - 0.26%
Dreyfus Treasury Cash Management
Fund, 5.01% (b) .......................................................... 30,085 30,085
-----------
Total Short Term Investments
(cost $1,329,540) .................................................... 1,329,540
-----------
TOTAL INVESTMENTS - 100%
(cost $11,296,190) ................................................................ $11,673,740
-----------
-----------
</TABLE>
- --------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1998.
See notes to the financial statements.
11
