<PAGE> 1
[L O G O]
July 1, 1996
Dear Shareholder:
We are pleased to present you with the fourth annual report on the
financial results of the Performance Family of Funds, for the fiscal year ended
May 31, 1996. The Performance Funds are comprised of Money Market Fund, Short
Term Government Income Fund, Intermediate Term Government Income Fund, Equity
Fund, and Mid Cap Growth Fund and are managed by Trustmark National Bank which
was founded in 1890.
ECONOMIC OVERVIEW
The Funds' fiscal year of May 31, 1996 ended with the U.S. economy showing
renewed strength as stronger than anticipated economic reports revealed an
economy on solid ground. Just six months ago it appeared the five year economic
expansion had run its course as the government shut down. The budget impasse,
the GM strike, and the weather weighed heavily on the economy. In January even
the Federal Reserve viewed the economy in a slow growth mode by issuing the
third rate cut in seven months (0.25% on both the Fed Funds Rate (to 5.25%) and
the Discount Rate (to 5.00%)). However, February's employment number (initially
705,000 new jobs later revised downward to 624,000) along with subsequent
economic reports revealed a vibrant economy.
Over the past twelve months inflation remained tame as the Producer Price
Index remained virtually unchanged (2.2% to 2.3%) while the Consumer Price Index
actually decreased from 3.2% to 2.9%. The Federal Reserve has done an admirable
job of keeping the economy on an even keel, evidenced by Alan Greenspan's recent
reappointment as Fed Chairman.
The current business expansion is now into its sixth year, making it one of
the longest in history. While first quarter 1996 GDP was approximately 2.2%, the
subsequent rise in interest rates should temper economic growth for the second
half of this year. Like last year, we anticipate economic growth to be around 3%
to 3 1/2% with mild inflationary pressures.
I'd like to take this opportunity, at the conclusion of this fourth year of
operations, to thank you for your continued support of the Performance Funds. We
welcome your questions and look forward to serving your investment needs in the
months and years to come.
Sincerely,
/s/ JOHN J. PILEGGI
John J. Pileggi
Chairman of the Board
<PAGE> 2
PORTFOLIO MANAGER'S REPORT
PERFORMANCE MONEY MARKET FUND
The Performance Money Market Fund provided investors with a total return of
5.60% for the Institutional Class and 5.33% for the Consumer Service Class for
the fiscal year ended May 31, 1996. The objective of the Fund is to provide
investors with a high level of income as is consistent with the preservation of
capital and liquidity. The Fund invests in high-quality, short-term money market
instruments such as repurchase agreements, commercial paper, bankers'
acceptances, U.S. Treasury Securities and U.S. Government Agency discount notes.
While the Fund is required to maintain a dollar-weighted average maturity
of 90 days or less, during the fiscal year the Fund actually maintained an
average maturity between 33 and 52 days. Even though the Federal Reserve lowered
the Fed Funds Rate from 6.00% to 5.25% and the Discount Rate from 5.25% to 5.00%
during this period, the Fund's short-weighted average maturity proved
advantageous as interest rates began to rise in early 1996.
Looking ahead, the Fund anticipates continuing its strategy to capture
incremental yield for its shareholders through its posturing in high quality
commercial paper and discount agencies.
Signed,
[Signature]
Kelly Collins
Government Securities Trader
Trustmark National Bank
PERFORMANCE SHORT TERM GOVERNMENT INCOME FUND
For the fiscal year ended May 31, 1996, the Performance Short Term
Government Income Fund returned 4.65% for the Institutional Class shareholders
and 4.38% for the Consumer Service Class shareholders.
The objective for the Fund is to provide investors with a high level of
current income as is consistent with limiting the risk of potential loss of
capital. The Fund pursues this objective by investing primarily (at least 65% of
total assets) in short-term government income securities and maintaining a
dollar weighted average portfolio maturity of less than three years.
During the fiscal year ended May 31, 1996, the Fund maintained a neutral to
slightly defensive posture relative to the Lehman 1-3 Year Government Index, a
widely accepted unmanaged index comprised solely of U.S. Treasury and Agency
securities with maturities between 1 and 3 years. Year-over-year short-term
interest rates actually rose as inflation fears crept back into the market,
particularly after the strong employment data released in February 1996. After
bottoming at 4.79% and 5.13% in early February, the 2 and 5 year Treasury Notes,
respectively, closed the Fund's year at 6.24% and 6.63%.
Looking ahead, the Fund anticipates maintaining a duration in line with the
Lehman 1-3 Year Government Index while enhancing shareholder yield.
Signed,
[Signature]
Jonathan Rogers
Assistant Vice President
Trustmark National Bank
<PAGE> 3
PERFORMANCE INTERMEDIATE TERM GOVERNMENT INCOME FUND
For the fiscal year ended May 31, 1996 the Performance Intermediate Term
Government Income Fund returned 2.66% for the Institutional Class shareholders
and 2.40% for the Consumer Service Class shareholders. The Fund's objective is
to provide investors with a high level of current income with total return a
secondary consideration. The Fund pursues this objective by investing primarily
(at least 65% of total assets) in intermediate-term government income
securities.
The past twelve months in the fixed income market were, once again, a
volatile period. Initial bullishness in the bond market from the middle to the
end of 1995 gave way to bearish sentiment for the first five months of 1996.
After troughing at 5.95% in December, the 30-Year Treasury Bond yielded 6.99% on
May 31. Strong employment data, buoyed by other signs of economic strength,
fueled investors' inflation fears. While year-over-year inflation numbers for
both the Producer Price Index (2.3%) and the Consumer Price Index (2.9%) were
encouraging, investors were more focused on forward looking economic indicators.
The Fund continues to be managed keeping a long-term perspective. For
instance, the Fund extended corporate maturities (while remaining sector
weighted) in the middle of 1995 as long-term yields began to fall, and recently
increased its concentration in the U.S. Government Agencies versus U.S.
Treasuries as more attractive yield spreads became available. By investing in
longer-term maturities the Fund naturally experiences greater fluctuation in
share price.
Looking ahead, the Federal Reserve's resolve to contain inflation will be
challenged. While inflation may trend slightly upward in the coming months, the
Fed has proven its willingness to fine-tune the level of interest rates as
economic conditions warrant action.
Signed,
[Signature]
Robert H. Spaulding
Vice President & Trust Investment
Officer
Trustmark National Bank
<PAGE> 4
PERFORMANCE EQUITY FUND
For the fiscal year ended May 31, 1996 the Performance Equity Fund enjoyed
another good year returning 28.73% for the Institutional Class shareholders and
28.42% for the Consumer Service Class shareholders. This compares favorably to
the Standard & Poor's 500 Index, which returned 28.40% over the same period of
time.
Again this year some of our Technology holdings contributed strongly, with
Computer Associates up 67%, Hewlett Packard up 83% and Andrew Corp. up 67%.
Other outperforming areas were Health Care (Lilly and Pfizer), Consumer Issues
(Coca-Cola, Sears, Gillette), and Financials (Citicorp, BankAmerica, Travelers).
The sector weightings of the Fund roughly match those of the S&P 500 Index.
The Fund's objective is to provide long-term capital appreciation and provide
current income. To meet these goals, the Fund invests in the stocks of sound
companies with strong earnings prospects and favorable valuations.
Our efforts and resources continue to be directed at security selection and
not at market timing.
TEN LARGEST EQUITY HOLDINGS
<TABLE>
<S> <C>
1. General Electric Company 6. Merck & Company
2. Coca-Cola Company 7. Royal Dutch Petroleum Company
3. Exxon Corporation 8. Mobil Corporation
4. AT&T Corporation 9. Southern Company
5. Schering Plough Corporation 10. Procter & Gamble Company
</TABLE>
Signed,
[Signature]
Charles H. Windham, Jr.
Vice President
Trustmark National Bank
PERFORMANCE MID CAP GROWTH FUND
The Performance Mid Cap Growth Fund invests in common stocks of companies
included in the Standard & Poor's MidCap 400 Index. The Fund is a broadly
diversified portfolio with holdings in each major sector of the MidCap Index.
Candidates for purchase will generally feature positive earnings prospects and
favorable valuations.
For the twelve months ended May 31, 1996 the Mid Cap Growth Fund returned
33.06% for the Institutional Class shareholders, and 32.76% for the Consumer
Service Class shareholders. This compares favorably to the S&P MidCap 400 Index,
which returned 28.48% over the same time period. The index was in a strong
uptrend through the summer of 1995 before pausing to consolidate. The MidCap
market then traded in a narrow range until it resumed its climb in early 1996.
The market finished the period solidly higher.
The Fund's performance was favorably impacted by holdings in the
Technology, Leisure, and Retail sectors. Cadence Design, Dell Computer, and
Parametric Technology were among the Technology winners. In the Leisure area,
both Harley Davidson and Mirage Resorts did well, as did retailer Waban, Inc.
Several Technology positions penalized the Fund's overall results. Holdings
of American Power Conversion, Cirrus Logic, and Cypress Semiconductor
underperformed the MidCap Index for the period.
Going forward, we expect that the long-term returns provided by stocks of
middle capitalization companies will be quite satisfactory.
TEN LARGEST EQUITY HOLDINGS
<TABLE>
<S> <C>
1. Dell Computer Corporation 6. Stryker Corp.
2. Cadence Design System, Inc. 7. IBP, Inc.
3. Quantum Corporation 8. Leggett & Platt, Inc.
4. Dollar General Corporation 9. Smith International
5. Reynolds & Reynolds Company 10. Bear Stearns Companies, Inc.
</TABLE>
Signed,
[Signature]
Douglas H. Ralston, CFA
Vice President
Trustmark National Bank
<PAGE> 5
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Portfolio of Investments
May 31, 1996
<TABLE>
<CAPTION>
YIELD TO
CREDIT MATURITY
PRINCIPAL RATINGS** ON DATE OF VALUE
AMOUNT (UNAUDITED) PURCHASE (NOTE 2A)
- ----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER -- 68.1%
Abbott Laboratories
$ 4,000,000 06/20/1996............................................ A-1+/P-1 5.35% $ 3,988,917
Albertson's, Inc.
3,500,000 06/18/1996............................................ A-1/P-1 5.37 3,491,290
3,982,000 07/03/1996............................................ A-1/P-1 5.40 3,963,240
10,000,000 07/10/1996............................................ A-1/P-1 5.39 9,942,800
American Greetings Corporation
6,000,000 06/11/1996............................................ A-1/P-1 5.39 5,991,183
4,350,000 06/18/1996............................................ A-1/P-1 5.38 4,339,154
2,000,000 06/25/1996............................................ A-1/P-1 5.40 1,992,933
6,000,000 06/26/1996............................................ A-1/P-1 5.35 5,978,083
Campbell Soup Company
6,000,000 06/21/1996............................................ A-1+/P-1 5.35 5,982,500
Coca-Cola Company
5,000,000 07/08/1996............................................ A-1+/P-1 5.38 4,972,970
du Pont (E.I.) De Nemours & Company
5,000,000 06/04/1996............................................ A-1+/P-1 5.42 4,997,792
3,000,000 06/19/1996............................................ A-1+/P-1 5.35 2,992,125
5,000,000 06/25/1996............................................ A-1+/P-1 5.42 4,982,500
5,000,000 07/09/1996............................................ A-1+/P-1 5.36 4,972,239
Ford Motor Credit Company
5,000,000 06/25/1996............................................ A-1/P-1 5.40 4,982,333
10,000,000 07/09/1996............................................ A-1/P-1 5.40 9,944,161
3,000,000 07/12/1996............................................ A-1/P-1 5.40 2,981,926
General Electric Company
15,000,000 06/03/1996............................................ A-1+/P-1 5.38 14,995,600
Hershey Foods Corporation
5,000,000 06/03/1996............................................ A-1+/P-1 5.35 4,998,542
8,000,000 06/21/1996............................................ A-1+/P-1 5.41 7,976,533
2,000,000 07/22/1996............................................ A-1+/P-1 5.37 1,985,125
Hewlett Packard Company
2,179,000 06/20/1996............................................ A-1+/P-1 5.18 2,173,215
1,695,000 06/28/1996............................................ A-1+/P-1 5.36 1,688,313
2,000,000 06/28/1996............................................ A-1+/P-1 5.35 1,992,125
Kimberly Clark Corporation
6,600,000 06/27/1996............................................ A-1+/P-1 5.39 6,574,832
McDonald's Corporation
12,325,000 06/05/1996............................................ A-1+/P-1 5.32 12,317,824
Minnesota Mining & Manufacturing Company
3,400,000 06/07/1996............................................ A-1+/P-1 5.37 3,397,014
10,000,000 06/10/1996............................................ A-1+/P-1 5.37 9,986,825
5,000,000 06/13/1996............................................ A-1+/P-1 5.38 4,991,217
</TABLE>
See Footnotes to Portfolios and accompanying notes to financial statements.
1
<PAGE> 6
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
YIELD TO
CREDIT MATURITY
PRINCIPAL RATINGS** ON DATE OF VALUE
AMOUNT (UNAUDITED) PURCHASE (NOTE 2A)
- ----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
Norwest Financial Corporation
$ 4,000,000 06/03/1996.......................................... A-1+/P-1 5.37% $ 3,998,827
5,000,000 06/07/1996.......................................... A-1+/P-1 5.15 4,995,825
4,000,000 06/21/1996.......................................... A-1+/P-1 5.36 3,988,311
5,000,000 06/24/1996.......................................... A-1+/P-1 5.40 4,983,101
PepsiCo, Inc.
3,000,000 06/13/1996.......................................... A-1/P-1 5.37 2,994,740
6,000,000 06/24/1996.......................................... A-1/P-1 5.34 5,979,875
3,761,000 06/28/1996.......................................... A-1/P-1 5.36 3,746,163
4,000,000 07/03/1996.......................................... A-1/P-1 5.34 3,981,369
Procter & Gamble Company
8,000,000 06/03/1996.......................................... A-1+/P-1 5.14 7,997,778
3,000,000 06/06/1996.......................................... A-1+/P-1 5.37 2,997,804
3,000,000 06/28/1996.......................................... A-1+/P-1 5.33 2,988,232
3,000,000 07/09/1996.......................................... A-1+/P-1 5.36 2,983,375
Sara Lee, Inc.
3,000,000 06/04/1996.......................................... A-1+/P-1 5.31 2,998,693
5,000,000 06/05/1996.......................................... A-1+/P-1 5.34 4,997,083
10,000,000 06/26/1996.......................................... A-1+/P-1 5.38 9,963,611
SunTrust Banks, Inc.
8,000,000 07/01/1996.......................................... A-1/P-1 5.38 7,964,800
10,000,000 07/08/1996.......................................... A-1/P-1 5.42 9,945,528
Toys 'R' Us, Inc.
4,000,000 06/03/1996.......................................... A-1/P-1 5.37 3,998,828
United Parcel Service, Inc.
6,000,000 06/19/1996.......................................... A-1+/P-1 4.98 5,985,270
Wal-Mart Stores, Inc.
10,000,000 06/03/1996.......................................... A-1+/P-1 5.34 9,997,084
------------
TOTAL COMMERCIAL PAPER (Cost $267,059,608)...................................... 267,059,608
------------
BANKERS' ACCEPTANCES -- 5.7%
Corestates Bank
5,000,000 06/24/1996.......................................... A-1/P-1 5.04 4,984,411
First Alabama Bank
1,000,000 08/16/1996.......................................... A-1/P-1 5.14 989,550
Wachovia Bank of Georgia
2,500,000 06/21/1996.......................................... A-1+/P-1 5.36 2,492,694
10,000,000 06/27/1996.......................................... A-1+/P-1 5.35 9,962,083
Wachovia Bank of North Carolina
2,000,000 06/17/1996.......................................... A-1+/P-1 5.34 1,995,333
1,800,000 06/21/1996.......................................... A-1+/P-1 5.36 1,794,741
------------
TOTAL BANKERS' ACCEPTANCES (Cost $22,218,812)................................... 22,218,812
------------
</TABLE>
See Footnotes to Portfolios and accompanying notes to financial statements.
2
<PAGE> 7
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
YIELD TO
CREDIT MATURITY
PRINCIPAL RATINGS** ON DATE OF VALUE
AMOUNT (UNAUDITED) PURCHASE (NOTE 2A)
- ----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.6%
Federal Farm Credit Bank
$ 2,000,000 06/03/1996.......................................... NR/Aaa 6.15% $ 2,000,000
5,000,000 08/01/1996.......................................... NR/Aaa 5.17 5,000,000
Federal Home Loan Bank
2,000,000 12/27/1996 (callable 06/27/96)...................... NR/Aaa 5.63 2,000,000
3,000,000 01/10/1997 (callable 07/10/96)...................... NR/Aaa 5.51 3,000,000
5,000,000 03/18/1997.......................................... NR/Aaa 5.37 5,000,000
3,000,000 03/28/1997 (callable 06/28/96)...................... NR/Aaa 5.07 3,000,000
Federal Home Loan Bank Discount Notes
2,380,000 06/18/1996.......................................... NR/Aaa 5.15 2,374,403
Federal National Mortgage Association Discount Notes
5,000,000 10/09/1996.......................................... AAA/Aaa 5.40 4,906,472
Federal National Mortgage Association
2,500,000 06/12/1996.......................................... AAA/Aaa 5.59 2,499,869
5,000,000 09/23/1996.......................................... AAA/Aaa 5.58 5,000,000
3,000,000 10/07/1996.......................................... AAA/Aaa 5.76 3,000,339
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $37,781,083)............................................................ 37,781,083
------------
U.S. TREASURY BILLS -- 8.3%
3,000,000 08/22/1996.......................................... AAA/Aaa 5.95 2,962,144
21,000,000 03/06/1997.......................................... AAA/Aaa 5.43 20,165,073
5,000,000 04/03/1997.......................................... AAA/Aaa 5.63 4,776,874
5,000,000 05/01/1997.......................................... AAA/Aaa 5.73 4,751,820
------------
TOTAL U.S. TREASURY BILLS (Cost $32,655,911).................................... 32,655,911
------------
MONEY MARKET FUND -- 2.2%
8,816,488 Short-Term Investments Co. Treasury Portfolio
(Cost $8,816,488)................................... AAA/Aaa 5.30 8,816,488
------------
TOTAL INVESTMENTS -- 93.9%
(Cost $368,531,902)........................................................... 368,531,902
------------
REPURCHASE AGREEMENT -- 6.4%
25,000,000 First Union Corporation (dated 05/31/96) 5.25%,
06/03/1996............................................ A1/P-1 5.25 25,000,000
(Proceeds at maturity $25,010,938) ------------
Collateralized by:
U.S. Treasury Notes
$25,035,000, 6.625%, 03/31/1997
TOTAL INVESTMENTS AND REPURCHASE AGREEMENT -- 100.3%
(Cost $393,531,902)*............................................................ 393,531,902
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3%)................................. (1,349,699)
------------
NET ASSETS -- 100.0%............................................................ $392,182,203
============
</TABLE>
* The cost of securities for Federal income tax purposes is substantially the
same.
See Footnotes to Portfolios and accompanying notes to financial statements.
3
<PAGE> 8
PERFORMANCE FUNDS TRUST
SHORT TERM GOVERNMENT INCOME FUND
Portfolio of Investments
May 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT COST (NOTE 2A)
- ----------- ------------ ------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.0%
$ 2,000,000 Federal Home Loan Bank 6.94%, 03/14/1997........................ $ 1,999,329 $ 2,017,660
1,500,000 Federal Home Loan Bank 6.345%, 06/02/1997....................... 1,503,335 1,507,650
5,000,000 Federal National Mortgage Association 7.74%, 02/03/1998......... 5,017,365 5,104,450
------------ ------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS........................ 8,520,029 8,629,760
------------ ------------
CORPORATE BONDS -- 6.7%
BANKING -- 0.9%
1,000,000 Barnett Bank, Inc. 6.25%, 07/28/1998............................ 996,411 991,250
------------ ------------
FINANCIAL SERVICES -- 5.8%
1,250,000 Ford Capital B.V. 9.00%, 06/01/1996............................. 1,250,000 1,250,112
2,000,000 Ford Motor Credit Company 6.25%, 02/26/1998..................... 2,007,538 1,990,000
3,000,000 Norwest Corporation 6.00%, 10/13/1998........................... 2,997,615 2,962,500
------------ ------------
6,255,153 6,202,612
------------ ------------
TOTAL CORPORATE BONDS........................................... 7,251,564 7,193,862
------------ ------------
U.S. TREASURY NOTES -- 83.1%
7,000,000 U.S. Treasury Notes 6.875%, 03/31/1997.......................... 7,045,350 7,062,509
14,750,000 U.S. Treasury Notes 6.75%, 05/31/1997........................... 14,891,016 14,873,456
3,000,000 U.S. Treasury Notes 7.375%, 11/15/1997.......................... 2,998,451 3,052,170
5,000,000 U.S. Treasury Notes 5.625%, 01/31/1998.......................... 5,022,207 4,956,349
7,000,000 U.S. Treasury Notes 7.25%, 02/15/1998........................... 6,985,054 7,113,679
6,000,000 U.S. Treasury Notes 5.875%, 04/30/1998.......................... 5,971,320 5,959,679
8,000,000 U.S. Treasury Notes 6.125%, 05/15/1998.......................... 8,046,037 7,982,960
3,000,000 U.S. Treasury Notes 5.375%, 05/31/1998.......................... 2,977,427 2,951,460
9,000,000 U.S. Treasury Notes 5.875%, 08/15/1998.......................... 8,953,962 8,921,520
9,000,000 U.S. Treasury Notes 5.50%, 11/15/1998........................... 9,017,711 8,824,589
3,000,000 U.S. Treasury Notes 5.00%, 01/31/1999........................... 2,991,930 2,898,450
4,500,000 U.S. Treasury Notes 5.00%, 02/15/1999........................... 4,464,929 4,344,525
5,000,000 U.S. Treasury Notes 5.50%, 02/28/1999........................... 5,038,760 4,885,651
6,000,000 U.S. Treasury Notes 6.375%, 05/15/1999.......................... 5,999,746 5,987,760
------------ ------------
TOTAL U.S. TREASURY NOTES....................................... 90,403,900 89,814,757
------------ ------------
MONEY MARKET FUND -- 1.9%
2,101,939 Short-Term Investments Co. Treasury Portfolio................... 2,101,939 2,101,939
------------ ------------
TOTAL INVESTMENTS -- 99.7%...................................... $108,277,432* 107,740,318
============
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3%................................. 353,744
------------
NET ASSETS -- 100.0%.......................................................... $108,094,062
============
</TABLE>
* The cost of securities for Federal income tax purposes is substantially the
same.
See accompanying notes to financial statements.
4
<PAGE> 9
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments
May 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT COST (NOTE 2A)
- ---------- ----------- ---------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 46.7%
NOTES -- 34.1%
$3,000,000 8.625%, 08/15/1997........................................... $ 3,097,921 $ 3,090,810
5,000,000 7.375%, 11/15/1997........................................... 5,020,078 5,086,950
2,500,000 5.875%, 08/15/1998........................................... 2,488,411 2,478,200
4,000,000 7.125%, 10/15/1998........................................... 4,038,447 4,069,320
2,500,000 6.375%, 01/15/2000........................................... 2,503,880 2,485,075
1,500,000 6.250%, 05/31/2000........................................... 1,496,743 1,480,785
3,500,000 6.125%, 09/30/2000........................................... 3,485,120 3,433,185
5,000,000 7.250%, 08/15/2004........................................... 5,340,598 5,123,150
----------- -----------
27,471,198 27,247,475
----------- -----------
BONDS -- 12.6%
5,000,000 7.25%, 05/15/2016............................................ 5,119,143 5,043,950
5,000,000 7.25%, 08/15/2022............................................ 5,302,793 5,043,100
----------- -----------
10,421,936 10,087,050
----------- -----------
TOTAL U.S. TREASURY OBLIGATIONS................................ 37,893,134 37,334,525
----------- -----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 28.9%
FEDERAL HOME LOAN BANK -- 8.2%
1,000,000 7.00%, 05/22/2000............................................ 1,000,000 997,230
1,000,000 6.10%, 02/01/2001............................................ 969,911 961,820
2,750,000 6.34%, 03/19/2001............................................ 2,725,986 2,671,158
1,000,000 7.25%, 03/07/2011............................................ 1,000,000 944,170
1,000,000 8.00%, 05/02/2011............................................ 1,000,000 974,900
----------- -----------
6,695,897 6,549,278
----------- -----------
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 6.1%
1,000,000 6.55%, 10/02/2002............................................ 996,655 976,420
2,000,000 6.22%, 03/24/2003............................................ 1,980,205 1,919,100
1,000,000 7.05%, 03/24/2004............................................ 972,670 968,350
1,000,000 7.40%, 04/19/2006............................................ 985,573 979,820
----------- -----------
4,935,103 4,843,690
----------- -----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 11.1%
2,000,000 6.85%, 05/26/2000............................................ 2,004,330 1,985,580
5,000,000 7.00%, 05/10/2001............................................ 4,996,916 4,970,800
1,000,000 7.32%, 05/03/2006............................................ 997,512 976,680
1,000,000 7.67%, 04/06/2011............................................ 992,090 966,850
----------- -----------
8,990,848 8,899,910
----------- -----------
SMALL BUSINESS ADMINISTRATION LOAN AGREEMENTS -- 0.5%
245,721 12.25%, 11/15/1998............................................ 249,973 251,557
168,586 9.25%, 04/15/2004(a)......................................... 170,681 172,168
----------- -----------
420,654 423,725
----------- -----------
</TABLE>
See accompanying notes to financial statements.
5
<PAGE> 10
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT COST (NOTE 2A)
- ---------- ----------- -------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (CONTINUED)
TENNESSEE VALLEY AUTHORITY -- 3.0%
$2,500,000 6.375%, 06/15/2005........................................... $ 2,442,688 $ 2,365,625
----------- -----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS....................... 23,485,190 23,082,228
----------- -----------
MORTGAGE-BACKED SECURITIES -- 0.3%
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 0.1%
24,036 Pool #106594 9.00%, 12/01/1997............................... 25,410 24,667
36,017 Pool #114579 8.00%, 02/01/1998............................... 37,046 36,906
----------- -----------
62,456 61,573
----------- -----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.2%
8,186 Pool #192407, 9.00%, 01/15/2017.............................. 8,611 8,557
68,263 Pool #210311, 9.00%, 06/15/2017.............................. 71,810 71,356
54,409 Pool #271741, 9.00%, 03/15/2020.............................. 57,238 56,875
----------- -----------
137,659 136,788
----------- -----------
TOTAL MORTGAGE-BACKED SECURITIES............................... 200,115 198,361
----------- -----------
CORPORATE BONDS -- 21.6%
CONSUMER DURABLES -- 0.9%
250,000 Ford Motor Company 7.125%, 11/15/2025.......................... 240,073 228,750
500,000 General Motors Corporation 7.625%, 02/15/1997.................. 500,473 505,000
----------- -----------
740,546 733,750
----------- -----------
CONSUMER NON-DURABLES -- 0.9%
250,000 American Home Products, Inc. 7.25%, 03/01/2023................. 250,000 237,813
250,000 Coca-Cola Enterprises, Inc. 6.75%, 09/15/2023.................. 242,256 223,437
250,000 Kimberly-Clark Corporation 6.875%, 02/15/2014.................. 248,368 228,438
----------- -----------
740,624 689,688
----------- -----------
FINANCIAL SERVICES -- 10.1%
American General Corporation:
500,000 6.75%, 06/15/2005............................................ 500,000 478,125
250,000 7.50%, 07/15/2025............................................ 249,539 239,375
250,000 Associates Corporation of North America 6.00%, 03/15/2000...... 246,988 242,188
Bankers Trust Company:
250,000 7.125%, 07/31/2002........................................... 249,458 245,937
250,000 7.50%, 11/15/2015............................................ 250,000 235,625
Chase Manhattan Corporation:
500,000 8.00%, 05/01/2005............................................ 499,688 505,000
250,000 6.50%, 01/15/2009............................................ 236,036 228,125
250,000 First Bank, N.A. 6.875%, 04/01/2006............................ 248,713 240,312
500,000 Ford Motor Credit Company 6.25%, 02/26/1998.................... 499,654 497,500
</TABLE>
See accompanying notes to financial statements.
6
<PAGE> 11
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT COST (NOTE 2A)
- ---------- ----------- -------------
<S> <C> <C> <C>
CORPORATE BONDS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Household Finance Corporation:
$ 250,000 6.375%, 06/30/2000........................................... $ 249,438 $ 244,062
500,000 6.70%, 06/15/2002............................................ 500,000 490,625
500,000 IBM Credit Corporation 7.00%, 05/29/2001....................... 500,000 500,000
250,000 International Lease Finance 6.125%, 11/01/1999................. 249,283 244,063
250,000 ITT Hartford Group, Inc. 7.30%, 11/01/2015..................... 249,334 236,562
Merrill Lynch & Company:
250,000 7.00%, 04/27/2008............................................ 249,194 239,375
250,000 6.25%, 10/15/2008............................................ 234,626 224,375
250,000 NationsBank Corporation 6.875%, 02/15/2005..................... 247,336 240,625
250,000 Norwest Corporation 6.50%, 06/01/2005.......................... 249,081 235,313
500,000 Smith Barney Holdings, Inc. 7.50%, 05/01/2002.................. 497,293 505,625
The Travelers Group, Inc.:
500,000 6.125%, 06/15/2000........................................... 508,772 480,625
250,000 6.625%, 09/15/2005........................................... 248,960 236,562
1,250,000 US Leasing International Corporation 7.00%, 11/01/1997......... 1,253,626 1,272,062
----------- -----------
8,217,019 8,062,061
----------- -----------
HEALTH CARE -- 0.3%
250,000 Eli Lilly Corporation 7.125%, 06/01/2025....................... 247,766 236,562
----------- -----------
RAW MATERIALS -- 1.8%
500,000 Air Products & Chemicals, Inc. 7.375%, 05/01/2005.............. 497,672 500,000
750,000 du Pont (E.I.) De Nemours & Company 6.00%, 12/01/2001.......... 734,107 714,375
250,000 PPG Industries, Inc. 6.875%, 08/01/2005........................ 249,752 244,687
----------- -----------
1,481,531 1,459,062
----------- -----------
RETAIL -- 0.6%
250,000 J.C. Penney & Company 6.875%, 10/15/2015....................... 247,507 227,813
250,000 Rite-Aid Corporation 6.875%, 08/15/2013........................ 237,312 225,312
----------- -----------
484,819 453,125
----------- -----------
TECHNOLOGY -- 1.2%
Raytheon Company:
250,000 6.50%, 07/15/2005............................................ 245,276 237,500
250,000 7.375%, 07/15/2025........................................... 241,343 234,688
250,000 Rockwell International Corporation 6.625%, 06/01/2005.......... 248,711 239,375
250,000 WMX Technologies, Inc. 6.25%, 10/15/2000....................... 249,725 242,812
----------- -----------
985,055 954,375
----------- -----------
TELECOMMUNICATIONS -- 2.6%
250,000 Chesapeake Bell Telephone Virginia 7.00%, 07/15/2025........... 243,805 227,500
250,000 Motorola, Inc. 6.50%, 03/01/2008............................... 249,773 235,312
250,000 New York Telephone Company 7.25%, 02/15/2024................... 243,995 230,312
</TABLE>
See accompanying notes to financial statements.
7
<PAGE> 12
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT COST (NOTE 2A)
- ---------- ----------- ---------------
<S> <C> <C> <C>
CORPORATE BONDS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 250,000 Northern Telecommunications, Inc. 6.875%, 09/01/2023........... $ 242,245 $ 224,688
250,000 Southern New England Telecommunication, Inc. 7.00%,
08/15/2005................................................... 248,849 243,437
Southwestern Bell Telephone Company:
250,000 6.25%, 10/15/2002............................................ 250,290 239,375
250,000 7.20%, 10/15/2026............................................ 250,310 231,875
U.S. WEST Communications Group:
250,000 6.375%, 10/15/2002........................................... 249,363 240,937
250,000 7.50%, 06/15/2023............................................ 244,433 233,125
----------- -----------
2,223,063 2,106,561
----------- -----------
UTILITIES -- 3.2%
Consolidated Edison Company of New York, Inc.:
250,000 6.625%, 07/01/2005........................................... 249,261 235,625
250,000 7.50%, 06/15/2023............................................ 249,396 233,125
250,000 Duke Power Company 6.875%, 08/01/2023.......................... 238,613 222,812
225,000 Georgia Power Company 6.6250%, 04/01/2003...................... 224,260 218,531
250,000 Northern States Power Company 7.125%, 07/01/2025............... 247,742 235,625
Pacific Gas & Electric Company:
250,000 6.25%, 03/01/2004............................................ 242,966 232,500
250,000 7.25%, 08/01/2026............................................ 242,137 224,062
250,000 Pacificorp 6.625%, 06/01/2007.................................. 248,555 232,500
250,000 Public Service Electric & Gas Company 6.00%, 05/01/2000........ 247,535 240,625
Southern California Edison Company:
250,000 6.50%, 06/01/2001............................................ 250,000 242,500
250,000 6.90%, 10/01/2018............................................ 234,622 222,500
----------- -----------
2,675,087 2,540,405
----------- -----------
TOTAL CORPORATE BONDS.......................................... 17,795,510 17,235,589
----------- -----------
GUARANTEED INVESTMENT CONTRACT -- 1.1%
1,000,000 Confederation Life Insurance Co. 8.80%, 01/05/1995*............ 1,000,000 900,000
----------- -----------
MONEY MARKET FUND -- 0.6%
475,830 Short-Term Investments Company Treasury Portfolio.............. 475,830 475,830
----------- -----------
TOTAL INVESTMENTS -- 99.2%..................................... $80,849,779** 79,226,533
============
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.8%............................... 624,286
-----------
NET ASSETS -- 100.0%........................................................ $79,850,819
===========
* Issuer in rehabilitation. This security is considered illiquid and is being fair-valued at the direction of the
Fund's Board of Trustees. (The total value of illiquid securities is $900,000, or 1.13% of net assets.)
** The cost for Federal income tax purposes is substantially the same.
(a) Variable Rate Note -- rate shown is rate in effect on May 31, 1996.
</TABLE>
See accompanying notes to financial statements.
8
<PAGE> 13
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments
May 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES COST (NOTE 2A)
- ---------- ------------ ------------
<S> <C> <C> <C>
COMMON STOCKS -- 92.6%
BUSINESS EQUIPMENT & SERVICES -- 1.8%
8,000 Federal Express Corporation+..................................... $ 513,200 $ 613,000
25,000 Moore Corporation Limited........................................ 498,225 465,625
23,000 National Service Industries, Inc. ............................... 746,978 894,125
25,000 Ryder System, Inc. .............................................. 499,619 731,250
------------ ------------
2,258,022 2,704,000
------------ ------------
CAPITAL GOODS -- 4.9%
28,000 Black & Decker Corporation....................................... 835,895 1,151,500
51,000 General Electric Company......................................... 2,557,886 4,220,250
8,000 Illinois Tool Works, Inc. ....................................... 410,710 536,000
20,000 Sherwin-Williams Company......................................... 682,260 897,500
12,000 Timken Company................................................... 443,930 472,500
------------ ------------
4,930,681 7,277,750
------------ ------------
CONSUMER DURABLES -- 3.1%
10,000 Briggs & Stratton Company........................................ 318,987 430,000
12,000 Chrysler Corporation............................................. 766,480 799,500
12,000 Dana Corporation................................................. 321,180 402,000
8,000 Echlin, Inc. .................................................... 263,075 275,000
35,000 Ford Motor Company............................................... 1,041,683 1,277.500
23,000 General Motors Corporation....................................... 996,682 1,267,875
10,000 Maytag Corporation............................................... 161,375 215,000
------------ ------------
3,869,462 4,666,875
------------ ------------
CONSUMER NON-DURABLES -- 12.5%
11,000 Anheuser-Busch Companies, Inc. .................................. 618,869 783,750
78,000 Coca-Cola Company................................................ 2,012,150 3,588,000
17,000 Colgate-Palmolive Company........................................ 940,423 1,338,750
18,000 ConAgra, Inc. ................................................... 588,150 767,250
34,000 Gillette Company................................................. 950,347 2,010,250
12,000 Hershey Foods Corporation........................................ 723,690 873,000
20,000 Kimberly-Clark Corporation....................................... 1,079,986 1,457,500
12,000 Liz Claiborne, Inc. ............................................. 366,225 445,500
56,000 PepsiCo, Inc. ................................................... 1,147,610 1,862,000
20,000 Premark International, Inc. ..................................... 165,431 322,500
23,000 Procter & Gamble Company......................................... 1,536,072 2,021,125
20,000 Tupperware Corporation+.......................................... 468,298 915,000
8,000 Unilever NV -- New York Shares ADR............................... 1,046,805 1,079,000
25,000 Wrigley (WM.) Jr. Company........................................ 1,033,438 1,309,375
------------ ------------
12,677,494 18,773,000
------------ ------------
CONSUMER SERVICES -- 3.5%
10,000 Dow Jones & Company, Inc. ....................................... 371,500 391,250
17,000 King World Productions, Inc.+.................................... 609,814 709,750
</TABLE>
See accompanying notes to financial statements.
9
<PAGE> 14
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES COST (NOTE 2A)
- ---------- ------------ ------------
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
CONSUMER SERVICES (CONTINUED)
48,750 Mattel, Inc. .................................................... $ 609,333 $ 1,328,437
34,000 Meredith Corporation............................................. 727,775 1,559,750
21,722 The Walt Disney Company.......................................... 1,140,039 1,319,611
------------ ------------
3,458,461 5,308,798
------------ ------------
ENERGY -- 8.3%
26,000 Amoco Corporation................................................ 1,463,460 1,885,000
30,000 Chevron Corporation.............................................. 1,298,238 1,792,500
38,000 Exxon Corporation................................................ 2,476,546 3,220,500
10,000 Halliburton Company.............................................. 455,870 556,250
10,000 Helmerich & Payne, Inc. ......................................... 355,150 362,500
20,000 Mobil Corporation................................................ 1,363,970 2,257,500
16,000 Royal Dutch Petroleum Company New York Shares ADR................ 1,908,850 2,400,000
------------ ------------
9,322,084 12,474,250
------------ ------------
FINANCIAL SERVICES -- 11.6%
21,000 Allstate Corporation............................................. 641,108 887,250
36,000 American Express Company......................................... 1,090,472 1,647,000
18,000 American International Group, Inc. .............................. 1,239,802 1,696,500
16,000 BankAmerica Corporation.......................................... 848,045 1,204,000
16,000 Bank of Boston Corporation....................................... 603,920 798,000
20,000 Bank of New York Company, Inc. .................................. 728,789 1,037,500
17,000 Citicorp......................................................... 768,780 1,428,000
16,000 Federal Home Loan Mortgage Corporation........................... 932,630 1,322,000
44,000 Federal National Mortgage Association............................ 838,737 1,358,500
24,000 Green Tree Financial Corporation................................. 808,098 786,000
16,000 NationsBank Corporation.......................................... 864,460 1,298,000
10,000 SAFECO Corporation............................................... 349,350 336,875
28,000 SunTrust Banks, Inc. ............................................ 801,417 1,022,000
27,000 The Travelers Group, Inc. ....................................... 713,916 1,120,500
6,000 Wells Fargo & Company............................................ 730,947 1,446,000
------------ ------------
11,960,471 17,388,125
------------ ------------
HEALTH CARE -- 10.3%
36,000 Abbott Laboratories.............................................. 1,097,328 1,552,500
20,000 Baxter International, Inc. ...................................... 696,170 885,000
15,300 Bristol-Myers Squibb Company..................................... 1,027,262 1,306,237
16,000 Eli Lilly & Company.............................................. 1,030,190 1,028,000
20,000 Johnson & Johnson, Inc. ......................................... 1,242,150 1,947,500
10,000 Manor Care, Inc. ................................................ 280,000 390,000
38,300 Merck & Company, Inc. ........................................... 1,805,659 2,475,138
20,000 Pfizer Incorporated.............................................. 1,243,404 1,415,000
51,000 Schering-Plough Corporation...................................... 1,398,817 2,989,875
26,000 Warner Lambert Company........................................... 839,035 1,456,000
------------ ------------
10,660,015 15,445,250
------------ ------------
</TABLE>
See accompanying notes to financial statements.
10
<PAGE> 15
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES COST (NOTE 2A)
- ---------- ------------ ------------
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
MULTI-INDUSTRY -- 2.5%
10,000 Allied-Signal, Inc. ............................................. $ 315,250 $ 547,500
12,000 Loews Corporation................................................ 704,922 957,000
17,000 Textron, Inc. ................................................... 975,290 1,440,750
30,000 Whitman Corporation.............................................. 491,125 753,750
------------ ------------
2,486,587 3,699,000
------------ ------------
RAW MATERIALS -- 4.2%
14,000 Aluminum Company of America...................................... 644,930 862,750
12,000 Avery-Dennison Corporation....................................... 457,620 684,000
25,000 Cyprus Amax Minerals Company..................................... 729,000 600,000
8,000 Dow Chemical Company............................................. 593,680 669,000
17,600 du Pont (E.I.) de Nemours & Company.............................. 980,637 1,403,600
18,000 Ecolab, Inc. .................................................... 358,287 585,000
15,000 Hercules, Inc. .................................................. 547,300 851,250
15,000 Praxair Inc. .................................................... 347,875 609,375
------------ ------------
4,659,329 6,264,975
------------ ------------
RETAIL -- 4.8%
20,000 Circuit City Stores, Inc. ....................................... 373,765 652,500
30,000 McDonalds Corporation............................................ 659,075 1,443,750
20,000 J.C. Penney Company.............................................. 790,950 1,037,500
15,000 Sears, Roebuck & Company......................................... 461,174 763,125
71,000 Wal-Mart Stores, Inc. ........................................... 1,728,398 1,837,125
46,000 Walgreen Company................................................. 946,900 1,466,250
------------ ------------
4,960,262 7,200,250
------------ ------------
SHELTER -- 0.8%
20,000 Armstrong World Industries, Inc. ................................ 705,625 1,177,500
------------ ------------
TECHNOLOGY -- 12.7%
30,000 Andrew Corporation+.............................................. 212,603 1,627,500
15,000 Ceridian Corporation+............................................ 503,480 793,125
25,000 Computer Associates International, Inc. ......................... 356,642 1,818,750
16,000 Hewlett Packard Company.......................................... 800,130 1,708,000
25,000 Intel Corporation................................................ 1,108,434 1,887,500
18,000 International Business Machines Corporation...................... 1,530,619 1,921,500
10,000 Lockheed Martin Corporation...................................... 780,900 838,750
60,000 Loral Space & Communications Limited+............................ 727,500 960,000
17,000 Microsoft Corporation+........................................... 1,378,403 2,018,750
18,000 Motorola, Inc. .................................................. 1,008,350 1,201,500
31,100 Northrop Grumman Corporation..................................... 1,070,600 1,947,638
23,200 Raytheon Company................................................. 556,170 1,235,400
18,000 Rockwell International Corporation............................... 603,100 1,050,750
------------ ------------
10,636,931 19,009,163
------------ ------------
</TABLE>
See accompanying notes to financial statements.
11
<PAGE> 16
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL VALUE
AMOUNT COST (NOTE 2A)
- ---------- ------------ ------------
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION -- 1.0%
11,000 Burlington Northern Santa Fe Corporation......................... $ 800,230 $ 932,250
7,000 Norfolk Southern Corporation..................................... 429,646 603,750
------------ ------------
1,229,876 1,536,000
------------ ------------
UTILITIES -- 10.6%
48,200 AT&T Corporation................................................. 2,539,576 3,006,475
17,000 Ameritech Corporation............................................ 1,037,280 960,500
31,000 BellSouth Corporation............................................ 941,515 1,259,375
30,000 Consolidated Edison Company of New York, Inc. ................... 1,050,562 836,250
30,000 DTE Energy Company............................................... 1,037,860 877,500
36,000 Entergy Corporation.............................................. 1,316,213 945,000
30,000 GTE Corporation.................................................. 1,040,043 1,282,500
18,800 MCI Communications Corporation................................... 328,280 547,550
29,000 Pacific Enterprises.............................................. 780,665 764,875
31,000 SBC Communications, Inc. ........................................ 1,093,500 1,530,625
94,000 Southern Company................................................. 1,805,562 2,173,750
40,000 Sprint Corporation............................................... 1,092,773 1,695,000
------------ ------------
14,063,829 15,879,400
------------ ------------
TOTAL COMMON STOCKS.............................................. 97,879,129 138,804,336
------------ ------------
U.S. TREASURY BILLS -- 6.1%
$1,200,000 06/06/1996..................................................... 1,199,190 1,199,190
1,000,000 06/27/1996..................................................... 996,396 996,396
3,500,000 07/25/1996..................................................... 3,474,012 3,474,012
1,500,000 08/01/1996..................................................... 1,487,410 1,487,410
2,000,000 09/12/1996..................................................... 1,971,378 1,971,111
------------ ------------
TOTAL U.S. TREASURY BILLS........................................ 9,128,386 9,128,119
------------ ------------
MONEY MARKET FUND -- 1.0%
1,576,410 Short-Term Investments Co. Treasury Portfolio.................... 1,576,410 1,576,410
------------ ------------
TOTAL INVESTMENTS -- 99.7%....................................... $108,583,925* 149,508,865
============
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3%.................................. 466,317
------------
NET ASSETS -- 100.0%........................................................... $149,975,182
============
</TABLE>
+ Non-income producing security.
* The cost for Federal income tax purposes is substantially the same.
ADR -- American Depository Receipt.
See accompanying notes to financial statements.
12
<PAGE> 17
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments
May 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES COST (NOTE 2A)
- ---------- ----------- -----------
<S> <C> <C> <C>
COMMON STOCKS -- 91.1%
AEROSPACE/DEFENSE -- 1.2%
22,900 Precision Castparts Corporation............................... $ 549,551 $ 978,975
----------- -----------
AUTO PARTS -- 1.4%
28,000 Kaydon Corporation............................................ 787,360 1,204,000
----------- -----------
ADVERTISING -- 0.5%
9,000 Omnicom Group, Inc. .......................................... 394,560 392,625
----------- -----------
BANKING -- 1.3%
21,000 State Street Boston Corporation............................... 821,995 1,094,625
----------- -----------
BUILDING MATERIALS -- 0.7%
10,000 Vulcan Materials Company...................................... 526,580 575,000
----------- -----------
BUSINESS EQUIPMENT & SERVICES -- 2.7%
42,750 Comdisco, Inc. ............................................... 598,324 1,175,625
10,000 Manpower, Inc. ............................................... 292,150 385,000
28,300 Rollins, Inc. ................................................ 768,272 643,825
----------- -----------
1,658,746 2,204,450
----------- -----------
CAPITAL GOODS -- 2.8%
40,000 American Power Conversion Corporation+........................ 609,250 515,000
29,000 Kennametal, Inc. ............................................. 822,997 1,076,625
15,000 Parametric Technology Corporation+............................ 516,375 686,250
----------- -----------
1,948,622 2,277,875
----------- -----------
CHEMICALS -- 3.1%
20,000 Crompton & Knowles Corporation................................ 280,986 352,500
10,000 IMC Global, Inc. ............................................. 364,650 366,250
10,700 Olin Corporation.............................................. 542,040 989,750
36,100 Wellman, Inc. ................................................ 816,999 816,763
----------- -----------
2,004,675 2,525,263
----------- -----------
COMPUTER EQUIPMENT -- 3.8%
31,000 Dell Computer Corporation+.................................... 635,625 1,716,625
60,000 Quantum Corporation+.......................................... 1,031,875 1,432,500
----------- -----------
1,667,500 3,149,125
----------- -----------
COMPUTER SOFTWARE -- 4.5%
15,000 BMC Software, Inc.+........................................... 346,425 945,000
25,500 Cadence Design System, Inc.+.................................. 299,795 1,447,125
27,100 Reynolds & Reynolds Company................................... 655,312 1,351,613
----------- -----------
1,301,532 3,743,738
----------- -----------
CONSUMER DURABLES -- 0.6%
10,200 Harley-Davidson, Inc. ........................................ 247,595 488,325
----------- -----------
</TABLE>
See accompanying notes to financial statements.
13
<PAGE> 18
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES COST (NOTE 2A)
- ---------- ----------- -----------
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
CONSUMER NON-DURABLES -- 4.8%
30,900 Coca-Cola Enterprises, Inc. .................................. $ 545,711 $ 981,075
48,800 IBP, Inc. .................................................... 831,421 1,335,900
34,033 Lancaster Colony Corporation.................................. 1,185,197 1,233,696
42,000 Michael Foods, Inc. .......................................... 451,985 430,500
----------- -----------
3,014,314 3,981,171
----------- -----------
CONSUMER SERVICES -- 1.1%
28,500 Banta Corporation............................................. 688,247 684,000
7,400 TCA Cable TV, Inc. ........................................... 185,433 209,050
----------- -----------
873,680 893,050
----------- -----------
DRUGS -- 1.2%
50,000 Mylan Laboratories............................................ 1,002,225 950,000
----------- -----------
ELECTRICAL EQUIPMENT -- 1.3%
20,000 Ametek, Inc. ................................................. 337,960 430,000
13,800 Cirrus Logic, Inc.+........................................... 256,975 293,250
9,000 Linear Technology Corporation................................. 389,250 310,500
----------- -----------
984,185 1,033,750
----------- -----------
ELECTRONICS -- 2.2%
14,000 Analog Devices, Inc.+......................................... 389,760 386,750
25,000 Arrow Electronics, Inc.+...................................... 1,215,985 1,231,250
10,000 Teradyne, Inc.+............................................... 305,575 201,250
----------- -----------
1,911,320 1,819,250
----------- -----------
ENERGY -- 2.1%
40,000 Smith International, Inc.+.................................... 405,926 1,260,000
9,200 Tosco Corporation............................................. 307,004 455,400
----------- -----------
712,930 1,715,400
----------- -----------
ENTERTAINMENT -- 1.0%
15,000 Mirage Resorts, Inc.+......................................... 369,249 853,125
----------- -----------
FINANCIAL SERVICES -- 8.3%
37,200 AFLAC, Inc. .................................................. 807,817 1,120,650
48,400 A.G. Edwards, Inc. ........................................... 1,145,766 1,240,250
51,561 Bear Stearns Companies, Inc. ................................. 982,217 1,243,916
40,000 Charles Schwab Corporation.................................... 829,200 970,000
10,900 Crestar Financial Corporation................................. 494,693 614,488
28,200 First Security Corporation.................................... 538,003 669,750
17,000 Franklin Resources, Inc. ..................................... 748,357 996,625
----------- -----------
5,546,053 6,855,679
----------- -----------
FOREST PRODUCTS & PAPER -- 0.3%
4,000 Consolidated Papers, Inc. .................................... 216,360 209,000
----------- -----------
</TABLE>
See accompanying notes to financial statements.
14
<PAGE> 19
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES COST (NOTE 2A)
- ---------- ----------- -----------
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
HEALTH CARE -- 5.6%
30,000 Beckman Instruments, Inc. .................................... $ 829,592 $ 1,091,250
21,900 Datascope Corporation+........................................ 352,432 388,725
25,000 Healthcare COMPARE Corporation+............................... 677,500 1,209,375
16,000 Healthsouth Corporation+...................................... 571,728 560,000
26,000 Stryker Corporation........................................... 1,132,132 1,345,500
----------- -----------
3,563,384 4,594,850
----------- -----------
INSURANCE -- 1.9%
5,000 American Finance Group, Inc. ................................. 153,265 150,000
12,000 Aon Corporation............................................... 527,380 604,500
17,550 Mercantile Bancorporation..................................... 548,123 824,850
----------- -----------
1,228,768 1,579,350
----------- -----------
MANUFACTURING -- 4.1%
30,000 Callaway Golf Company......................................... 486,450 903,750
30,000 Cypress Semiconductor Corporation+............................ 425,500 412,500
17,600 Danaher Corporation........................................... 334,097 730,400
46,000 Leggett & Platt, Inc. ........................................ 950,285 1,305,250
----------- -----------
2,196,332 3,351,900
----------- -----------
METALS -- 0.9%
8,100 Brush Wellman, Inc. .......................................... 134,104 151,875
16,200 Hanna (M.A.) Company.......................................... 412,316 556,875
----------- -----------
546,420 708,750
----------- -----------
PHARMACEUTICALS -- 1.2%
15,000 Cardinal Health, Inc. ........................................ 832,375 958,125
----------- -----------
PUBLISHING & PRINTING -- 1.3%
20,000 Belo (A.H.) Corporation -- Common Series A.................... 535,650 765,000
500 Media General, Inc. Class A................................... 12,538 18,750
1,000 Washington Post Company....................................... 289,465 312,750
----------- -----------
837,653 1,096,500
----------- -----------
RAW MATERIALS -- 1.8%
27,000 Cleveland-Cliffs, Inc. ....................................... 1,074,983 1,083,375
11,000 Diamond Shamrock, Inc. ....................................... 309,067 361,625
----------- -----------
1,384,050 1,445,000
----------- -----------
RETAIL -- 5.8%
48,750 Dollar General Corporation.................................... 813,451 1,352,813
34,800 Hannaford Brothers Company.................................... 847,109 1,100,550
60,000 Mac Frugals Bargain Close-Outs, Inc.+......................... 891,400 1,140,000
45,000 Waban, Inc.+.................................................. 691,025 1,203,750
----------- -----------
3,242,985 4,797,113
----------- -----------
</TABLE>
See accompanying notes to financial statements.
15
<PAGE> 20
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES COST (NOTE 2A)
- ---------- ----------- -----------
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
RETAIL -- SPECIALTY LINE -- 0.7%
27,000 Staples, Inc.+................................................ $ 271,000 $ 540,000
----------- -----------
SHELTER -- 1.1%
47,500 Clayton Homes, Inc. .......................................... 677,882 914,375
----------- -----------
TECHNOLOGY -- 3.5%
18,000 Seagate Technology, Inc.+..................................... 795,035 1,057,500
900 Thiokol Corporation........................................... 25,195 37,013
10,000 U.S. Robotics Corp.+.......................................... 624,375 917,500
15,000 Varian Associates, Inc. ...................................... 536,426 855,000
----------- -----------
1,981,031 2,867,013
----------- -----------
TELECOMMUNICATIONS -- 1.5%
50,000 Equifax, Inc. ................................................ 726,080 1,237,500
----------- -----------
TEXTILES -- 1.0%
17,000 Jones Apparel Group, Inc.+.................................... 723,348 867,000
----------- -----------
TRANSPORTATION -- 3.4%
5,000 Atlantic Southeast Airlines, Inc. ............................ 113,125 132,500
39,000 Illinois Central Corporation.................................. 917,620 1,165,125
12,000 PHH Corporation............................................... 486,189 664,500
20,000 Tidewater Corporation......................................... 537,400 825,000
----------- -----------
2,054,334 2,787,125
----------- -----------
UTILITIES -- 12.4%
23,400 Central Louisiana Electric.................................... 554,804 623,023
11,000 Century Telephone Enterprises................................. 295,482 357,500
30,000 CMS Energy Corporation........................................ 700,959 862,500
32,900 Delmarva Power & Light Company................................ 683,818 645,663
30,000 Illinova Corporation.......................................... 735,100 787,500
3,400 Indiana Energy Corporation.................................... 81,306 80,750
34,000 MCN Corporation............................................... 648,259 807,500
13,671 MidAmerican Energy Company.................................... 212,691 234,116
20,800 New England Electric System................................... 736,446 699,400
33,000 New York Gas & Electric Company............................... 753,720 754,875
23,000 NIPSCO Industries, Inc. ...................................... 700,071 856,750
18,800 Oklahoma Gas & Electric Company............................... 656,967 716,750
20,000 Pinnacle West Capital Corporation............................. 418,000 530,000
31,500 Portland General Corporation.................................. 574,350 929,250
42,000 Public Service New Mexico Company............................. 754,530 787,500
19,400 SCANA Corporation............................................. 444,326 506,825
----------- -----------
8,950,829 10,179,902
----------- -----------
TOTAL COMMON STOCK............................................ 55,755,503 74,868,929
----------- -----------
</TABLE>
See accompanying notes to financial statements.
16
<PAGE> 21
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments (continued)
May 31, 1996
<TABLE>
<CAPTION>
SHARES/ VALUE
PRINCIPAL COST (NOTE 2A)
- ---------- ----------- -----------
<S> <C> <C> <C>
U.S. TREASURY BILL -- 6.1%
$5,000,000 06/06/1996.................................................... $ 4,996,572 $ 4,996,572
----------- -----------
MONEY MARKET FUND -- 2.7%
2,235,115 Short-Term Investment Co. Treasury Portfolio.................. 2,235,115 2,235,115
----------- -----------
TOTAL INVESTMENTS -- 99.9%.................................... $62,987,190* 82,100,616
===========
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1%................................ 40,862
-----------
NET ASSETS -- 100.0%......................................................... $82,141,478
===========
</TABLE>
+ Non-income producing security.
* The cost for Federal income tax purposes is substantially the same.
See accompanying notes to financial statements.
17
<PAGE> 22
PERFORMANCE FUNDS TRUST
Footnotes to Portfolios
May 31, 1996
** CREDIT RATINGS GIVEN BY RATING AGENCIES ARE EXPLAINED BELOW. (UNAUDITED)
<TABLE>
<CAPTION>
STANDARD
MOODY'S &
INVESTORS POOR'S
SERVICE, INC. CORP.
-------------- ---------
<S> <C> <C> <C>
P-1 A-1 Short-term instruments of the highest quality.
Aaa AAA Instrument judged to be of the highest quality and
carrying the smallest amount of investment risk.
NR NR Not Rated. In the opinion of the Investment
Advisor, instrument judged to be of comparable
investment quality to rated securities which may
be purchased by the Funds.
</TABLE>
U.S. Government Agency Obligations and U.S. Treasury Obligations are implied
ratings.
Items which possess the strongest investment attributes of their category are
given that letter rating followed by a number. The Standard & Poor's ratings may
be modified by the addition of a plus or minus sign to show relative standing
within the major rating categories.
INVESTMENT PERCENTAGES SHOWN ARE CALCULATED AS A PERCENTAGE OF NET ASSETS.
See accompanying notes to financial statements.
18
<PAGE> 23
PERFORMANCE FUNDS TRUST
Statement of Assets and Liabilities
May 31, 1996
<TABLE>
<CAPTION>
MONEY SHORT TERM INTERMEDIATE
MARKET GOVERNMENT TERM GOVERNMENT
FUND INCOME FUND INCOME FUND
------------ ------------ ---------------
<S> <C> <C> <C>
ASSETS:
Investments in securities at value (identified cost
$368,531,902, $108,277,432 and $80,849,779,
respectively)........................................ $368,531,902 $107,740,318 $79,226,533
Repurchase Agreements, at value (cost $25,000,000, $0
and $0, respectively)................................ 25,000,000 -- --
Cash................................................... -- -- 2,217
Dividends and interest receivable...................... 535,980 1,120,599 1,143,335
Unamortized organization expenses...................... 23,433 12,458 12,458
Receivable for Fund shares sold........................ -- 12,102 25,185
------------ ------------ -----------
Total Assets....................................... 394,091,315 108,885,477 80,409,728
------------ ------------ -----------
LIABILITIES:
Dividends payable...................................... 1,736,130 484,004 391,617
Payable for Fund shares redeemed....................... -- 92,806 52,341
Advisory fee payable................................... 34,033 36,184 30,767
Administrative services fee payable.................... 20,420 13,752 10,256
Custodian fee payable.................................. 13,613 3,667 2,735
Transfer agent fee payable............................. 375 205 381
Other accrued expenses................................. 104,541 160,797 70,812
------------ ------------ -----------
Total Liabilities.................................. 1,909,112 791,415 558,909
------------ ------------ -----------
NET ASSETS...................................... $392,182,203 $108,094,062 $79,850,819
============ ============ ===========
NET ASSETS CONSIST OF:
Shares of beneficial interest outstanding (Par value of
$.001 per share) unlimited number of shares
authorized........................................... $ 392,182 $ 11,087 $ 8,132
Additional paid-in capital........................... 391,790,021 111,336,970 86,017,644
Accumulated realized loss on investments............. -- (2,716,881) (4,551,711)
Net unrealized depreciation on investments........... -- (537,114) (1,623,246)
------------ ------------ -----------
Net assets applicable to shares outstanding.............. $392,182,203 $108,094,062 $79,850,819
============ ============ ===========
SHARES OF BENEFICIAL INTEREST:
INSTITUTIONAL CLASS:
Shares of Beneficial Interest Outstanding............ 366,966,364 10,935,518 7,910,500
=========== ========== =========
Net Asset Value, Maximum Offering Price, and
Redemption Price Per Share......................... $1.00 $9.75 $9.82
===== ===== =====
CONSUMER SERVICE CLASS:
Shares of Beneficial Interest Outstanding............ 25,215,839 151,519 221,371
========== ======= =======
Net Asset Value, Maximum Offering Price and
Redemption Price Per Share......................... $1.00 $9.75 $9.82
===== ===== =====
</TABLE>
See accompanying notes to financial statements.
19
<PAGE> 24
PERFORMANCE FUNDS TRUST
Statement of Assets and Liabilities (continued)
May 31, 1996
<TABLE>
<CAPTION>
MID CAP
EQUITY GROWTH
FUND FUND
------------ -----------
<S> <C> <C>
ASSETS:
Investments in securities at value (identified cost $108,583,925
and $62,987,190, respectively)......................................... $149,508,865 $82,100,616
Cash..................................................................... 4,209 --
Dividends and interest receivable........................................ 404,969 93,022
Unamortized organization expenses........................................ 12,458 26,531
Receivable for Fund shares sold.......................................... 543,773 116,473
------------ -----------
Total Assets......................................................... 150,474,274 82,336,642
------------ -----------
LIABILITIES:
Dividends payable........................................................ 354,371 75,057
Advisory fee payable..................................................... 62,359 41,175
Administrative services fee payable...................................... 18,708 10,294
Custodian fee payable.................................................... 4,989 2,745
Transfer agent fee payable............................................... 1,064 234
Other accrued expenses................................................... 57,601 65,659
------------ -----------
Total Liabilities.................................................... 499,092 195,164
------------ -----------
NET ASSETS........................................................ $149,975,182 $82,141,478
============ ===========
NET ASSETS CONSIST OF:
Shares of beneficial interest outstanding (Par value of $.001 per share)
unlimited number of shares authorized.................................. $ 9,806 $ 5,846
Additional paid-in capital............................................... 106,125,114 62,246,233
Accumulated undistributed net investment income.......................... 60,315 1,487
Accumulated realized gain on investments................................. 2,855,007 774,486
Net unrealized appreciation on investments............................... 40,924,940 19,113,426
------------ -----------
Net assets applicable to shares outstanding................................ $149,975,182 $82,141,478
============ ===========
SHARES OF BENEFICIAL INTEREST:
INSTITUTIONAL CLASS:
Shares of Beneficial Interest Outstanding.............................. 9,162,821 5,744,117
========= =========
Net Asset Value, Maximum Offering Price, and Redemption Price Per
Share................................................................. $15.29 $14.05
====== ======
CONSUMER SERVICE CLASS:
Shares of Beneficial Interest Outstanding.............................. 642,787 102,309
======= =======
Net Asset Value, Maximum Offering Price and Redemption Price Per
Share................................................................. $15.29 $14.05
====== ======
</TABLE>
See accompanying notes to financial statements.
20
<PAGE> 25
PERFORMANCE FUNDS TRUST
Statement of Operations
Year Ended May 31, 1996
<TABLE>
<CAPTION>
MONEY SHORT TERM INTERMEDIATE
MARKET GOVERNMENT TERM GOVERNMENT
FUND INCOME FUND INCOME FUND
----------- ----------- ---------------
<S> <C> <C> <C>
INCOME:
Interest............................................... $21,726,122 $ 6,945,132 $ 5,033,016
Dividends.............................................. -- -- --
---------- ---------- ----------
21,726,122 6,945,132 5,033,016
---------- ---------- ----------
EXPENSES:
Advisory............................................... 1,151,421 449,285 396,037
Administrative services................................ 575,832 168,550 119,104
Custodian.............................................. 153,662 44,947 31,761
Legal.................................................. 43,335 8,041 10,164
Fund accounting........................................ 30,000 36,104 39,670
Distribution (Consumer Service Class).................. 26,694 2,396 8,087
Insurance.............................................. 24,218 7,798 5,153
Audit.................................................. 22,000 30,173 26,627
Reports to shareholders................................ 20,884 10,814 14,778
Registration........................................... 13,442 8,900 8,164
Shareholder services................................... 10,076 12,503 11,512
Amortization of organizational expenses................ 9,297 7,594 7,594
Trustees' fees and expenses............................ 5,400 4,406 5,393
Miscellaneous.......................................... 7,567 10,000 2,167
---------- ---------- ----------
Total expenses before waivers........................ 2,093,828 801,511 686,211
Less: Expenses waived by Advisor and Administrator... (1,135,197) (6,868) (38,724)
---------- ---------- ----------
Net expenses......................................... 958,631 794,643 647,487
---------- ---------- ----------
NET INVESTMENT INCOME.................................. 20,767,491 6,150,489 4,385,529
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investment transactions........... -- 1,061,507 2,334,645
Net change in unrealized depreciation on investments... -- (2,185,226) (4,382,087)
---------- ---------- ----------
Net realized and unrealized loss on investments........ -- (1,123,719) (2,047,442)
---------- ---------- ----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS......... $20,767,491 $ 5,026,770 $ 2,338,087
========== ========== ==========
</TABLE>
See accompanying notes to financial statements.
21
<PAGE> 26
PERFORMANCE FUNDS TRUST
Statement of Operations (continued)
Year Ended May 31, 1996
<TABLE>
<CAPTION>
MID CAP
EQUITY GROWTH
FUND FUND
----------- -----------
<S> <C> <C>
INCOME:
Interest.................................................................. $ 399,361 $ 254,759
Dividends................................................................. 2,668,960 1,013,730
---------- ----------
3,068,321 1,268,489
---------- ----------
EXPENSES:
Advisory.................................................................. 750,188 468,219
Administrative services................................................... 187,486 93,541
Custodian................................................................. 49,996 24,944
Fund accounting........................................................... 33,463 36,928
Audit..................................................................... 27,747 24,531
Reports to shareholders................................................... 21,003 8,342
Shareholder services...................................................... 18,991 8,153
Distribution (Consumer Service Class)..................................... 15,946 1,426
Registration.............................................................. 10,041 12,375
Amortization of organizational expenses................................... 7,594 9,575
Legal..................................................................... 6,774 10,205
Insurance................................................................. 5,592 6,264
Trustees' fees and expenses............................................... 5,476 4,433
Miscellaneous............................................................. 10,086 4,257
---------- ----------
Total expenses before waivers........................................... 1,150,383 713,193
Less: Expenses waived by Advisor and Administrator...................... (125,235) (94,055)
---------- ----------
Net expenses............................................................ 1,025,148 619,138
---------- ----------
NET INVESTMENT INCOME..................................................... 2,043,173 649,351
---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investment transactions.............................. 3,790,726 2,929,921
Net change in unrealized appreciation on investments...................... 25,139,343 14,335,566
---------- ----------
Net realized and unrealized gain on investments........................... 28,930,069 17,265,487
---------- ----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $30,973,242 $17,914,838
========== ==========
</TABLE>
See accompanying notes to financial statements.
22
<PAGE> 27
PERFORMANCE FUNDS TRUST
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SHORT TERM GOVERNMENT INTERMEDIATE TERM GOVERNMENT
MONEY MARKET FUND INCOME FUND INCOME FUND
---------------------------------- ---------------------------------- ----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995 MAY 31, 1996 MAY 31, 1995 MAY 31, 1996 MAY 31, 1995
----------------- ------------- ------------------ ------------ ------------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE
(DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment
income......... $ 20,767,491 $ 11,249,408 $ 6,150,489 $ 5,743,068 $ 4,385,529 $ 9,026,136
Net realized gain
(loss) on
investment
transactions... -- -- 1,061,507 (3,214,925) 2,334,645 (5,749,778)
Net change in
unrealized
appreciation
(depreciation)
on
investments.... -- -- (2,185,226) 3,945,766 (4,382,087) 7,962,756
------------ ------------ ------------ ------------ ----------- ------------
Increase in net
assets
resulting from
operations..... 20,767,491 11,249,408 5,026,770 6,473,909 2,338,087 11,239,114
------------ ------------ ------------ ------------ ----------- ------------
Distributions to
Shareholders
From:
Net Investment
Income
Institutional
Class........ (20,231,865) (11,131,901) (6,101,238) (5,704,534) (4,215,076) (8,824,901)
Consumer
Service
Class........ (535,626) (117,507) (49,251) (38,534) (170,453) (201,235)
------------ ------------ ------------ ------------ ----------- ------------
(20,767,491) (11,249,408) (6,150,489) (5,743,068) (4,385,529) (9,026,136)
------------ ------------ ------------ ------------ ----------- ------------
Distributions In
Excess of Net
Realized Gains on
Investment
Transactions
Institutional
Class........ -- -- -- (26,379) -- (102,503)
Consumer
Service
Class........ -- -- -- (196) -- (2,428)
------------ ------------ ------------ ------------ ----------- ------------
-- -- -- (26,575) -- (104,931)
------------ ------------ ------------ ------------ ----------- ------------
Total
Distributions
to
Shareholders... (20,767,491) (11,249,408) (6,150,489) (5,769,643) (4,385,529) (9,131,067)
------------ ------------ ------------ ------------ ----------- ------------
Transactions in
Shares of
Beneficial
Interest
Proceeds from
sales of
shares:
Institutional
Class........ 866,500,419 626,979,875 39,421,139 19,439,110 18,417,877 27,880,759
Consumer
Service
Class........ 37,943,309 4,812,781 1,033,188 247,413 708,923 308,668
------------ ------------ ------------ ------------ ----------- ------------
904,443,728 631,792,656 40,454,327 19,686,523 19,126,800 28,189,427
------------ ------------ ------------ ------------ ----------- ------------
Net asset value
of shares
issued to
shareholders in
reinvestment of
distributions:
Institutional
Class...... 28,067 3,004 4,357,882 4,049,439 2,629,070 6,212,607
Consumer
Service
Class...... 456,141 99,869 42,063 33,783 145,175 175,944
------------ ------------ ------------ ------------ ----------- ------------
484,208 102,873 4,399,945 4,083,222 2,774,245 6,388,551
------------ ------------ ------------ ------------ ----------- ------------
Cost of shares
redeemed:
Institutional
Class........ (824,504,347) (441,197,526) (40,782,969) (31,115,767) (49,449,964) (86,496,524)
Consumer
Service
Class........ (16,747,680) (2,146,089) (322,490) (200,738) (1,829,651) (716,596)
------------ ------------ ------------ ------------ ----------- ------------
(841,252,027) (443,343,615) (41,105,459) (31,316,505) (51,279,615) (87,213,120)
------------ ------------ ------------ ------------ ----------- ------------
Net increase
(decrease) in
net assets
derived from
transactions in
shares of
beneficial
interest....... 63,675,909 188,551,914 3,748,813 (7,546,760) (29,378,570) (52,635,142)
------------ ------------ ------------ ------------ ----------- ------------
Total Increase
(Decrease) In Net
Assets........... 63,675,909 188,551,914 2,625,094 (6,842,494) (31,426,012) (50,527,095)
NET ASSETS:
Beginning of
Year........... 328,506,294 139,954,380 105,468,968 112,311,462 111,276,831 161,803,926
------------ ------------ ------------ ------------ ----------- ------------
End of Year...... $ 392,182,203 $ 328,506,294 $108,094,062 $105,468,968 $ 79,850,819 $111,276,831
============ ============ ============ ============ =========== ============
</TABLE>
See accompanying notes to financial statements.
23
<PAGE> 28
PERFORMANCE FUNDS TRUST
Statement of Changes in Net Assets (continued)
<TABLE>
<CAPTION>
EQUITY FUND MID CAP GROWTH FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995 MAY 31, 1996 MAY 31, 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.......................... $ 2,043,173 $ 2,047,623 $ 649,351 $ 556,540
Net realized gain on investment transactions... 3,790,726 3,438,029 2,929,921 324,379
Net change in unrealized appreciation on
investments.................................. 25,139,343 7,809,717 14,335,566 5,915,088
------------ ------------ ----------- -----------
Increase in net assets resulting from
operations................................... 30,973,242 13,295,369 17,914,838 6,796,007
------------ ------------ ----------- -----------
Distributions to Shareholders From:
Net Investment Income
Institutional Class.......................... (1,950,779) (1,896,312) (643,254) (554,616)
Consumer Service Class....................... (92,399) (91,025) (4,859) (1,942)
------------ ------------ ----------- -----------
(2,043,178) (1,987,337) (648,113) (556,558)
------------ ------------ ----------- -----------
Realized Capital Gains
Institutional Class.......................... (4,158,224) (1,877,664) (2,337,629) --
Consumer Service Class....................... (210,061) (104,545) (15,913) --
------------ ------------ ----------- -----------
(4,368,285) (1,982,209) (2,353,542) --
------------ ------------ ----------- -----------
Total Distributions to Shareholders.......... (6,411,463) (3,969,546) (3,001,655) (556,558)
------------ ------------ ----------- -----------
Transactions in Shares of Beneficial Interest
Proceeds from sales of shares:
Institutional Class.......................... 31,171,285 19,561,997 26,665,253 16,003,598
Consumer Service Class....................... 4,177,748 816,772 1,005,191 208,948
------------ ------------ ----------- -----------
35,349,033 20,378,769 27,670,444 16,212,546
------------ ------------ ----------- -----------
Net asset value of shares issued to
shareholders in reinvestment of
distributions:
Institutional Class.......................... 4,894,245 2,947,905 2,548,001 517,800
Consumer Service Class....................... 293,864 194,537 19,816 1,756
------------ ------------ ----------- -----------
5,188,109 3,142,442 2,567,817 519,556
------------ ------------ ----------- -----------
Cost of shares redeemed:
Institutional Class.......................... (19,353,829) (25,216,828) (11,334,681) (8,437,505)
Consumer Service Class....................... (1,113,532) (1,556,853) (19,842) (4,000)
------------ ------------ ----------- -----------
(20,467,361) (26,773,681) (11,354,523) (8,441,505)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets derived
from transactions in shares of beneficial
interest..................................... 20,069,781 (3,252,470) 18,883,738 8,290,597
------------ ------------ ----------- -----------
Total Increase in Net Assets..................... 44,631,560 6,073,353 33,796,921 14,530,046
NET ASSETS:
Beginning of Year.............................. 105,343,622 99,270,269 48,344,557 33,814,511
------------ ------------ ----------- -----------
End of Year.................................... $149,975,182 $105,343,622 $ 82,141,478 $48,344,557
============ ============ =========== ===========
Undistributed net investment income.............. $ 60,315 $ 60,320 $ 1,487 $ 249
============ ============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
24
<PAGE> 29
PERFORMANCE FUNDS TRUST
Notes to Financial Statements -- May 31, 1996
1. Description and Organization. Performance Funds Trust (the "Trust") is
registered under the Investment Company Act of 1940, as amended (the "1940
Act"), as an open-end, management investment company. The Trust was organized as
a Delaware business trust on March 11, 1992 and currently consists of six
separate portfolios: Money Market Fund, Short Term Government Income Fund,
Intermediate Term Government Income Fund, Equity Fund, Mid Cap Growth Fund and
U.S. Treasury Money Market Fund (collectively, the "Funds"), each with two (2)
classes of shares, the Institutional Class (offered only to certain
institutional investors) and the Consumer Service Class. Each class of shares
outstanding bears the same voting, dividend, liquidation and other rights and
conditions, except that the Consumer Service Class shares bear the expenses
incurred in the distribution and marketing of such shares. The Consumer Service
Class shares can be subject to a sales load of 2.00% for the Short Term
Government Income Fund and the Intermediate Term Government Income Fund and
4.70% for the Equity Fund and the Mid Cap Growth Fund. However, effective
December 12, 1995, the sales load for Consumer Service Class has been lifted.
There is no sales charge on the Money Market Fund. Currently, five of the
portfolios are active and one, U.S. Treasury Money Market Fund, has not
commenced operations. Prior to June 1, 1992 (commencement of operations for
Short Term Government Income Fund, Intermediate Term Government Income Fund and
Equity Fund), the Funds had no operations, other than organizational matters,
except for the sale to Furman Selz LLC ("Furman Selz"), of shares of beneficial
interest representing the initial capital of the Funds. In the event that any of
the initial shares of the Funds owned by Furman Selz are redeemed prior to the
complete amortization of organization costs, the redemption proceeds will be
reduced by a pro rata portion of any unamortized deferred organization expenses
in the same proportion as the number of initial shares being redeemed bears to
the number of initial shares outstanding at the time of redemption.
2. Significant Accounting Policies. The following is a summary of
significant accounting policies followed by the Funds:
A. Security Valuation. Securities listed on an exchange or on the
NASDAQ National Market System are valued on the basis of the last sale
prior to the time the valuation is made in the markets in which such
securities are primarily traded. If there has been no sale since the
immediately previous valuation, then the current bid price is used.
Securities for which the primary market is over-the-counter are valued on
the basis of the bid price at the close of business on each business day.
Securities for which market quotations are not readily available are valued
at fair value as determined in good faith by or at the direction of the
Board of Trustees. Bonds and other fixed-income securities are valued by
using market quotations and may be valued on the basis of prices provided
by a pricing service approved by the Board of Trustees. Money Market Fund
values investments at amortized cost, which approximates market value.
Short term securities which mature in 60 days or less are valued at
amortized cost, if their term to maturity at purchase was 60 days or less,
or by amortizing their value on the 61st day prior to maturity, if their
term to maturity at purchase exceeded 60 days.
B. Investment Transactions and Income. Transactions are recorded on
the trade date. Identified cost of investments sold is used to calculate
gain and loss on sales for both financial statement and Federal income tax
purposes. Interest income, including the amortization of discount or
premium, is recorded as earned. Dividends are recorded on the ex-dividend
date.
C. Determination of Net Asset Value and Calculation of
Expenses. Expenses directly attributable to a Fund are charged to that
Fund. Other expenses are allocated proportionately among the Funds within
the Trust in relation to the net assets of each Fund or on another
reasonable basis. In calculating net asset value per share of each class,
investment income, realized and unrealized gains and losses and expenses
other than class specific expenses are allocated daily to each class of
shares based upon the proportion of net assets attributed to each class at
the beginning of each day. Distribution expenses are solely borne by and
charged to the Consumer Service Class shares of each Fund based on net
assets of that class.
25
<PAGE> 30
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1996
D. Federal Income Taxes. It is the Funds' policy to qualify as
"regulated investment companies" under Subchapter M of the Internal Revenue
Code of 1986, as amended. By so qualifying, the Funds will not be subject
to Federal income taxes to the extent that they distribute all taxable
income earned during their fiscal year. The Funds also intend to meet the
distribution requirements to avoid the payment of an excise tax.
Accordingly, no provision for income or excise tax is required.
E. Distributions to Shareholders. Money Market, Short Term
Government Income and Intermediate Term Government Income Funds declare
dividends of substantially all of their net investment income daily and pay
those dividends monthly. The Equity and The Mid Cap Growth Funds declare
and pay as a dividend substantially all of their net investment income each
month. Each Fund will distribute, at least annually, substantially all net
capital gains, if any, earned by such Fund. The Funds record all dividends
and distributions on the ex-dividend date.
The amount of dividends and distributions are determined in accordance
with Federal income tax regulations which may differ from generally
accepted accounting principles. These "book/tax" differences are either
considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified within
the capital accounts based on their Federal tax basis treatment; temporary
differences do not require reclassification. Dividends and distributions
which exceed net investment income and net realized capital gains for
financial reporting purposes but not for tax purposes are reported as
dividends in excess of net investment income or distributions in excess of
net realized capital gains.
F. Organization Expenses. Costs incurred in connection with the
organization and initial registration of each Fund have been deferred and
are being amortized over a sixty month period beginning with each Fund's
commencement of operations.
G. Use of Estimates. Estimates and assumptions are required to be
made regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ from these amounts.
3. Advisor. The Funds have entered into an Advisory Contract with
Trustmark National Bank ("Trustmark"). Under the Advisory Contract, Trustmark is
responsible for managing the investments of the Funds and for continually
reviewing, supervising and administering the Funds' investments. For the
advisory services it provides to the Funds, Trustmark is entitled to receive
monthly fees, based on average daily net assets, at up to the following annual
rates: Money Market Fund, 0.30%; Short Term Government Income Fund, 0.40%;
Intermediate Term Government Income Fund, 0.50%; Equity Fund, 0.60%; and Mid Cap
Growth Fund, 0.75%.
For the year ended May 31, 1996, Trustmark was entitled to and waived
advisory fees as listed below:
<TABLE>
<CAPTION>
TRUSTMARK TRUSTMARK
ENTITLED WAIVED
---------- ---------
<S> <C> <C>
Money Market Fund........................................ $1,151,421 $ 782,328
Short Term Government Income Fund........................ 449,285 6,868
Intermediate Term Government Income Fund................. 396,037 38,724
Equity Fund.............................................. 750,188 125,235
Mid Cap Growth Fund...................................... 468,219 94,055
</TABLE>
4. Administrator. The Funds have entered into an Administrative Services
Contract with Furman Selz. Under the Administrative Services Contract, Furman
Selz provided management and administrative services necessary for
26
<PAGE> 31
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1996
the operation of the Funds, furnished office space and facilities and paid the
compensation of the Trust's offices affiliated with Furman Selz. For these
administrative services, Furman Selz is paid a monthly fee at the annual rate of
0.15% of the average daily net assets of each Fund.
For the year ended May 31, 1996, Furman Selz was entitled to and waived
administrative services fees as listed below:
<TABLE>
<CAPTION>
FURMAN SELZ FURMAN SELZ
ENTITLED WAIVED
----------- -----------
<S> <C> <C>
Money Market Fund.................................... $ 575,832 $ 352,869
Short Term Government Income Fund.................... 168,550 --
Intermediate Term Government Income Fund............. 119,104 --
Equity Fund.......................................... 187,486 --
Mid Cap Growth Fund.................................. 93,541 --
</TABLE>
Under a Distribution Plan adopted by the Funds under Rule 12b-1 of the 1940
Act, each Fund may, with respect to its Consumer Service Class, reimburse
Performance Funds Distributor, Inc. (the "Distributor"), a subsidiary of Furman
Selz, monthly (subject to a limit of 0.35% per annum of the average daily net
assets of each Fund) for costs and expenses of the Distributor in connection
with the distribution of Fund shares of the Consumer Service Class. No such fees
will be paid by the Institutional Class.
For the year ended May 31, 1996, the actual fee payable amounted to 0.25%
per annum of the average daily net assets of each Fund's Consumer Service Class.
5. Other Transactions with Affiliates. Pursuant to a Fund Accounting
Agreement between the Trust and Furman Selz, for calculating net asset values
and providing certain other accounting services for each Fund, Furman Selz is
paid an annual fee of $30,000 plus out of pocket expenses, from each Fund.
The Funds retain Furman Selz as transfer agent. Furman Selz provides
personnel necessary to perform shareholder servicing functions. Pursuant to a
Shareholder Servicing Agreement Furman Selz receives a fee of $15.00 per
account, per year, and reimbursement for certain expenses.
For the year ended May 31, 1996, Furman Selz earned the following fees for
the performance of shareholder servicing and fund accounting services (exclusive
of out of pocket costs):
<TABLE>
<S> <C>
Money Market Fund................................................... $32,679
Short Term Government Income Fund................................... 32,418
Intermediate Term Government Income Fund............................ 34,666
Equity Fund......................................................... 40,443
Mid Cap Growth Fund................................................. 31,284
</TABLE>
Pursuant to a Custodian Agreement between the Trust and Trustmark National
Bank, Trustmark is the Custodian of the Funds' cash and securities. For these
services, Trustmark is paid a monthly fee at the annual rate of 0.04% of the
average daily net assets of each Fund, plus certain transaction charges. For the
year ended May 31, 1996, Trustmark earned the custody fees shown in the
statement of operations.
6. Repurchase Agreements. The Funds may enter into repurchase agreements
with government securities dealers recognized by the Federal Reserve Board, with
member Banks of the Federal Reserve System or with such other brokers or dealers
that meet the credit guidelines established by the Board of Trustees. It is the
Funds' policy
27
<PAGE> 32
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1996
to receive and maintain securities as collateral whose market value, including
accrued interest, will be at least 100% of the dollar amount invested by that
Fund in each agreement, and that Fund will make payment for such securities only
upon physical delivery or upon evidence of book entry transfer to the account of
the custodian. To the extent that any repurchase transaction exceeds one
business day, it is the Funds' policy that the value of the collateral is marked
to market on a daily basis to ensure the adequacy of the collateral. If the
seller defaults and the value of the collateral declines, or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Fund may be delayed or limited.
7. Security Transactions. The cost of securities purchased and proceeds
from securities sold (excluding short-term securities) for the year ended May
31, 1996 were as follows:
<TABLE>
<CAPTION>
COMMON STOCKS, PREFERRED
STOCKS AND
CORPORATE NOTES AND BONDS U.S. GOVERNMENT OBLIGATIONS
----------------------------- -------------------------------
PROCEEDS PROCEEDS
COST OF FROM COST OF FROM
SECURITIES SECURITIES SECURITIES SECURITIES
PURCHASED SOLD PURCHASED SOLD
----------- ----------- ------------ ------------
<S> <C> <C> <C> <C>
Short Term
Government Income
Fund.............. $ 6,002,310 $ -- $128,709,315 $128,768,772
Intermediate Term
Government Income
Fund.............. 13,783,816 22,532,656 131,332,100 151,526,496
Equity Fund......... 20,622,348 7,035,439 -- --
Mid Cap Growth
Fund.............. 28,312,824 16,351,721 -- --
</TABLE>
Unrealized appreciation (depreciation) at May 31, 1996, based on the cost
of securities for Federal income tax purposes, is as follows:
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ---------- -----------
<S> <C> <C> <C>
Short Term Government Income Fund........... $ 309,347 $ 846,461 $ (537,114)
Intermediate Term Government Income Fund.... 139,751 1,762,997 (1,623,246)
Equity Fund................................. 41,962,025 1,037,085 40,924,940
Mid Cap Growth Fund......................... 19,709,447 596,021 19,113,426
</TABLE>
8. Federal Income Tax Status. At May 31, 1996, Short Term Government
Income Fund and Intermediate Term Government Income Fund had a net capital loss
carryover of approximately $2,690,000 and $4,394,000, respectively, which will
be available through May 31, 2003 to offset future capital gains to the extent
provided by Federal income tax regulations. During the year ended May 31, 1996,
Short Term Government Income Fund and Intermediate Term Government Income Fund
utilized available capital loss carryover of $381,000 and $2,261,000,
respectively.
28
<PAGE> 33
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1996
9. Capital Share Transactions. The Trust is authorized to issue an
unlimited number of shares of beneficial interest with a par value of $0.001
each. Transactions in shares of the Funds were as follows:
<TABLE>
<CAPTION>
SHORT TERM GOVERNMENT
MONEY MARKET FUND INCOME FUND
-------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995 MAY 31, 1996 MAY 31, 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS
Shares sold..................................................... 866,500,419 626,979,875 3,990,252 2,006,920
Shares issued in reinvestment of distributions.................. 28,067 3,004 442,352 417,443
------------ ------------ ------------ ------------
866,528,486 626,982,879 4,432,604 2,424,363
Shares redeemed................................................. (824,504,347) (441,197,526) (4,140,652) (3,210,813)
------------ ------------ ------------ ------------
Net increase (decrease) in shares............................... 42,024,139 185,785,353 291,952 (786,450)
============ ============ ============ ============
CONSUMER SERVICE CLASS
Shares sold..................................................... 37,943,309 4,812,781 104,816 25,402
Shares issued in reinvestment of distributions.................. 456,141 99,869 4,272 3,484
------------ ------------ ------------ ------------
38,399,450 4,912,650 109,088 28,886
Shares redeemed................................................. (16,747,680) (2,146,089) (32,694) (20,750)
------------ ------------ ------------ ------------
Net increase in shares.......................................... 21,651,770 2,766,561 76,394 8,136
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE TERM
GOVERNMENT INCOME FUND EQUITY FUND
-------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995 MAY 31, 1996 MAY 31, 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS
Shares sold..................................................... 1,812,613 2,889,666 2,221,605 1,677,913
Shares issued in reinvestment of distributions.................. 258,829 641,146 350,538 265,230
------------ ------------ ------------ ------------
2,071,442 3,530,812 2,572,143 1,943,143
Shares redeemed................................................. (4,845,988) (8,900,496) (1,409,960) (2,240,882)
------------ ------------ ------------ ------------
Net increase (decrease) in shares............................... (2,774,546) (5,369,684) 1,162,183 (297,739)
============ ============ ============ ============
CONSUMER SERVICE CLASS
Shares sold..................................................... 69,994 31,909 282,644 71,148
Shares issued in reinvestment of distributions.................. 14,284 18,175 21,044 17,539
------------ ------------ ------------ ------------
84,278 50,084 303,688 88,687
Shares redeemed................................................. (181,825) (74,053) (79,130) (137,214)
------------ ------------ ------------ ------------
Net increase (decrease) in shares............................... (97,547) (23,969) 224,558 (48,527)
============ ============ ============ ============
</TABLE>
29
<PAGE> 34
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1996
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
-----------------------------
YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995
------------ ------------
<S> <C> <C>
INSTITUTIONAL CLASS
Shares sold........................................................................... 2,117,774 1,613,390
Shares issued in reinvestment of distributions........................................ 209,185 52,661
------------ ------------
2,326,959 1,666,051
Shares redeemed....................................................................... (909,532) (856,575)
------------ ------------
Net increase in shares................................................................ 1,417,427 809,476
============ ============
CONSUMER SERVICE CLASS
Shares sold........................................................................... 77,326 21,516
Shares issued in reinvestment of distributions........................................ 1,623 177
------------ ------------
78,949 21,693
Shares redeemed....................................................................... (1,579) (417)
------------ ------------
Net increase in shares................................................................ 77,370 21,276
============ ============
</TABLE>
10. Concentration of Credit Risk. In the pursuit of its minimum credit
risk policy, Money Market Fund maintains a diversified portfolio of money market
instruments, each of which matures in 397 days or less and is rated in the
highest rating category of at least two nationally recognized statistical rating
organizations, or, if not rated, is judged by the Board of Trustees to be of
comparable quality. The ability of the issuer of the instruments to meet its
obligations may be affected by economic developments in a specific industry or
region. At May 31, 1996, industry concentrations of Money Market Fund's
portfolio for industries in excess of 5% of net assets were: Consumer
Non-Durables -- 18.39%, Food & Beverages -- 10.87% Financial Services -- 9.15%
and Retail -- 8.00%.
30
<PAGE> 35
PERFORMANCE FUNDS TRUST
Financial Highlights
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
MONEY MARKET FUND
-------------------------------------------------------------------------------------
INSTITUTIONAL CLASS CONSUMER SERVICE CLASS
------------------------------------------ ---------------------------------------
SEPTEMBER 30, 1994 SEPTEMBER 30, 1994
YEAR YEAR (COMMENCEMENT OF YEAR YEAR (COMMENCEMENT OF
ENDED ENDED OPERATIONS) ENDED ENDED OPERATIONS)
MAY 31, MAY 31, THROUGH MAY 31, MAY 31, THROUGH
1996 1995 MAY 31, 1994 1996 1995 MAY 31, 1994
-------- -------- ------------------ ------- ------- ------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period....... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
---- ---- --------- ----- ----- ----------
Income from Investment Operations:
Net investment income.................... 0.05 0.05 0.02 0.05 0.05 0.02
---- ---- --------- ----- ----- ----------
Less Distributions;
Dividends from net investment income..... (0.05) (0.05) (0.02) (0.05) (0.05) (0.02)
---- ---- --------- ----- ----- ----------
Net Asset Value, End of Period............. $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ========= ===== ===== ==========
Total Return............................... 5.60% 5.27% 2.17% 5.33% 5.02% 2.03%
Ratios/Supplemental Data:
Net Assets, End of Period (in
thousands)............................. $366,966 $324,942 $139,157 $25,216 $3,564 $797
Ratios of Expenses to Average Net
Assets................................. 0.24% 0.23% 0.15%* 0.49% 0.48% 0.40%*
Effect of waivers/reimbursements on
expense ratios......................... 0.30% 0.36% 0.53%* 0.30% 0.36% 0.53%*
Ratios of Net Investment Income to
Average Net Assets..................... 5.42% 5.27% 3.30%* 5.17% 5.02% 3.05%*
</TABLE>
<TABLE>
<CAPTION>
SHORT TERM GOVERNMENT INCOME FUND
----------------------------------------------------------------------------------------
INSTITUTIONAL CLASS CONSUMER SERVICE CLASS
-------------------------------------------- ----------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1996 1995 1994 1993** 1996 1995 1994 1993**
-------- -------- -------- -------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period.............................. $9.84 $9.77 $10.10 $10.00 $9.84 $9.77 $10.10 $10.00
---- ---- ----- ----- ----- ----- ------ ------
Income from Investment Operations:
Net investment income............... 0.54 0.53 0.40 0.44 0.51 0.50 0.37 0.43
Net gain (loss) on securities (both
realized and unrealized).......... (0.09) 0.07 (0.25) 0.22 (0.09) 0.07 (0.25) 0.22
---- ---- ----- ----- ----- ----- ------ ------
Total from Investment Operations.... 0.45 0.60 0.15 0.66 0.42 0.57 0.12 0.65
---- ---- ----- ----- ----- ----- ------ ------
Less Distributions:
Dividends from net investment
income............................ (0.54) (0.53) (0.40) (0.44) (0.51) (0.50) (0.37) (0.43)
Distributions from net realized
gains............................. -- -- (0.05) (0.12) -- -- (0.05) (0.12)
Distributions in excess of net
realized gains.................... -- -- (0.03) -- -- -- (0.03) --
---- ---- ----- ----- ----- ----- ------ ------
Total Distributions................. (0.54) (0.53) (0.48) (0.56) (0.51) (0.50) (0.45) (0.55)
---- ---- ----- ----- ----- ----- ------ ------
Net Asset Value, End of Period........ $9.75 $9.84 $ 9.77 $10.10 $9.75 $9.84 $ 9.77 $10.10
===== ===== ====== ====== ===== ===== ====== ======
Total Return (not reflecting sales
load)............................... 4.65% 6.37% 1.49% 6.74% 4.38% 6.12% 1.23% 6.67%
Ratios/Supplemental Data:
Net Assets, End of Period
(in thousands).................... $106,617 $104,730 $111,657 $138,822 $1,477 $739 $654 $1,125
Ratios of Expenses to Average Net
Assets............................ 0.71% 0.74% 0.69% 0.67% 0.95% 0.99% 0.94% 0.75%
Effect of waivers/reimbursements on
expense ratios.................... 0.01% 0.03% 0.05% 0.05% 0.01% 0.03% 0.05% 0.05%
Ratios of Net Investment Income to
Average Net Assets................ 5.48% 5.43% 4.00% 4.32% 5.23% 5.18% 3.75% 4.24%
Portfolio Turnover Rate............. 120% 267.65% 213.43% 216.52% 120% 267.65% 213.43% 216.52%
</TABLE>
* Annualized
** Fund commenced operations on June 1, 1992.
See accompanying notes to financial statements.
31
<PAGE> 36
PERFORMANCE FUNDS TRUST
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
INTERMEDIATE TERM GOVERNMENT INCOME FUND
---------------------------------------------------------------------------
INSTITUTIONAL CLASS CONSUMER SERVICE CLASS
--------------------------------------- ----------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1996 1995 1994 1993** 1996 1995 1994 1993**
------- -------- -------- -------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period............. $10.11 $ 9.87 $ 10.56 $ 10.00 $10.11 $ 9.87 $10.56 $10.00
------- -------- -------- -------- ------- ------- ------- -------
Income from Investment Operations:
Net investment income.......................... 0.56 0.62 0.58 0.62 0.54 0.60 0.55 0.62
Net gain (loss) on securities (both realized
and unrealized).............................. (0.29) 0.25 (0.52) 0.61 (0.29) 0.25 (0.52) 0.61
------- -------- -------- -------- ------- ------- ------- -------
Total from Investment Operations............... 0.27 0.87 0.06 1.23 0.25 0.85 0.03 1.23
------- -------- -------- -------- ------- ------- ------- -------
Less Distributions:
Dividends from net investment income........... (0.56) (0.62) (0.58) (0.62) (0.54) (0.60) (0.55) (0.62)
Distributions from net realized gains.......... -- -- (0.11) (0.05) -- -- (0.11) (0.05)
Distributions in excess of net realized
gains........................................ -- (0.01) (0.06) -- -- (0.01) (0.06) --
------- -------- -------- -------- ------- ------- ------- -------
Total Distributions............................ (0.56) (0.63) (0.75) (0.67) (0.54) (0.61) (0.72) (0.67)
------- -------- -------- -------- ------- ------- ------- -------
Net Asset Value, End of Period................... $ 9.82 $ 10.11 $ 9.87 $ 10.56 $ 9.82 $10.11 $ 9.87 $10.56
======= ======== ======== ======== ======= ======= ======= =======
Total Return (not reflecting sales load)......... 2.66% 9.31% 0.34% 12.66% 2.40% 9.06% 0.08% 12.58%
Ratios/Supplemental Data:
Net Assets, End of Period (in thousands)....... $77,677 $108,052 $158,420 $150,115 $2,174 $3,225 $3,384 $1,952
Ratios of Expenses to Average Net Assets....... 0.81% 0.71% 0.65% 0.67% 1.06% 0.96% 0.90% 0.78%
Effect of waivers/reimbursements on expense
ratios....................................... 0.05% 0.11% 0.15% 0.15% 0.05% 0.11% 0.15% 0.15%
Ratios of Net Investment Income to
Average Net Assets........................... 5.55% 6.44% 5.50% 6.00% 5.30% 6.19% 5.25% 5.89%
Portfolio Turnover Rate........................ 183% 339.95% 102.46% 54.43% 183% 339.95% 102.46% 54.43%
</TABLE>
** Fund commenced operations on June 1, 1992.
See accompanying notes to financial statements.
32
<PAGE> 37
PERFORMANCE FUNDS TRUST
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
EQUITY FUND
-------------------------------------------------------------------------
INSTITUTIONAL CLASS CONSUMER SERVICE CLASS
------------------------------------ ----------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1996 1995 1994 1993** 1996 1995 1994 1993**
-------- -------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 12.51 $ 11.33 $11.21 $10.00 $12.51 $11.33 $11.21 $10.00
-------- -------- ------- ------- ------- ------- ------- -------
Income from Investment Operations:
Net investment income........................... 0.23 0.25 0.23 0.22 0.19 0.22 0.20 0.21
Net gain on securities (both realized
and unrealized)............................... 3.29 1.42 0.12 1.21 3.29 1.42 0.12 1.21
-------- -------- ------- ------- ------- ------- ------- -------
Total from Investment Operations................ 3.52 1.67 0.35 1.43 3.48 1.64 0.32 1.42
-------- -------- ------- ------- ------- ------- ------- -------
Less Distributions:
Dividends from net investment income............ (0.23) (0.24) (0.23) (0.22) (0.19) (0.21) (0.20) (0.21)
Distributions from net realized gains........... (0.51) (0.25) -- -- (0.51) (0.25) -- --
-------- -------- ------- ------- ------- ------- ------- -------
Total Distributions............................. (0.74) (0.49) (0.23) (0.22) (0.70) (0.46) (0.20) (0.21)
-------- -------- ------- ------- ------- ------- ------- -------
Net Asset Value, End of Period.................... $ 15.29 $ 12.51 $11.33 $11.21 $15.29 $12.51 $11.33 $11.21
======== ======== ======= ======= ======= ======= ======= =======
Total Return (not reflecting sales load).......... 28.73% 15.35% 3.10% 14.48% 28.42% 15.10% 2.85% 14.37%
Ratios/Supplemental Data:
Net Assets, End of Period (in thousands)........ $140,144 $100,110 $93,983 $87,755 $9,831 $5,234 $5,287 $3,348
Ratios of Expenses to Average Net Assets........ 0.81% 0.79% 0.83% 0.83% 1.06% 1.04% 1.08% 0.94%
Effect of waivers/reimbursements
on expense ratios............................. 0.10% 0.13% 0.15% 0.20% 0.10% 0.13% 0.15% 0.20%
Ratios of Net Investment Income to Average Net
Assets........................................ 1.65% 2.15% 1.99% 2.20% 1.40% 1.90% 1.74% 2.09%
Portfolio Turnover Rate......................... 6% 58.08% 27.11% 2.61% 6% 58.08% 27.11% 2.61%
Average Commission Rate(a)...................... $0.1067 -- -- -- $0.1067 -- -- --
</TABLE>
** Fund commenced operations on June 1, 1992.
(a) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged. This amount may vary from period to period
and fund to fund depending on the mix of trades executed in various markets
where trading practices and commission rate structures may differ.
See accompanying notes to financial statements.
33
<PAGE> 38
PERFORMANCE FUNDS TRUST
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
---------------------------------------------------------------------------------
INSTITUTIONAL CLASS CONSUMER SERVICE CLASS
--------------------------------------- ---------------------------------------
FOR THE PERIOD FOR THE PERIOD
YEAR YEAR FEBRUARY 24, 1994 YEAR YEAR FEBRUARY 24, 1994
ENDED ENDED (COMMENCEMENT OF ENDED ENDED (COMMENCEMENT OF
MAY 31, MAY 31, OPERATIONS) THROUGH MAY 31, MAY 31, OPERATIONS) THROUGH
1996 1995 MAY 31, 1994 1996 1995 MAY 31, 1994
------- ------- ------------------- ------- ------- -------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.......... $ 11.11 $ 9.60 $ 10.00 $ 11.11 $ 9.60 $ 10.00
------- ------- ------ ------- ------- ------
Income from Investment Operations:
Net investment income....................... 0.13 0.13 0.03 0.10 0.11 0.03
Net gain (loss) on securities (both realized
and unrealized)........................... 3.44 1.51 (0.40) 3.44 1.51 (0.40)
------- ------- ------ ------- ------- ------
Total from Investment Operations............ 3.57 1.64 (0.37) 3.54 1.62 (0.37)
------- ------- ------ ------- ------- ------
Less Distributions:
Dividends from net investment income........ (0.13) (0.13) (0.03) (0.10) (0.11) (0.03)
Distributions from net realized gains....... (0.50) -- -- (0.50) -- --
------- ------- ------ ------- ------- ------
Total Distributions......................... (0.63) (0.13) (0.03) (0.60) (0.11) (0.03)
------- ------- ------ ------- ------- ------
Net Asset Value, End of Period................ $ 14.05 $ 11.11 $ 9.60 $ 14.05 $11.11 $ 9.60
======= ======= ======= ======= ====== =======
Total Return (not reflecting sales load)...... 33.06% 17.31% (3.66)% 32.76% 17.06% (3.70)%
Ratios/Supplemental Data:
Net Assets, End of Period (in thousands).... $80,704 $48,068 $33,779 $1,437 $277 $35
Ratios of Expenses to Average Net Assets.... 0.98% 0.96% 0.93%* 1.23% 1.21% 1.18%*
Effect of waivers/reimbursements on expense
ratio..................................... 0.16% 0.26% 1.00%* 0.16% 0.26% 1.00%*
Ratios of Net Investment Income to Average
Net
Assets.................................... 1.06% 1.37% 1.60%* 0.79% 1.12% 1.35%*
Portfolio Turnover Rate..................... 28% 20.39% 5.88% 28% 20.39% 5.88%
Average Commission Rate(a).................. $0.1070 -- -- $0.1070 -- --
</TABLE>
* Annualized
(a) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged. This amount may vary from period to period
and fund to fund depending on the mix of trades executed in various markets
where trading practices and commission rate structures may differ.
See accompanying notes to financial statements.
34
<PAGE> 39
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and
Shareholders of Performance Funds Trust
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios 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 Money Market Fund, Short Term
Government Income Fund, Intermediate Term Government Income Fund, Equity Fund,
and Mid Cap Growth Fund (constituting five of the portfolios of Performance
Funds Trust, hereafter referred to as the "Trust") at May 31, 1996, the results
of each of their operations for the year then ended, the changes in each of
their net assets for each of the two years in the period then ended and the
financial highlights for each of the periods presented, 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 May 31, 1996 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York
July 19, 1996
35
<PAGE> 40
TAX STATUS OF DIVIDENDS PAID (UNAUDITED)
The following table represents the tax status of dividends and distributions
paid by the Funds during the fiscal year ended May 31, 1996. Certain portions of
this information were previously reported to you on Form 1099 at the close of
calendar 1995. This information is presented in order to comply with regulatory
requirements and requires no current action on your part.
<TABLE>
<CAPTION>
% OF INCOME
INCOME DIVIDENDS DERIVED FROM
LONG TERM SHORT TERM PAID PER SHARE GOVERNMENT
CAPITAL GAINS CAPITAL GAINS ------------------------ % OF INCOME SECURITIES HELD
DIVIDENDS DIVIDENDS CONSUMER DERIVED FROM SUBJECT TO
PAID PAID INSTITUTIONAL SERVICE GOVERNMENT REPURCHASE
PER SHARE PER SHARE CLASS CLASS SECURITIES AGREEMENTS
------------- ------------- ------------- -------- ------------ ---------------
<S> <C> <C> <C> <C> <C> <C>
Money Market.......................... -- -- 0.0544 0.0519 9.7% 6.3%
Short Term Government Income Fund..... -- -- 0.5388 0.5141 79.8 0.3
Intermediate Term Government Income
Fund................................ -- -- 0.5626 0.5372 69.0 --
Equity Fund........................... $0.49 $0.02 0.2289 0.1944 8.9 --
Mid Cap Growth Fund................... 0.39 0.12 0.1299 0.1005 12.3 --
</TABLE>
Additionally, 100% of the income dividends paid by the Equity Fund and the Mid
Cap Growth Fund qualify for the dividends received deduction available to
corporations.
36
<PAGE> 41
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<PAGE> 42
[This page intentionally left blank]
<PAGE> 43
PERFORMANCE FUNDS TRUST
<TABLE>
<S> <C>
BOARD OF TRUSTEES
JOHN J. PILEGGI + CHAIRMAN OF THE BOARD
Senior Managing Director, Furman Selz LLC
JAMES H. JOHNSTON, III* Physician, Gastrointestinal Associates, Jackson, MS.
JAMES T. MALLETTE + Attorney, Daniel Coker Horton and Bell, Jackson, MS.
WALTER P. NEELY* Professor of Finance, Millsaps College, Jackson, MS.
* Member of Audit and Nominating Committees
+ Trustee who is an "interested person" of the Trust, as
that term is defined in the Investment Company Act
of 1940.
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
OFFICERS
JOHN J. PILEGGI Principal Executive Officer
DONALD E. BROSTROM Vice President & Treasurer
JOAN V. FIORE Secretary
SHERYL HIRSCHFELD Assistant Secretary
</TABLE>
<PAGE> 44
INVESTMENT ADVISOR
Trustmark National Bank
248 East Capitol Street
Jackson, Mississippi 39201
ADMINISTRATOR AND
TRANSFER AGENT
Furman Selz LLC
230 Park Avenue
New York, New York 10169
DISTRIBUTOR
Performance Funds Distributor, Inc.
230 Park Avenue
New York, New York 10169
CUSTODIAN
Trustmark National Bank
248 East Capitol Street
Jackson, Mississippi 39201
COUNSEL
Baker & McKenzie
805 Third Avenue
New York, New York 10022
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
1177 Avenue of the Americas
New York, New York 10036
THIS REPORT IS FOR THE INFORMATION OF THE SHAREHOLDERS OF THE PERFORMANCE
FAMILY OF MUTUAL FUNDS. ITS USE IN CONNECTION WITH ANY OFFERING OF THE
TRUST'S SHARES IS AUTHORIZED ONLY IN CASE OF A CONCURRENT OR PRIOR DELIVERY
OF THE TRUST'S CURRENT PROSPECTUS.
PERFORMANCE FUNDS TRUST
A FAMILY OF MUTUAL FUNDS
ANNUAL REPORT
MAY 31, 1996
INVESTMENT ADVISOR
(LOGO)
SHARES OF THE TRUST ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, TRUSTMARK NATIONAL BANK, AND ARE NOT INSURED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER
AGENCY. SHARES OF THE TRUST INVOLVE INVESTMENT RISK, INCLUDING POSSIBLE LOSS
OF PRINCIPAL. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. THERE IS
NO ASSURANCE THAT THE MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE NET
ASSET VALUE OF $1.00 PER SHARE.
PF0596
