<PAGE>
LOGO
OF PERFORMANCE FUNDS
July 1, 1997
Dear Shareholder:
We are pleased to present you with the fifth annual report on the financial
results of the Performance Family of Funds, which covers the fiscal year ended
May 31, 1997. The Performance Funds are comprised of the Money Market Fund,
Short Term Government Income Fund, Intermediate Term Government Income Fund,
Large-Cap Equity Fund, and MidCap Growth Fund, and are managed by Trustmark
National Bank, which was founded in 1890.
ECONOMIC OVERVIEW
The Fund's fiscal year of May 31, 1997 ended with the U.S. economy on solid
ground as a robust labor market and heightened consumer confidence encouraged
strong consumer spending. The U.S. stock market appreciated dramatically as
the Dow Jones Industrial Average (DJIA) gained 1,697 points over the past
twelve months, crossing the 7,000 point mark for the first time in mid
February. After peaking at 7,394 on May 27th the Dow retreated to close at
7,331 on May 30th. Strong economic growth (first quarter 1997 GDP was an
annualized 4.1%) and the meteoric rise of the stock market promoted the
Federal Open Market Committee ("FOMC") to implement a "preemptive" strike
against inflation by raising the Fed Funds Rate by a quarter point to 5 1/2%
in March. This was followed by no action at the recent May 20th FOMC meeting,
creating a period for potential volatility in the financial markets,
particularly if subsequent economic releases lead to the perception that the
Fed has fallen behind the curve.
The current economic expansion is now into its seventh year. While Fed
Chairman Alan Greenspan has continually expressed concern regarding the strong
labor market (the unemployment rate is at a 25 year low of 4.8%) the Fed does
not want to act prematurely. The consumer holds the key. "How Much?" of the
"irrational exuberance" in stock prices spills over into consumer spending
appears to be the Fed's primary focus.
I'd like to take this opportunity at the conclusion of this fifth year of
operations, to thank you for your continued support of the Performance Funds.
We welcome your questions and look forward to serving you in the years to
come.
Sincerely,
/s/ John J. Pileggi
John J. Pileggi
Chairman of the Board
<PAGE>
PORTFOLIO MANAGER'S REPORT
PERFORMANCE MONEY MARKET FUND
The Performance Money Market Fund provided investors with a return of 5.34%
(5.07% for the consumer class) for the 12 months ended May 31, 1997. During
this period, the 7-day yield of the fund increased by 23 basis points to 5.33%
from 5.10% on May 31, 1996. One of the main reasons for an increase in short
term interest rates, was the 25 basis point tightening by the Federal Reserve
in March of 1997. This led to higher rates on many short term investments such
as commercial paper, treasuries, and agency issues. The Fund invests primarily
in high-quality, short term instruments such as U.S. Treasury obligations, U.S.
Government Agency issues, bankers' acceptances, commercial paper, and
repurchase agreements. The fund is considered a "first tier" Fund as a result
of the high quality of the Fund's holdings. An investment in the Fund is
neither insured nor guaranteed by the U.S. Government. Yields will fluctuate,
and past performance is no guarantee of future results. The Fund's objective is
to maintain a stable NAV of $1.00 per share. This has been accomplished since
the Fund's inception, but there can be no guarantee that it will in the future.
Signed,
/s/ Kelly J. Collins
Kelly J. Collins
Trust Investments Officer
Trustmark National Bank
PERFORMANCE SHORT TERM GOVERNMENT FUND
The Short Term Government Fund provided respective shareholders a total
return of 5.70% and 5.44% for the Institutional and Consumer classes during the
year ending May 31, 1997. Ending share price was $9.75, unchanged from its
beginning value. Share price reached a high of $9.86 and a low of $9.68,
consistent with the fluctuations in U.S. Treasury yields incurred during the
period.
Consistent with our objectives, the Fund achieved a higher return than yields
generally available through Money Market funds, while maintaining a low risk of
significant price decline. However, it is important to note that Money Market
funds involve less volatility. We continue the use of high quality securities
to meet our objectives, with the majority of the Fund invested in U.S. Treasury
securities. U.S. Agency and Mortgage Related securities are used to enhance
yield to our shareholders. High grade corporate bonds are also permissible, and
may be used when we see better value in that sector.
Signed,
/s/Jonathan Rogers
Jonathan Rogers
Vice President
Trustmark National Bank
<PAGE>
PERFORMANCE INTERMEDIATE TERM GOVERNMENT INCOME FUND
For the fiscal year ended May 31, 1997 the Performance Intermediate Term
Government Income Fund returned 7.20% for the Institutional Class shareholders
and 6.92% for the Consumer Service class shareholders. The Fund's objective is
to provide a higher level of current income with total return, which consists
of income and capital preservation, also an important consideration. The Fund
primarily invests in intermediate-term U.S. Government Securities (at least
65% of total assets), and while there is no maximum maturity for an individual
issue the Fund itself will normally have an average portfolio maturity
anywhere from three to ten years.
While the stock market, buoyed by solid economic growth and healthy
corporate earnings reached record levels over the past year, the overall bond
market continued to experience volatility and inflation concerns. After
bottoming at 6.35% in November, the 30-Year Bond continued its volatile ways
down in January, up in February, down in March, up in April, down/ then up in
May. After the March 25th Fed tightening of one-quarter point, the market
turned its attention to the possibility of another rate increase as the
growing economy revealed a strong labor market evidenced by an unemployment
rate of 4.8%, the lowest reading in nearly a quarter century.
The Fund, keeping a long-term perspective in mind, continues to stress
quality. The Fund's exposure to corporates dropped slightly (from 22% to 20%)
over the past year as spreads versus U.S. Treasuries continued to narrow.
Increased emphasis was focused on U.S. Agencies, particularly callable issues,
to enhance yield while maintaining credit quality. This strategy served
shareholders well over the past ten months as the Fund's position in callable
agencies returned almost 7.00% versus 5.00% for comparable Treasuries.
As we enter the second half of 1997, the bond market may be under pressure
should the Fed need to take additional steps to keep inflation at a bay;
however, the Fund is well positioned to benefit from any evidence of a
slowdown in the economy. The Fund will endeavor to deliver relative
commensurate with the risks associated.
Signed,
/s/ Robert H. Spaulding,
Robert H. Spaulding,
Vice President & Trust
Investment Officer
<PAGE>
PERFORMANCE EQUITY FUND
For the fiscal year ended May 31, 1997, the Performance Equity Fund enjoyed
another good year, returning 29.06% to its Institutional class shareholders
and 28.75% to its Consumer Service class shareholders. For this same period
the S&P 500 returned 29.55%.
The financial sector again provided good performances, with Travelers up
79%, Allstate up 77%, and Bank of New York up 69%. Other well performing
sectors were consumer issues (Procter & Gamble up 59%, Colgate up 60%,
Gillette up 51%) and Health Care (Bristol-Myers up 76%, Schering-Plough up
58%, Pfizer up 47%) and Technology (Microsoft up 108%, Intel up 101%, IBM up
63%).
Presently we are in an investment environment of low inflation, moderate
economic growth and stable monetary policy. However, many investors are still
concerned with possible Fed action which could impact earnings for the
remainder of the year.
Our efforts and resources continue to be directed at security selection and
not at marketing timing. The large capitalization stocks have appreciated to
historically high valuations. Such levels reflect strong fundamentals, low
inflation, and low or falling interest rates. However, should corporate
profitability prove to be unsustainably high, or should inflation or interest
rates jump unexpectedly, then market valuations could be compressed.
TEN LARGEST HOLDINGS
<TABLE>
<S> <C> <C>
1. General Electric Co.3.15% 4. Microsoft Corp.2.40% 8. Merck & Co., Inc.1.71%
2. Coca-Cola Co.2.78% 5. Intel Corp.2.04% 9. Procter & Gamble Co.1.63%
3. Exxon Corp.2.46% 6. Schering Plough1.87% 10. IBM1.57%
7. Royal Dutch Petroleum Co.1.85%
</TABLE>
Signed,
/s/ Charles H. Windham, Jr.
Charles H. Windham, Jr.
Vice President
- --------
The Fund's performance is compared to the Standard & Poor's 500 Stock Index,
which represents the performance of the U.S. stock market as a whole. The
index is unmanaged, and does not reflect the deduction of fees associated with
a mutual fund, such as investment management and fund accounting fees. Past
performance does not guarantee future results.
<PAGE>
PERFORMANCE MIDCAP GROWTH FUND
For the twelve months ending May 31, 1997 the MidCap Growth Fund returned
22.62% for the Institutional class and 22.33% for the Consumer Service class.
This compares favorably to the S&P MidCap 400 Index which returned 18.21%
during the same period.
Strong performance from the Financial and Technology sectors significantly
impacted the Fund's return. Among the Financials, AFLAC and Progressive
increased 70%, while Bear Sterns, State Street, and Franklin Resources
provided returns of 44%, 73%, and 65% respectively. American Power Conversion,
in the Tech sector, was up 80%, while BMC Software increased 71% and Quantum
Computer was up 62%. A position in Olsten Corp, down 36% for the period,
penalized results. Other disappointing performers were Mylan Labs (down 20%)
and Mirage Resorts (down 17%).
The Fund focuses on those companies in the MidCap Index with increasing
earnings prospects and attractive valuations. We plan to continue to direct
our concentration on the operating results of individual companies and not on
market timing. Listed below are the 10 largest holdings in the Fund at May 31,
1997. The composition of the portfolio is subject to change.
The middle capitalization stocks have appreciated to high valuations. Such
levels reflect strong fundamentals, low inflation, and low or falling interest
rates. However, should corporate profitability prove to be unsustainably high,
or should inflation or interest rates jump unexpectedly, then market
valuations could be compressed.
TEN LARGEST HOLDINGS
<TABLE>
<S> <C> <C>
1. Manpower Inc. 1.95% 4. State Street Corp. 1.77% 8. Smith International, Inc.1.60%
2. Dollar General 1.89% 5. Stryker Corp. 1.65% 9. Bear Stearns Cos., Inc. 1.59%
3. Quantum Computer 1.78% 6. Jones Apparel Group, Inc.1.65% 10. Schwab (Charles) Corp. 1.56%
7. Franklin Resources 1.63%
</TABLE>
Signed,
/s/ Douglas H. Ralston, CFA
Douglas H. Ralston, CFA
Vice President
Trustmark National Bank
- --------
The Fund's performance is compared to the Standard & Poor's MidCap 400 Stock
Index, which is a capitalization-weighted index that measures the performance
of the mid-range sector of the U.S. stock market where the median market
capitalization is approximately $700 million. The index is unmanaged, and does
not reflect the deduction of fees associated with a mutual fund, such as
investment management and fund accounting fees. Past performance does not
guarantee future results.
<PAGE>
PERFORMANCE FUNDS TRUST
THE MONEY MARKET FUND
Portfolio of Investments
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY RATING VALUE
AMOUNT DESCRIPTION (UNAUDITED) (NOTE 2)
----------- --------------------------------------- ----------- ------------
<C> <S> <C> <C>
COMMERCIAL PAPER(1) -- 67.2%
Abbott Laboratories
$ 5,000,000 6/11/1997 5.500%....................... A1+/P1 $ 4,992,361
4,950,000 6/19/1997 5.500%....................... A1+/P1 4,936,387
Albertson's Inc.
5,000,000 6/13/1997 5.530%....................... A1/P1 4,990,783
American Greetings Corporation
2,000,000 6/18/1997 5.600%....................... A1/P1 1,994,711
Associates Corporation
5,000,000 6/4/1997 5.550%........................ A1+/P1 4,997,687
7,000,000 6/6/1997 5.540%........................ A1+/P1 6,994,614
7,000,000 7/7/1997 5.560%........................ A1+/P1 6,961,080
AT & T Corporation
5,000,000 6/10/1997 5.510%....................... A1+/P1 4,993,112
10,000,000 6/11/1997 5.520%....................... A1+/P1 9,984,667
BankAmerica Corporation
4,000,000 6/5/1997 5.520%........................ A1/P1 3,997,547
5,000,000 6/12/1997 5.500%....................... A1/P1 4,991,598
10,000,000 7/11/1997 5.530%....................... A1/P1 9,938,556
Coca-Cola Company
2,600,000 6/2/1997 5.500%........................ A1+/P1 2,599,602
Commercial Credit Corporation
5,000,000 6/9/1997 5.530%........................ A1/P1 4,993,856
4,000,000 6/11/1997 5.530%....................... A1/P1 3,993,856
6,000,000 7/8/1997 5.550%........................ A1/P1 5,965,775
5,000,000 7/10/1997 5.520%....................... A1/P1 4,970,100
duPont (E.I.) De Nemours & Company
3,500,000 6/4/1997 5.520%........................ A1+/P1 3,498,390
10,000,000 6/19/1997 5.550%....................... A1+/P1 9,972,500
5,000,000 6/20/1997 5.490%....................... A1+/P1 4,985,512
First Union National Bank
5,000,000 6/9/1997 5.520%........................ A1/P1 4,993,866
Ford Motor Credit Company
5,000,000 6/13/1997 5.510%....................... A1/P1 4,990,817
5,000,000 7/7/1997 5.530%........................ A1/P1 4,972,350
10,000,000 7/8/1997 5.540%........................ A1/P1 9,943,061
General Electric Company
5,000,000 6/3/1997 5.530%........................ A1+/P1 4,998,464
6,000,000 6/17/1997 5.540%....................... A1+/P1 5,985,227
4,000,000 6/20/1997 5.560%....................... A1+/P1 3,988,262
5,000,000 7/1/1997 5.570%........................ A1+/P1 4,976,792
Merrill Lynch
5,000,000 6/16/1997 5.550%....................... A1+/P1 4,988,436
5,000,000 6/23/1997 5.530%....................... A1+/P1 4,983,103
5,000,000 6/25/1997 5.530%....................... A1+/P1 4,981,567
5,000,000 6/27/1997 5.530%....................... A1+/P1 4,980,031
Minnesota Mining & Manufacturing
Company
5,000,000 6/12/1997 5.480%....................... A1+/P1 4,991,628
</TABLE>
See notes to financial statements.
1
<PAGE>
PERFORMANCE FUNDS TRUST
THE MONEY MARKET FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY RATING VALUE
AMOUNT DESCRIPTION (UNAUDITED) (NOTE 2)
----------- --------------------------------------- ----------- ------------
<C> <S> <C> <C>
COMMERCIAL PAPER(1) (CONTINUED)
Norwest Banks
$10,000,000 6/10/1997 5.520%....................... A1+/P1 $ 9,986,200
5,000,000 6/13/1997 5.530%....................... A1+/P1 4,990,783
5,000,000 6/18/1997 5.550%....................... A1+/P1 4,986,896
Procter & Gamble
5,000,000 6/5/1997 5.500%........................ A1+/P1 4,996,944
5,875,000 6/17/1997 5.500%....................... A1+/P1 5,860,639
5,000,000 6/30/1997 5.500%....................... A1+/P1 4,977,847
PepsiCo. Inc.
5,000,000 6/13/1997 5.480%....................... A1/P1 4,990,868
5,000,000 6/16/1997 5.550%....................... A1/P1 4,988,438
5,000,000 6/18/1997 5.500%....................... A1/P1 4,987,014
5,000,000 6/24/1997 5.500%....................... A1/P1 4,982,430
R.R. Donnelley & Sons Company
10,000,000 7/1/1997 5.530%........................ A1/P1 9,953,917
3,000,000 7/7/1997 5.520%........................ A1/P1 2,983,900
Suntrust Banks
10,000,000 6/2/1997 5.510%........................ A1/P1 9,998,469
5,000,000 6/6/1997 5.540%........................ A1/P1 4,996,153
Toyota Motor Credit Company
3,000,000 6/3/1997 5.500%........................ A1+/P1 2,999,083
10,000,000 7/14/1997 5.530%....................... A1+/P1 9,933,948
------------
TOTAL COMMERCIAL PAPER (Amortized Cost
$277,139,827)....................................... 277,139,827
------------
U.S. GOVERNMENT AGENCIES -- 23.9%
Federal Farm Credit Bank
20,000,000 6/2/1997 5.590%*....................... NR/AAA 20,000,000
1,500,000 9/3/1997 5.620%........................ NR/AAA 1,498,527
3,000,000 2/3/1998 5.650%........................ NR/AAA 2,998,344
------------
24,496,871
------------
Federal National Mortgage Association
3,000,000 6/9/1997 5.390%........................ NR/AAA 2,996,407
5,000,000 10/29/1997 5.530%...................... NR/AAA 4,998,880
5,000,000 12/5/1997 5.400%....................... NR/AAA 4,996,172
1,100,000 1/8/1998 5.190%........................ NR/AAA 1,096,636
1,000,000 1/13/1998 5.380%....................... NR/AAA 998,684
3,000,000 1/16/1998 5.600%....................... NR/AAA 2,998,497
5,000,000 2/18/1998 5.500%....................... NR/AAA 4,991,829
------------
23,077,105
------------
Federal Home Loan Mortgage Corp.
1,000,000 3/16/1998 5.400%....................... NR/AAA 997,880
------------
Federal Home Loan Bank
2,500,000 11/5/1997 5.770%....................... NR/AAA 2,500,000
3,000,000 11/7/1997 5.560%....................... NR/AAA 2,999,796
5,000,000 12/26/1997 5.630%...................... NR/AAA 5,000,000
3,000,000 1/16/1998 5.490%....................... NR/AAA 2,996,587
4,000,000 1/21/1998 5.800%....................... NR/AAA 3,999,792
</TABLE>
See notes to financial statements.
2
<PAGE>
PERFORMANCE FUNDS TRUST
THE MONEY MARKET FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY RATING VALUE
AMOUNT DESCRIPTION (UNAUDITED) (NOTE 2)
----------- -------------------------------------- ----------- ------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCIES (CONTINUED)
$ 2,000,000 1/27/1998 5.730%...................... NR/AAA $ 1,999,795
1,500,000 2/27/1998 5.100%...................... NR/AAA 1,494,051
4,000,000 2/27/1998 5.750%...................... NR/AAA 4,000,000
2,500,000 3/17/1998 5.880%...................... NR/AAA 2,500,000
2,000,000 3/20/1998 5.720%...................... NR/AAA 1,996,174
------------
29,486,195
------------
Student Loan Marketing Association
10,000,000 6/20/1997 5.500%...................... NR/NR 9,970,972
2,000,000 10/24/1997 5.500%..................... NR/AAA 1,999,826
3,800,000 11/7/1997 5.820%...................... NR/AAA 3,800,000
2,000,000 1/23/1998 5.750%...................... NR/AAA 2,000,000
3,000,000 2/25/1998 5.540%...................... NR/AAA 2,998,273
------------
20,769,071
------------
TOTAL GOVERNMENT AGENCIES (Amortized Cost
$98,827,122)....................................... 98,827,122
------------
BANKERS ACCEPTANCES(1) -- 2.9%
Corestates
3,000,000 6/2/1997 5.350%....................... A1/P1 2,999,554
2,000,000 8/13/1997 5.600%...................... A1/P1 1,977,289
First Alabama
2,000,000 7/2/1997 5.340%....................... A1/P1 1,990,803
Suntrust Bank
5,000,000 6/19/1997 5.540%...................... A1/P1 4,986,150
------------
TOTAL BANKERS ACCEPTANCES (Amortized Cost
$11,953,796)....................................... 11,953,796
------------
U.S. TREASURY OBLIGATIONS -- 2.5%
U.S. Treasury Notes,
1,000,000 2/28/1998 5.125%...................... AAA/AAA 993,565
U.S. Treasury Strips,
10,000,000 5/15/1998............................. AAA/AAA 9,459,749
------------
TOTAL U.S. TREASURY OBLIGATIONS (Amortized Cost
$10,453,314)....................................... 10,453,314
------------
MONEY MARKET ACCOUNT -- 0.1%
437,088 AIM Prime Portfolio................................ 437,088
------------
INVESTMENTS IN SECURITIES (Amortized Cost
$398,811,147)...................................... 398,811,147
------------
REPURCHASE AGREEMENTS -- 4.2%
17,500,000 Bank of America (dated 5/30/1997), 5.500%,
6/2/1997.......................................... 17,500,000
------------
(Proceeds at maturity $17,508,021)
Collateralized by:
U.S. Treasury Notes
$17,856,713, 5.875%, 4/30/1998
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS 100.8%
(Amortized Cost $416,311,147) (a).................. 416,311,147
LIABILITIES IN EXCESS OF OTHER ASSETS 0.8%......... (3,352,333)
------------
NET ASSETS 100%.................................... $412,958,814
============
</TABLE>
(a) Cost for federal income tax and financial reporting purposes are
substantially the same.
* Variable rate security. Maturity date represents next reset date.
(1) Rates shown represent yield to maturity.
See notes to financial statements.
3
<PAGE>
PERFORMANCE FUNDS TRUST
SHORT TERM GOVERNMENT INCOME FUND
Portfolio of Investments
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
---------- --------------------------------------- ------------ ------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 22.6%
$2,000,000 Federal Farm Credit Bank 6.490%,
7/19/1999.............................. $ 2,011,667 $ 2,011,980
FEDERAL HOME LOAN BANK
1,500,000 6.345%, 6/02/1997...................... 1,500,012 1,500,039
5,000,000 6.495%, 8/09/2001...................... 5,002,216 4,974,150
FEDERAL NATIONAL MORTGAGE ASSOCIATION
5,000,000 7.740%, 2/03/1998...................... 5,006,481 5,059,500
1,000,000 5.380%, 1/06/1999...................... 988,844 994,970
2,000,000 7.270%, 5/08/2000...................... 2,005,473 2,012,840
2,000,000 6.625%, 5/21/2001...................... 1,989,978 1,996,120
1,705,000 6.580%, 10/02/2001..................... 1,730,738 1,700,107
FEDERAL HOME LOAN MORTGAGE CORPORATION
1,500,000 6.395%, 5/16/2000...................... 1,481,926 1,496,145
2,000,000 6.500%, 6/08/2000...................... 1,980,979 1,992,400
STUDENT LOAN MARKETING ASSOCIATION
5,000,000 7.500%, 3/08/2000...................... 5,087,473 5,129,000
------------ ------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS............................ 28,785,787 28,867,251
------------ ------------
MORTGAGE-BACKED SECURITIES -- 14.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION
5,000,000 1414E 6.250%, 7/15/2005................ 4,981,205 4,974,800
1,000,000 1675D 5.500%, 5/15/2014................ 990,593 992,160
FEDERAL NATIONAL MORTGAGE ASSOCIATION
1,437,112 92-108E 7.000%, 5/25/2004.............. 1,438,843 1,436,969
2,163,000 93-10E 6.500%, 10/25/2004.............. 2,158,040 2,154,370
2,000,000 93-73D 5.750%, 9/25/2016............... 1,977,958 1,963,680
1,673,369 93-142A 5.250%, 9/25/2016.............. 1,655,858 1,649,690
5,000,000 94-65PE 6.750%, 7/25/2018.............. 5,037,156 4,996,100
250,410 92-89G 7.000%, 9/25/2018............... 250,588 250,445
------------ ------------
TOTAL MOTGAGE-BACKED SECURITIES........ 18,490,241 18,418,214
------------ ------------
U.S. TREASURY OBLIGATIONS -- 61.3%
U.S. TREASURY NOTES
7,600,000 5.750%, 9/30/1997...................... 7,603,818 7,610,412
3,000,000 7.375%, 11/15/1997..................... 2,999,340 3,022,950
7,000,000 7.250%, 2/15/1998...................... 6,992,395 7,066,990
6,000,000 5.875%, 4/30/1998...................... 5,985,577 6,000,840
8,000,000 5.875%, 8/15/1998...................... 7,981,289 7,986,720
10,000,000 5.875%, 10/31/1998..................... 10,018,095 9,976,000
10,000,000 6.000%, 8/15/1999...................... 9,936,055 9,946,000
10,000,000 6.125%, 9/30/2000...................... 10,048,374 9,911,600
12,000,000 5.625%, 2/28/2001...................... 11,740,773 11,674,200
5,000,000 6.625%, 6/30/2001...................... 4,987,296 5,022,050
------------ ------------
TOTAL U.S. TREASURY OBLIGATIONS........ 78,293,012 78,217,762
------------ ------------
</TABLE>
See notes to financial statements.
4
<PAGE>
PERFORMANCE FUNDS TRUST
SHORT TERM GOVERNMENT INCOME FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
---------- ----------------------------------- ------------ ------------
<C> <S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.0%
MONEY MARKET FUNDS -- 1.0%
$1,241,722 AIM Treasury Money Market.......... $ 1,241,722 $ 1,241,722
------------ ------------
TOTAL INVESTMENTS -- 99.3%......... $126,810,762(a) 126,744,949
============
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.7%.... 887,201
------------
NET ASSETS -- 100%............................... $127,632,150
============
</TABLE>
(a) Represents aggregate cost for federal income tax purposes and is
substantially the same as the identified cost and differs from value by
net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation.......................................... $ 311,920
Unrealized depreciation.......................................... (377,733)
---------
Net unrealized depreciation...................................... $ (65,813)
=========
</TABLE>
See notes to financial statements.
5
<PAGE>
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
---------- ----------------------------------------- ----------- -----------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 39.1%
U.S. TREASURY BONDS -- 9.7%
$5,000,000 7.250%, 5/15/2016........................ $ 5,109,888 $ 5,142,550
4,000,000 7.250%, 8/15/2022........................ 4,230,927 4,109,640
----------- -----------
TOTAL U.S. TREASURY BONDS................ 9,340,815 9,252,190
----------- -----------
U.S. TREASURY NOTES -- 29.4%
2,500,000 6.375%, 1/15/2000........................ 2,502,858 2,506,000
3,000,000 7.250%, 8/15/2004........................ 3,179,251 3,106,260
5,000,000 7.375%, 11/15/1997....................... 5,006,235 5,038,250
1,500,000 6.250%, 5/31/2000........................ 1,497,506 1,494,735
7,000,000 5.875%, 8/15/1998........................ 6,990,871 6,988,380
1,000,000 6.000%, 8/31/1997........................ 1,000,272 1,001,650
5,000,000 6.000%, 5/31/1998........................ 4,995,325 5,005,700
3,000,000 6.000%, 8/15/1999........................ 2,984,218 2,983,800
----------- -----------
TOTAL U.S. TREASURY NOTES................ 28,156,536 28,124,775
----------- -----------
TOTAL U.S. TREASURY OBLIGATIONS.......... 37,497,351 37,376,965
----------- -----------
U.S. GOVERNMENT AGENCIES -- 38.6%
FEDERAL HOME LOAN BANK -- 3.1%
1,000,000 7.750%, 10/30/2006....................... 998,095 1,007,930
1,000,000 7.250%, 3/7/2011......................... 1,000,000 966,530
1,000,000 8.000%, 5/2/2011......................... 1,000,000 997,050
----------- -----------
2,998,095 2,971,510
----------- -----------
FEDERAL HOME LOAN MORTGAGE CORPORATION --
9.4%
1,000,000 7.256%, 9/17/2001........................ 1,000,000 1,005,000
1,000,000 7.050%, 3/24/2004........................ 975,305 983,270
1,000,000 7.108%, 1/24/2002........................ 995,850 998,920
2,000,000 7.520%, 9/1/2005......................... 1,999,210 1,997,120
1,000,000 6.970%, 10/3/2005........................ 987,153 983,770
1,000,000 7.405%, 4/19/2006........................ 986,495 1,007,990
1,000,000 7.275%, 12/11/2006....................... 995,129 989,610
1,000,000 8.000%, 4/9/2007......................... 997,071 1,000,890
----------- -----------
8,936,213 8,966,570
----------- -----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION --
23.9%
5,000,000 7.000%, 5/10/2001........................ 4,997,140 5,013,250
5,000,000 7.000%, 8/14/2001........................ 5,000,000 5,003,750
2,000,000 7.080%, 5/6/2002......................... 1,998,116 1,998,125
2,000,000 7.125%, 2/19/2004........................ 2,000,000 1,978,840
1,000,000 7.300%, 5/13/2004........................ 995,590 997,600
2,000,000 6.490%, 1/19/2006........................ 1,964,731 1,918,280
1,000,000 7.320%, 5/3/2006......................... 997,635 1,002,540
1,000,000 7.190%, 11/6/2006........................ 997,943 995,280
1,000,000 7.330%, 4/2/2007......................... 1,000,000 1,006,250
1,000,000 7.670%, 4/6/2011......................... 992,250 982,720
2,000,000 6.230%, 8/18/1999........................ 2,000,000 2,000,580
----------- -----------
22,943,405 22,897,215
----------- -----------
</TABLE>
See notes to financial statements.
6
<PAGE>
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
---------- ----------------------------------------- ----------- -----------
<C> <S> <C> <C>
SMALL BUSINESS ADMINISTRATION LOAN
AGREEMENTS -- 0.2%
$ 207,273 12.250%, 11/15/1998...................... $ 210,900 $ 212,196
----------- -----------
TENNESSEE VALLEY AUTHORITY -- 2.0%
2,000,000 6.375%, 6/15/2005........................ 1,958,038 1,932,500
----------- -----------
TOTAL U.S. GOVERNMENT AGENCIES........... 37,046,651 36,979,991
----------- -----------
MORTGAGE-BACKED SECURITIES -- 0.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION --
0.1%
23,786 Pool #106594, 9.000%, 12/01/1997......... 24,055 24,316
21,924 Pool #114579, 8.000%, 2/01/1998.......... 22,136 22,364
----------- -----------
46,191 46,680
----------- -----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION-- 0.1%
8,024 Pool #192407, 9.000%, 1/15/2017.......... 8,786 8,398
67,183 Pool #210311, 9.000%, 6/15/2017.......... 73,796 70,346
46,800 Pool #271741, 9.000%, 3/15/2020.......... 51,498 49,012
----------- -----------
134,080 127,756
----------- -----------
TOTAL MORTGAGE BACKED SECURITIES......... 180,271 174,436
----------- -----------
CORPORATE BONDS -- 20.2%
CONSUMER DURABLES -- 1.8%
Ford Motor Company:
500,000 7.250%, 10/01/2008....................... 497,790 496,875
250,000 7.125%, 11/15/2025....................... 240,140 234,688
1,000,000 General Motors Corporation 7.100%,
3/15/2006................................ 992,369 995,000
----------- -----------
1,730,299 1,726,563
----------- -----------
CONSUMER NON-DURABLES --0.8%
250,000 American Home Products, Inc. 7.250%,
3/1/2023................................. 250,000 242,813
250,000 Coca-Cola Enterprises, Inc. 6.750%,
9/15/2023................................ 242,281 225,000
250,000 Kimberly-Clark Corporation 6.875%,
2/15/2014................................ 248,368 232,187
----------- -----------
740,649 700,000
----------- -----------
FINANCIAL SERVICES -- 8.5%
American General Corporation:
500,000 6.750%, 6/15/2005........................ 500,000 485,000
250,000 7.500%, 7/15/2025........................ 249,503 243,750
250,000 Associates Corp. of North America 6.000%,
3/15/2000................................ 247,704 245,625
Bankers Trust Company:
250,000 7.125%, 7/31/2002........................ 249,485 250,625
500,000 7.500%, 11/15/2015....................... 497,577 482,500
Chase Manhattan Corporation:
500,000 8.000%, 5/1/2005......................... 499,630 505,625
250,000 6.500%, 1/15/2009........................ 236,725 232,812
250,000 First Bank, N.A. 6.875%, 4/1/2006........ 248,758 243,125
Household Finance Corporation:
250,000 6.375%, 6/30/2000........................ 249,535 247,500
500,000 6.700%, 6/15/2002........................ 500,000 496,875
500,000 6.875%, 3/1/2007......................... 497,334 485,625
</TABLE>
See notes to financial statements.
7
<PAGE>
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
---------- ----------------------------------------- ----------- -----------
<C> <S> <C> <C>
CORPORATE BONDS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 500,000 IBM Credit Corporation 7.000%, 5/29/2001. $ 500,000 $ 501,875
250,000 International Lease Finance 6.125%,
11/1/1999................................ 249,447 247,812
500,000 ITT Hartford Group, Inc. 7.300%,
11/1/2015................................ 494,819 477,500
Merrill Lynch & Company:
500,000 7.000%, 4/27/2008........................ 496,207 488,750
250,000 6.250%, 10/15/2008....................... 235,438 230,000
250,000 NationsBank Corporation 6.875%,
2/15/2005................................ 247,541 244,063
250,000 Norwest Corporation 6.500%, 6/1/2005 249,129 239,375
500,000 Sears Roebuck Acceptance Corporation
6.700%, 11/15/2006....................... 500,000 482,500
500,000 Smith Barney Holdings, Inc. 7.500%,
5/1/2002................................. 497,530 510,000
The Travelers Group, Inc.:
500,000 6.125%, 6/15/2000........................ 506,814 492,500
250,000 6.625%, 9/15/2005........................ 248,992 240,625
----------- -----------
8,202,168 8,074,062
----------- -----------
HEALTH CARE -- 0.2%
250,000 Eli Lilly & Company 7.125%, 6/1/2025..... 247,754 239,062
----------- -----------
RAW MATERIALS -- 1.5%
500,000 Air Products & Chemicals, Inc. 7.375%,
5/1/2005................................. 497,738 508,125
750,000 du Pont (E.I.) De Nemours & Company
6.00%, 12/1/2001......................... 736,608 724,688
250,000 PPG Industries, Inc. 6.875%, 8/1/2005.... 249,733 248,125
----------- -----------
1,484,079 1,480,938
----------- -----------
RETAIL -- 0.5%
250,000 J.C.Penney & Company 6.875%, 10/15/2015.. 247,499 228,438
250,000 Rite-Aid Corporation 6.875%, 8/15/2013... 237,688 226,875
----------- -----------
485,187 455,313
----------- -----------
TECHNOLOGY -- 1.0%
Raytheon Company:
250,000 6.500%, 7/15/2005........................ 245,659 238,125
250,000 7.375%, 7/15/2025........................ 241,227 231,563
250,000 Rockwell International Corporation
6.625%, 6/1/2005......................... 248,852 243,125
250,000 WMX 6.250%, 10/15/2000................... 249,752 246,250
----------- -----------
985,490 959,063
----------- -----------
TELECOMMUNICATIONS -- 2.7%
250,000 Chesapeake Bell Telephone Virginia
7.000%, 7/15/2025........................ 243,844 230,938
250,000 Motorola, Inc. 6.500%, 3/1/2008.......... 249,775 238,750
250,000 New York Telephone Company 7.250%,
2/15/2024................................ 243,916 231,875
250,000 Northern Telecommunications 6.875%,
9/1/2023................................. 242,153 226,875
Southern New England Telecommunication,
Inc.:
500,000 7.000%, 8/15/2005........................ 498,815 495,625
240,000 7.125%, 8/1/2007......................... 239,689 238,800
Southwestern Bell Telephone Company:
250,000 6.250%, 10/15/2002....................... 250,235 243,437
250,000 7.200%, 10/15/2026....................... 250,287 233,437
</TABLE>
See notes to financial statements.
8
<PAGE>
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
---------- -------------------------------------- ----------- -----------
<C> <S> <C> <C>
CORPORATE BONDS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
U.S. WEST Communications, Inc.:
$ 250,000 6.375%, 10/15/2002.................... $ 249,414 $ 244,375
250,000 7.500%, 6/15/2023..................... 244,402 236,875
----------- -----------
2,712,530 2,620,987
----------- -----------
UTILITIES -- 3.2%
Consolidated Edison Company of New
York, Inc.:
250,000 6.625%, 7/1/2005...................... 249,286 241,875
250,000 7.500%, 6/15/2023..................... 249,383 240,938
250,000 Duke Power Company 6.875%, 8/1/2023... 238,478 225,625
225,000 Georgia Power Company 6.625%,
4/1/2003.............................. 224,325 219,938
250,000 Northern States Power Company 7.125%,
7/1/2025.............................. 247,699 238,750
Pacific Gas & Electric Company:
250,000 6.250%, 3/1/2004...................... 243,696 239,687
250,000 7.250%, 8/1/2026...................... 242,056 235,625
250,000 Pacificorp 6.625%, 6/1/2007........... 248,602 237,812
250,000 Public Service Electric & Gas 6.00%,
5/1/2000.............................. 248,094 245,000
Southern California Edison Company:
250,000 6.500%, 6/1/2001...................... 250,000 246,561
250,000 6.900%, 10/1/2018..................... 234,908 229,688
500,000 Virginia Electric & Power Company
6.750%, 2/1/2007...................... 493,730 481,250
----------- -----------
3,170,257 3,082,749
----------- -----------
TOTAL CORPORATE BONDS................. 19,758,413 19,338,737
----------- -----------
MONEY MARKET ACCOUNT -- 1.0%
911,998 AIM Treasury Money Market............. 911,998 911,998
----------- -----------
TOTAL INVESTMENTS 99.1% $95,394,683(a) 94,782,127
===========
ASSETS IN EXCESS OF OTHER LIABILITIES
-- 0.9%............................... 925,230
-----------
NET ASSETS -- 100%.................... $95,707,357
===========
</TABLE>
(a) Represents aggregate cost for federal income tax purposes and is
substantially the same as the identified cost and differs from value by
net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation........................................... $ 200,653
Unrealized depreciation........................................... (813,209)
---------
Net unrealized depreciation....................................... $(612,556)
=========
</TABLE>
See notes to financial statements.
9
<PAGE>
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- ------------------------------------------- ----------- -----------
<C> <S> <C> <C>
COMMON STOCKS -- 94.0%
BUSINESS EQUIPMENT & SERVICES -- 1.4%
17,000 Federal Express Corporation*............... $ 565,290 $ 890,375
30,000 Moore Corporation Ltd...................... 603,050 667,500
25,000 National Service Industries, Inc........... 824,408 1,096,875
25,000 Ryder System, Inc.......................... 499,619 828,125
----------- -----------
2,492,367 3,482,875
----------- -----------
CAPITAL GOODS -- 5.2%
36,000 Black & Decker Corporation................. 1,081,865 1,251,000
132,000 General Electric Company................... 3,959,861 7,969,500
30,000 Illinois Tool Works, Inc................... 920,715 1,488,750
49,000 Sherwin-Williams Company................... 909,635 1,470,000
13,000 Timken Company............................. 495,895 892,125
----------- -----------
7,367,971 13,071,375
----------- -----------
CONSUMER DURABLES -- 2.4%
14,000 Dana Corporation........................... 385,735 505,750
37,000 Chrysler Corporation....................... 1,172,310 1,174,750
54,000 Ford Motor Company......................... 1,659,768 2,025,000
36,000 General Motors Corporation................. 1,705,842 2,061,000
11,000 Maytag Corporation......................... 184,090 294,250
----------- -----------
5,107,745 6,060,750
----------- -----------
CONSUMER NON-DURABLES -- 12.9%
10,000 American Brands............................ 494,650 490,000
37,000 Anheuser-Busch Companies, Inc.............. 1,223,824 1,586,375
103,000 Coca Cola Company.......................... 3,286,650 7,029,750
36,000 Colgate-Palmolive Company.................. 1,028,513 2,232,000
24,000 ConAgra, Inc............................... 864,315 1,443,000
38,000 Gillette Company........................... 1,252,957 3,377,250
27,000 Hershey Foods Corporation.................. 865,210 1,515,375
42,000 Kimberly-Clark Corporation................. 1,185,689 2,105,250
22,000 Liz Claiborne, Inc......................... 744,238 1,003,750
72,000 PepsiCo, Inc............................... 1,645,800 2,646,000
20,000 Premark International, Inc................. 165,431 545,000
30,000 Procter & Gamble Company................... 2,271,703 4,136,250
20,000 Tupperware Corporation..................... 468,298 725,000
12,000 Unilever NV.-New York Shares ADR........... 1,737,853 2,325,000
25,000 Wrigley (WM.) Jr. Company.................. 1,033,437 1,481,250
----------- -----------
18,268,568 32,641,250
----------- -----------
CONSUMER SERVICES -- 3.0%
10,000 Dow Jones & Company, Inc................... 371,500 388,750
18,000 King World Productions, Inc.*.............. 647,029 677,250
49,750 Mattel, Inc................................ 634,173 1,486,281
70,000 Meredith Corporation....................... 776,365 1,811,250
9,000 Nike, Inc., Class B........................ 555,810 513,000
34,000 The Walt Disney Company.................... 1,990,678 2,783,750
----------- -----------
4,975,555 7,660,281
----------- -----------
</TABLE>
See notes to financial statements.
10
<PAGE>
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- ------------------------------------------ ----------- -----------
<C> <S> <C> <C>
ENERGY -- 8.3%
26,000 Amoco Corporation......................... $ 1,463,460 $ 2,323,750
34,000 Chevron Corporation....................... 1,568,847 2,380,000
105,000 Exxon Corporation......................... 3,787,146 6,221,250
19,000 Halliburton Company....................... 1,006,805 1,470,125
15,000 Helmerich & Payne, Inc.................... 557,475 841,875
21,000 Mobil Corporation......................... 1,493,560 2,937,375
24,000 Royal Dutch Petroleum Company--New York
Shares ADR................................ 3,211,321 4,686,000
----------- -----------
13,088,614 20,860,375
----------- -----------
FINANCIAL SERVICES -- 13.8%
33,000 Allstate Corporation...................... 1,210,063 2,429,625
37,000 American Express Company.................. 1,150,563 2,571,500
24,000 American International Group, Inc......... 1,914,218 3,249,000
43,000 Bank of New York Company, Inc............. 815,344 1,832,875
21,000 BankAmerica Corporation................... 1,282,358 2,454,375
18,000 BankBoston Corporation.................... 746,725 1,314,000
21,000 Chase Manhattan Corporation............... 1,601,890 1,984,500
21,000 Citicorp.................................. 1,132,028 2,401,875
13,000 Dean Witter Discover & Company............ 455,995 536,250
66,000 Federal Home Loan Mortgage Corporation.... 992,310 2,178,000
54,000 Federal National Mortgage Association..... 1,205,763 2,355,750
28,000 Green Tree Financial Corporation.......... 946,208 980,000
11,000 Merrill Lynch............................. 993,177 1,166,000
20,000 Morgan Stanley Group, Inc................. 1,107,488 1,350,000
37,000 NationsBank Corporation................... 1,172,070 2,178,375
30,000 SunTrust Banks, Inc....................... 906,096 1,601,250
42,000 The Travelers Group, Inc.................. 986,961 2,304,750
8,000 Wells Fargo & Company..................... 1,283,140 2,108,000
----------- -----------
19,902,397 34,996,125
----------- -----------
HEALTH CARE -- 11.6%
38,000 Abbott Laboratories....................... 1,211,258 2,394,000
28,000 American Home Products Corporation........ 1,675,645 2,135,000
21,000 Baxter International, Inc................. 686,979 1,107,750
42,300 Bristol-Myers Squibb Company.............. 1,679,865 3,103,763
25,000 Eli Lilly & Company....................... 1,698,375 2,325,000
55,000 Johnson & Johnson, Inc.................... 2,032,937 3,293,125
11,000 Manor Care, Inc........................... 203,680 314,875
48,000 Merck & Company, Inc...................... 2,591,282 4,314,000
28,000 Pfizer, Inc............................... 1,929,999 2,880,500
52,000 Schering-Plough Corporation............... 1,477,532 4,719,000
26,000 Warner Lambert Company.................... 839,034 2,619,500
----------- -----------
16,026,586 29,206,513
----------- -----------
MACHINERY & EQUIPMENT -- 0.6%
12,000 Caterpillar, Inc.......................... 977,656 1,171,500
7,000 Harnischfeger Industries, Inc............. 302,505 300,125
----------- -----------
1,280,161 1,471,625
----------- -----------
</TABLE>
See notes to financial statements.
11
<PAGE>
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- ------------------------------------------- ---------- -----------
<C> <S> <C> <C>
MULTI-INDUSTRY -- 2.2%
19,000 Allied-Signal, Inc......................... $ 946,185 $ 1,458,250
12,000 Loews Corporation.......................... 704,922 1,167,000
19,000 Textron, Inc............................... 1,178,220 2,251,500
32,000 Whitman Corporation........................ 538,930 772,000
---------- -----------
3,368,257 5,648,750
---------- -----------
RAW MATERIALS -- 4.1%
14,000 Aluminum Company of America................ 644,930 1,030,750
26,000 Avery-Dennison Corporation................. 538,050 978,250
26,000 Cyprus Amax Minerals Company............... 752,090 633,750
16,000 Dow Chemical Company....................... 1,252,370 1,334,000
27,000 duPont (E.I.) de Nemours & Company......... 1,898,408 2,939,625
20,000 Ecolab, Inc................................ 435,342 832,500
17,000 Hercules, Inc.............................. 640,730 796,875
18,000 Praxair, Inc............................... 484,645 947,250
20,000 Union Carbide Corporation.................. 863,800 935,000
---------- -----------
7,510,365 10,428,000
---------- -----------
RETAIL -- 4.5%
23,000 Circuit City Stores, Inc................... 466,785 908,500
27,000 The Gap, Inc............................... 867,693 924,750
20,000 J.C. Penney Company........................ 790,950 1,030,000
36,000 McDonalds Corporation...................... 955,865 1,809,000
26,000 Sears, Roebuck & Company................... 991,664 1,277,250
49,000 Walgreen Company........................... 1,074,545 2,290,750
107,000 Wal-Mart Stores, Inc....................... 2,654,263 3,183,250
---------- -----------
7,801,765 11,423,500
---------- -----------
SHELTER -- 0.6%
24,000 Armstrong World Industries, Inc............ 976,173 1,632,000
---------- -----------
TECHNOLOGY -- 14.1%
48,000 Andrew Corporation*........................ 324,283 1,308,000
19,000 Ceridian Corporation*...................... 666,090 698,250
30,000 Cisco Systems, Inc.*....................... 1,678,513 2,032,500
14,000 Compaq Computer Corporation*............... 1,162,336 1,515,500
14,000 Computer Associates International, Inc..... 317,400 766,500
9,000 Dell Computer Corporation.................. 594,310 1,012,500
47,000 Hewlett Packard Company*................... 1,553,641 2,420,500
34,000 Intel Corporation.......................... 2,130,619 5,151,000
46,000 International Business Machines
Corporation................................ 2,260,069 3,979,000
13,000 Lockheed Martin Corporation................ 1,052,983 1,217,125
60,000 Loral Space & Communications Ltd.*......... 727,500 1,005,000
18,796 Lucent Technologies, Inc................... 868,550 1,195,896
49,000 Microsoft Corporation*..................... 2,477,186 6,076,000
27,000 Motorola, Inc.............................. 1,496,160 1,792,125
4,062 NCR Corporation............................ 116,421 132,015
34,000 Northrop Grumman Corporation............... 1,281,324 2,881,500
27,000 Raytheon Company........................... 734,112 1,289,250
</TABLE>
See notes to financial statements.
12
<PAGE>
PERFORMANCE FUNDS TRUST
EQUITY FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- ---------------------------------- ------------ ------------
<C> <S> <C> <C>
TECHNOLOGY (CONTINUED)
19,000 Rockwell International
Corporation....................... $ 630,960 $ 1,225,500
------------ ------------
20,072,457 35,698,161
------------ ------------
TRANSPORTATION -- 0.9%
12,000 Burlington Northern Santa Fe
Corporation....................... 884,820 996,000
13,000 Norfolk Southern Corporation...... 954,811 1,262,625
------------ ------------
1,839,631 2,258,625
------------ ------------
UTILITIES -- 8.4%
31,000 Ameritech Corporation............. 1,826,415 2,030,500
72,000 AT & T Corporation................ 2,600,145 2,655,000
46,000 BellSouth Corporation............. 1,534,865 2,087,250
36,000 Consolidated Edison Company of New
York, Inc......................... 1,236,852 1,048,500
36,000 Detroit Edison Company............ 1,216,275 958,500
44,000 Entergy Corporation............... 1,529,433 1,160,500
49,000 GTE Corporation................... 1,848,166 2,162,125
20,800 MCI Communications Corporation.... 383,960 798,200
38,000 Ohio Edison Company............... 819,420 807,500
31,000 Pacific Enterprises............... 842,220 1,015,250
40,000 SBC Communications, Inc........... 1,599,060 2,340,000
100,000 Southern Company.................. 1,936,353 2,125,000
43,000 Sprint Corporation................ 1,228,167 2,101,625
------------ ------------
18,601,331 21,289,950
------------ ------------
TOTAL COMMON STOCKS............... 148,679,943 237,830,155
------------ ------------
SHORT TERM INVESTMENTS -- 6.0%
U.S. TREASURY OBLIGATIONS -- 2.8%
2,500,000 U.S. Treasury Bills 4.92%
6/12/1997......................... 2,496,242 2,496,400
2,500,000 U.S. Treasury Bills 4.99%
7/17/1997......................... 2,483,740 2,484,825
2,000,000 U.S. Treasury Bills 4.99%
8/14/1997......................... 1,979,117 1,979,980
------------ ------------
6,959,099 6,961,205
------------ ------------
MONEY MARKET ACCOUNT -- 3.2%
8,270,220 AIM Treasury Money Market......... 8,270,220 8,270,220
------------ ------------
TOTAL SHORT TERM INVESTMENTS...... 15,229,319 15,231,425
------------ ------------
TOTAL INVESTMENTS 100.0%.......... $163,909,262(a) 253,061,580
============
LIABILITIES IN EXCESS OF TOTAL ASSETS -- 0.0%... (76,789)
------------
NET ASSETS -- 100.0%............................ $252,984,791
============
</TABLE>
ADR--American Depository Receipt
(a) Represents aggregate cost for federal income tax purposes and is
substantially the same as the identified cost and differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation......................................... $90,147,478
Unrealized depreciation......................................... (995,160)
-----------
Net unrealized appreciation..................................... $89,152,318
===========
</TABLE>
*Represents non-income producing security.
See notes to financial statements.
13
<PAGE>
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- ------------------------------------------- ----------- ------------
<C> <S> <C> <C>
COMMON STOCKS -- 94.4%
ADVERTISING -- 1.0%
23,000 Omnicom Group, Inc......................... $ 965,006 $ 1,334,000
----------- ------------
AEROSPACE/DEFENSE -- 1.2%
24,000 Precision Castparts Corporation............ 607,400 1,500,000
2,140 Primex Technologies, Inc................... 25,638 49,755
----------- ------------
633,038 1,549,755
----------- ------------
AUTO PARTS -- 1.1%
28,000 Kaydon Corporation......................... 787,360 1,389,500
----------- ------------
BUILDING MATERIALS -- 1.1%
20,000 Vulcan Materials Company................... 1,135,842 1,460,000
----------- ------------
BUSINESS EQUIPMENT & SERVICES-- 3.5%
55,000 Comdisco, Inc.............................. 989,401 2,028,125
57,000 Manpower, Inc.............................. 1,735,855 2,550,750
----------- ------------
2,725,256 4,578,875
----------- ------------
CAPITAL GOODS -- 2.8%
80,000 American Power Conversion Corporation*..... 1,386,750 1,860,000
10,000 Avnet, Inc................................. 438,400 630,000
29,000 Kennametal, Inc*........................... 822,997 1,152,750
----------- ------------
2,648,147 3,642,750
----------- ------------
CHEMICALS -- 2.2%
13,000 IMC Global, Inc............................ 480,795 508,625
43,000 Olin Corporation........................... 1,354,196 1,763,000
36,100 Wellman, Inc............................... 816,999 645,288
----------- ------------
2,651,990 2,916,913
----------- ------------
COMMERCIAL SERVICES -- 1.3%
85,000 Olsten Corporation......................... 1,998,323 1,668,125
----------- ------------
COMPUTER EQUIPMENT -- 1.8%
60,000 Quantum Corporation*....................... 1,031,875 2,332,500
----------- ------------
COMPUTER SOFTWARE -- 3.2%
30,000 BMC Software, Inc.*........................ 346,425 1,623,750
38,250 Cadence Design Systems, Inc.*.............. 299,795 1,271,813
54,200 Reynolds & Reynolds Company................ 655,312 1,266,925
----------- ------------
1,301,532 4,162,488
----------- ------------
CONSUMER DURABLES -- 1.2%
36,000 Harley-Davidson, Inc....................... 1,180,042 1,611,000
----------- ------------
CONSUMER NON-DURABLES -- 3.7%
92,700 Coca-Cola Enterprises, Inc................. 545,711 1,958,288
56,800 IBP, Inc................................... 1,019,141 1,334,800
34,033 Lancaster Colony Corporation............... 1,185,197 1,531,485
----------- ------------
2,750,049 4,824,573
----------- ------------
CONSUMER SERVICES -- 0.6%
28,500 Banta Corporation.......................... 688,247 790,875
----------- ------------
</TABLE>
See notes to financial statements.
14
<PAGE>
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- ------------------------------------------- ----------- ------------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
DRUGS -- 0.8%
70,000 Mylan Laboratories......................... $ 1,308,225 $ 1,058,750
----------- ------------
ELECTRICAL EQUIPMENT -- 0.4%
20,000 Ametek, Inc................................ 337,960 467,500
----------- ------------
ELECTRONICS -- 3.2%
24,000 Analog Devices, Inc.*...................... 477,120 642,000
31,000 Arrow Electronics, Inc.*................... 1,502,025 1,770,875
36,000 Sundstrand Corporation..................... 1,400,114 1,791,000
----------- ------------
3,379,259 4,203,875
----------- ------------
ENERGY -- 2.8%
40,000 Smith International, Inc.*................. 405,926 2,095,000
48,600 Tosco Corporation.......................... 692,634 1,585,575
----------- ------------
1,098,560 3,680,575
----------- ------------
ENTERTAINMENT -- 0.5%
30,000 Mirage Resorts*............................ 369,249 716,250
----------- ------------
FINANCIAL SERVICES -- 11.9%
37,200 AFLAC, Inc................................. 807,817 1,897,200
64,139 Bear Stearns Companies, Inc................ 1,274,360 2,084,518
21,800 Crestar Financial Corporation.............. 494,693 828,400
50,000 Edwards (A.G.), Inc........................ 1,202,110 1,856,250
42,300 First Security Corporation................. 538,004 1,036,350
33,000 Franklin Resouces, Inc..................... 1,031,307 2,136,750
37,000 Paine Webber Group, Inc.................... 1,238,705 1,313,500
50,000 Schwab (Charles) Corporation............... 1,080,100 2,031,250
52,000 State Street Corporation................... 1,082,385 2,320,500
----------- ------------
8,749,480 15,504,718
----------- ------------
FOREST PRODUCTS & PAPERS -- 0.3%
7,000 Consolidated Papers, Inc................... 369,630 381,500
----------- ------------
HEALTH CARE -- 4.4%
30,000 Beckman Instruments, Inc................... 829,592 1,398,750
21,900 Datascope Corporation*..................... 352,432 416,100
37,000 Healthcare COMPARE Corporation*............ 1,185,813 1,826,875
62,000 Stryker Corporation........................ 1,352,132 2,162,250
----------- ------------
3,719,969 5,803,975
----------- ------------
HOTELS -- 0.8%
19,800 Hospitality Franchise Systems.............. 486,189 1,066,725
----------- ------------
INDUSTRIAL -- 0.7%
24,000 Harsco Corporation......................... 784,080 936,000
----------- ------------
INSURANCE -- 3.6%
17,550 Mercantile Bancorporation.................. 548,123 1,035,450
23,000 Progressive Corporation.................... 1,514,208 1,819,875
38,000 SunAmerica, Inc............................ 1,316,974 1,795,500
----------- ------------
3,379,305 4,650,825
----------- ------------
</TABLE>
See notes to financial statements.
15
<PAGE>
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- ------------------------------------------- ----------- ------------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
MANUFACTURING -- 3.3%
48,000 Callaway Golf.............................. $ 1,069,820 $ 1,548,000
17,600 Danaher Corporation........................ 334,097 853,600
51,000 Leggett & Platt, Inc....................... 1,124,485 1,925,250
----------- ------------
2,528,402 4,326,850
----------- ------------
MEDICAL-HOSPITAL SERVICES -- 1.4%
46,000 Vencor, Inc................................ 1,681,578 1,874,500
----------- ------------
METALS -- 0.6%
10,700 Brush Wellman, Inc......................... 184,063 227,375
24,300 Hanna (M.A.) Company....................... 412,316 561,938
----------- ------------
596,379 789,313
----------- ------------
OIL/GAS -- 1.3%
47,000 Valero Energy.............................. 1,003,105 1,680,250
----------- ------------
PHARMACEUTICALS -- 1.2%
40,000 Watson Pharmaceutical, Inc*................ 1,630,002 1,565,000
----------- ------------
PUBLISHING & PRINTING -- 1.2%
20,000 Belo (A.H.) Corporation-Common Series A.... 535,650 770,000
2,000 Washington Post Company.................... 613,555 771,250
----------- ------------
1,149,205 1,541,250
----------- ------------
RAW MATERIALS -- 1.4%
36,000 Cleveland Cliffs, Inc...................... 1,456,106 1,521,000
11,220 Ultramar Diamond........................... 309,067 370,260
----------- ------------
1,765,173 1,891,260
----------- ------------
RETAIL -- 6.0%
40,000 Claire Stores, Inc......................... 721,900 770,000
73,437 Dollar General Corporation................. 1,123,096 2,469,319
34,800 Hannaford Brothers Company................. 847,109 1,213,650
60,000 Mac Frugals Bargains Close-Outs, Inc.*..... 891,400 1,785,000
55,000 Waban, Inc.*............................... 883,175 1,670,625
----------- ------------
4,466,680 7,908,594
----------- ------------
RETAIL -- SPECIALTY LINE--0.7%
40,000 Staples, Inc.*............................. 526,125 880,000
----------- ------------
SHELTER -- 1.0%
89,375 Clayton Homes, Inc......................... 1,076,207 1,351,795
----------- ------------
TECHNOLOGY -- 5.2%
62,000 Equifax, Inc............................... 1,024,785 1,937,500
83,000 International Game Technologies............ 1,431,095 1,473,250
20,000 U.S. Robotics Corporation*................. 1,189,375 1,680,000
32,000 Varian Associates, Inc..................... 1,284,966 1,696,000
----------- ------------
4,930,221 6,786,750
----------- ------------
TEXTILES -- 1.6%
46,000 Jones Apparel Group, Inc.*................. 1,006,638 2,156,250
----------- ------------
</TABLE>
See notes to financial statements.
16
<PAGE>
PERFORMANCE FUNDS TRUST
MID CAP GROWTH FUND
Portfolio of Investments (continued)
May 31, 1997
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY VALUE
AMOUNT DESCRIPTION COST (NOTE 2)
--------- --------------------------------------- ----------- ------------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION -- 3.3%
44,000 Atlantic Southeast Airlines............ $ 1,016,875 $ 1,149,500
45,000 Illinois Central Corporation........... 1,116,160 1,625,625
37,000 Tidewater, Inc......................... 1,210,680 1,558,625
----------- ------------
3,343,715 4,333,750
----------- ------------
UTILITIES -- 12.1%
38,000 CMS Energy Corporation................. 970,916 1,277,750
38,000 Central Louisiana Electric............. 941,168 959,500
42,000 Century Telephone Enterprises.......... 1,296,273 1,270,500
61,000 Delmarva Power & Light Company......... 1,252,947 1,059,875
60,000 Illinova Corporation................... 1,475,087 1,312,500
34,000 MCN Corporation........................ 648,259 1,007,250
32,000 NIPSCO Industries, Inc................. 1,062,381 1,296,000
34,000 New England Electric System............ 1,186,434 1,177,250
55,000 New York Gas & Electric Company........ 1,252,076 1,196,250
25,000 Oklahoma Gas & Electric Company........ 913,276 1,075,000
33,000 Pinnacle West Capital.................. 822,171 969,375
34,000 Portland General Corporation........... 648,325 1,360,000
42,000 Public Service of New Mexico Company... 754,531 740,250
45,000 Scana Corporation...................... 1,144,431 1,125,000
----------- ------------
14,368,275 15,826,500
----------- ------------
TOTAL COMMON STOCKS.................... 84,550,318 123,644,109
----------- ------------
SHORT TERM INVESTMENTS -- 5.8%
U.S. TREASURY BILLS -- 4.2%
2,000,000 6/19/1997.............................. 1,994,960 1,995,600
2,000,000 7/24/1997.............................. 1,984,688 1,985,600
1,500,000 8/14/1997.............................. 1,483,720 1,484,985
----------- ------------
5,463,368 5,466,185
----------- ------------
MONEY MARKET ACCOUNT -- 1.6%
2,037,595 AIM Treasury Money Market.............. 2,037,595 2,037,595
----------- ------------
TOTAL SHORT TERM INVESTMENTS........... 7,500,963 7,503,780
----------- ------------
TOTAL INVESTMENTS -- 100.2%............ $92,051,281(a) $131,147,889
===========
LIABILITIES IN EXCESS OF OTHER ASSETS -- 2%......... (205,658)
------------
NET ASSETS -- 100%.................................. $130,942,231
============
</TABLE>
(a) Represents aggregate cost for federal income tax purposes and is
substantially the same as the identified cost and differs from value by
net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation......................................... $40,393,148
Unrealized depreciation......................................... (1,296,540)
-----------
Net unrealized appreciation..................................... $39,096,608
===========
</TABLE>
*Represents non-income producing security.
See notes to financial statements.
17
<PAGE>
PERFORMANCE FUNDS TRUST
Statements of Assets and Liabilities
May 31, 1997
<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 $398,811,147,
$126,810,762 and $95,394,683,
respectively).................... $398,811,147 $126,744,949 $ 94,782,127
Repurchase agreements, at value
(cost $17,500,000, $0 and $0,
respectively).................... 17,500,000 -- --
Dividends and interest receivable. 1,598,750 1,669,696 1,542,503
Unamortized organization expenses. 14,136 4,864 4,864
Prepaid expenses and other assets. 2,536 4,583 19,984
------------ ------------ ------------
Total Assets.................... 417,926,569 128,424,092 96,349,478
------------ ------------ ------------
LIABILITIES:
Dividends payable................. 1,860,500 612,744 497,387
Payable to brokers for investments
purchased........................ 2,983,900 -- --
Advisory fee payable.............. 53,110 45,133 36,255
Administrative services fee
payable.......................... 21,270 16,801 12,015
Distribution fee payable (Consumer
Service Class)................... 7,380 4,321 --
Custodian fee payable............. 14,159 4,482 3,225
Other accrued expenses............ 27,436 108,461 93,239
------------ ------------ ------------
Total Liabilities............... 4,967,755 791,942 642,121
------------ ------------ ------------
NET ASSETS..................... $412,958,814 $127,632,150 $ 95,707,357
============ ============ ============
NET ASSETS:
Shares of Beneficial Interest
Outstanding (Par value of $.001
per share) unlimited number of
shares authorized................ $ 412,952 $ 13,094 $ 9,636
Additional paid-in capital........ 412,549,248 131,097,392 100,844,639
Accumulated undistributed
(distributions in excess of) net
investment income................ 4,136 (27,487) 84,882
Accumulated realized (losses) on
investments...................... (7,522) (3,385,036) (4,619,244)
Net unrealized (depreciation) from
investments...................... -- (65,813) (612,556)
------------ ------------ ------------
Net assets applicable to shares
outstanding....................... $412,958,814 $127,632,150 $ 95,707,357
============ ============ ============
SHARES OF BENEFICIAL INTEREST:
INSTITUTIONAL CLASS:
Shares of Beneficial Interest
Outstanding..................... 320,732,095 12,970,314 9,488,829
============ ============ ============
Net Asset Value, Maximum Offering
Price, and Redemption Price Per
Share........................... $1.00 $9.75 $9.93
============ ============ ============
CONSUMER SERVICE CLASS:
Shares of Beneficial Interest
Outstanding..................... 92,220,361 123,550 147,578
============ ============ ============
Net Asset Value, Maximum Offering
Price, and Redemption Price Per
Share........................... $1.00 $9.75 $9.93
============ ============ ============
</TABLE>
See notes to financial statements.
18
<PAGE>
PERFORMANCE FUNDS TRUST
Statements of Assets and Liabilities (continued)
May 31, 1997
<TABLE>
<CAPTION>
MID CAP
EQUITY GROWTH
FUND FUND
------------ ------------
<S> <C> <C>
ASSETS:
Investments in securities at value (identified cost
$163,909,262 and $92,051,281 respectively)........ $253,061,580 $131,147,889
Receivable from brokers for investments sold....... -- 1,306,682
Dividends and interest receivable.................. 624,513 139,795
Unamortized organization expenses.................. 4,864 16,956
Receivable for Fund shares sold.................... 5,658 1,061
Prepaid expenses and other assets.................. -- 2,149
------------ ------------
Total Assets..................................... 253,696,615 132,614,532
------------ ------------
LIABILITIES:
Dividends payable.................................. 507,020 121,090
Payable for Fund shares redeemed................... 550 --
Payable to brokers for investments purchased....... -- 1,414,418
Advisory fee payable............................... 126,776 82,279
Administrative services fee payable................ 31,700 16,533
Distribution fee payable (Consumer Service Class).. 3,319 --
Custodian fee payable.............................. 8,455 4,413
Other accrued expenses............................. 34,004 33,568
------------ ------------
Total Liabilities................................ 711,824 1,672,301
------------ ------------
NET ASSETS...................................... $252,984,791 $130,942,231
============ ============
NET ASSETS:
Shares of Beneficial Interest Outstanding (Par
value of $.001 per share) unlimited number of
shares authorized................................. $ 13,204 $ 7,835
Additional paid-in capital......................... 162,672,416 91,348,921
Accumulated undistributed (distributions in excess
of) net investment income......................... (7,702) 6,768
Accumulated realized gains on investments.......... 1,154,555 482,099
Net unrealized appreciation from investments....... 89,152,318 39,096,608
------------ ------------
Net assets applicable to shares outstanding......... $252,984,791 $130,942,231
============ ============
SHARES OF BENEFICIAL INTEREST:
INSTITUTIONAL CLASS:
Shares of Beneficial Interest Outstanding......... 12,184,708 7,481,108
============ ============
Net Asset Value, Maximum Offering Price, and
Redemption Price Per Share........................ $19.16 $16.71
============ ============
CONSUMER SERVICE CLASS:
Shares of Beneficial Interest Outstanding......... 1,019,302 353,577
============ ============
Net Asset Value, Maximum Offering Price, and
Redemption Price Per Share........................ $19.16 $16.72
============ ============
</TABLE>
See notes to financial statements.
19
<PAGE>
PERFORMANCE FUNDS TRUST
Statements of Operations
For the Year Ended May 31, 1997
<TABLE>
<CAPTION>
MONEY SHORT TERM INTERMEDIATE MID CAP
MARKET GOVERNMENT TERM GOVERNMENT EQUITY GROWTH
FUND INCOME FUND INCOME FUND FUND FUND
----------- ----------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INCOME:
Interest............... $23,006,183 $7,380,026 $5,962,092 $ 1,978,692 $ 740,712
Dividend............... 61,270 36,906 37,485 2,386,697 1,089,802
----------- ---------- ---------- ----------- -----------
Total Income........... 23,067,453 7,416,932 5,999,577 4,365,389 1,830,514
----------- ---------- ---------- ----------- -----------
EXPENSES:
Advisory............... 1,265,939 473,742 440,376 1,154,404 762,354
Administrative
services............... 632,969 178,882 132,113 288,601 152,470
Custodian.............. 168,792 47,702 35,230 76,961 40,659
Legal.................. 50,084 4,500 5,216 16,999 2,904
Fund accounting........ 30,081 31,001 39,600 37,499 36,599
Distribution (Consumer
Service Class)......... 154,588 3,163 4,537 34,041 6,659
Insurance.............. 20,092 5,428 4,044 7,757 4,263
Audit.................. 22,060 16,701 27,000 26,699 24,999
Reports to
shareholders........... 7,660 2,053 10,630 19,999 2,413
Registration........... 20,098 1,493 4,172 14,348 3,727
Transfer Agent fees.... 16,024 7,981 21,815 33,600 11,000
Amortization of
organizational expense. 9,297 7,594 7,594 7,594 9,575
Trustees' fees and
expenses............... 7,022 4,000 9,000 5,885 6,429
Miscellaneous.......... 28,689 1,512 9,955 13,982 9,682
----------- ---------- ---------- ----------- -----------
Total Expenses before
waivers............... 2,433,395 785,752 751,282 1,738,369 1,073,733
Less: Expenses waived
by Advisor
and Administrator.... (1,206,020) -- (44,038) (171,304) (136,382)
----------- ---------- ---------- ----------- -----------
Net expenses.......... 1,227,375 785,752 707,244 1,567,065 937,351
----------- ---------- ---------- ----------- -----------
NET INVESTMENT INCOME.. 21,840,078 6,631,180 5,292,333 2,798,324 893,163
----------- ---------- ---------- ----------- -----------
REALIZED AND UNREALIZED
GAINS (LOSSES) ON
INVESTMENTS:
Net realized gains
(losses) on investment
transactions.......... 10,495 (695,641) (114,007) 1,164,271 1,922,390
Net change in
unrealized
appreciation on
investments........... -- 471,301 1,010,690 48,227,378 19,983,182
----------- ---------- ---------- ----------- -----------
Net realized and
unrealized gains
(losses) on
investments........... 10,495 (224,340) 896,683 49,391,649 21,905,572
----------- ---------- ---------- ----------- -----------
INCREASE IN NET ASSETS
RESULTING
FROM OPERATIONS........ $21,850,573 $6,406,840 $6,189,016 $52,189,973 $22,798,735
=========== ========== ========== =========== ===========
</TABLE>
See notes to financial statements.
20
<PAGE>
PERFORMANCE FUNDS TRUST
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
MONEY SHORT TERM INTERMEDIATE
MARKET GOVERNMENT TERM GOVERNMENT
FUND INCOME FUND INCOME FUND
---------------------------- -------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1997 1996 1997 1996 1997 1996
------------- ------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES:
OPERATIONS:
Net investment income.. $ 21,840,078 $ 20,767,491 $ 6,631,180 $ 6,150,489 $ 5,292,333 $ 4,385,529
Net realized gains
(losses) from
investment
transactions.......... 10,495 -- (695,641) 1,061,507 (114,007) 2,334,645
Net change in
unrealized
appreciation
(depreciation) from
investments........... -- -- 471,301 (2,185,226) 1,010,690 (4,382,087)
------------- ------------- ------------ ------------ ------------ ------------
Increase in net assets
resulting from
operations............ 21,850,573 20,767,491 6,406,840 5,026,770 6,189,016 2,338,087
------------- ------------- ------------ ------------ ------------ ------------
Distributions to
shareholders from:
Net investment income
Institutional Class.... (18,776,904) (20,231,865) (6,564,119) (6,101,238) (5,059,433) (4,215,076)
Consumer Service Class. (3,063,174) (535,626) (67,062) (49,251) (101,543) (170,453)
------------- ------------- ------------ ------------ ------------ ------------
(21,840,078) (20,767,491) (6,631,181) (6,150,489) (5,160,976) (4,385,529)
Realized capital gains
Institutional Class.... (13,881) -- -- -- -- --
------------- ------------- ------------ ------------ ------------ ------------
Total Distributions to
Shareholders.......... (21,853,959) (20,767,491) (6,631,181) (6,150,489) (5,160,976) (4,385,529)
------------- ------------- ------------ ------------ ------------ ------------
Transactions in Shares
of Beneficial Interest
Proceeds from sales of
shares:
Institutional Class.... 673,536,254 866,500,419 39,147,025 39,421,139 30,358,536 18,417,877
Consumer Service Class. 200,861,942 37,943,309 403,772 1,033,188 125,232 708,923
------------- ------------- ------------ ------------ ------------ ------------
874,398,196 904,443,728 39,550,797 40,454,327 30,483,768 19,126,800
------------- ------------- ------------ ------------ ------------ ------------
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions:
Institutional Class... 50,627 28,067 4,778,814 4,357,882 3,306,749 2,629,070
Consumer Service
Class................ 2,257,747 456,141 61,335 42,063 87,190 145,175
------------- ------------- ------------ ------------ ------------ ------------
2,308,374 484,208 4,840,149 4,399,945 3,393,939 2,774,245
------------- ------------- ------------ ------------ ------------ ------------
Cost of shares
reedeemed:
Institutional Class.... (719,812,199) (824,504,347) (23,892,369) (40,782,969) (18,107,860) (49,449,964)
Consumer Service Class. (136,114,374) (16,747,680) (736,148) (322,490) (941,349) (1,829,651)
------------- ------------- ------------ ------------ ------------ ------------
(855,926,573) (841,252,027) (24,628,517) (41,105,459) (19,049,209) (51,279,615)
------------- ------------- ------------ ------------ ------------ ------------
Net increase (decrease)
in net assets derived
from transactions in
shares of beneficial
interest.............. 20,779,997 63,675,909 19,762,429 3,748,813 14,828,498 (29,378,570)
------------- ------------- ------------ ------------ ------------ ------------
Total Increase
(Decrease) in Net
Assets.................. 20,776,611 63,675,909 19,538,088 2,625,094 15,856,538 (31,426,012)
NET ASSETS:
Beginning of Year...... 392,182,203 328,506,294 108,094,062 105,468,968 79,850,819 111,276,831
------------- ------------- ------------ ------------ ------------ ------------
End of Year............ $ 412,958,814 $ 392,182,203 $127,632,150 $108,094,062 $ 95,707,357 $ 79,850,819
============= ============= ============ ============ ============ ============
</TABLE>
See notes to financial statements.
21
<PAGE>
PERFORMANCE FUNDS TRUST
Statements of Changes in Net Assets (continued)
<TABLE>
<CAPTION>
MID CAP
EQUITY GROWTH
FUND FUND
-------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, MAY 31, MAY 31, MAY 31,
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES:
OPERATIONS:
Net investment income.. $ 2,798,324 $ 2,043,173 $ 893,163 $ 649,351
Net realized gains from
investment
transactions.......... 1,164,271 3,790,726 1,922,390 2,929,921
Net change in
unrealized
appreciation from
investments........... 48,227,378 25,139,343 19,983,182 14,335,566
------------ ------------ ------------ ------------
Increase in net assets
resulting from
operations............ 52,189,973 30,973,242 22,798,735 17,914,838
------------ ------------ ------------ ------------
Distributions to
shareholders from:
Net investment income
Institutional Class... (2,692,406) (1,950,779) (870,028) (643,254)
Consumer Service
Class................ (173,421) (92,399) (17,854) (4,859)
------------ ------------ ------------ ------------
(2,865,827) (2,043,178) (887,882) (648,113)
------------ ------------ ------------ ------------
Realized capital gains
Institutional Class... (2,663,128) (4,158,224) (2,164,608) (2,337,629)
Consumer Service
Class................ (201,637) (210,061) (50,169) (15,913)
------------ ------------ ------------ ------------
(2,864,765) (4,368,285) (2,214,777) (2,353,542)
------------ ------------ ------------ ------------
Total Distributions to
Shareholders.......... (5,730,592) (6,411,463) (3,102,659) (3,001,655)
------------ ------------ ------------ ------------
Transactions in Shares
of Beneficial Interest
Proceeds from sales of
shares:
Institutional Class... 71,830,680 31,171,285 36,918,030 26,665,253
Consumer Service
Class................ 8,069,305 4,177,748 4,080,489 1,005,191
------------ ------------ ------------ ------------
79,899,985 35,349,033 40,998,519 27,670,444
------------ ------------ ------------ ------------
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions:
Institutional Class... 4,115,005 4,894,245 2,591,733 2,548,001
Consumer Service
Class................ 358,638 293,864 64,970 19,816
------------ ------------ ------------ ------------
4,473,643 5,188,109 2,656,703 2,567,817
------------ ------------ ------------ ------------
Cost of shares
reedeemed:
Institutional Class... (25,533,693) (19,353,829) (14,267,383) (11,334,681)
Consumer Service
Class................ (2,289,707) (1,113,532) (283,162) (19,842)
------------ ------------ ------------ ------------
(27,823,400) (20,467,361) (14,550,545) (11,354,523)
------------ ------------ ------------ ------------
Net increase in net
assets derived from
transactions in shares
of beneficial
interest.............. 56,550,228 20,069,781 29,104,677 18,883,738
------------ ------------ ------------ ------------
Total Increase in Net
Assets.................. 103,009,609 44,631,560 48,800,753 33,796,921
NET ASSETS:
Beginning net assets... 149,975,182 105,343,622 82,141,478 48,344,557
------------ ------------ ------------ ------------
Ending net assets...... $252,984,791 $149,975,182 $130,942,231 $ 82,141,478
============ ============ ============ ============
</TABLE>
See notes to financial statements.
22
<PAGE>
PERFORMANCE FUNDS TRUST
Notes to Financial Statements -- May 31, 1997
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. Currently, five of
the portfolios are active and one, U.S. Treasury Money Market Fund, has not
commenced operations.
The Funds' investment objectives are as follows:
Money Market Fund -- as high a level of current income as is consistent
with preservation of capital and liquidity.
Short Term Government Income Fund -- as high a level of current income
as is consistent with limiting the risk of potential loss.
Intermediate Term Government Income Fund -- a high level of current
income, with a secondary objective of total return.
Equity Fund -- long-term capital appreciation.
Mid Cap Growth Fund -- long-term capital appreciation.
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. Short term securities that 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. Money
Market Fund values investments at amortized cost, which approximates market
value.
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 of
the Trust 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
23
<PAGE>
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1997
other than class specific expenses are allocated daily to each class of
shares based upon the proportion of net assets attributable 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.
D. Federal 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 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 amounts 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 in accordance with
generally accepted accounting principals. 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, 1997, Trustmark waived advisory fees as listed
below:
<TABLE>
<CAPTION>
TRUSTMARK TRUSTMARK
ENTITLED WAIVED
---------- ---------
<S> <C> <C>
Money Market Fund...................................... $1,265,939 $826,237
Short Term Government Income Fund...................... 473,742 --
Intermediate Term Government Income Fund............... 440,376 44,038
Equity Fund............................................ 1,154,404 171,304
Mid Cap Growth Fund.................................... 762,354 136,382
</TABLE>
24
<PAGE>
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1997
4. Administrator. The Funds entered into an Administrative Services Contract
with BISYS Fund Services Limited Partnership d/b/a BISYS Fund Services
("BISYS") effective November 11, 1996, following the acquisition by The BISYS
Group, Inc. of the Mutual Funds Division of Furman Selz LLC ("Furman Selz").
Under the contract BISYS provides management and administrative services
necessary for the operation of the Funds, furnishes office space and
facilities and pays the compensation of the Trust's officers affiliated with
BISYS. For these administrative services, BISYS is entitled to a monthly fee
at the annual rate of 0.15% of the average daily net assets of each Fund under
substantially the same agreement as with Furman Selz.
For the year ended May 31, 1997, Furman Selz and BISYS were entitled to and
waived administrative services fees as listed below:
<TABLE>
<CAPTION>
FURMAN FURMAN BISYS BISYS
ENTITLED WAIVED ENTITLED WAIVED
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Money Market Fund...................... $272,017 $163,210 $360,952 $216,573
Short Term Government Income Fund...... 73,968 -- 104,914 --
Intermediate Term Government Income
Fund................................... 58,242 -- 73,871 --
Equity Fund............................ 109,656 -- 178,945 --
Mid Cap Growth Fund.................... 59,126 -- 93,344 --
</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
BISYS, 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, 1997,
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 BISYS, for calculating net asset values and
providing certain other accounting services for each Fund, BISYS is paid an
annual fee of $30,000 plus out-of-pocket expenses, from each Fund. BISYS
assumed these functions effective November 11, 1996, following the acquisition
by The BISYS Group, Inc. of the Mutual Funds Division of Furman Selz, which
organization had previously provided these services to the Funds.
The Funds retain BISYS as transfer agent. BISYS provides personnel necessary
to perform shareholder servicing functions. Pursuant to a Shareholder
Servicing Agreement BISYS receives a fee of $15.00 per account, per year, and
reimbursement for certain expenses. BISYS assumed these functions effective
December 1, 1996, following the acquisition by The BISYS Group, Inc. of the
Mutual Funds Division of Furman Selz, which organization had previously
provided these services to the Funds.
For the year ended May 31, 1997, Furman Selz and BISYS earned the following
fees for the performance of transfer agent and fund accounting services
(exclusive of out-of-pocket costs):
<TABLE>
<CAPTION>
FURMAN SELZ BISYS
----------- -------
<S> <C> <C>
Money Market Fund....................................... $ 6,215 $ 9,809
Short Term Government Income Fund....................... 3,778 4,203
Intermediate Term Government Income Fund................ 8,631 13,184
Equity Fund............................................. 14,228 19,372
Mid Cap Growth Fund..................................... 4,472 6,528
</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
25
<PAGE>
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1997
of 0.04% of the average daily net assets of each Fund, plus certain
transaction charges. For the year ended May 31, 1997, 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 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,
1997 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............. $ -- $ 7,250,790 $ 106,569,456 $ 32,572,466
Intermediate Term
Government Income Fund.. 4,209,556 3,281,731 61,368,282 37,509,827
Equity Fund............. 52,162,945 2,529,451 -- --
Mid Cap Growth Fund..... 36,991,403 7,372,424 -- --
</TABLE>
8. 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, MAY 31, MAY 31, MAY 31,
1997 1996 1997 1996
------------ ------------ ---------- ----------
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS
Shares sold................ 673,527,201 866,500,419 3,998,186 3,990,252
Shares issued in
reinvestment of
distributions.............. 50,629 28,067 489,110 442,352
------------ ------------ ---------- ----------
673,577,830 866,528,486 4,487,296 4,432,604
Shares redeemed............ (719,812,099) (824,504,347) (2,452,500) (4,140,652)
------------ ------------ ---------- ----------
Net increase (decrease) in
shares..................... (46,234,269) 42,024,139 2,034,796 291,952
============ ============ ========== ==========
CONSUMER SERVICE CLASS
Shares sold................ 200,861,148 37,943,309 41,252 104,816
Shares issued in
reinvestment of
distributions.............. 2,257,747 456,141 6,276 4,272
------------ ------------ ---------- ----------
203,118,895 38,399,450 47,528 109,088
Shares redeemed............ (136,114,373) (16,747,680) (75,497) (32,694)
------------ ------------ ---------- ----------
Net increase (decrease) in
shares..................... 67,004,522 21,651,770 (27,969) 76,394
============ ============ ========== ==========
</TABLE>
26
<PAGE>
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1997
<TABLE>
<CAPTION>
INTERMEDIATE TERM
GOVERNMENT INCOME FUND EQUITY FUND
------------------------ ----------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, MAY 31, MAY 31, MAY 31,
1997 1996 1997 1996
----------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS
Shares sold.................. 3,071,378 1,812,613 4,341,229 2,221,605
Shares issued in reinvestment
of distributions............. 333,451 258,829 249,397 350,538
----------- ----------- ---------- ----------
3,404,829 2,071,442 4,590,626 2,572,143
Shares redeemed.............. (1,826,500) (4,845,988) (1,568,739) (1,409,960)
----------- ----------- ---------- ----------
Net increase (decrease) in
shares....................... 1,578,329 (2,774,546) 3,021,887 1,162,183
=========== =========== ========== ==========
CONSUMER SERVICE CLASS
Shares sold.................. 12,702 69,994 492,606 282,644
Shares issued in reinvestment
of distributions............. 8,790 14,284 21,683 21,044
----------- ----------- ---------- ----------
21,492 84,278 514,289 303,688
Shares redeemed.............. (95,285) (181,825) (137,774) (79,130)
----------- ----------- ---------- ----------
Net increase (decrease) in
shares....................... (73,793) (97,547) 376,515 224,558
=========== =========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
----------------------
YEAR ENDED YEAR ENDED
MAY 31, MAY 31,
1997 1996
---------- ----------
<S> <C> <C>
INSTITUTIONAL CLASS
Shares sold............................................. 2,558,236 2,117,774
Shares issued in reinvestment of distributions.......... 175,821 209,185
--------- ---------
2,734,059 2,326,959
Shares redeemed......................................... (997,066) (909,532)
--------- ---------
Net increase (decrease) in shares....................... 1,736,991 1,417,427
========= =========
CONSUMER SERVICE CLASS
Shares sold............................................. 266,169 77,326
Shares issued in reinvestment of distributions.......... 4,397 1,623
--------- ---------
270,564 78,949
Shares redeemed......................................... (19,298) (1,579)
--------- ---------
Net increase (decrease) in shares....................... 251,268 77,370
========= =========
</TABLE>
9. 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, 1997, the Money Market Fund had the following industry
concentrations in excess of 10% of its net assets: Banking -- 17.15%.
10. At May 31, 1997, the Short Term Government Income Fund and the
Intermediate Term Government Income Fund had net capital loss carryovers of
$2,690,045 and $4,421,039, respectively expiring May 31, 2003 and $595,936 and
$114,007, respectively expiring May 31, 2005. The Money Market Fund utilized
$4,136 of capital losses during the year ended May 31, 1997. In addition,
capital losses incurred after October 31 ("post-October
27
<PAGE>
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1997
losses") within the tax year are deemed to arise on the first business day of a
Fund's next taxable year. The Short Term Government Income Fund and the Money
Market Fund incurred and elected to defer post-October net capital losses of
approximately $99,055 and $9,214 respectively during the fiscal year ended May
31, 1997.
28
<PAGE>
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
-------------------------------------- ----------------------------------
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,
1997 1996 1995 1994* 1997 1996 1995 1994*
-------- -------- -------- -------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- ------- ------- ------ -----
Income from Investment
Operations:
Net investment income.. 0.05 0.05 0.05 0.02 0.04 0.05 0.05 0.02
-------- -------- -------- -------- ------- ------- ------ -----
Less Distributions:
Dividends from net
investment income..... (0.05) (0.05) (0.05) (0.02) (0.04) (0.05) (0.05) (0.02)
-------- -------- -------- -------- ------- ------- ------ -----
Net Asset Value, End of
Period................. $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ======== ======== ======= ======= ====== =====
Total Return............ 5.34% 5.60% 5.27% 2.17% 5.07% 5.33% 5.02% 2.03%
Ratios/Supplementary
Data:
Net Assets, End of
Period (in thousands). $320,732 $366,966 $324,942 $139,157 $92,220 $25,216 $3,564 $797
Ratios of Expenses to
Average Net Assets.... 0.25% 0.24% 0.23% 0.15%** 0.38% 0.49% 0.48% 0.40%**
Effect of
waivers/reimbursements
on expense ratios..... 0.26% 0.30% 0.36% 0.53%** 0.10% 0.30% 0.36% 0.53%**
Ratios of Net
Investment Income to
Average Net Assets.... 5.20% 5.42% 5.27% 3.30%** 5.23% 5.17% 5.02% 3.05%**
</TABLE>
* Fund commenced operations on September 30, 1993.
** Annualized.
<TABLE>
<CAPTION>
SHORT TERM GOVERNMENT INCOME FUND
---------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS CONSUMER SERVICE CLASS
------------------------------------------------ -------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1997 1996 1995 1994 1993* 1997 1996 1995 1994 1993*
-------- -------- -------- -------- -------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $9.75 $9.84 $9.77 $10.10 $10.00 $9.75 $9.84 $9.77 $10.10 $10.00
-------- -------- -------- -------- -------- ------ ------ ------ ------ ------
Income from Investment
Operations:
Net investment income... 0.55 0.54 0.53 0.40 0.44 0.49 0.51 0.50 0.37 0.43
Net gain (loss) on
securities (both
realized and
unrealized)............ (0.01) (0.09) 0.07 (0.25) 0.22 -- (0.09) 0.07 (0.25) 0.22
-------- -------- -------- -------- -------- ------ ------ ------ ------ ------
Total from Investment
Operations............. 0.54 0.45 0.60 0.15 0.66 0.49 0.42 0.57 0.12 0.65
-------- -------- -------- -------- -------- ------ ------ ------ ------ ------
Less Distributions:
Dividends from net
investment income...... (0.54) (0.54) (0.53) (0.40) (0.44) (0.49) (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) (0.54) (0.53) (0.48) (0.56) (0.49) (0.51) (0.50) (0.45) (0.55)
-------- -------- -------- -------- -------- ------ ------ ------ ------ ------
Net Asset Value, End of
Period................. $9.75 $9.75 $9.84 $9.77 $10.10 $9.75 $9.75 $9.84 $9.77 $10.10
======== ======== ======== ======== ======== ====== ====== ====== ====== ======
Total Return (not
reflecting sales load). 5.70% 4.65% 6.37% 1.49% 6.74% 5.44% 4.38% 6.12% 1.23% 6.67%
Ratios/Supplementary
Data:
Net Assets, End of
Period
(in thousands)......... $126,428 $106,617 $104,730 $111,657 $138,822 $1,205 $1,477 $739 $654 $1,125
Ratios of Expenses to
Average Net Assets..... 0.66% 0.71% 0.74% 0.69% 0.67% 0.87% 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................. 5.63% 5.48% 5.43% 4.00% 4.32% 5.01% 5.23% 5.18% 3.75% 4.24%
Portfolio Turnover Rate. 86.21% 120.00% 267.65% 213.43% 216.52% 86.21% 120.00% 267.65% 213.43% 216.52%
</TABLE>
* Fund commenced operations on June 1, 1992.
See notes to financial statements.
29
<PAGE>
PERFORMANCE FUNDS TRUST
Financial Highlights (continued)
For a share of beneficial interest oustanding throughout each period
<TABLE>
<CAPTION>
INTERMEDIATE TERM GOVERNMENT INCOME FUND
-------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS CONSUMER SERVICE CLASS
---------------------------------------------- -------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1997 1996 1995 1994 1993* 1997 1996 1995 1994 1993*
------- ------- -------- -------- -------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING
OF PERIOD.............. $ 9.82 $10.11 $ 9.87 $10.56 $10.00 $ 9.82 $10.11 $ 9.87 $10.56 $10.00
------- ------- -------- -------- -------- ------ ------ ------ ------ ------
Income from Investment
Operations:
Net investment income.. 0.60 0.56 0.62 0.58 0.62 0.57 0.54 0.60 0.55 0.62
Net gain(loss) on
securities
(both realized and
unrealized)........... 0.09 (0.29) 0.25 (0.52) 0.61 0.10 (0.29) 0.25 (0.52) 0.61
------- ------- -------- -------- -------- ------ ------ ------ ------ ------
Total from Investment
Operations............ 0.69 0.27 0.87 0.06 1.23 0.67 0.25 0.85 0.03 1.23
------- ------- -------- -------- -------- ------ ------ ------ ------ ------
Less Distributions:
Dividends from net
investment income..... (0.58) (0.56) (0.62) (0.58) (0.62) (0.56) (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.... (0.58) (0.56) (0.63) (0.75) (0.67) (0.56) (0.54) (0.61) (0.72) (0.67)
------- ------- -------- -------- -------- ------ ------ ------ ------ ------
Net Asset Value, End of
Period................. $ 9.93 $ 9.82 $10.11 $ 9.87 $10.56 $ 9.93 $ 9.82 $10.11 $ 9.87 $10.56
======= ======= ======== ======== ======== ====== ====== ====== ====== ======
Total Return (not
reflecting sales
load)................. 7.20% 2.66% 9.31% 0.34% 12.66% 6.92% 2.40% 9.06% 0.08% 12.58%
Ratios/Supplementary
Data:
Net Assets, End of
Period
(in thousands)........ $94,242 $77,677 $108,052 $158,420 $150,115 $1,465 $2,174 $3,225 $3,384 $1,952
Ratios of Expenses to
Average Net Assets.... 0.86% 0.81% 0.71% 0.65% 0.67% 1.03% 1.06% 0.96% 0.90% 0.78%
Effect of
waivers/reimbursements
on expense ratios..... 0.05% 0.05% 0.11% 0.15% 0.15% 0.05% 0.05% 0.11% 0.15% 0.15%
Ratios of Net
Investment Income to
Average Net Assets.... 6.48% 5.55% 6.44% 5.50% 6.00% 5.60% 5.30% 6.19% 5.25% 5.89%
Portfolio Turnover
Rate.................. 46.23% 183.00% 339.95% 102.46% 54.43% 46.23% 183.00% 339.95% 102.46% 54.43%
</TABLE>
* Fund commenced operations on June 1, 1992.
See notes to financial statements.
30
<PAGE>
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 YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1997 1996 1995 1994 1993* 1997 1996 1995 1994 1993*
-------- -------- -------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $15.29 $12.51 $11.33 $11.21 $10.00 $15.29 $12.51 $11.33 $11.21 $10.00
-------- -------- -------- ------- ------- ------- ------- ------ ------ ------
Income from Investment
Operations:
Net investment income.. 0.24 0.23 0.25 0.23 0.22 0.20 0.19 0.22 0.20 0.21
Net gain(loss) on
securities (both
realized and
unrealized)........... 4.13 3.29 1.42 0.12 1.21 4.13 3.29 1.42 0.12 1.21
-------- -------- -------- ------- ------- ------- ------- ------ ------ ------
Total from Investment
Operations............ 4.37 3.52 1.67 0.35 1.43 4.33 3.48 1.64 0.32 1.42
-------- -------- -------- ------- ------- ------- ------- ------ ------ ------
Less Distributions:
Dividends from net
investment income..... (0.25) (0.23) (0.24) (0.23) (0.22) (0.21) (0.19) (0.21) (0.20) (0.21)
Distributions from net
realized gains........ (0.25) (0.51) (0.25) -- -- (0.25) (0.51) (0.25) -- --
-------- -------- -------- ------- ------- ------- ------- ------ ------ ------
Total Distributions.... (0.50) (0.74) (0.49) (0.23) (0.22) (0.46) (0.70) (0.46) (0.20) (0.21)
-------- -------- -------- ------- ------- ------- ------- ------ ------ ------
Net Asset Value, End of
Period................. $19.16 $15.29 $12.51 $11.33 $11.21 $19.16 $15.29 $12.51 $11.33 $11.21
======== ======== ======== ======= ======= ======= ======= ====== ====== ======
Total Return (not
reflecting sales load). 29.06% 28.73% 15.35% 3.10% 14.48% 28.75% 28.42% 15.10% 2.85% 14.37%
Ratios/Supplementary
Data:
Net Assets, End of
Period
(in thousands)........ $233,454 $140,144 $100,110 $93,983 $87,755 $19,531 $9,831 $5,234 $5,287 $3,348
Ratios of Expenses to
Average Net Assets.... 0.83% 0.81% 0.79% 0.83% 0.83%** 1.06% 1.06% 1.04% 1.08% 0.94%
Effect of
waivers/reimbursements
on expense ratios..... 0.09% 0.10% 0.13% 0.15% 0.20%** 0.08% 0.10% 0.13% 0.15% 0.20%
Ratios of Net
Investment Income to
Average Net Assets.... 1.43% 1.65% 2.15% 1.99% 2.20%** 1.18% 1.40% 1.90% 1.74% 2.09%
Portfolio Turnover
Rate................... 1.41% 6.00% 58.08% 27.11% 2.61% 1.41% 6.00% 58.08% 27.11% 2.61%
Average Commission
Rate (a).............. $ 0.0899 $0.1067 $ -- $ -- $ -- $0.0899 $0.1067 $ -- $ -- $ --
</TABLE>
*Fund commenced operations on June 1, 1992.
**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 notes to financial statements.
31
<PAGE>
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
----------------------------------- ----------------------------------
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,
1997 1996 1995 1994* 1997 1996 1995 1994*
-------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $14.05 $11.11 $ 9.60 $10.00 $14.05 $11.11 $ 9.60 $10.00
-------- ------- ------- ------- ------- ------- ------ ------
Income from Investment
Operations:
Net investment income.. 0.13 0.13 0.13 0.03 0.09 0.10 0.11 0.03
Net gain(loss) on
securities (both
realized and
unrealized)........... 2.99 3.44 1.51 (0.40) 3.00 3.44 1.51 (0.40)
-------- ------- ------- ------- ------- ------- ------ ------
Total from Investment
Operations............ 3.12 3.57 1.64 (0.37) 3.09 3.54 1.62 (0.37)
-------- ------- ------- ------- ------- ------- ------ ------
Less Distributions:
Dividends from net
investment income..... (0.13) (0.13) (0.13) (0.03) (0.09) (0.10) (0.11) (0.03)
Distributions from net
realized gains........ (0.33) (0.50) -- -- (0.33) (0.50) -- --
-------- ------- ------- ------- ------- ------- ------ ------
Total Distributions.... (0.46) (0.63) (0.13) (0.03) (0.42) (0.60) (0.11) (0.03)
-------- ------- ------- ------- ------- ------- ------ ------
Net Asset Value, End of
Period................. $16.71 $14.05 $11.11 $ 9.60 $16.72 $14.05 $11.11 $ 9.60
======== ======= ======= ======= ======= ======= ====== ======
Total Return (not
reflecting sales load). 22.62% 33.06% 17.31% -3.66% 22.33% 32.76% 17.06% -3.70%
Ratios/Supplementary
Data:
Net Assets, End of
Period (in thousands). $125,035 $80,704 $48,068 $33,779 $5,911 $1,437 $277 $35
Ratios of Expenses to
Average Net Assets.... 0.92% 0.98% 0.96% 0.93%** 1.19% 1.23% 1.21% 1.18%**
Effect of
waivers/reimbursements
on expense ratios..... 0.14% 0.16% 0.26% 1.00%** 0.11% 0.16% 0.26% 1.00%**
Ratios of Net
Investment Income to
Average Net Assets.... 0.89% 1.06% 1.37% 1.60%** 0.65% 0.79% 1.12% 1.35%**
Portfolio Turnover
Rate.................. 7.72% 28.00% 20.39% 5.88% 7.72% 28.00% 20.39% 5.88%
Average Commission Rate
(a)................... $ 0.0721 $0.1070 $ -- $ -- $0.0721 $0.1070 $ -- $ --
</TABLE>
*Fund commenced operations on February 24, 1994.
**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 notes to financial statements.
32
<PAGE>
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 six portfolios
of Performance Funds Trust, hereafter referred to as the "Trust"), at May 31,
1997, 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, 1997 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
Price Waterhouse LLP
1177 Avenue of the Americas
New York, New York 10036
July 18, 1997
33
<PAGE>
PERFORMANCE FUNDS TRUST
TAX STATUS OF DIVIDENDS PAID (UNAUDITED)
The following table represents the tax status of dividends and distributions
paid by the Fund's during the fiscal year ended May 31, 1997. Certain portions
of this information were previously reported to you on Form 1099 at the close
of calendar 1996. This information is presented in order to comply with
regulatory requirements and requires no current action on your part.
<TABLE>
<CAPTION>
INCOME DIVIDENDS
LONG TERM SHORT TERM PAID PER SHARE
CAPITAL GAINS CAPITAL GAINS ----------------------
DIVIDENDS DIVIDENDS CONSUMER
PAID PAID INSTITUTIONAL SERVICE
PER SHARE PER SHARE CLASS CLASS
------------- ------------- ------------- --------
<S> <C> <C> <C> <C>
Money Market................ -- -- 0.0521 0.0495
Short Term Government Income
Fund........................ -- -- 0.5425 0.5186
Intermediate Term Government
Income Fund................ -- -- 0.5810 0.5552
Equity Fund................. $0.24 $0.01 0.2497 0.2088
Mid Cap Growth Fund......... 0.15 0.18 0.1292 0.0938
</TABLE>
Additionally, 100% of the income dividends paid by the Equity Fund and
94.11% of the Mid Cap Growth Fund qualify for the dividends received deduction
available to corporations.
34
<PAGE>
LOGO
OF PERFORMANCE FUNDS
INVESTMENT ADVISOR
- ------------------------
Trustmark National Bank
248 East Capitol Street
Jackson, Mississippi 39201
ADMINISTRATOR AND
TRANSFER AGENT
- ------------------
BISYS Fund Services, Inc.
3435 Stelzer Road
Columbus, Ohio 43219
DISTRIBUTOR
- -------------
Performance Funds Distributor, Inc.
3435 Stelzer Road
Columbus, Ohio 43219
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.
PF7/97
LOGO
OF PERFORMANCE FUNDS
PERFORMANCE FUNDS TRUST
A FAMILY OF MUTUAL FUNDS
ANNUAL REPORT
MAY 31, 1997
INVESTMENT ADVISOR
LOGO
OF TRUSTMARK
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, OF
ANY OTHER AGENCY. SHARES OF THE TRUST INVOLVE
INVESTMENT RISK, INCLUDING POSSIBLE LOSS OF
PRINCIPAL. PAST PERFORMANCE IS NOT INDICATIVE OF
FUTURE RESULTS.
