<PAGE> 1
[PERFORMANCE FUNDS LOGO]
July 1, 1999
Dear Shareholder:
We are pleased to present you the Performance Funds' annual report for the
fiscal year ended May 31, 1999. The Performance Funds comprise The Money Market
Fund, The Short Term Government Income Fund, The Intermediate Term Government
Income Fund, The Large Cap Equity Fund, The Mid Cap Equity Fund, and The Small
Equity Cap Fund. All funds are managed by Trustmark National Bank.
ECONOMIC REVIEW
The Funds' May 31, 1999 fiscal year ended as the U. S. economy, now in its
ninth consecutive year of expansion, continued to deliver faster-than-expected
growth. GDP showed solid growth at 4.5% in the first quarter of this year, after
soaring at a 6% pace in the last quarter of 1998. The economic momentum in 1998
has continued into 1999 with particular strength in consumer spending,
construction activity, and capital expenditures.
Annual GDP growth the past three years has been 3.9%, 3.8%, and 4.3% (all
above the Fed target of 2.5%), and the unemployment rate has steadily declined
from 5.6% to 4.2%, a 29-year low. Following its May policy meeting, the Fed
announced its "tightening bias" citing that improved foreign economic prospects,
a tight labor market, and continued consumer demand raised concerns that
"financial conditions may no longer be consistent with containing inflation."
The Fed's concern regarding a potential buildup of inflationary imbalances is
warranted. At the mid-June congressional summit on technology Chairman Greenspan
expressed concern that the "the growth of productivity cannot increase
indefinitely, and while productivity acceleration has not yet peaked, experience
does advise caution." He followed up these comments a week later in his
testimony before the Joint Economic Committee of Congress stating that "for the
period immediately ahead, inflationary pressures still seem well contained;
however, the persistence of certain imbalances pose a risk to the longer-run
outlook."
Productivity, consumer spending, and global economic recovery (particularly
in Japan) will be major factors on future Fed policy. Should the Fed raise rates
at its June FOMC meeting, it could be regarded as a token rate adjustment, given
the Fed's three easings last year to thwart a global recession.
On the following pages you will find a detailed discussion of each fund's
performance. As always, we appreciate your support, welcome your comments, and
encourage you to talk with your investment representative should you have any
questions about your funds.
Sincerely,
/s/ John J. Pileggi
John J. Pileggi
Chairman of the Board
- ------------
Trustmark Bank provides investment advisory services and other services to the
Fund and receives a fee for those services. This material is authorized for
distribution only when preceded or accompanied by a prospectus. The funds are
distributed by Performance Funds Distributor, Inc.
Mutual funds are NOT INSURED BY THE FDIC. There is no bank guarantee. Mutual
funds may lose value. The views expressed in this Shareholder Letter reflect
those of the Chairman of the Board through the end of the period covered by the
report, as stated on the cover. The Chairman of the Board's views are subject to
change based on market and other conditions.
<PAGE> 2
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<PAGE> 3
PORTFOLIO MANAGER'S REPORT
PERFORMANCE MONEY MARKET FUND
The Performance Money Market Fund provided investors with a return of 5.05%
for the Institutional Class and 4.79% for the Class A shares for the 12 month
period ended May 31, 1999. During this period, the 7-day yield of the Fund
fluctuated between a high yield of 5.29% on August 5 and a low yield of 4.54% on
April 14 with a closing yield of 4.68% on May 28, 1999 (Institutional Class
yields). During this 12 month period, the Federal Reserve lowered the target
rate for Fed Funds three times from a high rate of 5.50% to the current 4.75%
rate. This has had a direct impact on the Fund since the investments that the
Fund uses generally track the direction in which the Fed Funds rate moves. These
lower Fed Rates were in response to the worldwide turmoil in the later half of
1998. Also because of the conditions abroad, there was a severe "flight to
quality" which increased the demand for dollar denominated securities which
caused rates to decrease even further. These lower rates also helped to keep the
economy at home moving at a still blistering pace of about 4% since mid-1998.
This has caused the Fed to now begin looking at the possibility of inflation
heating up in the domestic economy which has caused short-term rates to increase
over the past few months.
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 per the
respective ratings from Standard and Poor's and Moody's. An investment in the
Fund is neither insured nor guaranteed by the U.S. Government or any other
Government Agency. 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 be in the future and it is possible to lose money by
investing in the Fund.
Signed,
/s/ Kelly J. Collins
Kelly J. Collins
Trust Investment Officer
Trustmark National Bank
- ------------
All performance figures cited here represent past performance of the Money
Market Fund and do not guarantee future results.
<PAGE> 4
PERFORMANCE SHORT TERM GOVERNMENT INCOME FUND
Institutional and Class A shareholders of the Short Term Government Income
Fund received a return of 4.57% and 4.31%*, respectively, for the current fiscal
year. Ending share value was $9.79, down $.06 per share for the year. Average
share price was $9.89 with a high of $10.04, and a low of $9.79.
This fiscal year proved to be an eventful time in the bond markets. Looking
back to June of 1998, we saw the Fed posturing for a rate increase because of
our full capacity labor force and an overheating economy. Within a few months,
however, the woeful financial events that occurred in Asia, Russia, and South
America sent global investors looking for safety in U.S. dollar denominated
securities. This heavy demand for quality drove our domestic interest rates down
to levels not seen in thirty years. The yield of the two-year Treasury Note fell
to as low as 3.85% in October, 1998. As foreign markets began to stabilize,
demand for Treasury Notes waned. In addition, domestic corporations issued huge
volumes of new debt to capture the low interest costs available. All the while,
our own economy remained very strong, especially with the added stimulus of
historically low interest rates. Consumer demand remained strong, the labor
force remained strong, and the economy outpaced sustainable levels. All these
conditions kept the Fed on red alert to contain inflation, and when the flight
to quality ended, bonds reacted to an imminent Fed rate increase. Short Term
bond yields quickly rose as much as 150 basis points, returning to levels
observed the beginning of this fiscal year.
In spite of recent volatility, the Performance Short Term Government has
fared well in the past year providing a return comparable to cash rates. As the
smoke clears, we see excellent opportunities in short term bonds. High quality
corporate securities are now offering advantageous returns, and our recent
limited purchases reflect our interest in them. Short mortgage related
securities offer exceptional value, and the two-year Treasury Note is priced to
yield more than twice the current rate of inflation. Market conditions are
favorable to the short term market, and we continue to expect to achieve our
objective of providing a favorable alternative to money market investments,
while limited the risk of significant price change.
Signed,
/s/ Jonathan Rogers
Jonathan Rogers, CFA
Vice President
Trustmark National Bank
- ------------
* The total returns for Class A, after the maximum sales load of 3.00% , was
1.23% for the current fiscal year.
Past performance does not guarantee future results. Investment return and net
asset value will fluctuate so that investors shares when redeemed may be worth
more or less than the original cost.
<PAGE> 5
SHORT TERM GOVERNMENT INCOME FUND
PERFORMANCE (AS OF MAY 31, 1999)
<TABLE>
<CAPTION>
LEHMAN BROTHERS 1-3 YR
CLASS A SHARES INSTITUTIONAL SHARES GOVT.
-------------- -------------------- ----------------------
<S> <C> <C> <C>
5/92 $ 9,700 $10,000 $10,000
11/92 10,016 10,326 10,322
5/93 10,346 10,673 10,684
11/93 10,542 10,889 10,938
5/94 10,474 10,832 10,900
11/94 10,548 10,923 11,016
5/95 11,113 11,522 11,701
11/95 11,474 11,912 12,141
5/96 11,600 12,057 12,319
11/96 12,042 12,532 12,854
5/97 12,232 12,745 13,136
11/97 12,653 13,199 13,620
5/98 13,025 13,604 14,050
11/98 13,448 14,063 14,612
5/99 13,586 14,225 14,792
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------
CLASS A SHARES
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- -------------------------------------------------------------
<S> <C> <C> <C>
Without Sales Charge 4.31% 5.34% 4.93%
- -------------------------------------------------------------
With Sales Charge* 1.23% 4.71% 4.48%
- -------------------------------------------------------------
</TABLE>
* Reflects the maximum sales charge of 3.00%
<TABLE>
<CAPTION>
- --------------------------------------------------------------
INSTITUTIONAL SHARES
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- --------------------------------------------------------------
<S> <C> <C>
4.57% 5.60% 5.17%
- --------------------------------------------------------------
</TABLE>
The charts above represent a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark.
Past performance is not a prediction of future results. The Fund's investment
return and principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original purchase price.
<PAGE> 6
PERFORMANCE INTERMEDIATE TERM GOVERNMENT INCOME FUND
For the fiscal year ended May 31, 1999, the Performance Intermediate Term
Government Income Fund returned 2.47% for the Institutional Class shareholders
and 2.11% for the Class A shareholders*. Share price, as measured by net asset
value, decreased from $10.34 on May 31, 1998 to $10.06 on May 31, 1999. 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 U. S. government securities and
investment grade corporate bonds. While there is no maximum maturity for an
individual issue, the Fund itself will normally have an average maturity between
three to ten years.
For the first half of the fiscal year the bond market was the prime
beneficiary of "flight to quality" as global investors sought refuge in its
safety and liquidity, accentuated by global asset & currency devaluation and an
accommodating Federal Reserve. Bond yields, as measured by the 30-year Treasury
Bond, fell from 5.80% in May, 1998 to as low as 4.71% in October, 1998. The
second half of the fiscal year saw bond yields soar to as high as 5.92% in May,
1999 as the unprecedented economic expansion began to fuel inflation fears and
the adoption of a "tightening bias" by the Fed in May. This resulted in the peak
spread (114 bps in 10/98) between the 2-year Treasury Note and the 30-year
Treasury Bond to fall to only 41 basis points on May 31st as the yield curve
flattened. For the twelve month period Treasuries returned only 4.35%, U. S.
Agencies 4.53%, U. S. Corporates 3.18%, Asset Backed Securities 4.94%, and
Mortgage Backed Securities 4.87%.
After aggressively easing the Fed Funds rate three times and the Discount
Rate twice last fall from 5.50% to 4.75% and from 5.00% to 4.50%, respectively,
the Fed's action appears to have avoided an economic downturn; however, the
continued strength of the U. S. economy, as evidenced by recent economic
releases, has the Fed on the inflation watch.
The Fund continues to be managed recognizing that market and economic
conditions are constantly changing, which can and does affect the Fund's
composition. Please be mindful that while volatility can be extreme at times, it
does afford opportunities to acquire securities at more attractive valuations.
We appreciate your participation in The Performance Intermediate Term
Government Income Fund.
Signed,
/s/ Robert H. Spaulding
Robert H. Spaulding
Vice President & Trust Investment
Officer
- ------------
* The total returns for Class A, after the maximum sales load of 5.25%, was
-3.23% for the current fiscal year.
Past performance does not guarantee future results. Investment return and net
asset value will fluctuate so that investors shares when redeemed may be worth
more or less than the original cost.
<PAGE> 7
INTERMEDIATE TERM GOVERNMENT INCOME FUND
PERFORMANCE (AS OF MAY 31, 1999)
<TABLE>
<CAPTION>
LEHMAN BROTHERS
CLASS A SHARES CLASS B SHARES INSTITUTIONAL SHARES GOV'T/CORP
-------------- -------------- -------------------- ---------------
<S> <C> <C> <C> <C>
6/92 $ 9,475 $ 9,500 $10,000 $10,000
11/92 9,921 9,966 10,466 10,470
5/93 10,671 10,758 11,255 11,227
11/93 11,124 11,336 11,759 11,776
5/94 10,680 10,873 11,304 11,340
11/94 10,566 10,863 11,197 11,338
5/95 11,646 11,986 12,356 12,657
11/95 12,233 12,606 12,995 13,411
5/96 11,926 12,287 12,685 13,176
11/96 12,696 13,195 13,521 14,161
5/97 12,753 13,254 13,600 14,216
11/97 13,535 14,179 14,451 15,210
5/98 14,048 14,720 15,017 15,849
11/98 14,787 15,579 15,826 16,784
5/99 14,345 15,057 15,387 16,493
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
CLASS A SHARES
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- ----------------------------------------------------------
<S> <C> <C> <C>
Without Sales Charge 2.11% 6.08% 6.10%
- ----------------------------------------------------------
With Sales Charge* -3.23% 4.93% 5.29%
- ----------------------------------------------------------
</TABLE>
* Reflects the maximum sales charge of 5.25%
<TABLE>
<CAPTION>
----------------------------------------------------------
CLASS B SHARES
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
----------------------------------------------------------
<S> <C> <C> <C>
Without CDSC 1.60% 5.97% 6.02%
----------------------------------------------------------
With CDSC* -3.26% 5.65% 6.02%
----------------------------------------------------------
</TABLE>
* Reflects the applicable contingent
deferred sales charge (max. 5.00%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
INSTITUTIONAL SHARES
AVERAGE ANNUAL TOTAL RETURN
- -----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- -----------------------------------------------------------
<S> <C> <C>
2.47% 6.36% 6.35%
- -----------------------------------------------------------
</TABLE>
The charts above represent a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark.
Performance of the Class B shares, which commenced operations on 10/2/98 is
based on the historical performance of the Class A shares prior to that date.
The performance of Class A shares and Class B shares do not reflect the higher
12b-1 fees or the contingent deferred sales charge (CDSC). Had the higher 12b-1
fees and the CDSC been incorporated, total return and hypothetical growth
figures would have been lower.
Past performance is not a prediction of future results. The Fund's investment
return and principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original purchase price.
<PAGE> 8
PERFORMANCE LARGE CAP EQUITY FUND
For the twelve months period ending May 31, 1999 the Large Cap Equity Fund
returned 18.25% to the Institutional Class shareholders and 17.92% to the Class
A shareholders **. This compares to the S&P 500 Index which returned 20.35%.
The performance of the Fund was favorably impacted by holdings in the
technology sector. During the period Cisco Systems was up 116%, International
Business Machines was up 98%, and Microsoft increased 90%. Companies in the
communications sector also contributed with MCI Worldcom returning 89% and
Sprint Corporation rising 79%. American International Group, in the finance
sector, also aided performance with a 38% return. Some holdings in the consumer
staple and services areas penalized results. Notably, Coca-Cola and Gillette
were both down approximately 12% and Disney fell 22%.
We expect the rotation to continue as the market digests the recent changes
in interest rates and inflation. Our efforts and resources continue to be
directed at security selection and not market timing. Listed below are the 10
largest holdings in the Fund at May 31, 1999.
TEN LARGEST HOLDINGS*
<TABLE>
<C> <S> <C>
1. Microsoft Corp. 4.00%
2. General Electric Corp. 3.74%
3. IBM Corp. 2.85%
4. Exxon Corp. 2.32%
5. Wal-Mart Stores, Inc. 2.31%
6. Cisco Systems, Inc. 2.14%
7. Citigroup, Inc. 2.10%
8. Coca-Cola Co. 2.06%
9. Intel Corp. 2.03%
10. American International 1.99%
</TABLE>
Signed,
/s/ Charles H. Windham, Jr.
Charles H. Windham, Jr.
Vice President
Trustmark National Bank
- ------------
* Portfolio composition is subject to change. Ten largest holdings' percentages
are based upon net assets as of May 31, 1999.
** The total returns for Class A, after the maximum sales load of 5.25%, was
11.75% for the current fiscal year.
The Fund's Performance is compared to the Standard & Poor's 500 Stock Index,
which represents 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. Investment return and net
asset value will fluctuate so that investors shares when redeemed may be worth
more or less than the original cost.
<PAGE> 9
LARGE CAP EQUITY FUND
PERFORMANCE (AS OF MAY 31, 1999)
<TABLE>
<CAPTION>
CLASS A SHARES CLASS B SHARES INSTITUTIONAL SHARES S&P 500
-------------- -------------- -------------------- -------
<S> <C> <C> <C> <C>
5/92 $ 9,475 $ 9,500 $10,000 $10,000
11/92 10,138 10,195 10,695 10,541
5/93 10,841 10,937 11,448 11,157
11/93 11,408 11,636 12,061 11,603
5/94 11,150 11,363 11,802 11,631
11/94 10,978 11,282 11,635 11,728
5/95 12,830 13,235 13,615 13,968
11/95 14,743 15,254 15,665 16,056
5/96 16,475 17,081 17,526 17,947
11/96 19,044 19,892 20,284 20,529
5/97 21,212 22,178 22,619 23,230
11/97 24,245 25,478 25,885 26,387
5/98 28,044 29,486 29,976 30,363
11/98 30,215 31,845 32,346 32,632
5/99 33,069 34,751 35,445 36,747
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
CLASS A SHARES
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- ----------------------------------------------------------
<S> <C> <C> <C>
Without Sales Charge 17.92% 24.29% 19.55%
- ----------------------------------------------------------
With Sales Charge* 11.75% 22.95% 18.64%
- ----------------------------------------------------------
</TABLE>
* Reflects the maximum sales charge of 5.25%
<TABLE>
<CAPTION>
----------------------------------------------------------
CLASS B SHARES
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
----------------------------------------------------------
<S> <C> <C> <C>
Without CDSC 17.46% 24.19% 19.48%
----------------------------------------------------------
With CDSC* 12.46% 24.02% 19.48%
----------------------------------------------------------
</TABLE>
* Reflects the applicable contingent
deferred sales charge (max. 5.00%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
INSTITUTIONAL SHARES
AVERAGE ANNUAL TOTAL RETURN
- -----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- -----------------------------------------------------------
<S> <C> <C>
18.25% 24.60% 19.82%
- -----------------------------------------------------------
</TABLE>
The charts above represent a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark.
Performance of the Class B shares, which commenced operations on 10/2/98 is
based on the historical performance of the Class A shares prior to that date.
The performance of Class A shares and Class B shares do not reflect the higher
12b-1 fees or the contingent deferred sales charge (CDSC). Had the higher 12b-1
fees and the CDSC been incorporated, total return and hypothetical growth
figures would have been lower.
Past performance is not a prediction of future results. The Fund's investment
return and principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original purchase price.
<PAGE> 10
PERFORMANCE MID CAP EQUITY FUND
For the twelve month period ending May 31, 1999 the Mid Cap Equity Fund
returned -1.06% to the Institutional Class shareholders and -1.31% to the Class
A shareholders**. This compares to the S&P MidCap 400 Index which returned
11.61%.
The performance of the Fund was negatively impacted by holdings in the
energy sector. During the period Varco International was down 65% and Valero
Energy was down 38%. Other positions which hurt performance included Cadence
Design (down 63%), International Game Tech (down 28%), and Clayton Homes (down
23%). The fund's relative returns were also hurt because a handful of large,
very expensive stocks drove the results of the MidCap Index. For example,
America Online at one time represented approximately eight percent of the
capital weight of the Index and alone contributed about seven percentage points
to the return of the MidCap Index. By not holding this and a few other issues,
the Fund struggled to keep up with the benchmark.
Some holdings did well. Comdisco, Inc., which provides technology services,
returned 34% while medical device maker Stryker Corp. increased 46%. In the
retailing sector, Tiffany and Company went up 74% while Claire's Stores, Inc.
increased by 56% and BJ's Wholesale Club, Inc. was up 31%. Motorcycle
manufacturer Harley-Davidson, Inc. also did well, returning 43%.
The Fund focuses on those companies in the MidCap Index we believe to have
increasing earnings prospects and attractive valuations. Over time, the
investment return of an issue will roughly match the operating results of the
business. Therefore, we will continue to focus our attention on the business
results of individual companies and not on market timing. Listed below are the
10 largest holdings in the Fund at May 31, 1999.
TEN LARGEST HOLDINGS*
<TABLE>
<C> <S> <C>
1. Comdisco, Inc. 3.17%
2. Paine Webber Group 2.67%
3. Stryker Corp. 2.53%
4. AFLAC, Inc. 2.29%
5. BJ's Wholesale Club 2.25%
6. Outback Steakhouse 2.23%
7. Leggett & Platt , Inc. 2.12%
8. Jones Apparel Group 2.10%
9. Sundstrand Corp. 2.07%
10. Energy East Corp. 2.06%
</TABLE>
Signed,
/s/ Douglas H. Ralston
Douglas H. Ralston, CFA
Vice President
Trustmark National Bank
- ------------
* Portfolio composition is subject to change. Ten largest holdings' percentages
are based upon net assets as of May 31, 1999.
** The total returns for Class A, after the maximum sales load of 5.25%, was
-6.48% for the current fiscal year.
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 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. Investment return and net
asset value will fluctuate so that investors shares when redeemed may be worth
more or less than the original cost.
<PAGE> 11
MID CAP EQUITY FUND
PERFORMANCE (AS OF MAY 31, 1999)
<TABLE>
<CAPTION>
CLASS A SHARES CLASS B SHARES INSTITUTIONAL SHARES S & P MID CAP 400
-------------- -------------- -------------------- -----------------
<S> <C> <C> <C> <C>
2/94 $ 9,475 $ 9,500 $10,000 $10,000
5/94 9,128 9,150 9,634 9,517
11/94 9,050 9,075 9,563 9,472
5/95 10,683 10,871 11,301 10,803
11/95 12,445 12,729 13,180 12,548
5/96 14,182 14,663 15,037 13,878
11/96 15,525 16,079 16,480 14,903
5/97 17,349 18,004 18,439 16,398
11/97 20,259 21,074 21,556 18,995
5/98 22,002 23,012 23,446 21,302
11/98 20,317 21,190 21,664 20,971
5/99 21,714 22,692 23,196 23,843
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
CLASS A SHARES
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- ----------------------------------------------------------
<S> <C> <C> <C>
Without Sales Charge -1.31% 18.92% 17.06%
- ----------------------------------------------------------
With Sales Charge* -6.48% 17.65% 15.87%
- ----------------------------------------------------------
</TABLE>
* Reflects the maximum sales charge of 5.25%
<TABLE>
<CAPTION>
----------------------------------------------------------
CLASS B SHARES
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
----------------------------------------------------------
<S> <C> <C> <C>
Without CDSC -1.81% 18.80% 16.94%
----------------------------------------------------------
With CDSC* -6.41% 18.60% 16.85%
----------------------------------------------------------
</TABLE>
* Reflects the applicable contingent
deferred sales charge (max. 5.00%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
INSTITUTIONAL SHARES
AVERAGE ANNUAL TOTAL RETURN
- -----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- -----------------------------------------------------------
<S> <C> <C>
-1.06% 19.21% 17.34%
- -----------------------------------------------------------
</TABLE>
The charts above represent a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark.
Performance of the Class B shares, which commenced operations on 10/2/98 is
based on the historical performance of the Class A shares prior to that date.
The performance of Class A shares and Class B shares do not reflect the higher
12b-1 fees or the contingent deferred sales charge (CDSC). Had the higher 12b-1
fees and the CDSC been incorporated, total return and hypothetical growth
figures would have been lower.
Past performance is not a prediction of future results. The Fund's investment
return and principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original.
<PAGE> 12
PERFORMANCE SMALL CAP EQUITY FUND
For the twelve months ended May 31, 1999, the Small Cap Equity Fund
returned -17.25% (Institutional Class) and -17.57% (Class A shares)**. This
compares to the S&P 600 SmallCap Index, which returned -7.53% for the same
period.
Catalina Marketing Corp. (1.48%) returned 96% while CTS Corp. (1.40%) was
up 81% for the period, helping to offset the poor market returns for the period.
Negative factors affecting the Fund's performance were twofold. First, we did
not participate in several large growth names including VISX Inc. and Medimmune
with returns of +322% and +155% respectively. Second, selected companies in the
Health and Financial sectors had an adverse effect on the fund. Orion Capital
Corp. (1.46%), for example, returned -47% while Safeskin Corp. (1.25%) returned
- -64%.
Small capitalization companies are trading at relative historic lows
providing us with a favorable environment to reach our objective of long term
capital growth. We continue to search for higher quality companies in our
universe that trade at reasonable valuations.
TEN LARGEST HOLDINGS*
<TABLE>
<C> <S> <C>
1. CMAC Investment Corp. 2.70%
2. Foodmaker, Inc. 2.34%
3. Manitowoc Co. Inc. 2.27%
4. Zebra Technologies 2.15%
5. Plexus Corp. 2.04%
6. Benchmark Electronics, Inc. 1.81%
7. Alpharma, Inc. 1.78%
8. Fremont General Corp. 1.77%
9. Mueller Industries, Inc. 1.69%
10. U.S. Freightways Corp. 1.64%
</TABLE>
Signed,
/s/ Douglas P. Muenzenmay
Doug P. Muenzenmay
Investment Officer
Trustmark National Bank
- ------------
* Portfolio composition is subject to change. Ten largest holdings' percentages
are based upon net assets as of May 31, 1999.
** The total returns for Class A, after the maximum sales load of 5.25% , was
-21.90% for the current fiscal year.
The Fund's Performance is compared to the Standard & Poor's 600 Small Cap Index,
which is a capitalization-weighted index that measures the performance of
selected U.S. stocks with a small market capitalization. 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. Investment return and net
asset value will fluctuate so that investors shares when redeemed may be worth
more or less than the original cost.
Small cap funds typically carry additional risk since smaller companies may have
a higher risk of failure.
<PAGE> 13
SMALL CAP EQUITY FUND
PERFORMANCE (AS OF MAY 31, 1999)
[SMALL CAP EQUITY FUND PERFORMANCE]
<TABLE>
<CAPTION>
CLASS A SHARES CLASS B SHARES INSTITUTIONAL SHARES S&P SMALL CAP 600
-------------- -------------- -------------------- -----------------
<S> <C> <C> <C> <C>
10/97 $9,475 $9,500 $10,000 $ 9,568
11/97 8,720 8,740 9,200 9,499
5/98 9,393 9,414 9,920 10,253
11/98 8,095 8,198 8,570 8,990
5/99 7,743 7,816 8,209 9,505
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------
CLASS A SHARES
AVERAGE ANNUAL TOTAL RETURN
- ---------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- ---------------------------------------------------------
<S> <C> <C> <C>
Without Sales Charge -17.57% N/A -11.45%
- ---------------------------------------------------------
With Sales Charge* -21.90% N/A -14.26%
- ---------------------------------------------------------
</TABLE>
* Reflects the maximum sales charge of 5.25%
<TABLE>
<CAPTION>
---------------------------------------------------------
CLASS B SHARES
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
---------------------------------------------------------
<S> <C> <C> <C>
Without CDSC -17.87% N/A -11.65%
---------------------------------------------------------
With CDSC* -21.94% N/A -13.77%
---------------------------------------------------------
</TABLE>
* Reflects the applicable contingent
deferred sales charge (max. 5.00%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
INSTITUTIONAL SHARES
AVERAGE ANNUAL TOTAL RETURN
- -----------------------------------------------------------
1 YEAR 5 YEAR INCEPTION
- -----------------------------------------------------------
<S> <C> <C>
-17.25% N/A -11.19%
- -----------------------------------------------------------
</TABLE>
The charts above represent a comparison of a hypothetical $10,000 investment in
the indicated share class versus a similar investment in the Fund's benchmark.
Performance of the Class B shares, which commenced operations on 10/2/98 is
based on the historical performance of the Class A shares prior to that date.
The performance of Class A shares and Class B shares do not reflect the higher
12b-1 fees or the contingent deferred sales charge (CDSC). Had the higher 12b-1
fees and the CDSC been incorporated, total return and hypothetical growth
figures would have been lower.
Past performance is not a prediction of future results. The Fund's investment
return and principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original.
<PAGE> 14
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Schedule of Portfolio Investments
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR S&P/MOODY'S
PRINCIPAL RATINGS MARKET
AMOUNT SECURITY DESCRIPTION (UNAUDITED) VALUE
--------- -------------------- ----------- ------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 65.5%
AUTOMOTIVE -- 13.0%
$ 9,000,000 Ford Motor Credit Corporation, 4.82%, 6/3/99................ P1/A1 $ 8,997,590
13,500,000 Ford Motor Credit Corporation, 4.83%, 7/20/99............... P1/A1 13,411,248
10,000,000 GMAC, 4.79%, 6/9/99......................................... P1/A1 9,989,356
12,000,000 GMAC, 4.80%, 6/17/99........................................ P1/A1 11,974,400
10,000,000 Toyota Motor Credit Corporation, 4.80%, 7/1/99.............. P1/A1+ 9,960,000
7,500,000 Toyota Motor Credit Corporation, 4.80%, 7/2/99 P1/A1+ 7,469,000
------------
61,801,594
------------
BANKING -- 4.8%
5,000,000 BankAmerica Corporation, 4.81%, 8/4/99...................... P1/A1 4,957,244
10,000,000 BankAmerica Corporation, 4.83%, 10/7/99..................... P1/A1 9,828,267
8,000,000 Wells Fargo & Company, 4.85%, 7/30/99....................... P1/A1 7,936,411
------------
22,721,922
------------
BEVERAGES -- 1.5%
7,000,000 Coca Cola Company, 4.78%, 6/25/99........................... P1/A1+ 6,977,693
------------
CHEMICALS -- 2.9%
9,000,000 Clorox Company, 4.77%, 6/22/99.............................. P1/A1 8,974,958
5,000,000 Clorox Company, 4.77%, 7/21/99.............................. P1/A1 4,966,875
------------
13,941,833
------------
DIVERSIFIED -- 4.6%
10,000,000 General Electric Capital Corporation, 4.82%, 6/7/99......... P1/A1+ 9,991,967
12,000,000 General Electric Capital Corporation, 4.88%, 7/27/99........ P1/A1+ 11,908,906
------------
21,900,873
------------
FINANCE -- BROKERS -- 13.1%
7,000,000 Bear Stearns Company, 4.84%, 6/7/99......................... P1/A1 6,994,353
10,000,000 Bear Stearns Company, 4.83%, 7/6/99......................... P1/A1 9,953,042
15,000,000 Goldman Sachs Group, 4.75%, 6/1/99.......................... P1/A1+ 15,000,000
10,000,000 Merrill Lynch & Company, 4.78%, 6/18/99..................... P1/A1+ 9,977,428
11,000,000 Merrill Lynch & Company, 4.80%, 7/7/99...................... P1/A1+ 10,947,200
10,000,000 Morgan Stanley Dean Witter, 4.79%, 7/9/99................... P1/A1 9,949,439
------------
62,821,462
------------
FINANCIAL SERVICES -- 10.4%
7,000,000 American General Corporation, 4.80%, 7/9/99................. P1/A1+ 6,964,533
11,000,000 American General Corporation, 4.84%, 7/12/99................ P1/A1+ 10,939,366
13,000,000 Associates Credit Corporation, 4.78%, 6/28/99............... P1/A1+ 12,953,395
12,000,000 Commercial Credit Corporation, 4.78%, 6/10/99............... P1/A1 11,985,660
7,000,000 Commercial Credit Corporation, 4.86%, 7/13/99............... P1/A1 6,960,310
------------
49,803,264
------------
HEALTH CARE -- 3.0%
14,205,000 Abbott Laboratories, 4.80%, 6/15/99......................... P1/A1+ 14,178,484
------------
</TABLE>
See notes to financial statements.
1
<PAGE> 15
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR S&P/MOODY'S
PRINCIPAL RATINGS MARKET
AMOUNT SECURITY DESCRIPTION (UNAUDITED) VALUE
--------- -------------------- ----------- ------
<C> <S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
TELECOMMUNICATIONS -- 9.5%
$ 7,500,000 AT&T Corporation, 4.81%, 6/4/99............................. P1/A1+ $ 7,496,994
15,000,000 AT&T Corporation, 4.81%, 7/8/99............................. P1/A1+ 14,925,846
15,000,000 BellSouth Corporation, 4.75%, 6/11/99....................... P1/A1+ 14,980,208
8,000,000 BellSouth Corporation, 4.77%, 6/24/99....................... P1/A1+ 7,975,620
------------
45,378,668
------------
UTILITIES -- 2.7%
7,700,000 National Rural Utility Cooperative Finance Corporation,
4.82%, 6/8/99............................................... P1/A1+ 7,692,783
5,000,000 National Rural Utility Cooperative Finance Corporation,
4.79%, 7/15/99.............................................. P1/A1+ 4,970,728
------------
12,663,511
------------
TOTAL COMMERCIAL PAPER (Amortized Cost $312,189,304)..................... 312,189,304
------------
CORPORATE BONDS -- 6.1%
BANKING -- 1.1%
2,325,000 NationsBank, 5.86%, 5/26/00................................. Aa2/A+ 2,335,807
3,000,000 Wells Fargo & Company, 5.31%, 4/3/00........................ Aa3/A+ 2,998,802
------------
5,334,609
------------
ENTERTAINMENT -- 1.1%
2,000,000 The Walt Disney Company, 6.25%, 6/21/99..................... A2/A 2,000,527
3,000,000 The Walt Disney Company, 5.60%, 1/13/00..................... A2/A 3,008,569
------------
5,009,096
------------
FINANCE -- BROKERS -- 3.0%
3,050,000 Bear Stearns Company, 7.63%, 9/15/99........................ A2/A 3,066,958
5,000,000 Morgan Stanley Dean Witter, 5.94%, 2/28/00.................. Aa3/A+ 5,027,280
6,050,000 Morgan Stanley Dean Witter, 5.89%, 3/20/00.................. Aa3/A+ 6,084,456
------------
14,178,694
------------
FINANCIAL SERVICES -- 0.9%
2,971,000 Associates Credit Corporation, 6.00%, 3/15/00............... Aaa3/Aa- 2,990,247
1,380,000 Commercial Credit Company, 6.13%, 3/1/00.................... Aa3/A 1,389,326
------------
4,379,573
------------
TOTAL CORPORATE BONDS (Amortized Cost $28,901,972)....................... 28,901,972
------------
U.S. GOVERNMENT AGENCY NOTES -- 17.1%
FEDERAL FARM CREDIT BANK -- 2.6%
7,500,000 4.84%, 6/1/99............................................... Aaa/Nr 7,500,000
5,000,000 5.00%, 2/18/00, Callable 8/18/99 @ 100...................... Aaa/Nr 5,000,000
------------
12,500,000
------------
</TABLE>
See notes to financial statements.
2
<PAGE> 16
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR S&P/MOODY'S
PRINCIPAL RATINGS MARKET
AMOUNT SECURITY DESCRIPTION (UNAUDITED) VALUE
--------- -------------------- ----------- ------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY NOTES (CONTINUED)
FEDERAL HOME LOAN BANK -- 8.2%
$ 5,000,000 5.00%, 10/28/99............................................. Aaa/Nr $ 5,000,000
5,000,000 4.90%, 1/14/00.............................................. Aaa/Nr 4,999,757
4,000,000 5.04%, 2/25/00.............................................. Aaa/Nr 3,996,174
10,000,000 5.12%, 3/17/00, Callable Quarterly @ 100.................... Aaa/Nr 10,000,001
5,000,000 5.14%, 3/17/00, Callable on 6/17/99, 9/17/99, 12/17/99 @
100......................................................... Aaa/Nr 4,998,019
10,000,000 5.08%, 4/12/00.............................................. Aaa/Nr 9,996,546
------------
38,990,497
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 1.7%
3,000,000 5.49%, 8/03/99.............................................. Aaa/Nr 2,999,419
5,000,000 4.98%, 4/20/00.............................................. Aaa/Nr 4,998,716
------------
7,998,135
------------
STUDENT LOAN MARKETING ASSOCIATION -- 4.6%
10,000,000 5.20%, 7/15/99.............................................. Aaa/Nr 10,000,000
10,000,000 5.27%, 2/22/00.............................................. Aaa/Nr 10,000,000
2,000,000 7.50%, 3/8/00............................................... Aaa/Nr 2,037,281
------------
22,037,281
------------
TOTAL U.S. GOVERNMENT AGENCY NOTES (Amortized Cost $81,525,913).......... 81,525,913
------------
BANKERS ACCEPTANCES -- 0.6%
3,000,000 Regions Bank, 4.80%, 6/14/99................................ P1/A1 2,994,800
------------
TOTAL BANKERS ACCEPTANCES (Amortized Cost $2,994,800).................... 2,994,800
------------
CERTIFICATES OF DEPOSIT -- 2.1%
10,000,000 First Tennessee Bank, 4.82%, 6/7/99......................... A1/A 10,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT (Amortized Cost $10,000,000)............... 10,000,000
------------
REPURCHASE AGREEMENTS -- 8.7%
41,503,358 BA Securities, dated 5/28/99, due 6/1/99 at 4.85% with a maturity value
of, $41,525,724 (Collateralized by a Federal Home Loan Mortgage Corp.,
note, 5.125%, 10/15/08, market value -- $42,356,238)..................... 41,503,358
------------
TOTAL REPURCHASE AGREEMENTS (Cost $41,503,358)........................... 41,503,358
------------
TOTAL INVESTMENTS (Cost $477,115,347)(a) -- 100.1%....................... 477,115,347
LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.1%............................ (392,263)
------------
TOTAL NET ASSETS -- 100.0%............................................... $476,723,084
============
</TABLE>
- ---------------
(a) Cost for federal income tax equals cost for financial reporting purposes.
See notes to financial statements.
3
<PAGE> 17
PERFORMANCE FUNDS TRUST
SHORT TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
CORPORATE BONDS -- 12.5%
DIVERSIFIED -- 0.8%
$ 1,000,000 General Electric Capital Corp., 5.65%, 8/15/01.............. $ 993,750
------------
FINANCIAL SERVICES -- 5.1%
1,000,000 Associates Credit Corp., 5.60%, 1/15/01..................... 995,000
1,000,000 Avco Financial Services, 5.50%, 4/1/00...................... 999,030
1,000,000 Ford Motor Credit Corp., 5.125%, 10/15/01................... 980,000
1,000,000 GMAC, 5.70%, 2/23/00........................................ 1,003,330
1,000,000 Merrill Lynch & Company, 6.00%, 1/15/01..................... 1,000,000
1,000,000 Norwest Financial, Inc., 5.50%, 3/19/01..................... 991,250
------------
5,968,610
------------
FOOD -- 0.8%
1,000,000 Campbell Soup Company, 4.75%, 10/1/03....................... 943,750
------------
INDUSTRIAL GOODS & SERVICES -- 2.5%
1,000,000 Baker Hughes International, 5.80%, 2/15/03.................. 973,750
1,000,000 Ingersol-Rand Company, 6.38%, 11/19/01...................... 1,006,250
1,000,000 Sony Corp., 6.125%, 3/4/03.................................. 992,500
------------
2,972,500
------------
RAILROADS -- 0.8%
1,000,000 Conrail, 5.58%, 11/15/02.................................... 980,000
------------
TELECOMMUNICATIONS-EQUIPMENT -- 2.5%
1,000,000 Detroit Edison, 5.93%, 2/1/01............................... 998,750
1,000,000 Pennsylvania Power & Light, 6.00%, 6/1/00................... 1,000,000
1,000,000 US West Cap Funding, Inc., 6.125%, 7/15/02.................. 992,500
------------
2,991,250
------------
TOTAL CORPORATE BONDS....................................... 14,849,860
------------
MUNICIPAL BONDS -- 0.8%
PENNSYLVANIA -- 0.8%
1,000,000 City of Erie, PA, GO, 5.15%, 11/15/01, OID (b).............. 981,250
------------
TOTAL MUNICIPAL BONDS....................................... 981,250
------------
U.S. GOVERNMENT AGENCY MORTGAGES -- 67.8%
FEDERAL HOME LOAN MORTGAGE CORP. -- 32.3%
1,354,834 Series 1414(E), 6.25%, 7/15/05.............................. 1,357,178
5,000,000 Series 2078(PQ), 6.00%, 7/15/07............................. 5,001,200
3,000,000 Series 2061(PH), 6.00%, 5/15/16............................. 2,983,680
10,000,000 Series 2054(PA), 6.00%, 5/15/17............................. 9,922,800
10,000,000 Series 1590(F), 6.00%, 1/15/19.............................. 9,938,801
9,213,018 Series 1637(F), 6.00%, 9/15/21.............................. 9,141,801
------------
38,345,460
------------
</TABLE>
See notes to financial statements.
4
<PAGE> 18
PERFORMANCE FUNDS TRUST
SHORT TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 27.1%
$ 2,000,000 Series MTN, 6.23%, 3/1/02 (c)............................... $ 2,018,820
719,323 Series 1993-10(E), 6.50%, 10/25/04.......................... 720,531
5,873,658 Series 1997-78(PB), 6.00%, 8/18/14.......................... 5,843,761
502,323 Series 1993-26(E), 6.25%, 4/25/16........................... 500,495
517,359 Series 1993-142(A), 5.25%, 9/25/16.......................... 514,876
91,803 Series 1993-73(D), 5.75%, 9/25/16........................... 91,476
5,000,000 Series 1998-26-(PA), 6.00%, 11/18/17........................ 4,969,250
4,569,255 Series 1994-65(PE), 6.75%, 7/25/18.......................... 4,595,437
3,000,000 Series 1998-47-(PB), 6.00%, 12/18/18........................ 2,980,710
10,000,000 Series 1993-102(G), 6.25%, 01/25/20......................... 9,964,200
------------
32,199,556
------------
U.S. GOVERNMENT AGENCY -- 8.4%
2,000,000 Federal Farm Credit, 5.22%, 9/11/01......................... 1,981,660
2,000,000 Federal Farm Credit, 5.76%, 7/7/03.......................... 1,983,340
1,000,000 Federal Home Loan Bank, 4.74%, 9/10/99...................... 986,580
2,000,000 Federal Home Loan Bank, 5.625%, 3/19/01..................... 1,999,300
3,000,000 Federal Home Loan Bank, 5.795%, 5/11/01..................... 3,007,770
------------
9,958,650
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGES...................... 80,503,666
------------
U.S. TREASURY OBLIGATIONS -- 18.1%
U.S. TREASURY NOTES -- 6.8%
3,500,000 5.50%, 4/15/00.............................................. 3,510,955
2,000,000 5.50%, 12/31/00............................................. 2,003,780
2,500,000 5.625%, 2/28/01............................................. 2,509,850
------------
8,024,585
------------
U.S. TREASURY STRIPS -- 11.3%
5,000,000 4.245%, 2/15/01............................................. 4,564,450
5,000,000 4.265%, 5/15/01............................................. 4,502,200
5,000,000 5.10%, 8/15/01.............................................. 4,439,450
------------
13,506,100
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 21,530,685
------------
</TABLE>
See notes to financial statements.
5
<PAGE> 19
PERFORMANCE FUNDS TRUST
SHORT TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
MONEY MARKET MUTUAL FUND -- 0.6%
$ 695,573 AIM Treasury Money Market................................... $ 695,573
------------
TOTAL MONEY MARKET MUTUAL FUND.............................. 695,573
TOTAL INVESTMENTS (COST $119,427,589) (a) -- 99.8%.......... 118,561,034
------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2%............... 179,849
------------
TOTAL NET ASSETS -- 100.0%.................................. $118,740,883
============
</TABLE>
- ---------------
(a) Cost for federal income tax purposes differs from value by net unrealized
depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation.............................. $ 78,965
Unrealized depreciation.............................. (945,520)
---------
Net unrealized depreciation.......................... $(866,555)
=========
</TABLE>
(b) Original Issue Discount
(c) Medium Term Note
See notes to financial statements.
6
<PAGE> 20
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
CORPORATE BONDS -- 30.5%
AEROSPACE -- 0.9%
$ 250,000 Raytheon Company, 6.50%, 7/15/05............................ $ 246,250
250,000 Raytheon Company, 7.375%, 7/15/25........................... 247,500
250,000 Rockwell International Corporation, 6.625%, 6/1/05.......... 250,938
500,000 Rockwell International Corporation, 6.15%, 1/15/08.......... 483,749
250,000 WMX Technologies, Inc., 6.250%, 10/15/00.................... 250,938
------------
1,479,375
------------
AUTOMOBILE -- 1.5%
750,000 Ford Motor Company, 5.75%, 2/23/04.......................... 728,438
500,000 Ford Motor Company, 7.25%, 10/01/08......................... 515,625
250,000 Ford Motor Company, 7.125%, 11/15/25........................ 246,250
1,000,000 General Motors Corporation, 7.10%, 3/15/06.................. 1,012,500
------------
2,502,813
------------
BANKING -- 1.6%
250,000 Bankers Trust Company, 6.75%, 10/3/01....................... 251,875
250,000 Bankers Trust Company, 7.125%, 7/31/02...................... 251,875
500,000 Bankers Trust Company, 7.50%, 11/15/15...................... 494,999
250,000 Chase Manhattan Corporation, 6.50%, 1/15/09................. 242,813
250,000 First Bank, N.A., 6.875%, 4/1/06............................ 250,313
250,000 NationsBank Corporation, 6.875%, 2/15/05.................... 253,438
500,000 NationsBank Corporation, 6.375%, 5/15/05.................... 493,124
350,000 NationsBank Corporation, 7.19%, 7/30/12..................... 355,688
------------
2,594,125
------------
BEVERAGES -- 0.7%
500,000 Coca-Cola Enterprises, Inc., 6.625%, 8/1/04................. 503,750
250,000 Coca-Cola Enterprises, Inc., 6.75%, 9/15/23................. 239,688
500,000 Pepsi Bottling, Inc., 5.375%, 2/17/04....................... 479,375
------------
1,222,813
------------
CHEMICALS -- 0.9%
500,000 Air Products & Chemicals, Inc., 7.375%, 5/1/05.............. 515,000
250,000 Air Products & Chemicals, Inc., 6.24%, 1/13/10.............. 236,875
500,000 Monsanto Company, 6.00%, 7/1/00............................. 499,375
250,000 PPG Industries, Inc., 6.875%, 8/1/05........................ 253,750
------------
1,505,000
------------
COMPUTER EQUIPMENT -- 0.9%
500,000 IBM Credit Corporation, 5.37%, 9/22/03...................... 481,250
500,000 IBM Credit Corporation, 7.00%, 11/5/07...................... 503,125
500,000 IBM Credit Corporation, 6.75%, 12/24/07..................... 501,875
------------
1,486,250
------------
</TABLE>
See notes to financial statements.
7
<PAGE> 21
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
CORPORATE BONDS (CONTINUED)
CONSUMER NON-DURABLE -- 0.3%
$ 250,000 American Home Products, Inc., 7.25%, 3/1/23................. $ 256,562
250,000 Kimberly-Clark Corporation, 6.875%, 2/15/14................. 250,313
------------
506,875
------------
COSMETICS/TOILETRIES -- 0.3%
500,000 Procter & Gamble Company, 5.25%, 9/15/03.................... 481,875
------------
FINANCIAL SERVICES -- 10.0%
500,000 American General Corporation, 6.75%, 6/15/05................ 498,750
250,000 American General Corporation, 7.50%, 7/15/25................ 258,750
250,000 Associates Corporation of North America, 6.00%, 6/15/00..... 251,505
500,000 Associates Corporation of North America, 6.50%, 8/15/02..... 501,875
250,000 Bear Stearns Company, 6.25%, 12/1/00........................ 251,160
500,000 Bear Stearns Company, 6.15%, 3/2/04......................... 488,750
500,000 Bear Stearns Company, 6.625%, 10/1/04....................... 495,000
250,000 Bear Stearns Company, 6.65%, 12/1/04........................ 247,813
250,000 CIT Group Holdings, 6.375%, 10/1/02......................... 250,000
500,000 Citigroup, Inc., 6.125%, 6/15/00............................ 500,800
250,000 Citigroup, Inc., 6.625%, 9/15/05............................ 246,250
500,000 Ford Motor Credit Corp., 5.125%, 10/15/01................... 490,000
250,000 Ford Motor Credit Corp., 6.06%, 12/27/00.................... 250,650
1,500,000 GMAC, 6.21%, 9/19/00........................................ 1,515,959
500,000 GMAC, 5.625%, 2/15/01....................................... 497,250
1,000,000 GMAC, 5.35%, 12/7/01........................................ 981,250
500,000 GMAC, 5.375%, 9/30/02....................................... 485,625
250,000 Household Finance Corporation, 6.375%, 6/30/00.............. 251,050
500,000 Household Finance Corporation, 6.70%, 6/15/02............... 503,750
500,000 Household Finance Corporation, 6.875%, 3/1/07............... 499,375
500,000 Household Finance Corporation, 7.30%, 7/30/12............... 497,500
500,000 International Lease Finance, 6.20%, 11/6/00................. 501,720
500,000 ITT Hartford Corporation, 7.30%, 11/01/15................... 502,500
500,000 Merrill Lynch & Company, 5.75%, 11/04/02.................... 490,000
500,000 Merrill Lynch & Company, 7.00%, 4/27/08..................... 504,375
250,000 Merrill Lynch & Company, 6.25%, 10/15/08.................... 239,688
1,000,000 Merrill Lynch & Company, 7.15%, 7/30/12..................... 1,009,999
500,000 Norwest Corporation, 6.00%, 3/15/00......................... 502,030
250,000 Norwest Corporation, 6.50%, 6/1/05.......................... 246,875
500,000 Norwest Financial, Inc., 6.375%, 9/15/02.................... 500,625
500,000 Salomon SB Holdings, Inc., 7.50%, 5/1/02.................... 515,000
500,000 Salomon SB Holdings, Inc., 6.625%, 7/1/02................... 503,750
250,000 Salomon SB Holdings, Inc., 6.125%, 1/15/03.................. 246,875
500,000 Toyota Motor Credit, 5.625%, 11/13/03....................... 485,000
------------
16,211,499
------------
</TABLE>
See notes to financial statements.
8
<PAGE> 22
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
CORPORATE BONDS (CONTINUED)
FINANCIAL SERVICES -- DIVERSIFIED -- 2.5%
$ 500,000 Associates Credit Corporation, 5.75%, 11/01/03.............. $ 485,625
500,000 Associates Credit Corporation, 5.50%, 2/15/04............... 480,625
500,000 General Electric Capital Corporation, 5.65%, 3/31/03........ 490,000
500,000 General Electric Capital Corporation, 6.10%, 5/24/04........ 495,000
650,000 General Electric Capital Corporation, 6.90%, 9/15/15........ 658,937
500,000 Morgan Stanley Dean Witter, 5.625%, 1/20/04................. 482,500
500,000 National Rural Utilities, 5.95%, 1/15/03.................... 494,375
500,000 U.S. Leasing Corporation, 5.95%, 10/15/03................... 488,750
------------
4,075,812
------------
FOOD -- 0.8%
390,000 Campbell Soup Company, 4.75%, 10/1/03....................... 368,063
500,000 General Mills, Inc., 5.82%, 2/05/03......................... 493,750
500,000 Sara Lee Corporation, 5.75%, 9/03/03........................ 487,500
------------
1,349,313
------------
INSURANCE -- 0.3%
500,000 CNA Financial Corporation, 6.60%, 12/15/08.................. 461,250
------------
MACHINERY & EQUIPMENT -- 0.3%
500,000 John Deere Capital Corporation, 6.00%, 2/15/09.............. 471,250
------------
MEDICAL PRODUCTS -- 0.3%
500,000 Baxter International, Inc., 6.625%, 2/15/28................. 463,125
------------
MULTIMEDIA -- 0.3%
500,000 The Walt Disney Company, 5.125%, 12/15/03................... 477,500
------------
OFFICE EQUIPMENT & SERVICES -- 0.6%
500,000 Xerox Corporation, 5.50%, 11/15/03.......................... 485,000
500,000 Xerox Corporation, 5.25%, 12/15/03.......................... 481,250
------------
966,250
------------
OIL COMPANY -- DIVERSIFIED -- 0.6%
1,000,000 Atlantic Richfield, 5.55%, 4/15/03.......................... 976,250
------------
OIL COMPANY-- INTEGRATED -- 0.6%
500,000 Conoco, Inc., 5.90%, 4/15/04................................ 487,500
500,000 Texaco Capital, Inc., 5.70%, 12/1/08........................ 467,500
------------
955,000
------------
PHARMACEUTICALS -- 0.2%
250,000 Eli Lilly & Company, 7.125%, 6/1/25......................... 258,750
------------
RAILROADS -- 0.1%
250,000 Norfolk Southern Railway, 5.08%, 7/15/01.................... 244,688
------------
</TABLE>
See notes to financial statements.
9
<PAGE> 23
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
CORPORATE BONDS (CONTINUED)
RETAIL -- 0.6%
$ 250,000 J.C. Penney & Company, 6.875%, 10/15/15..................... $ 233,750
250,000 Rite-Aid Corporation, 6.875%, 8/15/13....................... 238,125
500,000 Sears Roebuck Acceptance Corporation, 6.70%, 11/15/06....... 493,125
------------
965,000
------------
RETAIL GROCERY -- 0.2%
300,000 Albertsons, Inc., 6.375%, 6/1/00............................ 301,875
------------
TELECOMMUNICATIONS -- 1.5%
250,000 Motorola, Inc., 6.50%, 3/1/08............................... 247,813
250,000 Northern Telecommunications, 6.875%, 9/1/23................. 243,438
250,000 Southwestern Bell Telephone Company, 6.25%, 10/15/02........ 250,313
500,000 Southwestern Bell Telephone Company, 5.875%, 6/1/03......... 489,999
250,000 Southwestern Bell Telephone Company, 7.20%, 10/15/26........ 248,438
250,000 U.S. West Communications, Inc., 6.375%, 10/15/02............ 249,375
500,000 U.S. West Communications, Inc., 6.375, 7/15/08.............. 480,624
250,000 U.S. West Communications, Inc., 7.50%, 6/15/23.............. 247,188
------------
2,457,188
------------
TELEPHONE -- 2.2%
500,000 AT&T Corporation, 5.625%, 3/15/04........................... 486,875
500,000 AT&T Corporation, 6.00%, 3/15/09............................ 476,875
250,000 Chesapeake Bell Telephone Virginia, 7.00%, 7/15/25.......... 244,063
500,000 New York Telephone Company, 5.875%, 9/01/03................. 490,000
1,000,000 New York Telephone Company, 6.00%, 9/1/07................... 961,249
250,000 New York Telephone Company, 7.25%, 2/15/24.................. 247,188
500,000 Southern New England Telecommunication, Inc., 7.00%,
8/15/05..................................................... 510,000
240,000 Southern New England Telecommunication, Inc., 7.125%,
8/1/07...................................................... 248,400
------------
3,664,650
------------
UTILITIES -- 2.3%
500,000 Carolina Power & Light, 5.875%, 1/15/04..................... 491,249
250,000 Consolidated Edison Company of New York, Inc., 6.625%,
7/1/05...................................................... 250,938
250,000 Consolidated Edison Company of New York, Inc., 7.50%,
6/15/23..................................................... 250,000
250,000 Duke Power Company, 6.875%, 8/1/23.......................... 236,563
225,000 Georgia Power Company, 6.625%, 4/1/03....................... 229,219
250,000 Northern States Power Company, 7.125%, 7/1/25............... 252,187
250,000 Pacific Gas & Electric Company, 6.25%, 3/1/04............... 248,750
250,000 Pacific Gas & Electric Company, 7.25%, 8/1/26............... 246,875
250,000 PacifiCorp, 6.625%, 6/1/07.................................. 250,313
250,000 Public Service Electric & Gas, 6.00%, 5/1/00................ 250,625
250,000 Southern California Edison Company, 6.50%, 6/1/01........... 251,874
</TABLE>
See notes to financial statements.
10
<PAGE> 24
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
CORPORATE BONDS (CONTINUED)
UTILITIES (CONTINUED)
$ 250,000 Southern California Edison Company, 6.90%, 10/1/18.......... $ 240,938
500,000 Virginia Electric & Power Company, 6.75%, 2/1/07............ 499,374
------------
3,698,905
------------
TOTAL CORPORATE BONDS....................................... 49,777,431
------------
MORTGAGE-BACKED SECURITIES -- 0.1%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.1%
54,748 9.00%, 6/15/17.............................................. 58,050
28,411 9.00%, 3/15/20.............................................. 30,124
------------
TOTAL MORTGAGE-BACKED SECURITIES............................ 88,174
------------
U. S. GOVERNMENT AGENCY MORTGAGES -- 16.1%
FEDERAL HOME LOAN BANK -- 0.6%
1,000,000 4.96%, 10/07/05............................................. 939,130
------------
FEDERAL HOME LOAN MORTGAGE CORP. -- 1.2%
1,000,000 6.97%, 10/3/05.............................................. 1,005,680
1,000,000 7.405%, 4/19/06............................................. 1,025,280
------------
2,030,960
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 10.4%
4,500,000 4.625%, 10/15/01............................................ 4,393,755
2,000,000 6.23%, 7/18/02.............................................. 2,020,380
1,000,000 6.00%, 1/14/05.............................................. 989,150
2,000,000 6.49%, 1/19/06.............................................. 1,995,540
1,000,000 7.32%, 5/3/06............................................... 1,024,470
1,000,000 7.19%, 11/6/06.............................................. 1,025,570
1,000,000 7.33%, 4/2/07............................................... 1,030,940
2,000,000 7.00%, 7/17/07.............................................. 2,016,100
1,000,000 6.17%, 1/15/08.............................................. 978,380
1,000,000 6.16%, 1/23/08.............................................. 987,400
500,000 6.51%, 5/6/08............................................... 499,310
------------
16,960,995
------------
U.S. GOVERNMENT AGENCY -- 3.9%
1,000,000 Tennessee Valley Authority, 5.28%, 9/14/01.................. 987,500
2,000,000 Tennessee Valley Authority, 6.375%, 6/15/05................. 2,012,500
3,500,000 Tennessee Valley Authority, 6.00%, 3/15/13.................. 3,364,375
------------
6,364,375
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGES...................... 26,295,460
------------
U.S. TREASURY OBLIGATIONS -- 52.1%
U.S. TREASURY BONDS -- 17.7%
8,000,000 7.25%, 5/15/16.............................................. $ 8,940,080
4,000,000 7.25%, 8/15/22.............................................. 4,558,600
5,000,000 6.25%, 8/15/23.............................................. 5,096,850
</TABLE>
See notes to financial statements.
11
<PAGE> 25
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (CONTINUED)
U.S. TREASURY BONDS (CONTINUED)
$ 3,300,000 6.00%, 2/15/26.............................................. $ 3,275,811
7,750,000 5.25%, 11/15/28............................................. 7,015,068
------------
28,886,409
------------
U.S. TREASURY NOTES -- 34.4%
4,000,000 6.25%, 6/30/02.............................................. 4,071,240
6,000,000 5.50%, 2/28/03.............................................. 5,961,420
13,250,000 5.25%, 8/15/03.............................................. 13,034,688
13,000,000 4.25%, 11/15/03............................................. 12,283,570
3,700,000 4.75%, 2/15/04.............................................. 3,570,500
500,000 7.25%, 8/15/04.............................................. 533,190
7,000,000 5.625%, 2/15/06............................................. 6,939,100
10,000,000 5.50%, 2/15/08.............................................. 9,836,700
------------
56,230,408
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 85,116,817
------------
MONEY MARKET MUTUAL FUNDS -- 0.4%
697,267 AIM Treasury Money Market 697,267
------------
TOTAL MONEY MARKET MUTUAL FUNDS............................. 697,267
------------
TOTAL INVESTMENTS (COST $163,246,748) (A) -- 99.2%.......... 161,975,149
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.8%............... 1,254,733
------------
TOTAL NET ASSETS -- 100.0%.................................. $163,229,882
============
</TABLE>
- ---------------
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax purposes of
$106,149. Cost for federal income tax purposes differs from value by net
unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................ $ 1,774,250
Unrealized depreciation............................ (3,151,998)
-----------
Net unrealized depreciation........................ $(1,377,748)
===========
</TABLE>
See notes to financial statements.
12
<PAGE> 26
PERFORMANCE FUNDS TRUST
LARGE CAP EQUITY FUND
Schedule of Portfolio Investments
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS -- 96.6%
AEROSPACE/DEFENSE -- 0.8%
26,000 Lockheed Martin Corporation................................. $ 1,051,375
27,000 Raytheon Company, Class B................................... 1,837,688
------------
2,889,063
------------
AUTOMOTIVE -- 1.7%
10,000 DaimlerChrysler Ag.......................................... 874,375
50,000 Ford Motor Company.......................................... 2,853,125
32,000 General Motors Corporation.................................. 2,208,000
------------
5,935,500
------------
BANKING -- 3.1%
68,000 Bank of New York Company, Inc............................... 2,431,000
36,000 BankBoston Corporation...................................... 1,705,500
38,000 Chase Manhattan Corporation................................. 2,755,000
30,000 SunTrust Banks, Inc......................................... 2,025,000
50,000 Wells Fargo & Company....................................... 2,000,000
------------
10,916,500
------------
BEVERAGES -- 3.4%
31,000 Anheuser Busch Companies, Inc............................... 2,264,938
106,000 Coca-Cola Company........................................... 7,241,124
71,000 PepsiCo, Inc................................................ 2,542,688
------------
12,048,750
------------
BUSINESS EQUIPMENT & SERVICES -- 2.1%
34,000 America Online(b)........................................... 4,058,750
13,000 Deluxe Corporation.......................................... 468,813
34,000 FDX Corporation(b).......................................... 1,872,125
10,000 H & R Block................................................. 481,875
9,000 Pitney Bowes, Inc........................................... 573,750
------------
7,455,313
------------
CAPITAL GOODS -- 1.5%
30,000 Black & Decker Corporation.................................. 1,708,125
30,000 Illinois Tool Works, Inc.................................... 2,302,500
44,000 Sherwin-Williams Company.................................... 1,355,750
------------
5,366,375
------------
COMPUTER EQUIPMENT -- 2.3%
21,000 Computer Associates International, Inc...................... 993,563
132,000 Intel Corporation........................................... 7,136,250
------------
8,129,813
------------
</TABLE>
See notes to financial statements.
13
<PAGE> 27
PERFORMANCE FUNDS TRUST
LARGE CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE -- 6.1%
69,000 Cisco Systems, Inc.(b)...................................... $ 7,512,375
174,000 Microsoft Corporation(b).................................... 14,039,625
------------
21,552,000
------------
COMPUTERS -- 5.7%
66,000 Compaq Computer Corporation................................. 1,563,375
120,000 Dell Computer Corporation(b)................................ 4,132,500
44,000 Hewlett Packard Company..................................... 4,149,750
86,000 International Business Machines Corporation................. 10,002,875
------------
19,848,500
------------
CONSUMER DURABLES -- 0.3%
14,000 Dana Corporation............................................ 722,750
22,366 Delphi Automotive Systems(b)................................ 438,928
------------
1,161,678
------------
CONSUMER NON-DURABLE -- 5.3%
28,000 Colgate-Palmolive Company................................... 2,796,500
33,000 ConAgra, Inc................................................ 860,063
62,000 Gillette Company............................................ 3,162,000
36,000 Kimberly-Clark Corporation.................................. 2,112,750
20,000 Premark International, Inc.................................. 716,250
54,000 Procter & Gamble Company.................................... 5,042,249
28,571 Unilever NV-New York Shares-ADR............................. 1,866,043
25,000 Wrigley (WM.) Jr. Company................................... 2,176,563
------------
18,732,418
------------
CONSUMER SERVICES -- 1.7%
42,000 Mattel, Inc................................................. 1,110,375
60,000 Meredith Corporation........................................ 2,096,250
42,000 Time Warner, Inc............................................ 2,858,625
------------
6,065,250
------------
ENERGY -- 6.9%
30,436 BP Amoco PLC-ADR............................................ 3,260,457
31,000 Chevron Corporation......................................... 2,873,313
102,000 Exxon Corporation........................................... 8,147,249
8,000 Halliburton Company......................................... 331,000
40,000 Mobil Corporation........................................... 4,050,000
95,000 Royal Dutch Petroleum-New York Shares-ADR................... 5,373,438
------------
24,035,457
------------
</TABLE>
See notes to financial statements.
14
<PAGE> 28
PERFORMANCE FUNDS TRUST
LARGE CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ENTERTAINMENT -- 1.1%
36,000 King World Productions, Inc.(b)............................. $ 1,201,500
87,000 The Walt Disney Company..................................... 2,533,875
------------
3,735,375
------------
FINANCIAL SERVICES -- 8.3%
31,000 American Express Company.................................... 3,756,813
78,474 BankAmerica Corporation..................................... 5,076,286
111,000 Citigroup, Inc.............................................. 7,353,749
54,000 Federal Home Loan Mortgage Corporation...................... 3,148,875
56,000 Federal National Mortgage Association....................... 3,808,000
25,000 Merrill Lynch............................................... 2,100,000
39,000 Morgan Stanley Dean Witter & Company........................ 3,763,500
------------
29,007,223
------------
FOOD -- 0.3%
20,000 Hershey Foods Corporation................................... 1,085,000
------------
HEALTH CARE -- 9.9%
68,000 Abbott Laboratories......................................... 3,072,750
51,000 American Home Products Corporation.......................... 2,938,875
21,000 Baxter International, Inc................................... 1,355,813
82,000 Bristol-Myers Squibb Company................................ 5,627,250
56,000 Johnson & Johnson, Inc...................................... 5,187,000
98,000 Merck & Company, Inc........................................ 6,614,999
135,000 Schering-Plough Corporation................................. 6,083,437
62,000 Warner Lambert Company...................................... 3,844,000
------------
34,724,124
------------
INSURANCE -- 2.7%
58,000 Allstate Corporation........................................ 2,113,375
61,000 American International Group, Inc........................... 6,973,063
8,000 MBIA, Inc................................................... 546,500
------------
9,632,938
------------
MULTI INDUSTRY -- 5.0%
129,000 General Electric Company.................................... 13,117,688
12,000 Lowes Corporation........................................... 975,750
38,000 Textron, Inc................................................ 3,384,375
------------
17,477,813
------------
OIL/GAS -- 0.4%
58,648 Sempra Energy............................................... 1,260,932
------------
</TABLE>
See notes to financial statements.
15
<PAGE> 29
PERFORMANCE FUNDS TRUST
LARGE CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS -- 2.5%
47,000 Eli Lilly & Company......................................... $ 3,357,563
49,000 Pfizer, Inc................................................. 5,243,000
------------
8,600,563
------------
RAILROADS -- 0.4%
39,000 Norfolk Southern Corporation................................ 1,277,250
------------
RAW MATERIALS -- 1.7%
28,000 Alcoa, Inc.................................................. 1,540,000
22,000 Avery-Dennison Corporation.................................. 1,317,250
46,000 du Pont (E.I.) De Nemours and Company....................... 3,010,125
------------
5,867,375
------------
RETAIL -- 7.1%
23,000 Circuit City Stores, Inc.................................... 1,651,688
59,000 Gap, Inc.................................................... 3,691,188
47,000 Home Depot, Inc............................................. 2,673,125
20,000 J.C. Penney Company......................................... 1,033,750
60,000 McDonalds Corporation....................................... 2,310,000
20,000 Sears, Roebuck & Company.................................... 956,250
190,000 Wal-Mart Stores, Inc........................................ 8,098,749
190,000 Walgreen Company............................................ 4,417,499
------------
24,832,249
------------
SHELTER -- 0.3%
18,000 Armstrong World Industries, Inc............................. 1,048,500
------------
TECHNOLOGY -- 1.5%
44,000 Ceridian Corporation(b)..................................... 1,452,000
50,000 Loral Space & Communications, Ltd.(b)....................... 831,250
29,000 Northrop Grumman Corporation................................ 1,957,500
19,000 Rockwell International Corporation.......................... 1,048,563
------------
5,289,313
------------
TELECOMMUNICATIONS -- 11.0%
52,000 Ameritech Corporation....................................... 3,422,250
97,500 AT&T Corporation............................................ 5,411,249
58,000 Bell Atlantic Corporation................................... 3,175,500
84,000 BellSouth Corporation....................................... 3,963,750
42,000 GTE Corporation............................................. 2,648,625
94,000 Lucent Technologies, Inc.................................... 5,346,250
61,000 MCI WorldCom, Inc.(b)....................................... 5,268,875
27,000 Motorola, Inc............................................... 2,235,938
</TABLE>
See notes to financial statements.
16
<PAGE> 30
PERFORMANCE FUNDS TRUST
LARGE CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
75,000 SBC Communications, Inc..................................... $ 3,834,375
28,000 Sprint Corporation.......................................... 3,157,000
------------
38,463,812
------------
TRANSPORTATION & SHIPPING -- 0.3%
36,000 Burlington Northern Santa Fe Corporation.................... 1,116,000
------------
UTILITIES -- 1.0%
53,000 Entergy Corporation......................................... 1,719,188
52,000 FirstEnergy Corporation..................................... 1,654,250
------------
3,373,438
------------
UTILITIES-ELECTRIC -- 2.2%
50,000 Consolidated Edison Company of New York, Inc................ 2,428,125
58,000 Detroit Edison Company...................................... 2,526,625
100,000 Southern Company............................................ 2,837,500
------------
7,792,250
------------
TOTAL COMMON STOCKS......................................... 338,720,772
------------
MONEY MARKET MUTUAL FUNDS -- 2.6%
9,212,444 AIM Treasury Money Market................................... 9,212,444
------------
TOTAL MONEY MARKET MUTUAL FUNDS............................. 9,212,444
------------
U.S. TREASURY BILLS -- 0.8%
$3,000,000 U.S. Treasury Bills, 8/12/99................................ 2,973,120
------------
TOTAL U.S. TREASURY BILLS................................... 2,973,120
------------
TOTAL INVESTMENTS (Cost $159,357,869)(a) -- 100.0%.......... 350,906,336
LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.0%............... (82,164)
------------
TOTAL NET ASSETS -- 100.0%.................................. $350,824,172
============
</TABLE>
- ---------------
ADR -- American Depositary Receipt
(a) Represents cost for federal income tax purposes and differs from value by
net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................ $191,729,016
Unrealized depreciation............................ (180,549)
------------
Net unrealized appreciation........................ $191,548,467
============
</TABLE>
(b) Non-income producing securities
See notes to financial statements.
17
<PAGE> 31
PERFORMANCE FUNDS TRUST
MID CAP EQUITY FUND
Schedule of Portfolio Investments
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
COMMON STOCKS -- 97.2%
BUSINESS EQUIPMENT & SERVICES -- 8.7%
8,000 Cintas Corporation.......................................... $ 508,000
165,000 Comdisco, Inc............................................... 4,021,874
27,000 Convergys Corporation(b).................................... 475,875
22,600 Jacobs Engineering Group, Inc.(b)........................... 840,438
97,500 Office Depot, Inc.(b)....................................... 2,035,313
54,200 Reynolds & Reynolds Company................................. 1,185,625
68,300 Viad Corporation............................................ 2,031,925
------------
11,099,050
------------
CAPITAL GOODS -- 4.4%
24,000 HARSCO Corporation.......................................... 783,000
24,000 Precision Castparts Corporation............................. 972,000
15,000 Southdown, Inc.............................................. 950,625
38,000 Sundstrand Corporation...................................... 2,629,125
9,000 Trinity Industries.......................................... 280,688
------------
5,615,438
------------
COMPUTER SOFTWARE -- 1.3%
35,000 Electronic Arts, Inc.(b).................................... 1,712,813
------------
CONSUMER DURABLES -- 3.7%
30,000 Carlisle Companies, Inc..................................... 1,402,500
45,000 Harley-Davidson, Inc........................................ 2,297,813
28,000 Kaydon Corporation.......................................... 932,750
------------
4,633,063
------------
CONSUMER NON-DURABLE -- 3.6%
87,000 Jones Apparel Group, Inc.(b)................................ 2,675,250
56,299 Lancaster Colony Corporation................................ 1,880,738
------------
4,555,988
------------
CONSUMER SERVICES -- 3.1%
21,000 Banta Corporation........................................... 514,500
40,000 Belo (A.H.) Corporation-Common Series A..................... 882,500
83,000 International Game Technologies............................. 1,462,875
2,000 Washington Post Company..................................... 1,112,875
------------
3,972,750
------------
</TABLE>
See notes to financial statements.
18
<PAGE> 32
PERFORMANCE FUNDS TRUST
MID CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ENERGY -- 3.5%
26,000 BJ Services Company(b)...................................... $ 716,625
40,000 Smith International, Inc.(b)................................ 1,730,000
48,600 Tosco Corporation........................................... 1,242,338
30,000 Valero Energy............................................... 601,875
22,000 Varco International, Inc.(b)................................ 200,750
------------
4,491,588
------------
FINANCIAL SERVICES -- 16.1%
57,000 AFLAC, Inc.................................................. 2,906,999
10,000 Ambac Financial Group, Inc.................................. 583,125
26,000 Charter One Financial, Inc.................................. 739,375
32,000 City National Corporation................................... 1,260,000
36,000 E*Trade Group, Inc.(b)...................................... 1,602,000
77,000 Edwards (A.G.), Inc......................................... 2,589,125
117,450 First Security Corporation.................................. 2,224,209
25,000 First Tennessee National Corporation........................ 1,029,688
15,000 Old Kent Financial Corporation.............................. 674,063
72,000 Paine Webber Group, Inc..................................... 3,383,999
23,000 Price (T. Rowe) Associates.................................. 888,375
19,000 ReliaStar Financial Corporation............................. 789,688
20,000 Robert Half International, Inc.(b).......................... 563,750
16,000 Zions Bancorporation........................................ 1,020,000
------------
20,254,396
------------
HEALTH CARE -- 6.6%
30,000 Beckman Coulter, Inc........................................ 1,522,500
12,000 Biogen, Inc.(b)............................................. 1,309,500
70,000 Mylan Laboratories, Inc..................................... 1,776,250
54,000 Stryker Corporation(b)...................................... 3,213,000
32,000 Varian Medical Systems, Inc................................. 602,000
------------
8,423,250
------------
RAW MATERIALS -- 2.0%
57,000 Vulcan Materials Company.................................... 2,575,688
------------
RESTAURANTS -- 0.4%
14,000 Starbucks Corporation(b).................................... 520,625
------------
</TABLE>
See notes to financial statements.
19
<PAGE> 33
PERFORMANCE FUNDS TRUST
MID CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL -- 10.9%
11,000 Bed Bath & Beyond, Inc.(b).................................. $ 376,063
32,000 Best Buy Company(b)......................................... 1,456,000
110,000 BJ's Wholesale Club, Inc.(b)................................ 2,859,999
46,000 Claire's Stores, Inc........................................ 1,345,500
34,800 Hannaford Brothers Company.................................. 1,809,600
78,750 Outback Steakhouse(b)....................................... 2,825,156
25,000 Ross Stores, Inc............................................ 1,148,438
24,000 Tiffany & Company........................................... 1,989,000
------------
13,809,756
------------
SHELTER -- 3.8%
149,218 Clayton Homes, Inc.......................................... 1,706,681
102,000 Leggett & Platt, Inc........................................ 2,690,250
10,000 Pentair, Inc................................................ 441,250
------------
4,838,181
------------
TECHNOLOGY -- 13.4%
25,000 ADC Telecommunications, Inc.(b)............................. 1,221,875
30,000 Altera Corporation(b)....................................... 1,044,375
65,000 American Power Conversion Corporation(b).................... 2,530,937
76,500 Cadence Design Systems, Inc.(b)............................. 984,938
28,000 Cordant Technologies, Inc................................... 1,358,000
8,000 Intuit, Inc.(b)............................................. 651,000
14,000 Lexmark International Group, Inc.(b)........................ 1,905,750
26,000 Linear Technology Corporation............................... 1,378,000
13,000 Litton Industries, Inc.(b).................................. 844,188
21,000 Maxim Integrated Products, Inc.(b).......................... 1,122,188
120,000 Quantum Corporation(b)...................................... 2,377,499
32,000 Varian Semiconductor Equipment, Inc.(b)..................... 398,000
32,000 Varian, Inc.(b)............................................. 320,000
20,000 Xilinx, Inc.(b)............................................. 888,750
------------
17,025,500
------------
TRANSPORTATION & SHIPPING -- 1.3%
36,000 Airborne Freight Corporation................................ 931,500
18,000 Alaska Air Group, Inc.(b)................................... 747,000
------------
1,678,500
------------
</TABLE>
See notes to financial statements.
20
<PAGE> 34
PERFORMANCE FUNDS TRUST
MID CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UTILITIES -- 14.4%
17,000 Alliant Communications, Inc. Class A........................ $ 807,500
38,700 Cleco Corporation........................................... 1,279,519
15,000 CMS Energy Corporation...................................... 697,500
61,000 Conectiv, Inc............................................... 1,471,625
94,000 Energy East Corporation..................................... 2,608,499
34,000 New England Electric System................................. 1,702,125
64,000 Nisource, Inc............................................... 1,788,000
50,000 Oklahoma Gas & Electric Company............................. 1,287,500
46,000 Pinnacle West Capital....................................... 1,926,250
67,000 Public Service Company of New Mexico........................ 1,390,250
20,000 Qualcomm, Inc.(b)........................................... 1,944,999
45,000 SCANA Corporation........................................... 1,200,938
------------
18,104,705
------------
TOTAL COMMON STOCKS......................................... 123,311,291
------------
MONEY MARKET MUTUAL FUNDS -- 2.9%
3,676,797 AIM Treasury Money Market................................... 3,676,797
------------
TOTAL MONEY MARKET MUTUAL FUNDS............................. 3,676,797
------------
TOTAL INVESTMENTS (Cost $85,477,718)(a) -- 100.1%........... 126,988,088
LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.1%............... (110,668)
------------
TOTAL NET ASSETS -- 100.0%.................................. $126,877,420
============
</TABLE>
- ---------------
(a) Represents cost for federal income tax purposes and differs from value by
net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................ $43,552,846
Unrealized depreciation............................ (2,042,476)
-----------
Net unrealized appreciation........................ $41,510,370
===========
</TABLE>
(b) Non-income producing securities
See notes to financial statements.
21
<PAGE> 35
PERFORMANCE FUNDS TRUST
SMALL CAP EQUITY FUND
Schedule of Portfolio Investments
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS -- 97.3%
BUSINESS EQUIPMENT & SERVICES -- 11.7%
10,000 Acxiom Corporation (b)...................................... $ 270,000
40,000 ADVO, Inc. (b).............................................. 792,500
10,000 American Management Systems (b)............................. 317,500
10,000 Catalina Marketing Corporation (b).......................... 885,624
20,000 Ciber, Inc. (b)............................................. 428,750
45,000 Computer Task Group, Inc.................................... 748,125
10,000 Jack Henry & Associates, Inc................................ 353,125
10,000 National Computer Systems, Inc.............................. 312,500
15,000 National Data Corporation................................... 705,938
4,000 New England Business Services, Inc.......................... 108,750
55,000 Paxar Corporation (b)....................................... 498,438
3,000 SEI Corporation............................................. 306,000
40,000 Zebra Technologies, Class A (b)............................. 1,284,999
------------
7,012,249
------------
CAPITAL GOODS -- 7.7%
15,000 Amcast Industrial Corporation............................... 252,188
30,000 Applied Power, Inc.......................................... 727,500
26,000 Lone Star Industries Corporation............................ 926,250
40,000 Manitowoc Company, Inc...................................... 1,359,999
2,835 NSC Corporation (b)......................................... 3,367
20,000 Regal-Beloit Corporation.................................... 465,000
15,000 Texas Industries, Inc....................................... 545,625
11,000 TJ International, Inc....................................... 302,500
------------
4,582,429
------------
CONSUMER DURABLES -- 3.3%
22,500 A.O. Smith Corporation...................................... 548,438
30,000 Intermet Corporation........................................ 416,250
10,000 Polaris Industries, Inc..................................... 430,625
50,000 TBC Corporation (b)......................................... 353,125
10,000 Tower Automotive, Inc. (b).................................. 228,750
------------
1,977,188
------------
CONSUMER NON-DURABLE -- 7.5%
10,000 Canandaigua Brands, Inc., Class A (b)....................... 497,500
25,000 Kellwood Company............................................ 593,750
50,000 Nautica Enterprises, Inc. (b)............................... 809,375
25,000 Pillowtex Corporation....................................... 406,250
20,000 Russ Berrie & Company, Inc.................................. 513,750
15,000 Smithfield Foods, Inc. (b).................................. 400,313
25,000 St. John Knits, Inc......................................... 715,625
40,000 Wolverine World Wide, Inc................................... 540,000
------------
4,476,563
------------
</TABLE>
See notes to financial statements.
22
<PAGE> 36
PERFORMANCE FUNDS TRUST
SMALL CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSUMER SERVICES -- 2.8%
18,750 Marcus Corporation.......................................... $ 235,547
35,000 Merrill Corporation......................................... 529,374
25,000 Prime Hospitality Corporation (b)........................... 260,938
15,000 Valassis Communications, Inc. (b)........................... 522,188
5,000 World Color Press, Inc. (b)................................. 127,500
------------
1,675,547
------------
ENERGY -- 3.4%
1,672 Eagle Geophysical, Inc. (b)................................. 5,643
35,000 Input/Output, Inc. (b)...................................... 297,500
31,000 Oceaneering International, Inc. (b)......................... 478,562
25,000 Offshore Logistics (b)...................................... 282,813
10,000 Pool Energy Services Company (b)............................ 168,750
26,000 Seitel, Inc. (b)............................................ 411,125
12,000 Tuboscope, Inc. (b)......................................... 160,500
20,000 Vintage Petroleum, Inc...................................... 225,000
------------
2,029,893
------------
FINANCIAL SERVICES -- 14.2%
50,000 AMRESCO, Inc. (b)........................................... 343,750
13,000 Arthur J. Gallagher & Company............................... 632,938
55,000 Capital Re Corporation...................................... 897,187
32,000 CMAC Investment Corporation (b)............................. 1,617,999
40,000 Enhance Financial Services Corporation...................... 782,500
40,000 Fidelity National Financial, Inc............................ 677,500
30,000 First American Financial Corporation........................ 493,125
5,000 Firstmerit Corporation...................................... 136,563
50,000 Fremont General Corporation................................. 1,059,374
25,000 Frontier Insurance Group, Inc............................... 429,688
8,000 Hudson United Bancorp....................................... 245,000
5,000 Legg Mason, Inc............................................. 169,063
5,000 Mutual Risk Management, Ltd................................. 182,500
30,000 Orion Capital Corporation................................... 875,625
------------
8,542,812
------------
HEALTH CARE -- 8.8%
40,000 Alpharma, Inc............................................... 1,067,500
10,000 Datascope Corporation (b)................................... 251,563
6,000 Express Scripts, Inc., Class A (b).......................... 420,750
70,000 Orthodontic Centers of America, Inc. (b).................... 844,375
25,000 Patterson Dental Company (b)................................ 915,625
60,000 Safeskin Corporation (b).................................... 750,000
30,000 Sola International, Inc. (b)................................ 500,625
10,000 Universal Health Services (b)............................... 498,750
------------
5,249,188
------------
</TABLE>
See notes to financial statements.
23
<PAGE> 37
PERFORMANCE FUNDS TRUST
SMALL CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RAW MATERIALS -- 4.3%
12,000 Cambrex Corporation......................................... $ 270,000
10,000 Chemed Corporation.......................................... 324,375
6,000 Macdermid, Inc.............................................. 241,500
35,000 Mueller Industries, Inc. (b)................................ 1,015,000
40,000 Quaker Chemical Corporation................................. 695,000
------------
2,545,875
------------
RETAIL -- 8.7%
10,000 Cash America International.................................. 126,875
45,000 Cato Corporation............................................ 590,625
33,000 CKE Restaurants, Inc........................................ 606,375
30,000 Dress Barn, Inc. (b)........................................ 440,625
52,000 Foodmaker, Inc. (b)......................................... 1,404,000
35,000 Landry's Seafood Restaurants, Inc. (b)...................... 319,375
22,500 Men's Wearhouse (b)......................................... 574,453
40,000 Pier 1 Imports, Inc......................................... 442,500
20,000 Shopko Stores, Inc. (b)..................................... 710,000
------------
5,214,828
------------
SHELTER -- 3.1%
40,000 D. R. Horton, Inc........................................... 680,000
11,250 Ethan Allen Interiors, Inc.................................. 358,594
40,000 MDC Holdings, Inc........................................... 790,000
------------
1,828,594
------------
TECHNOLOGY -- 13.6%
8,000 Alliant Techsystems, Inc. (b)............................... 680,000
40,000 BE Aerospace, Inc. (b)...................................... 715,000
36,000 Benchmark Electronics, Inc. (b)............................. 1,080,000
15,000 Cable Design Technologies Corporation (b)................... 211,875
15,000 CTS Corporation............................................. 840,000
20,000 C-Cube Microsystems, Inc. (b)............................... 501,250
25,000 Dialogic Corporation (b).................................... 834,375
4,500 Kronos, Inc. (b)............................................ 166,570
5,000 Lattice Semiconductor Corporation (b)....................... 245,625
35,000 Microage, Inc. (b).......................................... 195,781
8,000 Novellus Systems (b)........................................ 390,500
40,000 Plexus Corporation (b)...................................... 1,222,499
6,000 Progress Software Corporation (b)........................... 156,375
45,000 Unitrode Corporation (b).................................... 936,563
------------
8,176,413
------------
TRANSPORTATION & SHIPPING -- 2.8%
35,000 Arkansas Best Corporation (b)............................... 310,625
12,500 M.S. Carriers, Inc. (b)..................................... 395,313
</TABLE>
See notes to financial statements.
24
<PAGE> 38
PERFORMANCE FUNDS TRUST
SMALL CAP EQUITY FUND
Schedule of Portfolio Investments (continued)
May 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------- ------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION & SHIPPING (CONTINUED)
25,000 U.S. Freightways Corporation................................ $ 984,375
------------
1,690,313
------------
UTILITIES -- 5.4%
11,000 Central Hudson Gas and Electric Corporation 464,063
13,000 Commonwealth Energy Systems Company 550,874
5,400 Connecticut Energy Corporation 202,838
15,000 Eastern Utilities Association 433,125
10,000 Energen Corporation......................................... 191,250
9,000 Orange & Rockland Utilities................................. 523,688
11,500 Piedmont Natural Gas Company, Inc........................... 388,844
12,500 TNP Enterprises, Inc........................................ 466,406
------------
3,221,088
------------
TOTAL COMMON STOCKS......................................... 58,222,980
------------
MONEY MARKET MUTUAL FUNDS -- 2.8%
1,168,620 AIM Treasury Money Market................................... 1,168,620
500,000 Dreyfus Treasury Cash Management............................ 500,000
------------
TOTAL MONEY MARKET MUTUAL FUNDS............................. 1,668,620
------------
TOTAL INVESTMENTS (Cost $65,392,795)(a) -- 100.1%........... 59,891,600
LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.1%............... (51,125)
------------
TOTAL NET ASSETS -- 100.0%.................................. $ 59,840,475
============
</TABLE>
- ---------------
(a) Represents cost for federal income tax purposes and differs from value by
net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation........................... $ 6,719,029
Unrealized depreciation........................... (12,220,224)
------------
Net unrealized depreciation....................... $ (5,501,195)
============
</TABLE>
(b) Non-income producing securities
See notes to financial statements.
25
<PAGE> 39
PERFORMANCE FUNDS TRUST
Statements of Assets and Liabilities
May 31, 1999
<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 (cost $435,611,989,
$119,427,589 and $163,246,748, respectively)............ $435,611,989 $118,561,034 $161,975,149
Repurchase agreements, at amortized cost.................. 41,503,358 -- --
Receivable for investments sold........................... -- -- 2,825,859
Dividends and interest receivable......................... 1,554,503 811,371 2,248,380
Receivable for Fund shares sold........................... 174 676 2,036
------------ ------------ ------------
Total Assets........................................ 478,670,024 119,373,081 167,051,424
------------ ------------ ------------
LIABILITIES
Dividends payable......................................... 1,745,904 498,508 710,791
Payable for Fund shares redeemed.......................... 2,172 57,628 63,713
Payable for securities purchased.......................... -- -- 2,928,310
Advisory fees payable..................................... 60,712 40,490 62,830
Administrative services fees payable...................... 4,558 2,442 3,358
Distribution fees payable (Class A)....................... 20,293 1,245 1,808
Distribution fees payable (Class B)....................... 140 -- 81
Custodian fees payable.................................... 16,190 4,049 5,585
Other accrued expenses.................................... 96,971 27,836 45,066
------------ ------------ ------------
Total Liabilities..................................... 1,946,940 632,198 3,821,542
------------ ------------ ------------
NET ASSETS.......................................... $476,723,084 $118,740,883 163,229,882
============ ============ ============
NET ASSETS CONSIST OF:
Shares of beneficial interest, at par value............... $ 476,724 $ 12,129 $ 16,230
Additional paid-in capital................................ 476,257,132 121,676,067 169,036,283
Accumulated undistributed (distributions in excess of) net
investment income/(loss)................................ 5,829 (18,809) (47,106)
Accumulated net realized loss on investments.............. (16,601) (2,061,949) (4,503,926)
Net unrealized depreciation from investments.............. -- (866,555) (1,271,599)
------------ ------------ ------------
Total Net Assets...................................... $476,723,084 $118,740,883 163,229,882
============ ============ ============
SHARES OF BENEFICIAL INTEREST
INSTITUTIONAL CLASS:
Net Assets.............................................. $382,177,559 $113,145,346 $154,916,087
Shares of beneficial interest outstanding............... 382,176,590 11,557,603 15,403,136
============ ============ ============
Net Asset Value, offering and redemption price per
share................................................. $ 1.00 $ 9.79 $ 10.06
============ ============ ============
CLASS A:
Net Assets.............................................. $ 94,347,144 $ 5,595,537 $ 8,219,069
Shares of beneficial interest outstanding............... 94,349,153 571,752 817,899
============ ============ ============
Net Asset Value, offering and redemption price per
share................................................. $ 1.00 $ 9.79 $ 10.05
============ ============ ============
Maximum sales charge.................................... None 3.00% 5.25%
============ ============ ============
Maximum offering price (100%/(100%-maximum sales charge)
of net asset value adjusted to the nearest cent) per
share................................................. $ 1.00 $ 10.09 $ 10.61
============ ============ ============
CLASS B:
Net Assets.............................................. $ 198,381 N/A $ 94,726
Shares of beneficial interest outstanding............... 198,381 9,423
============ ============
Net Asset Value, offering and redemption price per share
*..................................................... $ 1.00 $ 10.05
============ ============
</TABLE>
- ---------------
* Redemption price per Class B shares varies based on length of time shares are
held.
See notes to financial statements.
26
<PAGE> 40
PERFORMANCE FUNDS TRUST
Statements of Assets and Liabilities (continued)
May 31, 1999
<TABLE>
<CAPTION>
LARGE CAP MID CAP SMALL CAP
EQUITY FUND EQUITY FUND EQUITY FUND
------------ ------------ ---------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at value (cost $159,357,869,
$85,477,718 and $65,392,795, respectively)........... $350,906,336 $126,988,088 $59,891,600
Dividends and interest receivable...................... 722,521 109,329 29,768
Receivable for Fund shares sold........................ 97,320 4,334 1,434
Deferred organization costs............................ -- -- 6,400
------------ ------------ -----------
Total Assets.................................... 351,726,177 127,101,751 59,929,202
------------ ------------ -----------
LIABILITIES
Dividends payable...................................... 513,833 3,045 --
Payable for Fund shares redeemed....................... 94,367 91,726 8,837
Advisory fees payable.................................. 182,764 82,659 51,737
Administrative services fees payable................... 7,195 2,610 1,230
Distribution fees payable (Class A).................... 12,873 4,424 1,145
Distribution fees payable (Class B).................... 2,393 127 --
Custodian fees payable................................. 12,184 4,408 2,070
Other accrued expenses................................. 76,396 35,332 23,708
------------ ------------ -----------
Total Liabilities.................................. 902,005 224,331 88,727
------------ ------------ -----------
NET ASSETS...................................... $350,824,172 $126,877,420 $59,840,475
============ ============ ===========
NET ASSETS CONSIST OF:
Shares of beneficial interest, at par value............ $ 12,451 $ 6,818 $ 7,366
Additional paid-in capital............................. 150,750,527 76,083,246 70,821,459
Accumulated undistributed (distributions in excess of)
net investment income/(loss)......................... (20,446) (3,045) --
Accumulated undistributed net realized gain/(loss) on
investments.......................................... 8,533,173 9,280,031 (5,487,155)
Net unrealized appreciation/(depreciation) from
investments.......................................... 191,548,467 41,510,370 (5,501,195)
------------ ------------ -----------
Total Net Assets................................... $350,824,172 $126,877,420 $59,840,475
============ ============ ===========
SHARES OF BENEFICIAL INTEREST
INSTITUTIONAL CLASS:
Net Assets........................................... $288,804,510 $106,330,450 $54,721,527
Shares of beneficial interest outstanding............ 10,248,664 5,713,146 6,733,590
============ ============ ===========
Net Asset Value, offering and redemption price per
share.............................................. $ 28.18 $ 18.61 $ 8.13
============ ============ ===========
CLASS A:
Net Assets........................................... $ 59,044,501 $ 20,408,793 $ 5,071,435
Shares of beneficial interest outstanding............ 2,096,806 1,097,658 626,942
============ ============ ===========
Net Asset Value, offering and redemption price per
share.............................................. $ 28.16 $ 18.59 $ 8.09
============ ============ ===========
Maximum sales charge................................. 5.25% 5.25% 5.25%
============ ============ ===========
Maximum offering price (100%/(100%-maximum sales
charge) of net asset value adjusted to the nearest
cent) per share.................................... $ 29.72 $ 19.62 $ 8.54
============ ============ ===========
CLASS B:
Net Assets........................................... $ 2,975,161 $ 138,177 $ 47,513
Shares of beneficial interest outstanding............ 105,962 7,472 5,895
============ ============ ===========
Net Asset Value, offering and redemption price per
share *............................................ $ 28.08 $ 18.49 $ 8.06
============ ============ ===========
</TABLE>
- ---------------
* Redemption price per Class B shares varies based on length of time shares are
held.
See notes to financial statements.
27
<PAGE> 41
PERFORMANCE FUNDS TRUST
Statements of Operations
For the Year Ended May 31, 1999
<TABLE>
<CAPTION>
MONEY SHORT TERM INTERMEDIATE
MARKET GOVERNMENT TERM GOVERNMENT
FUND INCOME FUND INCOME FUND
----------- ----------- ---------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest................................................. $25,488,116 $ 7,005,604 $ 8,007,370
Dividends................................................ 11,989 56,756 37,566
----------- ----------- -----------
Total Investment Income.................................. 25,500,105 7,062,360 8,044,936
----------- ----------- -----------
EXPENSES:
Advisory fees............................................ 1,450,586 488,339 673,317
Administrative services fees............................. 721,334 180,888 199,791
Distribution fees (Class A).............................. 242,845 13,998 18,005
Distribution fees (Class B)*............................. 358 -- 368
Custodian fees........................................... 193,413 48,834 53,866
Audit and legal fees..................................... 129,666 33,150 42,980
Fund accounting fees..................................... 47,053 36,995 58,282
Transfer agency fees..................................... 107,296 31,930 54,504
Organization expenses.................................... 3,738 -- --
Trustees' fees........................................... 41,342 7,622 10,635
Other expenses........................................... 145,847 19,540 43,097
----------- ----------- -----------
Total Expenses......................................... 3,083,478 861,296 1,154,845
Less: Expenses waived by Advisor and/or
Administrator........................................ (1,122,945) -- (67,333)
----------- ----------- -----------
Total Net Expenses..................................... 1,960,533 861,296 1,087,512
----------- ----------- -----------
NET INVESTMENT INCOME/(LOSS)............................. 23,539,572 6,201,064 6,957,424
----------- ----------- -----------
NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) on investments.................. 368 622,218 (8,702)
Net change in unrealized appreciation/(depreciation) on
investments............................................ -- (1,353,286) (5,136,917)
----------- ----------- -----------
Net realized/unrealized gain/(loss) on investments....... 368 (731,068) (5,145,619)
----------- ----------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $23,539,940 $ 5,469,996 $ 1,811,805
=========== =========== ===========
</TABLE>
- ---------------
* Class B commenced operations on October 2, 1998.
See notes to financial statements.
28
<PAGE> 42
PERFORMANCE FUNDS TRUST
Statements of Operations (continued)
For the Year Ended May 31, 1999
<TABLE>
<CAPTION>
LARGE CAP MID CAP SMALL CAP
EQUITY FUND EQUITY FUND EQUITY FUND
----------- ------------ ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest............................................... $ 5,285 $ 235,714 $ --
Dividends.............................................. 4,776,489 2,041,719 629,073
----------- ------------ ------------
Total Investment Income................................ 4,781,774 2,277,433 629,073
----------- ------------ ------------
EXPENSES:
Advisory fees.......................................... 1,929,884 1,187,417 607,516
Administrative services fees........................... 476,854 234,234 89,982
Distribution fees (Class A)............................ 131,742 51,871 12,655
Distribution fees (Class B)*........................... 8,307 683 224
Custodian fees......................................... 128,660 63,330 24,301
Audit and legal fees................................... 76,760 43,837 23,506
Fund accounting fees................................... 47,311 45,512 43,897
Transfer agency fees................................... 146,468 98,005 39,208
Organization expenses.................................. -- 7,327 2,190
Trustees' fees......................................... 22,059 10,905 3,177
Other expenses......................................... 82,026 40,160 14,448
----------- ------------ ------------
Total Expenses....................................... 3,050,071 1,783,281 861,104
Less: Expenses waived by Advisor and/or
Administrator...................................... -- -- --
----------- ------------ ------------
Total Net Expenses................................... 3,050,071 1,783,281 861,104
----------- ------------ ------------
NET INVESTMENT INCOME/(LOSS)........................... 1,731,703 494,152 (232,031)
----------- ------------ ------------
NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) on investments................ 8,542,654 13,880,187 (5,487,155)
Net change in unrealized appreciation/(depreciation) on
investments.......................................... 41,686,819 (20,334,170) (6,102,658)
----------- ------------ ------------
Net realized/unrealized gain/(loss) on investments..... 50,229,473 (6,453,983) (11,589,813)
----------- ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. $51,961,176 $ (5,959,831) $(11,821,844)
=========== ============ ============
</TABLE>
- ---------------
* Class B commenced operations on October 2, 1998.
See notes to financial statements.
29
<PAGE> 43
PERFORMANCE FUNDS TRUST
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SHORT TERM GOVERNMENT INTERMEDIATE TERM
MONEY MARKET FUND INCOME FUND GOVERNMENT 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,
1999 1998 1999 1998 1999 1998
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income/(loss).... $ 23,539,572 $ 23,754,971 $ 6,201,064 $ 6,775,912 $ 6,957,424 $ 6,618,283
Net realized gain/(loss) on
investments................... 368 (7,755) 622,218 709,547 (8,702) 123,368
Net change in unrealized
appreciation/(depreciation) on
investments................... -- -- (1,353,286) 552,544 (5,136,917) 4,477,874
--------------- ------------- ------------- ------------- ------------ -------------
Net increase in net assets
resulting from operations... 23,539,940 23,747,216 5,469,996 8,038,003 1,811,805 11,219,525
--------------- ------------- ------------- ------------- ------------ -------------
Distributions to shareholders
from:
Net investment income
Institutional Class........... (19,023,056) (17,909,471) (5,931,094) (6,690,972) (6,601,612) (6,587,342)
Class A....................... (4,515,204) (5,845,500) (269,970) (84,940) (354,297) (115,823)
Class B*...................... (1,312) -- -- -- (1,497) --
--------------- ------------- ------------- ------------- ------------ -------------
(23,539,572) (23,754,971) (6,201,064) (6,775,912) (6,957,406) (6,703,165)
--------------- ------------- ------------- ------------- ------------ -------------
In excess of net investment
income
Institutional Class........... -- -- -- -- -- (45,724)
Class A....................... -- -- -- -- -- (750)
--------------- ------------- ------------- ------------- ------------ -------------
-- -- -- -- -- (46,474)
--------------- ------------- ------------- ------------- ------------ -------------
Net decrease in net assets
resulting from
distributions............... (23,539,572) (23,754,971) (6,201,064) (6,775,912) (6,957,406) (6,749,639)
--------------- ------------- ------------- ------------- ------------ -------------
Shares of beneficial interest:
Proceeds from shares issued
Institutional Class........... 860,491,305 694,995,401 22,521,460 18,548,663 69,320,815 38,379,424
Class A....................... 207,215,008 210,472,260 10,022,861 2,760,371 10,741,856 3,318,154
Class B*...................... 242,396 -- -- -- 103,713 --
--------------- ------------- ------------- ------------- ------------ -------------
1,067,948,709 905,467,661 32,544,321 21,309,034 80,166,384 41,697,578
--------------- ------------- ------------- ------------- ------------ -------------
Proceeds from reinvestment of
distributions
Institutional Class........... 141,718 67,649 4,137,050 4,951,318 4,361,842 4,721,379
Class A....................... 4,404,063 5,461,030 207,150 57,098 301,726 77,338
Class B*...................... 563 -- -- -- 961 --
--------------- ------------- ------------- ------------- ------------ -------------
4,546,344 5,528,679 4,344,200 5,008,416 4,664,529 4,798,717
--------------- ------------- ------------- ------------- ------------ -------------
Cost of shares redeemed
Institutional Class........... (827,479,603) (666,771,987) (33,038,180) (30,975,873) (32,678,463) (23,009,377)
Class A....................... (191,066,323) (234,357,245) (7,761,979) (852,229) (6,479,606) (955,677)
Class B*...................... (44,578) -- -- -- (5,845) --
--------------- ------------- ------------- ------------- ------------ -------------
(1,018,590,504) (901,129,232) (40,800,159) (31,828,102) (39,163,914) (23,965,054)
--------------- ------------- ------------- ------------- ------------ -------------
Net increase/(decrease) in net
assets from shares of
beneficial interest
transactions.................. 53,904,549 9,867,108 (3,911,638) (5,510,652) 45,666,999 22,531,241
--------------- ------------- ------------- ------------- ------------ -------------
Total increase/(decrease) in net
assets.......................... 53,904,917 9,859,353 (4,642,706) (4,248,561) 40,521,398 27,001,127
NET ASSETS:
Beginning of period............. 422,818,167 412,958,814 123,383,589 127,632,150 122,708,484 95,707,357
--------------- ------------- ------------- ------------- ------------ -------------
End of period................... $ 476,723,084 $ 422,818,167 $ 118,740,883 $ 123,383,589 $163,229,882 $ 122,708,484
=============== ============= ============= ============= ============ =============
</TABLE>
- ---------------
* Class B commenced operations on October 2, 1998.
See notes to financial statements.
30
<PAGE> 44
PERFORMANCE FUNDS TRUST
Statements of Changes in Net Assets (continued)
<TABLE>
<CAPTION>
LARGE CAP EQUITY FUND MID CAP EQUITY FUND SMALL CAP EQUITY FUND
----------------------------- ----------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
1999 1998 1999 1998 1999 1998**
---------- ---------- ---------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income/(loss)....... $ 1,731,703 $ 2,232,832 $ 494,152 $ 651,681 $ (232,031) $ (139,529)
Net realized gain/(loss) on
investments...................... 8,542,654 13,921,927 13,880,187 13,580,881 (5,487,155) 743,590
Net change in unrealized
appreciation/(depreciation) on
investments...................... 41,686,819 60,709,330 (20,334,170) 22,747,932 (6,102,658) 601,463
------------- ------------- ------------- ------------- ------------ ------------
Net increase in net assets
resulting from operations...... 51,961,176 76,864,089 (5,959,831) 36,980,494 (11,821,844) 1,205,524
------------- ------------- ------------- ------------- ------------ ------------
Distributions to shareholders from:
Net investment income
Institutional Class.............. (1,525,133) (2,059,592) (463,652) (639,145) -- (180)
Class A.......................... (194,139) (165,538) (30,473) (19,304) -- --
Class B*......................... (2,462) -- (27) -- -- --
------------- ------------- ------------- ------------- ------------ ------------
(1,721,734) (2,225,130) (494,152) (658,449) -- (180)
------------- ------------- ------------- ------------- ------------ ------------
In excess of net investment income
Institutional Class.............. -- (22,090) (3,514) -- -- --
Class A.......................... -- (8,326) (231) (5,977) -- --
------------- ------------- ------------- ------------- ------------ ------------
-- (30,416) (3,745) (5,977) -- --
------------- ------------- ------------- ------------- ------------ ------------
Net realized gain on investments
Institutional Class.............. (10,852,696) (1,889,861) (9,135,108) (7,652,175) (557,755) --
Class A.......................... (2,102,671) (225,130) (1,263,784) (599,526) (47,284) --
Class B*......................... (15,605) -- (5,866) -- (361) --
------------- ------------- ------------- ------------- ------------ ------------
(12,970,972) (2,114,991) (10,404,758) (8,251,701) (605,400) --
------------- ------------- ------------- ------------- ------------ ------------
Net decrease in net assets
resulting from distributions... (14,692,706) (4,370,537) (10,902,655) (8,916,127) (605,400) (180)
------------- ------------- ------------- ------------- ------------ ------------
Shares of beneficial interest:
Proceeds from shares issued
Institutional Class.............. 70,031,838 37,952,631 82,245,888 34,283,679 21,706,370 64,042,780
Class A.......................... 27,845,438 18,685,066 18,693,226 13,519,294 7,569,762 3,880,547
Class B*......................... 3,050,623 -- 158,259 -- 51,475 --
------------- ------------- ------------- ------------- ------------ ------------
100,927,899 56,637,697 101,097,373 47,802,973 29,327,607 67,923,327
------------- ------------- ------------- ------------- ------------ ------------
Proceeds from reinvestment of
distributions
Institutional Class.............. 8,754,787 3,086,525 7,681,184 7,069,524 477,076 163
Class A.......................... 2,229,016 386,410 1,282,375 616,073 46,954 --
Class B*......................... 15,628 -- 5,893 -- 361 --
------------- ------------- ------------- ------------- ------------ ------------
10,999,431 3,472,935 8,969,452 7,685,597 524,391 163
------------- ------------- ------------- ------------- ------------ ------------
Cost of shares redeemed
Institutional Class.............. (81,091,911) (79,937,041) (137,448,633) (24,672,370) (17,955,879) (3,812,494)
Class A.......................... (18,192,026) (4,592,259) (16,263,214) (2,408,822) (4,780,863) (162,096)
Class B*......................... (147,366) -- (29,048) -- (1,781) --
------------- ------------- ------------- ------------- ------------ ------------
(99,431,303) (84,529,300) (153,740,895) (27,081,192) (22,738,523) (3,974,590)
------------- ------------- ------------- ------------- ------------ ------------
Net increase/(decrease) in net
assets from shares of beneficial
interest transaction............. 12,496,027 (24,418,668) (43,674,070) 28,407,378 7,113,475 63,948,900
------------- ------------- ------------- ------------- ------------ ------------
Total increase/(decrease) in net
assets............................. 49,764,497 48,074,884 (60,536,556) 56,471,745 (5,313,769) 65,154,244
NET ASSETS:
Beginning of period................ 301,059,675 252,984,791 187,413,976 130,942,231 65,154,244 --
------------- ------------- ------------- ------------- ------------ ------------
End of period...................... $ 350,824,172 $ 301,059,675 $ 126,877,420 $ 187,413,976 $ 59,840,475 $ 65,154,244
============= ============= ============= ============= ============ ============
</TABLE>
- ---------------
* Class B commenced operations on October 2, 1998.
** Fund commenced operations on October 1, 1997.
See notes to financial statements.
31
<PAGE> 45
PERFORMANCE FUNDS TRUST
Notes to Financial Statements -- May 31, 1999
1. 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 seven separate portfolios: The
U.S. Treasury Money Market Fund, The Money Market Fund, The Short Term
Government Income Fund, The Intermediate Term Government Income Fund, The Large
Cap Equity Fund, The Mid Cap Equity Fund (formerly, the Mid Cap Growth Fund),
and The Small Cap Equity Fund (formerly, the Small Cap Fund), collectively (the
"Funds"), or individually (the "Fund"), each, with the exception of The Short
Term Government Income Fund, with three classes of shares, the Institutional
Class, Class A (formerly, Consumer Service Class), and Class B (commenced
operations on October 2, 1998). The Short Term Government Income Fund offers the
Institutional Class and Class A shares only. The classes differ primarily with
respect to the level of Distribution Fees borne by each share class. In
addition, certain redemption of Class B shares are subject to contingent
deferred sales charges in accordance with the Fund's prospectus. Currently, six
of the portfolios are active and one, The U.S. Treasury Money Market Fund, has
not yet commenced operations.
The Funds' investment objectives are as follows:
The Money Market Fund -- as high a level of current income as is
consistent with preservation of capital and liquidity.
The Short Term Government Income Fund -- as high a level of current
income as is consistent with limiting the risk of potential loss.
The Intermediate Term Government Income Fund -- a high level of current
income, with a secondary objective of total return.
The Large Cap Equity Fund -- long-term capital appreciation by investing
primarily in common stocks of U.S. companies with market capitalization
exceeding $1 billion at the time of purchase.
The Mid Cap Equity Fund -- to achieve growth of capital by attempting to
outperform the S&P MidCap Index.
The Small Cap Equity Fund -- long-term capital appreciation by investing
in smaller-capitalized common stocks.
2. Significant Accounting Policies. The preparation of financial
statements in conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual amounts could differ from
those estimates. The following is a summary of significant accounting policies
consistently followed by the Trust in the preparation of its financial
statements:
Security Valuation. Securities listed on a national exchange or
exchanges for which market quotations are available are valued at their
last quoted sale price on each business day. If there is no such reported
sale, the most recently quoted bid price is used. Over-the-counter
securities are valued on the basis of the bid price at the close of
business on each business day. The Money Market Fund values its securities
at amortized cost, which approximates market value. Securities for which no
market quotation is readily available are valued at fair value as
determined in good faith under the direction of the Board of Trustees.
Security Transactions and Related Investment Income. Security
transactions are accounted for on the trade date with realized gain or loss
on the sale of investments determined by using the identified cost method.
Corporate actions (including cash dividends) are recorded on the ex-date or
as soon after the ex-date as the fund becomes aware of such action, net of
any non-refundable tax withholdings. Interest income (including
amortization of premium and accretion of discount) is recorded as earned.
32
<PAGE> 46
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1999
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 be 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.
Determination of Net Asset Value and Calculation of
Expenses. Expenses specific to an individual Fund are charged to that
Fund, while the expenses that are attributable to more than one fund of the
Trust are allocated among the respective funds. Investment income, realized
and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the
proportion of shares outstanding attributed to each class at the beginning
of each day. In addition, distribution expenses that are attributable to a
specific class are charged only to that class.
Dividends and Distributions. The Money Market, The Short Term
Government Income and The Intermediate Term Government Income Funds declare
dividends daily and pay those dividends monthly. The Large Cap Equity, The
Mid Cap Equity and The Small Cap Equity Funds declare and pay dividends
monthly. 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 from net investment income and of
distributions from net realized gains are determined in accordance with
federal income tax regulations, which may differ from generally accepted
accounting principles. The "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 composition
of net assets based on their federal tax-basis treatment; temporary
differences do not require reclassification.
Dividends and distributions to shareholders which exceed net
investment income and net realized capital gains for financial reporting
purposes but not for tax purposes are reported as distributions in excess
of net investment income or distributions in excess of net realized gains.
To the extent they exceed net investment income and net realized gains for
tax purposes, they are reported as distributions of capital.
As of May 31, 1999, the following reclassifications have been made to
increase/(decrease) such accounts with offsetting adjustments made to
capital:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED UNDISTRIBUTED NET
NET INVESTMENT REALIZED GAIN/(LOSS)
INCOME/(LOSS) ON INVESTMENTS
-------------- --------------------
<S> <C> <C>
Short Term Government Income Fund.................... $ 6,307 $(6,307)
Intermediate Term Government Income Fund............. (650) 650
Mid Cap Equity Fund.................................. 6,677 (6,677)
Small Cap Equity Fund................................ 232,031 1,519
</TABLE>
Organization Expenses. Costs incurred in connection with the
organization and initial registration of each Fund were deferred and are
being amortized over a sixty-month period beginning with each Fund's
commencement of operations.
33
<PAGE> 47
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1999
3. Advisory and Custodian Agreements. 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 a
fee computed daily and paid monthly, based on average daily net assets, at the
following annual rates: Money Market Fund, 0.30%; Short Term Government Income
Fund, 0.40%; Intermediate Term Government Income Fund, 0.50%; Large Cap Equity
Fund, 0.60%; Mid Cap Equity Fund, 0.75% and Small Cap Equity Fund, 1.00%.
For the year ended May 31, 1999, Trustmark waived advisory fees of $725,293
and $67,333 for the Money Market Fund and Intermediate Term Government Income
Fund, respectively.
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 entitled to a fee computed daily and paid monthly, based
on average daily net assets, at the annual rate of 0.04%. For the year ended May
31, 1999, Trustmark earned the custody fees shown in the statement of
operations.
4. Administration, Distribution, Fund Accounting and Transfer Agency
Agreements. BISYS Fund Services ("BISYS LP"), a wholly-owned subsidiary of The
BISYS Group, Inc., is an Ohio limited partnership. BISYS LP, with whom certain
officers and trustees of the Funds are affiliated, serves as the Trust's
administrator and assists the Trust in all aspects of its administration and
operation. Such officers and trustees are paid no fees directly by the Funds for
serving as officers and trustees of the Funds. The Administrator is entitled to
a fee, computed daily and paid monthly, at an annual rate of 0.15% of the
average net assets of the Funds. For the year ended May 31, 1999, BISYS LP
waived administrator fees of $397,652 for the Money Market Fund.
Under a Distribution Plan adopted by the Funds under Rule 12b-1 of the 1940
Act, each Fund may, with respect to its Class A and Class B Shares, pay fees to
Performance Funds Distributor, Inc. (the "Distributor"), an indirect wholly
owned subsidiary of The BISYS Group, Inc., up to an annual rate of 0.35% and
1.00% of the respective average daily net assets attributable to such shares for
costs and expenses of the Distributor in connection with the distribution of the
Class A and Class B shares. No such fees will be paid by the Institutional
Class. In addition, BISYS has the right, as principal underwriter, to purchase
Fund shares at their net asset value and to sell such shares to the public, or
to dealers who have entered into selected dealer agreements with the
Distributor, in both cases against orders for such shares.
For the fiscal year ended May 31, 1999, BISYS received $197,141 from
commissions earned on sales of the Performance Funds of which $22,460 was
re-allowed to Trustmark Financial Services, Performance Funds Distributor,
Trustmark National Bank and BISYS Fund Services (affiliated broker/dealers).
For the year ended May 31, 1999, the fees incurred amounted to 0.25% and
1.00% of the average daily net assets of each Fund's Class A and Class B
respectively.
BISYS Fund Services, Inc. serves the Trust as fund accountant. Under the
current terms, effective on October 1, 1998, of the fund accounting agreement,
BISYS LP is entitled to receive an annual fee of $30,000 per fund plus $5,000
per additional class and is reimbursed for certain out-of-pocket expenses
incurred in providing fund accounting services.
BISYS Fund Services, Inc. serves the Trust as transfer agent. Under the
current terms, effective on October 1, 1998, of the transfer agency agreement,
BISYS LP is entitled to receive an annual fee of $15.00 per account plus $7,000
per class per fund and is reimbursed for certain out-of-pocket expenses incurred
in providing transfer agency services.
34
<PAGE> 48
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1999
5. Security Purchases and Sales. Purchases and sales of securities for the
year ended May 31, 1999, other than short term securities, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -----------
<S> <C> <C>
The Short Term Government Income Fund.................... $ 58,801,375 $58,117,134
The Intermediate Term Government Income Fund............. 144,388,367 98,846,528
The Large Cap Equity Fund................................ 22,639,443 28,367,362
The Mid Cap Equity Fund.................................. 49,877,146 93,892,406
The Small Cap Equity Fund................................ 28,677,655 20,144,228
</TABLE>
6. Shares of Beneficial Interest. The Trust is authorized to issue an
unlimited number of shares of beneficial interest with a par value of $0.001 per
share. Transactions in shares of beneficial interest 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,
1999 1998 1999 1998
------------ ------------ ---------- ------------
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS
Shares sold.................................... 860,491,305 694,995,401 2,276,708 1,887,533
Shares issued in reinvestment of
distributions................................ 141,718 67,649 417,987 504,025
------------ ------------ ---------- ----------
860,633,023 695,063,050 2,694,695 2,391,558
Shares redeemed................................ (827,479,603) (666,771,987) (3,343,447) (3,155,517)
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. 33,153,420 28,291,063 (648,752) (763,959)
============ ============ ========== ==========
CLASS A
Shares sold.................................... 207,215,008 210,472,260 1,013,580 280,309
Shares issued in reinvestment of
distributions................................ 4,404,063 5,461,030 20,931 5,810
------------ ------------ ---------- ----------
211,619,071 215,933,290 1,034,511 286,119
Shares redeemed................................ (191,066,323) (234,357,245) (785,701) (86,727)
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. 20,552,748 (18,423,955) 248,810 199,392
============ ============ ========== ==========
CLASS B**
Shares sold.................................... 242,396 --
Shares issued in reinvestment of
distributions................................ 563 --
------------ ------------
242,959 --
Shares redeemed................................ (44,578) --
------------ ------------
Net increase (decrease) in shares.............. 198,381 --
============ ============
</TABLE>
35
<PAGE> 49
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE TERM
GOVERNMENT INCOME FUND LARGE CAP EQUITY FUND
---------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, MAY 31, MAY 31, MAY 31,
1999 1998 1999 1998
------------ ------------ ---------- ------------
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS
Shares sold.................................... 6,641,753 3,787,107 2,599,703 1,712,431
Shares issued in reinvestment of
distributions................................ 417,298 462,986 337,983 142,827
------------ ------------ ---------- ----------
7,059,051 4,250,093 2,937,686 1,855,258
Shares redeemed................................ (3,134,893) (2,259,944) (3,082,063) (3,646,925)
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. 3,924,158 1,990,149 (144,377) (1,791,667)
============ ============ ========== ==========
CLASS A
Shares sold.................................... 1,029,738 322,546 1,045,212 827,432
Shares issued in reinvestment of
distributions................................ 28,909 7,586 86,013 17,747
------------ ------------ ---------- ----------
1,058,647 330,132 1,131,225 845,179
Shares redeemed................................ (624,348) (94,109) (695,145) (203,755)
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. 434,299 236,023 436,080 641,424
============ ============ ========== ==========
CLASS B**
Shares sold.................................... 9,889 -- 110,466 --
Shares issued in reinvestment of
distributions................................ 93 -- 602 --
------------ ------------ ---------- ----------
9,982 -- 111,068 --
Shares redeemed................................ (558) -- (5,106) --
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. 9,424 -- 105,962 --
============ ============ ========== ==========
</TABLE>
<TABLE>
<CAPTION>
MID CAP EQUITY FUND SMALL CAP EQUITY FUND
---------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
MAY 31, MAY 31, MAY 31, MAY 31,
1999 1998 1999 1998*
------------ ------------ ---------- ------------
<S> <C> <C> <C> <C>
INSTITUTIONAL CLASS
Proceeds from shares issued.................... 4,603,263 1,782,027 2,604,408 6,582,400
Proceeds from reinvestment of distributions.... 434,567 369,778 56,259 17
------------ ------------ ---------- ----------
5,037,830 2,151,805 2,660,667 6,582,417
Cost of shares redeemed........................ (7,686,447) (1,271,150) (2,119,428) (390,066)
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. (2,648,617) 880,655 541,239 6,192,351
============ ============ ========== ==========
CLASS A
Proceeds from shares issued.................... 978,170 697,248 821,201 390,048
Proceeds from reinvestment of distributions.... 72,599 32,187 5,557 --
------------ ------------ ---------- ----------
1,050,769 729,435 826,758 390,048
Cost of shares redeemed........................ (913,182) (122,941) (573,601) (16,263)
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. 137,587 606,494 253,157 373,785
============ ============ ========== ==========
CLASS B**
Proceeds from shares issued.................... 8,674 -- 6,054 --
Proceeds from reinvestment of distributions.... 334 -- 43 --
------------ ------------ ---------- ----------
9,008 -- 6,097 --
Cost of shares redeemed........................ (1,536) -- (201) --
------------ ------------ ---------- ----------
Net increase (decrease) in shares.............. 7,472 -- 5,896 --
============ ============ ========== ==========
</TABLE>
- ---------------
* Fund commenced operations on October 1, 1997.
** Class B commenced operations on October 2, 1998.
36
<PAGE> 50
PERFORMANCE FUNDS TRUST
Notes to Financial Statements (continued) -- May 31, 1999
7. Concentration of Credit Risk. In the pursuit of its minimum credit risk
policy, The 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.
8. Federal Income Taxes. It is the policy of each Fund to qualify or
continue to qualify as a regulated investment company by complying with the
provisions available to certain investment companies, as defined in applicable
sections of the Internal Revenue Code, and to make distributions of net
investment income and net realized capital gains sufficient to relieve it from
all, or substantially all, federal income taxes.
At May 31, 1999, the following funds had net capital loss carryforwards to
offset future net capital gains, if any, to the extent provided by the Treasury
regulations:
<TABLE>
<CAPTION>
AMOUNT EXPIRES
---------- -------
<S> <C> <C>
The Money Market Fund....................................... $ 16,481 2006
The Short Term Government Income Fund....................... 1,466,013 2003
The Short Term Government Income Fund....................... 595,936 2005
The Intermediate Term Government Income Fund................ 4,066,366 2003
The Intermediate Term Government Income Fund................ 114,007 2005
The Small Cap Equity Fund................................... 1,553,247 2007
</TABLE>
To the extent that these carryforwards are used to offset future capital
gains, it is probable that the gains so offset will not be distributed to
shareholders.
9. Federal Income Taxes Information (unaudited). During the fiscal year
ended May 31, 1999 the Funds declared long term capital gain distributions as
follows:
<TABLE>
<CAPTION>
LONG-TERM 20%
-------------
<S> <C>
The Large Cap Equity Fund................................... $12,450,089
The Mid Cap Equity Fund..................................... 10,411,428
</TABLE>
For corporate shareholders the following percentage of the total ordinary
income distributions paid during the fiscal year ended May 31, 1999 qualify for
the corporate dividend received deduction for the following funds:
<TABLE>
<CAPTION>
PERCENTAGE
----------
<S> <C>
The Large Cap Equity Fund................................... 100.00%
The Mid Cap Equity Fund..................................... 94.79%
The Small Cap Equity Fund................................... 30.22%
</TABLE>
Capital losses incurred after October 31, within a Fund's fiscal year are
deemed to arise on the first business day of the following fiscal year for tax
purposes. The following Funds have incurred and will elect to defer such capital
losses:
<TABLE>
<CAPTION>
POST-OCTOBER
CAPITAL LOSSES
--------------
<S> <C>
The Money Market Fund....................................... $ 120
The Intermediate Term Government Income Fund................ 217,404
The Small Cap Equity Fund................................... 3,933,907
</TABLE>
37
<PAGE> 51
[THIS PAGE INTENTIONALLY LEFT BLANK]
38
<PAGE> 52
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Financial Highlights
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
INSTITUTIONAL CLASS ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............... $1.00 $1.00 $1.00 $1.00 $1.00
------ ------ ------ ------ ------
Income from investment operations:
Net investment income............................ 0.05 0.05 0.05 0.05 0.05
------ ------ ------ ------ ------
Distributions to shareholders from:
Net investment income............................ (0.05) (0.05) (0.05) (0.05) (0.05)
------ ------ ------ ------ ------
Net Asset Value, End of Period..................... $1.00 $1.00 $1.00 $1.00 $1.00
====== ====== ====== ====== ======
Total Return....................................... 5.05% 5.43% 5.34% 5.60% 5.27%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)......... $382,178 $349,024 $320,732 $366,966 $324,942
Net investment income before
waivers/reimbursements......................... 4.68% 5.07% 4.94% 5.12% 4.91%
Net investment income net of
waivers/reimbursements......................... 4.92% 5.31% 5.20% 5.42% 5.27%
Expenses before waivers/reimbursements........... 0.59% 0.57% 0.51% 0.54% 0.59%
Expenses net of waivers/reimbursements........... 0.35% 0.33% 0.25% 0.24% 0.23%
</TABLE>
See notes to financial statements.
39
<PAGE> 53
PERFORMANCE FUNDS TRUST
MONEY MARKET FUND
Financial Highlights
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
CLASS A(a) ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $1.00 $1.00 $1.00 $1.00 $1.00
------ ------ ------ ------ ------
Income from Investment
Operations:
Net investment income....... 0.05 0.05 0.04 0.05 0.05
------ ------ ------ ------ ------
Distributions to shareholders
from:
Net investment income....... (0.05) (0.05) (0.04) (0.05) (0.05)
------ ------ ------ ------ ------
Net Asset Value, End of
Period...................... $1.00 $1.00 $1.00 $1.00 $1.00
====== ====== ====== ====== ======
Total Return.................. 4.79% 5.18% 5.07% 5.33% 5.02%
Ratios to Average Net
Assets/Supplemental Data:
Net Assets, end of period
(in thousands)............ $94,347 $73,794 $92,220 $25,216 $3,564
Net investment income before
waivers/reimbursements.... 4.43% 4.82% 5.13% 4.87% 4.66%
Net investment income net of
waivers/reimbursements.... 4.67% 5.06% 5.23% 5.17% 5.02%
Expenses before
waivers/reimbursements.... 0.84% 0.82% 0.48% 0.79% 0.84%
Expenses net of
waivers/reimbursements.... 0.60% 0.58% 0.38% 0.49% 0.48%
</TABLE>
<TABLE>
<CAPTION>
FOR THE
PERIOD ENDED
MAY 31, 1999
CLASS B* ------------
<S> <C>
Net Asset Value, Beginning of Period............... $1.00
------
Income from Investment Operations:
Net investment income............................ 0.02
------
Distributions to shareholders from:
Net investment income............................ (0.02)
------
Net Asset Value, End of Period..................... $1.00
======
Total Return....................................... 2.30%***
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)......... $198
Net investment income before
waivers/reimbursements......................... 3.20%**
Net investment income net of
waivers/reimbursements......................... 3.43%**
Expenses before waivers/reimbursements........... 1.73%**
Expenses net of waivers/reimbursements........... 1.51%**
</TABLE>
- ---------------
(a) On September 30, 1998 the portfolio designated the Consumer Service Class
as Class A shares.
* Class B commenced operations on October 2, 1998.
** Annualized
*** Not Annualized
See notes to financial statements.
40
<PAGE> 54
PERFORMANCE FUNDS TRUST
SHORT TERM GOVERNMENT INCOME FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
INSTITUTIONAL CLASS ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $9.85 $9.75 $9.75 $9.84 $9.77
------ ------ ------ ------ ------
Income from Investment Operations:
Net investment income.............................. 0.50 0.54 0.55 0.54 0.53
Net realized and unrealized gain/(loss) on
investments...................................... (0.06) 0.10 (0.01) (0.09) 0.07
------ ------ ------ ------ ------
Total from Investment Operations..................... 0.44 0.64 0.54 0.45 0.60
------ ------ ------ ------ ------
Distributions to shareholders from:
Net investment income.............................. (0.50) (0.54) (0.54) (0.54) (0.53)
------ ------ ------ ------ ------
Total distributions to shareholders................ (0.50) (0.54) (0.54) (0.54) (0.53)
------ ------ ------ ------ ------
Net Asset Value, End of Period....................... $9.79 $9.85 $9.75 $9.75 $9.84
====== ====== ====== ====== ======
Total Return (Excludes sales charge)................. 4.57% 6.73% 5.70% 4.65% 6.37%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)........... $113,145 $120,203 $126,428 $106,617 $104,730
Net investment income before
waivers/reimbursements........................... 5.09% 5.53% 5.63% 5.47% 5.40%
Net investment income net of
waivers/reimbursements........................... 5.09% 5.53% 5.63% 5.48% 5.43%
Expenses before waivers/reimbursements............. 0.69% 0.64% 0.66% 0.72% 0.77%
Expenses net of waivers/reimbursements............. 0.69% 0.64% 0.66% 0.71% 0.74%
Portfolio turnover rate............................ 49.19% 65.07% 85.21% 120.00% 267.65%
</TABLE>
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
CLASS A* ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $9.85 $9.75 $9.75 $9.84 $9.77
------ ------ ------ ------ ------
Income from Investment Operations:
Net investment income/(loss)....................... 0.48 0.52 0.49 0.51 0.50
Net realized and unrealized gain/(loss) on
investments...................................... (0.06) 0.10 -- (0.09) 0.07
------ ------ ------ ------ ------
Total from Investment Operations..................... 0.42 0.62 0.49 0.42 0.57
------ ------ ------ ------ ------
Distributions to shareholders from:
Net investment income.............................. (0.48) (0.52) (0.49) (0.51) (0.50)
------ ------ ------ ------ ------
Total distributions to shareholders................ (0.48) (0.52) (0.49) (0.51) (0.50)
------ ------ ------ ------ ------
Net Asset Value, End of Period....................... $9.79 $9.85 $9.75 $9.75 $9.84
====== ====== ====== ====== ======
Total return (Excludes sales charge)................. 4.31% 6.48% 5.44% 4.38% 6.12%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)........... $5,596 $3,181 $1,205 $1,477 $739
Net investment income before
waivers/reimbursements........................... 4.82%* 5.28% 5.01% 5.22% 5.15%
Net investment income net of
waivers/reimbursements........................... 4.82%* 5.28% 5.01% 5.23% 5.18%
Expenses before waivers/reimbursements............. 0.94%* 0.89% 0.87% 0.96% 1.02%
Expenses net of waivers/reimbursements............. 0.94%* 0.89% 0.87% 0.95% 0.99%
Portfolio turnover rate............................ 49.19% 65.07% 85.21% 120.00% 267.65%
</TABLE>
- ---------------
* On September 30, 1998 the portfolio designated the Consumer Service Class as
Class A shares subject to a maximum sales charge of 3%.
See notes to financial statements.
41
<PAGE> 55
[THIS PAGE INTENTIONALLY LEFT BLANK]
42
<PAGE> 56
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
INSTITUTIONAL CLASS ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $10.34 $9.93 $9.82 $10.11 $9.87
------- ------- ------- -------- -------
Income from investment operations:
Net investment income.............................. 0.54 0.59 0.60 0.56 0.62
Net realized and unrealized gain/(loss) on
investments...................................... (0.28) 0.42 0.09 (0.29) 0.25
------- ------- ------- -------- -------
Total from investment operations................... 0.26 1.01 0.69 0.27 0.87
------- ------- ------- -------- -------
Distributions to shareholders from:
Net investment income.............................. (0.54) (0.59) (0.58) (0.56) (0.62)
In excess of net investment income................. -- (0.01) -- -- --
In excess of net realized gain on investments...... -- -- -- -- (0.01)
------- ------- ------- -------- -------
Total distributions to shareholders................ (0.54) (0.60) (0.58) (0.56) (0.63)
------- ------- ------- -------- -------
Net Asset Value, end of period....................... $10.06 $10.34 $9.93 $9.82 $10.11
======= ======= ======= ======== =======
Total return (Excludes sales charge)................. 2.47% 10.42% 7.20% 2.66% 9.31%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)........... $154,916 $118,743 $94,242 $77,677 $108,052
Net investment income before
waivers/reimbursements........................... 5.13% 5.73% 6.43% 5.50% 6.33%
Net investment income net of
waivers/reimbursements........................... 5.18% 5.78% 6.48% 5.55% 6.44%
Expenses before waivers/reimbursements............. 0.84% 0.77% 0.91% 0.86% 0.82%
Expenses net of waivers/reimbursements............. 0.79% 0.72% 0.86% 0.81% 0.71%
Portfolio turnover rate............................ 74.03% 35.62% 46.23% 183.00% 339.95%
</TABLE>
See notes to financial statements.
43
<PAGE> 57
PERFORMANCE FUNDS TRUST
INTERMEDIATE TERM GOVERNMENT INCOME FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
CLASS A(a) ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $10.34 $9.93 $9.82 $10.11 $9.87
-------- -------- ------- -------- --------
Income from investment operations:
Net investment income.............................. 0.52 0.57 0.57 0.54 0.60
Net realized and unrealized gain/(loss) on
investments...................................... (0.29) 0.42 0.10 (0.29) 0.25
-------- -------- ------- -------- --------
Total from investment operations................... 0.23 0.99 0.67 0.25 0.85
-------- -------- ------- -------- --------
Distributions to shareholders from:
Net investment income.............................. (0.52) (0.57) (0.56) (0.54) (0.60)
In excess of net investment income................. -- (0.01) -- -- --
In excess of net realized gain on investments...... -- -- -- -- (0.01)
-------- -------- ------- -------- --------
Total distributions to shareholders................ (0.52) (0.58) (0.56) (0.54) (0.61)
-------- -------- ------- -------- --------
Net Asset Value, end of period....................... $10.05 $10.34 $9.93 $9.82 $10.11
======== ======== ======= ======== ========
Total return (Excludes sales charge)................. 2.11% 10.15% 6.92% 2.40% 9.06%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)........... $8,219 $3,965 $1,465 $2,174 $3,225
Net investment income before
waivers/reimbursements........................... 4.87% 5.48% 5.55% 5.25% 6.08%
Net investment income net of
waivers/reimbursements........................... 4.92% 5.53% 5.60% 5.30% 6.19%
Expenses before waivers/reimbursements............. 1.10% 1.02% 1.08% 1.11% 1.07%
Expenses net of waivers/reimbursements............. 1.05% 0.97% 1.03% 1.06% 0.96%
Portfolio turnover rate............................ 74.03% 35.62% 46.23% 183.00% 339.95%
</TABLE>
<TABLE>
<CAPTION>
FOR THE
PERIOD ENDED
MAY 31, 1999
CLASS B* ------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $10.81
--------
Income from investment operations:
Net investment income.............................. 0.28
Net realized and unrealized gain on investments.... (0.76)
--------
Total from investment operations................... (0.48)
--------
Distributions to shareholders from:
Net investment income.............................. (0.28)
--------
Total distributions to shareholders................ (0.28)
--------
Net Asset Value, end of period....................... $10.05
========
Total return (Excludes sales charge)................. (4.54%)***
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (In Thousands)........... $95
Net investment income before
waivers/reimbursements........................... 3.96%**
Net investment income net of
waivers/reimbursements........................... 4.01%**
Expenses before waivers/reimbursements............. 1.84%**
Expenses net of waivers/reimbursements............. 1.79%**
Portfolio turnover rate............................ 74.03%
</TABLE>
- ---------------
(a) On September 30, 1998 the portfolio designated the Consumer Service Class as
Class A shares subject to a maximum sales charge of 5.25%
* Class B commenced operations on October 2, 1998.
** Annualized
*** Not Annualized
See notes to financial statements.
44
<PAGE> 58
PERFORMANCE FUNDS TRUST
LARGE CAP EQUITY FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
INSTITUTIONAL CLASS ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $24.98 $19.16 $15.29 $12.51 $11.33
------- ------- ------- ------- -------
Income from investment operations:
Net investment income.............................. 0.15 0.19 0.24 0.23 0.25
Net realized and unrealized gain on investments.... 4.30 6.00 4.13 3.29 1.42
------- ------- ------- ------- -------
Total from investment operations..................... 4.45 6.19 4.37 3.52 1.67
------- ------- ------- ------- -------
Distributions to shareholders from:
Net investment income.............................. (0.15) (0.19) (0.25) (0.23) (0.24)
Net realized gain on investments................... (1.10) (0.18) (0.25) (0.51) (0.25)
------- ------- ------- ------- -------
Total distributions to shareholders.................. (1.25) (0.37) (0.50) (0.74) (0.49)
------- ------- ------- ------- -------
Net Asset Value, end of period....................... $28.18 $24.98 $19.16 $15.29 $12.51
======= ======= ======= ======= =======
Total return (Excludes sales charge)................. 18.25% 32.53% 29.06% 28.73% 15.35%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)........... $288,804 $259,585 $233,454 $140,144 $100,110
Net investment income before
waivers/reimbursements........................... 0.58% 0.83% 1.34% 1.55% 2.02%
Net investment income net of
waivers/reimbursements........................... 0.58% 0.83% 1.43% 1.65% 2.15%
Expenses before waivers/reimbursements............. 0.90% 0.91% 0.92% 0.91% 0.92%
Expenses net of waivers/reimbursements............. 0.90% 0.91% 0.83% 0.81% 0.79%
Portfolio turnover rate............................ 7.20% 4.78% 1.41% 6.00% 58.08%
</TABLE>
See notes to financial statements.
45
<PAGE> 59
PERFORMANCE FUNDS TRUST
LARGE CAP EQUITY FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
CLASS A(a) ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $24.97 $19.16 $15.29 $12.51 $11.33
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income.............................. 0.09 0.13 0.20 0.19 0.22
Net realized and unrealized gain on investments.... 4.30 5.99 4.13 3.29 1.42
-------- -------- -------- -------- --------
Total from investment operations..................... 4.39 6.12 4.33 3.48 1.64
-------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income.............................. (0.10) (0.13) (0.21) (0.19) (0.21)
Net realized gain on investments................... (1.10) (0.18) (0.25) (0.51) (0.25)
-------- -------- -------- -------- --------
Total distributions to shareholders.................. (1.20) (0.31) (0.46) (0.70) (0.46)
-------- -------- -------- -------- --------
Net Asset Value, end of period....................... $28.16 $24.97 $19.16 $15.29 $12.51
======== ======== ======== ======== ========
Total return (Excludes sales charge)................. 17.92% 32.20% 28.75% 28.42% 15.10%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)........... $59,045 $41,474 $19,531 $9,831 $5,234
Net investment income before
waivers/reimbursements........................... 0.33% 0.58% 1.10% 1.30% 1.77%
Net investment income net of
waivers/reimbursements........................... 0.33% 0.58% 1.18% 1.40% 1.90%
Expenses before waivers/reimbursements............. 1.15% 1.16% 1.14% 1.16% 1.17%
Expenses net of waivers/reimbursements............. 1.15% 1.16% 1.06% 1.06% 1.04%
Portfolio turnover rate............................ 7.20% 4.78% 1.41% 6.00% 58.08%
</TABLE>
<TABLE>
<CAPTION>
FOR THE
PERIOD ENDED
MAY 31, 1999
CLASS B* ------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $23.12
--------
Income from investment operations:
Net investment (loss).............................. (0.02)
Net realized and unrealized gain on investments.... $6.11
--------
Total from investment operations..................... $6.09
--------
Distributions to shareholders from:
Net investment income.............................. (0.03)
Net realized gain on investments................... (1.10)
--------
Total distributions to shareholders.................. (1.13)
--------
Net Asset Value, end of period....................... $28.08
========
Total return (Excludes sales charge)................. 26.80%***
Ratios to Average Net Assets/Supplemental Data:
Net Assets, End of Period (in thousands)........... $2,975
Net investment income/(loss) before
waivers/reimbursements........................... (0.33%)**
Net investment income/(loss) net of
waivers/reimbursements........................... (0.33%)**
Expenses before waivers/reimbursements............. 1.88%**
Expenses net of waivers/reimbursements............. 1.88%**
Portfolio turnover rate............................ 7.20%
</TABLE>
- ---------------
(a) On September 30, 1998 the portfolio designated the Consumer Service Class as
Class A shares subject to a maximum sales charge of 5.25%
* Class B commenced on October 2, 1998
** Annualized
*** Not Annualized
See notes to financial statements.
46
<PAGE> 60
PERFORMANCE FUNDS TRUST
MID CAP EQUITY FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
INSTITUTIONAL CLASS ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............... $20.11 $16.71 $14.05 $11.11 $9.60
------- ------- ------- ------- -------
Income from investment operations:
Net investment income............................ 0.06 0.08 0.13 0.13 0.13
Net realized and unrealized gain/(loss) on
investments.................................... (0.34) 4.40 2.99 3.44 1.51
------- ------- ------- ------- -------
Total from investment operations................... (0.28) 4.48 3.12 3.57 1.64
------- ------- ------- ------- -------
Distributions to shareholders from:
Net investment income............................ (0.06) (0.08) (0.13) (0.13) (0.13)
Net realized gain on investments................. (1.16) (1.00) (0.33) (0.50) --
------- ------- ------- ------- -------
Total distributions to shareholders................ (1.22) (1.08) (0.46) (0.63) (0.13)
------- ------- ------- ------- -------
Net Asset Value, end of period..................... $18.61 $20.11 $16.71 $14.05 $11.11
======= ======= ======= ======= =======
Total Return (Excludes sales charge)............... (1.06%) 27.15% 22.62% 33.06% 17.31%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, end of period (in thousands)......... $106,330 $168,116 $125,035 $80,704 $48,068
Net investment income/(loss) before
waivers/reimbursements......................... 0.34% 0.41% 0.75% 0.90% 1.11%
Net investment income/(loss) net of
waivers/reimbursements......................... 0.34% 0.41% 0.89% 1.06% 1.37%
Expenses before waivers/reimbursements........... 1.09% 1.07% 1.06% 1.14% 1.22%
Expenses net of waivers/reimbursements........... 1.09% 1.07% 0.92% 0.98% 0.96%
Portfolio turnover rate.......................... 33.27% 20.48% 7.72% 28.00% 20.39%
</TABLE>
See notes to financial statements.
47
<PAGE> 61
PERFORMANCE FUNDS TRUST
MID CAP EQUITY FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997 MAY 31, 1996 MAY 31, 1995
CLASS A(a) ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $20.10 $16.72 $14.05 $11.11 $9.60
------- ------- ------- ------- -------
Income from investment operations:
Net investment income/(loss)....................... 0.02 0.03 0.09 0.10 0.11
Net realized and unrealized gain/(loss) on
investments...................................... (0.34) 4.39 3.00 3.44 1.51
------- ------- ------- ------- -------
Total from investment operations..................... (0.32) 4.42 3.09 3.54 1.62
------- ------- ------- ------- -------
Distributions to shareholders from:
Net investment income.............................. (0.03) (0.03) (0.09) (0.10) (0.11)
In excess of net investment income................. -- (0.01) -- -- --
Net realized gain on investments................... (1.16) (1.00) (0.33) (0.50) --
------- ------- ------- ------- -------
Total distributions to shareholders.................. (1.19) (1.04) (0.42) (0.60) (0.11)
------- ------- ------- ------- -------
Net Asset Value, end of period....................... $18.59 $20.10 $16.72 $14.05 $11.11
======= ======= ======= ======= =======
Total Return ( Excludes sales charge)................ (1.31%) 26.82% 22.33% 32.76% 17.06%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, end of period (in thousands)........... $20,409 $19,298 $5,911 $1,437 $277
Net investment income/(loss) before
waivers/reimbursements........................... 0.10% 0.16% 0.54% 0.63% 0.86%
Net investment income/(loss) net of
waivers/reimbursements........................... 0.10% 0.16% 0.65% 0.79% 1.12%
Expenses before waivers/reimbursements............. 1.35% 1.32% 1.30% 1.39% 1.47%
Expenses net of waivers/reimbursements............. 1.35% 1.32% 1.19% 1.23% 1.21%
Portfolio turnover rate............................ 33.27% 20.48% 7.72% 28.00% 20.39%
</TABLE>
<TABLE>
<CAPTION>
FOR THE
PERIOD ENDED
MAY 31, 1999
CLASS B* ------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $16.40
-------
Income from investment operations:
Net investment (loss).............................. (0.06)
Net realized and unrealized gain on investments.... 3.32
-------
Total from investment operations..................... 3.26
-------
Distributions to shareholders from:
Net investment income.............................. (0.01)
Net realized gain on investments................... (1.16)
-------
Total distributions to shareholders.................. (1.17)
-------
Net Asset Value, end of period....................... $18.49
=======
Total Return ( Excludes sales charge)................ 20.28%***
Ratios to Average Net Assets/Supplemental Data:
Net Assets, end of period (in thousands)........... $138
Net investment income/(loss) before
waivers/reimbursements........................... (0.73%)**
Net investment income/(loss) net of
waivers/reimbursements........................... (0.73%)**
Expenses before waivers/reimbursements............. 2.10%**
Expenses net of waivers/reimbursements............. 2.10%**
Portfolio turnover rate............................ 33.27%
</TABLE>
- ---------------
(a) On September 30, 1998 the portfolio designated the Consumer Service Class
as Class A shares.
* Class B commenced operations on October 2, 1998.
** Annualized
*** Not Annualized
See notes to financial statements.
48
<PAGE> 62
PERFORMANCE FUNDS TRUST
SMALL CAP EQUITY FUND
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each period
<TABLE>
<CAPTION>
SMALL CAP EQUITY FUND
------------------------------------------------------------------------------
INSTITUTIONAL CLASS CLASS A(a) CLASS B
---------------------------- ---------------------------- --------------
YEAR FOR THE YEAR FOR THE FOR THE
ENDED PERIOD ENDED ENDED PERIOD ENDED PERIOD ENDED
MAY 31, 1999 MAY 31, 1998* MAY 31, 1999 MAY 31, 1998* MAY 31, 1999**
------------ ------------- ------------ ------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD...................... $9.92 $10.00 $9.91 $10.00 $7.47
-------- --------- -------- ---------- ---------
Income from investment
operations:
Net investment income/(loss)... (0.03) (0.03)(b) (0.05) (0.04)(b) (0.05)
Net realized and unrealized
gain/(loss) on investments... (1.68) (0.05) (1.69) (0.05) 0.72
-------- --------- -------- ---------- ---------
Total from investment
operations..................... (1.71) (0.08) (1.74) (0.09) 0.67
-------- --------- -------- ---------- ---------
Distributions to shareholders
from:
Net realized gain on
investments.................. (0.08) -- (0.08) -- (0.08)
-------- --------- -------- ---------- ---------
Total distributions to
shareholders................... (0.08) -- (0.08) -- (0.08)
-------- --------- -------- ---------- ---------
Net Asset Value, end of period... $8.13 $9.92 $8.09 $9.91 $8.06
======== ========= ======== ========== =========
Total Return (Excludes sales
charge)........................ (17.25%) (0.80%)**** (17.57%) (0.90%)**** 8.95%****
Ratios to Average Net Assets/
Supplemental Data:
Net Assets, end of period
(in thousands)............... $54,722 $61,450 $5,071 $3,704 $ 48
Net investment income/(loss)
before
waivers/reimbursements....... (0.36%) (0.41%)*** (0.61%) (0.66%)*** (1.40%)***
Net investment income/(loss)
net of
waivers/reimbursements....... (0.36%) (0.41%)*** (0.61%) (0.66%)*** (1.40%)***
Expenses before
waivers/reimbursements....... 1.40% 1.45% *** 1.65% 1.70% *** 2.40% ***
Expenses net of
waivers/reimbursements....... 1.40% 1.45% *** 1.65% 1.70% *** 2.40% ***
Portfolio turnover rate........ 34.52% 12.28% 34.52% 12.28% 34.52%
</TABLE>
- ---------------
(a) On September 30, 1998 the portfolio designated the Consumer Service Class
as Class A shares subject to a maximum sales charge of 5.25%.
(b) Calculated based on average shares during the period.
* Fund commenced operations on October 1, 1997.
** Class B commenced operations on October 2, 1998.
*** Annualized
**** Not Annualized
See notes to financial statements.
49
<PAGE> 63
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Trustees of
Performance Funds Trust
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Fund, the Short
Term Government Income Fund, the Intermediate Term Government Income Fund, the
Large Cap Equity Fund, the Mid Cap Equity Fund and the Small Cap Equity Fund
(separate portfolios constituting Performance Funds Trust, hereafter referred to
as the "Funds") at May 31, 1999, the results of each of their operations for the
year then ended, and the changes in each of their net assets 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 Funds' 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 as of May 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Columbus, Ohio
July 16, 1999
<PAGE> 64
[PERFORMANCE FUNDS LOGO]
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
Paul, Weiss, Rifkind, Wharton & Garrison
1285 Avenue of the Americas
New York, New York 10019-6064
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
100 E. Broad St.
Columbus, Ohio 43215
THIS REPORT IS FOR THE INFORMATION OF THE SHAREHOLDERS OF THE
PERFORMANCE FAMILY OF MUTUAL FUNDS. ITS USE IN CONNECTION WITH ANY
OFFERING OF THE TRUST'S SHARES IS AUTHORIZED ONLY IN CASE OF A
CONCURRENT OR PRIOR DELIVERY OF THE TRUST'S CURRENT PROSPECTUS.
[PERFORMANCE FUNDS LOGO]
PERFORMANCE FUNDS TRUST
A FAMILY OF MUTUAL FUNDS
ANNUAL REPORT
MAY 31, 1999
INVESTMENT ADVISOR
[TRUSTMARK LOGO]
National Bank
Performance Funds'
Investment Adviser
SHARES OF THE TRUST ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
OR ENDORSED BY, TRUSTMARK NATIONAL BANK, AND ARE NOT INSURED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD, OR
ANY OTHER AGENCY. SHARES OF THE TRUST INVOLVE INVESTMENT RISK,
INCLUDING POSSIBLE LOSS OF PRINCIPAL. PAST PERFORMANCE IS NOT INDICATIVE
OF FUTURE RESULTS.
PR-ANN-5004-5/99
