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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21276
---------------------------------------------
J.P. Morgan Fleming Series Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: December 31, 2003
--------------------------------------------------------
Date of reporting period: February 28, 2003 Through December 31, 2003
-------------------------------------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Include a copy of the report transmitted to stockholders pursuant to Rule
30e-1 under the Act (17 CFR 270.30e-1).
<Page>
ANNUAL REPORT DECEMBER 31, 2003
JPMORGAN FUNDS
[GRAPHIC]
MULTI-MANAGER FUNDS
MULTI-MANAGER SMALL CAP GROWTH FUND
MULTI-MANAGER SMALL CAP VALUE FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Information:
Multi-Manager Small Cap Growth Fund 3
Multi-Manager Small Cap Value Fund 6
Portfolio of Investments 9
Financial Statements 33
Notes to Financial Statements 36
Financial Highlights 43
</Table>
HIGHLIGHTS
- - Military action and revival in corporate profits drive market recovery
- - Economic growth surprisingly strong
- - Technology stocks and small caps outperform
- - Positive backdrop for equities
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMORGAN FUNDS ARE DISTRIBUTED BY J.P. MORGAN FUND DISTRIBUTORS, INC.
<Page>
JPMORGAN MULTI-MANAGER FUNDS
PRESIDENT'S LETTER FEBRUARY 17, 2004
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Multi-Manager
Funds. Inside, you'll find information detailing the performance of the Funds
for the year ended December 31st, 2003, along with a report from the Portfolio
Manager.
PROFIT RISES END THREE-YEAR BEAR MARKET
While the market declined throughout most of the first quarter of 2003 due to
geo-political and economic uncertainty, by mid-March it began a rally that would
continue until the end of the year. The rally began as coalition forces prepared
to take military action in Iraq, and acquired momentum in the following months.
Utterances by the U.S. Federal Reserve confirming its determination to avoid
deflation and to nurture growth (leading ultimately to a 1/4-point rate cut in
late June) fuelled the rally. In addition, Congress approved the Bush
administration's $350 billion package of tax cuts in an attempt to boost
consumer demand. By the fourth-quarter, there was a clear trend of recovering
economic growth, with third-quarter GDP growth reported at a surprisingly
buoyant +7.2%. Better-than-expected corporate profits, low interest rates, and
positive economic data -- including evidence of manufacturing growth and
business spending -- all helped to sustain the rally.
DIVERGENT PERFORMANCES
The market's rise was far from uniform, however. While the broad-based S&P 500
Index rose +28.7% during the year, the greatest gains were among the technology
and small cap stocks that surged on a wave of market liquidity. The
technology-laden NASDAQ climbed +50.8% and the Russell 2000 Index of small
stocks +47.3%. What the indices do not show is that the strongest risers of all
were the low quality, non-earning stocks that investors had chosen not to own in
the bear market. For fund managers, this was a year when great gains were made
for investors, although it could sometimes be difficult to outperform benchmark
indices. Fund managers prefer to invest in the higher quality stocks, with
sustainable earnings growth, which tend to outperform over time.
OUTLOOK
As we enter 2004, investors who stayed invested through the trough of the bear
market have good reason to feel vindicated. The question now is whether equities
will continue their upward path. Our view is that they will, although we do not
anticipate gains of the same magnitude as 2003. From an economic perspective,
there is a hint of a "Goldilocks" economy (not too hot, not too
1
<Page>
cold, but just right), with a healthy combination of strong earnings growth and
low inflation. Furthermore, election years have historically seen substantial
rises in equity prices, with small company stocks outperforming. In this case,
2003's enormous fiscal and monetary stimulus has primed the economy.
IMPORTANT MERGER NEWS
As you may know, JPMorgan Chase and Bank One have agreed to combine forces by
mid-2004, subject to approval of the Firms' shareholders and certain regulatory
agencies. The merger is compelling both strategically and financially. The new
JPMorgan Chase will have top-tier positions in both wholesale and retail
financial services, an extensive client base and greater scale. And we will have
an extraordinarily talented team that shares common values and a strong client
orientation. This all adds up to enhanced shareholder value and an even greater
ability to compete.
All of us at JPMorgan Fleming Asset Management would like to thank you for your
investment. Should you have any questions, please contact the JPMorgan Funds
Service Center at 1-800-348-4782.
Sincerely,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
2
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JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
As of December 31, 2003
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Multi-Manager Small Cap Growth Fund, which seeks to provide
long-term capital growth by investing in equity securities of small
capitalization companies, rose 47.8% during the year ended December 31, 2003.
This compares with an appreciation of 56.9% for the Russell 2000 Growth Index,
the Fund's benchmark.
Q. WHY DID THE FUND PERFORM THIS WAY?
A. The Fund delivered strong absolute performance in 2003, although it trailed
the Russell 2000 Growth Index benchmark. This was a year when low quality,
non-earning, micro-cap stocks led the market. By contrast, our managers were on
balance exposed to the higher quality names that may deliver outperformance over
the longer term, but were less favorable in this liquidity-driven rally.
Of the three managers in our Fund, State Street Research & Management delivered
the strongest performance. State Street is the most "aggressive" of our managers
in so far as it is prepared to buy some of the faster growing companies, which
have correspondingly high valuations. Our other two managers -- J&W Seligman and
UBS Global Asset Management -- did not perform as well. Most particularly, the
liquidity-driven conditions did not suit J&W Seligman's conservative investment
style.
In terms of stocks, poor stock selection within the Healthcare and Consumer
Discretionary sectors detracted from performance. Within Healthcare,
biotechnology company, CV Therapeutics, underperformed following the news that
its heart drug, REXNA, had failed to win approval from the Food & Drug
Administration (FDA). Fellow biotechnology company, Priority Healthcare, also
trailed the sector following the reduction of its earnings estimates in the
second quarter due to declining sales. Within Consumer Discretionary,
Priceline.com detracted from performance after missing revenue and earnings
estimates.
There was, however, strong performance from a number of stocks. In the Financial
sector, New York Community Bancorp rose significantly after its merger with
Roslyn Savings Bank, which will make it the third largest thrift bank in the
United States. In Software & Services, Cognizant Technology appreciated
significantly following the outsourcing of information technology services to
India, where costs are substantially cheaper than in the United States.
Q. HOW WAS THE FUND MANAGED?
A. During the year, we made no changes to the underlying managers in the Fund,
although we did modify the manager allocations. We increased our weighting in
State Street Research & Management from approximately 20% to 35% in response to
market conditions that favored its more 'aggressive' style of small stock
investing. We funded this through reducing our allocation to J&W Seligman, the
most conservative manager, which currently manages 30% of the Fund. Our third
manager, UBS Global Asset Management, comprises approximately 35% of the Fund.
(UNAUDITED)
3
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[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 32.6%
Consumer Goods & Services 19.5%
Health Services & Systems 11.3%
Industrial Products & Services 9.2%
Finance & Insurance 9.0%
Pharmaceuticals 6.3%
Energy 4.9%
Short-Term Investments 3.7%
Telecommunications 2.1%
REITs 1.4%
</Table>
TOP TEN EQUITY HOLDING OF THE PORTFOLIO
<Table>
1. ALLIANCE GAMING CORP. (1.5%)
2. CAREER EDUCATION CORP. (1.4%)
3. UCBH HOLDINGS, INC. (1.2%)
4. RESPIRONICS, INC. (1.1%)
5. AVOCENT CORP. (1.1%)
6. INVESTORS FINANCIAL SERVICES CORP. (1.1%)
7. ESCO TECHNOLOGIES, INC. (1.1%)
8. CHICO'S FAS, INC. (1.1%)
9. PEDIATRIX MEDICAL GROUP, INC. (1.1%)
10. CYPRESS SEMICONDUCTOR CORP. (0.9%)
</Table>
TOP 10 EQUITY HOLDINGS COMPRISED 11.6% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($23,590 IN THOUSANDS). AS OF DECEMBER 31, 2003, THE FUND HELD 240
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE INCEPTION
(2/28/03)
- --------------------------------------------------------------
Multi-Manager Small Cap Growth Fund 47.78%
</Table>
(UNAUDITED)
4
<Page>
[CHART]
<Table>
<Caption>
JPMORGAN MULTI-MANAGER
SMALL CAP GROWTH FUND (SELECT SHARES) RUSSELL 2000 GROWTH INDEX LIPPER SMALL-CAP GROWTH FUNDS INDEX
2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000
3/31/2003 $ 1,015,000 $ 1,015,100 $ 1,020,600
4/30/2003 $ 1,104,016 $ 1,111,128 $ 1,104,902
5/31/2003 $ 1,194,986 $ 1,236,353 $ 1,217,602
6/30/2003 $ 1,224,981 $ 1,260,214 $ 1,258,878
7/31/2003 $ 1,282,922 $ 1,355,486 $ 1,332,523
8/31/2003 $ 1,354,894 $ 1,428,276 $ 1,403,146
9/30/2003 $ 1,309,912 $ 1,392,141 $ 1,368,629
10/31/2003 $ 1,436,842 $ 1,512,422 $ 1,492,764
11/30/2003 $ 1,495,896 $ 1,561,727 $ 1,532,471
12/31/2003 $ 1,477,846 $ 1,568,754 $ 1,534,616
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 2/28/03.
The graph illustrates comparative performance for $1,000,000 invested in Shares
of the JPMorgan Multi-Manager Small Cap Growth Fund, Russell 2000 Growth Index,
and Lipper Small-Cap Growth Funds Index from February 28, 2003 to December 31,
2003. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark.
The Russell 2000 Growth Index measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth rates.
The Lipper Small-Cap Growth Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Shares have a $1,000,000 minimum initial deposit and carry no sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
(UNAUDITED)
5
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND
As of December 31, 2003
Q. HOW DID THE FUND PERFORM?
A. JPMorgan Multi-Manager Small Cap Value Fund, which seeks to provide long-term
capital appreciation by investing in equity securities of small capitalization
companies, returned 58.0% during the year ended December 31, 2003. This compares
with an appreciation of 55.5% for the Russell 2000 Value Index, the Fund's
benchmark.
Q. HOW DID THE FUND OUTPERFORM ITS BENCHMARK?
A. The Fund delivered an exceptionally strong absolute performance in 2003, and
outperformed its Russell 2000 Value Index benchmark. It outperformed in all but
one of the 10 months since its inception in March 2003. For the most part, the
Fund outpaced the index in rising markets, but it also depreciated by less in
September, the one month when the index fell.
Not only did the Fund outperform on an aggregate basis, but all three of the
underlying managers outperformed individually. ICM Asset Management achieved the
largest gain, as it typically buys the "deep value" stocks that swiftly
recovered from extremely low valuations during the year. Earnest Partners also
did well, but its risk controls -- which have served it well in falling markets
- -- limited outperformance of the benchmark. Finally, JPMorgan Investment
Management's enhanced index style outperformed due to its exposure to micro cap
stocks. JPMorgan Investment Management's portfolio holds 550 securities, which
means it held a number of micro cap stocks that appreciated substantially during
the 12 months.
On aggregate, stock selection was strong across the Consumer Discretionary,
Financial Services and Producer Durables sectors. Stocks in these sectors that
benefited from robust consumer spending included: homebuilder Hovnanian
Enterprises, upmarket stereo manufacturer Harman International, and car finance
company Americredit Corp.
The greatest detractors from performance were in the Healthcare sector. Cerner
Corp's stock price fell after a reduction in third quarter profits, and
following the announcement that it had failed to win a large contract to supply
information technology systems to the UK's National Health Service.
Pharmaceutical Products fell on news that earnings would not meet analysts'
estimates.
Q. HOW WAS THE FUND MANAGED?
A. There were no changes to our manager weightings during the year. We
maintained an equal weighting between the three managers -- Earnest Partners,
ICM Asset Management and JPMorgan Investment Management -- with each managing
approximately 33% of the Fund. Prior to the Fund's inception, we selected these
three managers both for their suitability for the market conditions we
anticipated would be prevalent during the year, and for their complementary
investment styles. However, we monitor market conditions continually, and will
make changes if necessary.
(UNAUDITED)
6
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 19.9%
Industrial Products & Services 18.5%
Finance & Insurance 17.1%
Technology 12.5%
Health Services & Systems 7.5%
Energy 5.0%
Short-Term Investments 4.9%
REITs 4.4%
Utilities 4.4%
Pharmaceuticals 4.4%
Telecommunications 1.4%
</Table>
TOP TEN EQUITY HOLDING OF THE PORTFOLIO
<Table>
1. HOVNANIAN ENTERPRISES, INC., CLASS A (1.2%)
2. iSARES RUSSELL 2000 VALUE INDEX FUND (1.2%)
3. FRED'S, INC. (1.2%)
4. PEDIATRIX MEDICAL GROUP, INC. (1.2%)
5. THE COLONIAL BANCGROUP, INC. (1.1%)
6. HARMAN INTERNATIONAL INDUSTRIES, INC. (1.1%)
7. PAXAR CORP. (1.0%)
8. RPM INTERNATIONAL, INC. (1.0%)
9. OFFICE DEPOT, INC. (1.0%)
10. COOPER COMPANIES, INC. (1.0%)
</Table>
TOP 10 EQUITY HOLDINGS COMPRISED 11.0% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($23,887 IN THOUSANDS). AS OF DECEMBER 31, 2003, THE FUND HELD 657
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE INCEPTION
(2/28/03)
- ------------------------------------------------------
Multi-Manager Small Cap Value Fund 58.01%
</Table>
(UNAUDITED)
7
<Page>
[CHART]
<Table>
<Caption>
JPMORGAN MULTI-MANAGER
SMALL CAP VALUE FUND (SELECT SHARES) RUSSELL 2000 VALUE INDEX LIPPER SMALL-CAP VALUE FUNDS INDEX
2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000
3/31/2003 $ 1,005,000 $ 1,010,700 $ 1,002,600
4/30/2003 $ 1,084,998 $ 1,106,717 $ 1,092,433
5/31/2003 $ 1,199,031 $ 1,219,712 $ 1,197,743
6/30/2003 $ 1,220,974 $ 1,240,325 $ 1,231,400
7/31/2003 $ 1,278,970 $ 1,302,218 $ 1,294,448
8/31/2003 $ 1,347,011 $ 1,351,702 $ 1,358,135
9/30/2003 $ 1,332,059 $ 1,336,157 $ 1,347,813
10/31/2003 $ 1,459,004 $ 1,445,054 $ 1,450,920
11/30/2003 $ 1,519,991 $ 1,500,544 $ 1,505,040
12/31/2003 $ 1,580,149 $ 1,554,864 $ 1,569,757
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 2/28/03.
The graph illustrates comparative performance for $1,000,000 invested in Shares
of the JPMorgan Multi-Manager Small Cap Value Fund, Russell 2000 Value Index,
and Lipper Small-Cap Value Funds Index from February 28, 2003 to December 31,
2003. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark.
The Russell 2000 Value Index measures the performance of those Russell 2000
companies with lower price-to-book ratios and lower forecasted growth values.
The Lipper Small-Cap Value Funds Index represents the total returns of the funds
in the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Shares have a $1,000,000 minimum initial deposit and carry no sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
(UNAUDITED)
8
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
Portfolio of Investments
As of December 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- 96.3%
COMMON STOCKS -- 96.3%
Advertising -- 0.2%
10 Lamar Advertising Co. * $ 391
Aerospace -- 0.6%
21 Engineered Support Systems, Inc. 1,178
Airlines -- 0.2%
34 Pinnacle Airlines Corp. * 468
Apparel -- 0.7%
15 Coach, Inc. * 549
12 Polo Ralph Lauren Corp. 334
35 The Warnaco Group, Inc. * 553
--------------
1,436
Automotive -- 0.5%
27 American Axle & Manufacturing Holdings, Inc. * 1,071
Banking -- 5.1%
8 Doral Financial Corp. (Puerto Rico) 264
29 East-West Bancorp, Inc. 1,557
16 First Niagara Financial Group, Inc. 236
2 Franklin Bank Corp. * 46
15 Harbor Florida Bancshares, Inc. 446
57 Investors Financial Services Corp. 2,206
29 New York Community Bancorp, Inc. 1,113
9 Southwest Bancorp of Texas, Inc. 338
93 Texas Capital Bancshares, Inc. * 1,348
64 UCBH Holdings, Inc. 2,489
10 Wintrust Financial Corp. 435
--------------
10,478
Biotechnology -- 1.1%
11 Affymetrix, Inc. * 261
28 Maxygen, Inc. * 293
61 Telik, Inc. * 1,404
43 Xoma LTD * 284
--------------
2,242
Broadcasting/Cable -- 0.6%
76 Entravision Communications Corp., Class A * 849
11 Salem Communications Corp., Class A * 285
--------------
1,134
Business Services -- 4.9%
11 ChoicePoint, Inc. * 402
40 Cognizant Technology Solutions Corp. * 1,802
67 Digital River, Inc. * 1,474
24 Fair Isaac Corp. 1,200
19 Hewitt Associates, Inc., Class A * 579
40 Kroll, Inc. * 1,027
32 Resources Connection, Inc. * 882
21 Robert Half International, Inc. * 494
59 Sylvan Learning Systems, Inc. * 1,710
10 The Corporate Executive Board Co. * 462
--------------
10,032
</Table>
See notes to financial statements.
9
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Chemicals -- 0.6%
22 Airgas, Inc. $ 471
22 Albemarle Corp. 656
--------------
1,127
Computer Networks -- 2.2%
61 Avocent Corp. * 2,235
171 Enterasys Networks, Inc. * 640
13 Factset Research Systems, Inc. 485
42 Foundry Networks, Inc. * 1,138
--------------
4,498
Computer Software -- 6.3%
47 Borland Software Corp. * 457
37 CACI International, Inc., Class A * 1,820
2 Callidus Software, Inc. * 27
38 Cerner Corp. * 1,422
14 Cognos, Inc. (Canada) * 428
29 FileNET Corp. * 780
20 Hyperion Solutions Corp. * 597
16 IDX Systems Corp. * 416
47 Informatica Corp. * 488
18 Jack Henry & Associates, Inc. 366
41 Magma Design Automation, Inc. * 962
17 Manhattan Associates, Inc. * 479
1 Open Solutions, Inc. * 23
40 Packeteer, Inc. * 673
78 Quest Software, Inc. * 1,104
66 Retek, Inc. * 610
42 RSA Security, Inc., * 592
42 Secure Computing Corp. * 749
24 THQ, Inc. * 411
40 Verisity LTD * 515
--------------
12,919
Computers/Computer Hardware -- 1.7%
75 Advanced Digital Information Corp. * 1,048
52 Dot Hill Systems Corp. * 794
76 Mobility Electronics, Inc. * 683
30 RadiSys Corp. * 504
7 Zebra Technologies Corp., Class A * 489
--------------
3,518
Construction -- 1.5%
40 Dycom Industries, Inc. * 1,070
14 EMCOR Group, Inc. * 628
9 Hovnanian Enterprises, Inc., Class A * 818
1 NVR, Inc. * 606
--------------
3,122
Consumer Products -- 1.9%
24 Harman International Industries, Inc. 1,806
60 Moore Wallace, Inc. (Canada) * 1,131
12 Tempur-Pedic International, Inc. * 184
36 Wolverine World Wide, Inc. 734
--------------
3,855
</Table>
See notes to financial statements.
10
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Consumer Services -- 2.8%
72 Career Education Corp. * $ 2,901
29 Corinthian Colleges, Inc. * 1,609
11 Corrections Corp of America * 316
22 The Advisory Board Co. * 775
5 Universal Technical Institute, Inc. * 153
--------------
5,754
Electronics/Electrical Equipment -- 3.4%
14 Ametek, Inc. 688
41 Benchmark Electronics, Inc. * 1,431
24 DSP Group, Inc. * 596
13 Electro Scientific Industries, Inc. * 306
35 Fisher Scientific International * 1,436
69 GrafTech International LTD * 928
37 Symbol Technologies, Inc. 628
58 TTM Technologies, Inc. * 974
--------------
6,987
Engineering Services -- 0.5%
18 Chicago Bridge & Iron Co., N.Y. Registered Shares
(The Netherlands) 533
10 Jacobs Engineering Group, Inc. * 466
--------------
999
Entertainment/Leisure -- 2.9%
124 Alliance Gaming Corp. * 3,056
86 Boyd Gaming Corp. 1,381
19 Macrovision Corp. * 428
36 Station Casinos, Inc. 1,102
--------------
5,967
Environmental Services -- 0.4%
32 Tetra Tech, Inc. * 803
Financial Services -- 3.2%
18 Affiliated Managers Group, Inc. * 1,256
28 BankUnited Financial Corp., Class A * 717
67 CapitalSource, Inc. * 1,460
8 Eaton Vance Corp. 301
13 Jefferies Group, Inc. 439
61 Knight Trading Group, Inc. * 893
44 Nelnet, Inc., Class A * 974
19 The First Marblehead Corp. * 409
--------------
6,449
Food/Beverage Products -- 1.8%
23 Constellation Brands, Inc., Class A * 748
31 Cott Corp. (Canada) * 863
18 Hain Celestial Group, Inc. * 425
25 Krispy Kreme Doughnuts, Inc. * 908
20 Performance Food Group Co. * 720
--------------
3,664
Health Care/Health Care Services -- 11.3%
21 Accredo Health, Inc. * 662
28 Advanced Neuromodulation Systems, Inc. * 1,301
24 Amedisys, Inc. * 363
</Table>
See notes to financial statements.
11
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Health Care/Health Care Services -- Continued
37 Amedisys, Inc., # * $ 488
20 AMERIGROUP Corp. * 836
50 Caremark Rx, Inc. * 1,276
37 Community Health Systems, Inc. * 978
14 Cooper Companies, Inc. 662
21 Coventry Health Care, Inc. * 1,347
16 Dade Behring Holdings, Inc. * 561
12 Edwards Lifesciences Corp. * 368
12 Henry Schein, Inc. * 839
24 Inamed Corp. * 1,163
25 Merit Medical Systems, Inc. * 563
44 Odyssey Healthcare, Inc. * 1,285
17 Patterson Dental Co. * 1,110
39 Pediatrix Medical Group, Inc. * 2,145
7 ResMed, Inc. * 287
51 Respironics, Inc. * 2,280
103 Select Medical Corp. 1,682
32 United Surgical Partners International, Inc. * 1,081
40 VCA Antech, Inc. * 1,227
22 ZOLL Medical Corp. * 793
--------------
23,297
Insurance -- 0.7%
12 Axis Capital Holdings LTD (Bermuda) 340
10 Hilb, Rogal & Hamilton Co. 327
14 Hub International LTD (Canada) 231
12 RLI Corp. 450
--------------
1,348
Internet Services/Software -- 1.9%
79 Agile Software Corp. * 782
42 Ask Jeeves, Inc. * 766
109 Autobytel, Inc. * 988
35 DoubleClick, Inc. * 355
41 ECOLLEGE.COM 764
12 Monster Worldwide, Inc. * 260
--------------
3,915
Machinery & Engineering Equipment -- 1.1%
35 Cognex Corp. 1,000
20 Graco, Inc. 809
20 UNOVA, Inc. * 468
--------------
2,277
Manufacturing -- 2.0%
25 AO Smith Corp. 876
11 Clarcor, Inc. 485
50 Esco Technologies, Inc. * 2,198
34 JLG Industries, Inc. 516
--------------
4,075
Metals/Mining -- 0.2%
29 Allegheny Technologies, Inc. 383
Multi-Media -- 1.6%
29 Cox Radio, Inc., Class A * 734
81 Cumulus Media, Inc., Class A * 1,779
13 Entercom Communications Corp. * 714
--------------
3,227
</Table>
See notes to financial statements.
12
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Oil & Gas -- 4.9%
11 Evergreen Resources, Inc. * $ 345
97 Grant Prideco, Inc. * 1,266
33 Key Energy Services, Inc. * 340
49 Maverick Tube Corp. * 937
10 Newfield Exploration Co. * 446
23 Patina Oil & Gas Corp. 1,112
47 Patterson-UTI Energy, Inc. * 1,554
26 Quicksilver Resources, Inc. * 833
44 Tetra Technologies, Inc. * 1,069
78 W-H Energy Services, Inc. * 1,259
28 XTO Energy, Inc. 783
--------------
9,944
Pharmaceuticals -- 5.2%
68 Alkermes, Inc. * 913
14 Amylin Pharmaceuticals, Inc. * 318
13 CV Therapeutics, Inc. * 188
11 Gen-Probe, Inc. * 397
39 Isis Pharmaceuticals, Inc. * 255
36 Ligand Pharmaceuticals, Inc., Class B * 533
64 Medicines Co. * 1,887
10 Medicis Pharmaceutical Corp., Class A 704
15 Neurocrine Biosciences, Inc. * 802
20 NPS Pharmaceuticals, Inc. * 609
31 Penwest Pharmaceuticals Co. * 529
44 Pharmion Corp. * 668
14 POZEN, Inc. * 145
12 SICOR, Inc. * 337
14 Taro Pharmaceutical Industries LTD (Israel) * 922
13 United Therapeutics Corp. * 305
40 Vicuron Pharmaceuticals, Inc. * 741
23 Zymogenetics, Inc. * 356
--------------
10,609
Real Estate -- 0.1%
11 Jones Lang LaSalle, Inc. * 224
Real Estate Investment Trust -- 1.3%
32 American Financial Realty Trust 537
30 Highland Hospitality Corp. * 327
19 The Mills Corp. 814
42 Ventas, Inc. 920
--------------
2,598
Restaurants/Food Services -- 1.2%
12 P.F. Chang's China Bistro, Inc. * 611
19 Panera Bread Co., Class A * 743
2 Rare Hospitality International, Inc. * 39
37 Ruby Tuesday, Inc. 1,054
--------------
2,447
Retailing -- 4.9%
48 99 Cents Only Stores * 1,294
13 Advanced Auto Parts, Inc. * 1,087
</Table>
See notes to financial statements.
13
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Retailing -- Continued
20 AnnTaylor Stores Corp. * $ 769
59 Chico's FAS, Inc. * 2,193
24 Electronics Boutique Holdings Corp. * 552
16 Hot Topic, Inc. * 486
11 Michaels Stores, Inc. 496
50 Pep Boys-Manny, Moe & Jack 1,139
34 PETCO Animal Supplies, Inc. * 1,020
4 Whole Foods Market, Inc. * 302
21 Williams-Sonoma, Inc. * 721
--------------
10,059
Semi-Conductors -- 11.4%
29 Actel Corp. * 690
21 Artisan Components, Inc. * 439
79 Asyst Technologies, Inc. * 1,362
87 August Technology Corp. * 1,612
156 Axcelis Technologies, Inc. * 1,599
51 Brooks Automation, Inc. * 1,240
16 Cree, Inc. * 285
6 Cymer, Inc. * 278
88 Cypress Semiconductor Corp. * 1,887
24 Entegris, Inc. * 308
36 Exar Corp. * 617
75 Helix Technology Corp. 1,541
70 Integrated Silicon Solutions, Inc. * 1,094
103 KEMET Corp. * 1,416
104 Kulicke & Soffa Industries, Inc. * 1,497
56 Lam Research Corp. * 1,795
45 Micrel, Inc. * 708
56 O2Micro International LTD (Cayman Islands) * 1,246
25 Pericom Semiconductor Corp. * 267
28 Power Integrations, Inc. * 940
22 Rudolph Technologies, Inc. * 542
91 Silicon Storage Technology, Inc. * 998
14 Standard Microsystems Corp. * 362
23 Ultratech, Inc. * 673
--------------
23,396
Shipping/Transportation -- 0.6%
33 UTI Worldwide, Inc. (Virgin Islands) 1,260
Steel -- 0.2%
10 International Steel Group, Inc. * 397
Telecommunications -- 2.1%
101 Aeroflex, Inc. * 1,176
85 Arris Group, Inc. * 617
40 Ixia * 462
59 SpectraLink Corp. 1,129
50 Tekelec * 781
2 Western Wireless Corp., Class A * 29
--------------
4,194
</Table>
See notes to financial statements.
14
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Telecommunications Equipment -- 0.8%
75 Andrew Corp. * $ 865
40 Comverse Technology, Inc. * 703
--------------
1,568
Toys & Games -- 0.2%
18 Leapfrog Enterprises, Inc. * 472
Transportation -- 1.5%
16 JB Hunt Transport Services, Inc. * 442
15 Old Dominion Freight Line * 519
9 Overnite Corp. * 193
20 Pacer International, Inc. * 405
32 Quality Distribution, Inc. * 620
41 Sirva, Inc. * 795
--------------
2,974
- -----------------------------------------------------------------------------------------------------------------
Total Common Stocks 196,756
(Cost $162,137)
- -----------------------------------------------------------------------------------------------------------------
Short-Term Investment -- 3.7%
MONEY MARKET FUND -- 3.7%
7,482 JPMorgan Prime Money Market Fund (a) 7,482
(Cost $7,482)
- -----------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 204,238
(Cost $169,619)
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
15
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND
Portfolio of Investments
As of December 31, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- 95.1%
COMMON STOCKS -- 93.8%
Advertising -- 0.1%
8 Aquantive, Inc. * $ 79
3 R.H. Donnelley Corp. * 104
--------------
183
Aerospace -- 2.1%
5 AAR Corp. * 67
11 Aviall, Inc. * 174
5 Curtiss-Wright Corp. 221
0^^ Ducommun, Inc. * 7
7 Esterline Technologies Corp. * 181
5 GenCorp., Inc. 52
36 Goodrich Corp. 1,056
4 HEICO Corp. 66
8 Kaman Corp., Class A 107
17 Moog, Inc., Class A * 850
75 Titan Corp. * 1,640
3 Triumph Group, Inc. * 95
--------------
4,516
Agricultural Production/Services -- 0.1%
14 DIMON, Inc. 97
6 Standard Commercial Corp. 114
--------------
211
Airlines -- 0.4%
3 Alaska Air Group, Inc. * 71
18 AMR Corp. * 237
14 Continental Airlines, Inc., Class B * 234
5 ExpressJet Holdings, Inc. * 72
24 Northwest Airlines Corp. * 297
--------------
911
Apparel -- 1.4%
7 Kellwood Co. 271
0^^ Kenneth Cole Productions, Inc., Class A 9
71 Phillips-Van Heusen 1,255
5 Quiksilver, Inc. * 82
56 Russell Corp. 987
3 Steven Madden LTD * 51
18 Tommy Hilfiger Corp. (Hong Kong) * 262
12 Vans, Inc. * 139
--------------
3,056
Appliances & Household Durables -- 0.1%
4 Applica, Inc. 32
0^^ Furniture Brands International, Inc. 12
12 Jacuzzi Brands, Inc. * 85
--------------
129
Automotive -- 1.2%
3 American Axle & Manufacturing Holdings, Inc. * 105
3 BorgWarner, Inc. 221
7 Dura Automotive Systems, Inc., Class A * 93
6 Keystone Automotive Industries, Inc. * 139
</Table>
See notes to financial statements.
16
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Automotive -- Continued
5 Lithia Motors, Inc., Class A $ 131
8 Oshkosh Truck Corp. 398
2 Sonic Automotive, Inc. 37
3 Superior Industries International, Inc. 113
10 Tenneco Automotive, Inc. * 68
15 Tower Automotive, Inc. * 101
17 Visteon Corp. 174
14 Winnebago Industries, Inc. 957
--------------
2,537
Banking -- 7.1%
3 Amcore Financial, Inc. 84
3 Anchor Bancorp Wisconsin, Inc. 70
24 Astoria Financial Corp. 900
1 Bancfirst Corp. 29
1 Bank of the Ozarks, Inc. 14
17 BankAtlantic Bancorp, Inc., Class A 325
1 Banner Corp. 20
1 Capital Corp of the West * 32
3 Capitol Bancorp LTD 74
0^^ Century Bancorp, Inc., Class A 4
4 Chemical Financial Corp. 142
1 City Holding Co. 46
3 Columbia Banking Systems, Inc. 56
9 Commerce Bancorp, Inc. 458
53 Commercial Federal Corp. 1,425
8 Community Bank System, Inc. 407
2 Community Trust BanCorp, Inc. 69
8 Corus Bankshares, Inc. 259
7 Cullen/Frost Bankers, Inc. 280
4 Dime Community Bancshares 120
0^^ Financial Institutions, Inc. 3
0^^ First Citizens Banc Corp. 3
0^^ First Citizens BancShares, Inc., Class A 12
1 First Defiance Financial Corp. 24
0^^ First National Corp. 12
4 First Niagara Financial Group, Inc. 61
1 First Oak Brook Bancshares, Inc. 27
5 First Republic Bank 161
1 First United Corp. 19
1 Firstfed America Bancorp 31
3 FirstFed Financial Corp. * 144
7 Flagstar BanCorp, Inc. 139
18 Fremont General Corp. 303
24 Gold Banc Corp., Inc. 330
0^^ Great Southern Bancorp, Inc. 14
8 Greater Bay Bancorp 239
1 Hanmi Financial Corp. 20
0^^ Hawthorne Financial Corp. * 13
1 Heritage Commerce Corp. * 16
5 Hibernia Corp., Class A 118
7 Hudson River Bancorp 265
8 Iberiabank Corp. 454
</Table>
See notes to financial statements.
17
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Banking -- Continued
3 Independent Bank Corp. -- Massachusetts $ 95
8 Independent Bank Corp. -- Michigan 241
11 IndyMac Bancorp, Inc. 328
10 Irwin Financial Corp. 301
0^^ Lakeland Financial Corp. 4
9 Local Financial Corp. * 185
3 MAF Bancorp, Inc. 130
0^^ MainSource Financial Group, Inc. @ 10
1 MB Financial, Inc. 22
3 Mercantile Bank Corp. 113
7 Mid-State Bancshares 168
0^^ Nara Bancorp, Inc. 5
9 NetBank, Inc. 119
1 Oak Hill Financial, Inc. 22
0^^ Old Second Bancorp, Inc. 5
0^^ Peoples Bancorp, Inc. 12
5 Provident Bankshares Corp. 150
8 R & G Financial Corp. (Puerto Rico), Class B 299
14 Republic Bancorp, Inc. 188
1 Republic Bancorp, Inc., Class A 20
0^^ Royal Bancshares of Pennsylvania, Class A 8
3 Second Bancorp, Inc. 90
3 Silicon Valley Bancshares * 94
3 Simmons First National Corp., Class A 75
1 Southside Bancshares, Inc. 23
0^^ Southwest Bancorp, Inc. 4
72 Sovereign Bancorp, Inc. 1,698
3 State Financial Services Corp., Class A 88
11 Sterling Financial Corp. 383
3 Summit Bancshares, Inc. 75
1 Sun Bancorp, Inc. * 37
3 Taylor Capital Group, Inc. 85
134 The Colonial BancGroup, Inc. 2,324
15 The South Financial Group, Inc. 415
4 Umpqua Holdings Corp. 73
11 W Holding Co., Inc. (Puerto Rico) 196
15 West Coast Bancorp 314
1 Wintrust Financial Corp. 32
--------------
15,653
Biotechnology -- 3.1%
4 Abgenix, Inc. * 49
103 Albany Molecular Research, Inc. * 1,550
0^^ Alexion Pharmaceuticals, Inc. * 5
5 Applera Corp. -- Celera Genomics Group * 70
63 Cambrex Corp. 1,590
14 Cytogen Corp. * 157
15 Encysive Pharmaceuticals, Inc. * 131
57 Genelabs Technologies * 159
65 Pharmaceutical Product Development, Inc. * 1,755
7 Regeneration Technologies, Inc. * 77
53 Serologicals Corp. * 993
6 Telik, Inc. * 128
--------------
6,664
</Table>
See notes to financial statements.
18
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Broadcasting/Cable -- 0.9%
32 Charter Communications, Inc., Class A * $ 129
0^^ Pulitzer, Inc. 22
121 Sinclair Broadcast Group, Inc., Class A * 1,802
--------------
1,953
Business Services -- 3.0%
119 Administaff, Inc. * 2,059
1 Banta Corp. 45
13 Century Business Services, Inc. * 59
0^^ Charles River Associates, Inc. * 13
0^^ Consolidated Graphics, Inc. * 13
85 Convergys Corp. * 1,477
4 Cornell Companies, Inc. * 49
8 Dollar Thrifty Automotive Group, Inc. * 200
16 Gartner, Inc., Class A * 176
9 Harris Interactive, Inc. * 76
4 infoUSA, Inc. * 29
28 Kelly Services, Inc., Class A 793
6 Metris Companies, Inc. * 25
1 NCO Group, Inc. * 32
3 Parexel International Corp. * 55
15 Spherion Corp. * 151
100 Teletech Holdings, Inc. * 1,131
6 Tyler Technologies, Inc. * 54
0^^ Volt Information Sciences, Inc. * 9
--------------
6,446
Chemicals -- 3.4%
17 Cabot Corp. 532
16 Crompton Corp. 118
27 Engelhard Corp. 807
6 Ethyl Corp. * 131
3 FMC Corp. * 99
10 Georgia Gulf Corp. 300
4 HB Fuller Co. 116
12 Hercules, Inc. * 144
150 IMC Global, Inc. 1,489
16 Millennium Chemicals, Inc. 205
0^^ Minerals Technologies, Inc. 18
11 NL Industries, Inc. 129
6 Octel Corp. (United Kingdom) 118
10 Omnova Solutions, Inc. * 50
133 RPM International, Inc. 2,181
17 Valspar Corp. 855
10 Wellman, Inc. 103
--------------
7,395
Computer Networks -- 0.1%
4 Anixter International, Inc. * 104
3 Black Box Corp. 119
--------------
223
Computer Software -- 2.2%
6 Aspen Technology, Inc. * 65
0^^ Avid Technology, Inc. * 19
</Table>
See notes to financial statements.
19
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Computer Software -- Continued
2 CACI International, Inc., Class A * $ 83
10 Ciber, Inc. * 89
26 CompuCom Systems, Inc. * 135
4 Computer Programs & Systems, Inc. 76
3 E.piphany, Inc. * 25
31 Global Payments, Inc. 1,464
0^^ Hyperion Solutions Corp. * 3
7 InterCept Group, Inc. * 75
0^^ Magma Design Automation, Inc. * 9
7 ManTech International Corp., Class A * 165
13 Manugistics Group, Inc. * 84
151 MSC. Software Corp. * 1,424
4 NetIQ Corp. * 49
1 PalmSource, Inc. * 18
8 Per-Se Technologies, Inc. * 121
9 Rainbow Technologies, Inc. * 105
0^^ SeaChange International, Inc. * 5
4 Sybase, Inc. * 91
35 Systems & Computer Technology Corp. * 579
3 Tier Technologies, Inc., Class B * 28
--------------
4,712
Computers/Computer Hardware -- 0.6%
10 Agilysys, Inc. 116
8 Electronics for Imaging, Inc. * 208
19 Gateway, Inc. * 87
7 Hutchinson Technology, Inc. * 200
4 iGate Corp. * 27
7 Imagistics International, Inc. * 248
8 Maxtor Corp. * 87
3 PalmOne, Inc. * 33
19 Quantum Corp. * 58
3 RadiSys Corp. * 52
37 Silicon Graphics, Inc. * 51
16 Sykes Enterprises, Inc. * 137
--------------
1,304
Construction -- 2.2%
1 Beazer Homes USA, Inc. 78
21 D.R. Horton, Inc. 908
1 Dominion Homes, Inc. * 42
4 Dycom Industries, Inc. * 97
1 EMCOR Group, Inc. * 53
31 Hovnanian Enterprises, Inc., Class A * 2,716
3 Meritage Corp. * 179
11 Standard-Pacific Corp. 529
11 WCI Communities, Inc. * 221
--------------
4,823
Construction Materials -- 0.7%
6 AMCOL International Corp. 122
7 Ameron International Corp. 225
0^^ Centex Construction Products, Inc. 18
5 Genlyte Group, Inc. * 280
24 Louisiana-Pacific Corp. * 420
4 LSI Industries, Inc. 53
9 Universal Forest Products, Inc. 299
</Table>
See notes to financial statements.
20
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Construction Materials -- Continued
9 USG Corp. * $ 156
--------------
1,573
Consumer Products -- 2.5%
3 Alberto-Culver Co., Class B 196
3 American Greetings Corp., Class A * 70
50 Chattem, Inc. * 899
0^^ CSS Industries, Inc. 5
0^^ Department 56, Inc. * 5
31 Harman International Industries, Inc. 2,293
7 Kimball International, Class B 104
18 The Scotts Co., Class A * 1,059
4 Toro Co. 181
14 Universal Corp. 605
3 WD-40 Co. 92
--------------
5,509
Consumer Services -- 1.5%
11 Alderwoods Group, Inc. * 104
3 Arbitron, Inc. * 108
0^^ MemberWorks, Inc. * 11
27 Regis Corp. 1,065
4 Right Management Consultants, Inc. * 73
55 Stewart Enterprises, Inc., Class A * 310
0^^ The Standard Register Co. 5
75 United Rentals, Inc. * 1,445
6 Wackenhut Corrections Corp. * 137
--------------
3,258
Distribution -- 0.7%
1 Advanced Marketing Services, Inc. 15
4 Building Material Holding Corp. 56
9 Hughes Supply, Inc. 461
43 Watsco, Inc. 971
1 WESCO International, Inc. * 9
--------------
1,512
Electronics/Electrical Equipment -- 4.9%
2 Bel Fuse, Inc., Class B 72
6 Benchmark Electronics, Inc. * 211
5 Checkpoint Systems, Inc. * 85
81 Coherent, Inc. * 1,916
4 CTS Corp. 47
4 DSP Group, Inc. * 97
5 Encore Wire Corp. * 81
51 Flir Systems, Inc. * 1,876
6 Integrated Electrical Services, Inc. * 59
1 InVision Technologies, Inc. * 17
7 Methode Electronics, Class A 87
7 MTS Systems Corp. 127
166 Paxar Corp. * 2,222
46 PerkinElmer, Inc. 779
4 ROFIN-SINAR Technologies, Inc. * 135
52 Sanmina-SCI Corp. * 657
5 Stoneridge, Inc. * 72
46 Symbol Technologies, Inc. 769
</Table>
See notes to financial statements.
21
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Electronics/Electrical Equipment -- Continued
4 Sypris Solutions, Inc. $ 64
1 Trimble Navigation LTD * 22
51 Vishay Intertechnology, Inc. * 1,163
5 Watts Industries, Inc., Class A 102
3 Zygo Corp. * 45
--------------
10,705
Engineering Services -- 0.3%
15 McDermott International, Inc. * 180
7 URS Corp. * 165
7 Washington Group International, Inc. * 248
--------------
593
Entertainment/Leisure -- 1.1%
4 AMC Entertainment, Inc. * 61
4 Ameristar Casinos, Inc. * 93
2 Arctic Cat, Inc. 54
3 Argosy Gaming Co. * 81
11 Aztar Corp. * 243
5 Bally Total Fitness Holding Corp. * 32
3 Boyd Gaming Corp. 52
16 Callaway Golf Co. 271
3 Isle of Capri Casinos, Inc. * 62
6 K2, Inc. * 87
5 Navigant International, Inc. * 68
18 Six Flags, Inc. * 138
45 WMS Industries, Inc. * 1,170
--------------
2,412
Environmental Services -- 0.3%
1 Mine Safety Appliances Co. 103
12 Republic Services, Inc. 316
7 Tetra Tech, Inc. * 181
--------------
600
Financial Services -- 4.4%
4 Accredited Home Lenders Holding Co. * 122
5 American Capital Strategies LTD 137
89 AmeriCredit Corp. * 1,421
78 BankUnited Financial Corp., Class A * 2,002
7 CompuCredit Corp. * 140
2 Credit Acceptance Corp. * 29
36 Eaton Vance Corp. 1,319
1 eSpeed, Inc., Class A * 14
0^^ ITLA Capital Corp. * 15
48 Jefferies Group, Inc. 1,595
3 Knight Trading Group, Inc. * 50
3 New Century Financial Corp. 113
7 Ocwen Financial Corp. * 58
38 Raymond James Financial, Inc. 1,440
17 Safeguard Scientifics, Inc. * 70
4 Student Loan Corp. 642
0^^ Troy Financial Corp. 4
0^^ WestCorp 11
12 World Acceptance Corp. * 229
3 WSFS Financial Corp. 117
--------------
9,528
</Table>
See notes to financial statements.
22
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Food/Beverage Products -- 0.4%
19 Chiquita Brands International, Inc. * $ 429
1 Corn Products International, Inc. 17
1 Flowers Foods, Inc. 30
0^^ J & J Snack Foods Corp. * 11
7 Pathmark Stores, Inc. * 49
10 Pilgrim's Pride Corp. 160
4 Ralcorp Holdings, Inc. * 122
0^^ Sensient Technologies Corp. 8
--------------
826
Health Care/Health Care Services -- 7.5%
55 Accredo Health, Inc. * 1,740
11 Beverly Enterprises, Inc. * 90
4 CONMED Corp. * 95
45 Cooper Companies, Inc. 2,097
62 Covance, Inc. * 1,651
105 Cross Country Healthcare, Inc. * 1,569
3 CTI Molecular Imaging, Inc. * 52
2 Cyberonics, Inc. * 64
2 Genesis HealthCare Corp. * 39
70 Health Management Associates, Inc., Class A 1,690
0^^ Invacare Corp. 4
8 Inveresk Research Group, Inc. * 195
5 Kindred Healthcare, Inc. * 281
8 Lincare Holdings, Inc. * 240
28 Manor Care, Inc. 963
19 Mariner Health Care, Inc. * 421
49 NDCHealth Corp. 1,243
27 Omnicare, Inc. 1,084
49 Orthovita, Inc. * 158
46 Pediatrix Medical Group, Inc. * 2,530
4 PSS World Medical, Inc. * 43
0^^ Sierra Health Services * 11
10 Sola International, Inc. * 192
0^^ SurModics, Inc. * 5
6 US Oncology, Inc. * 60
--------------
16,517
Hotels/Other Lodging -- 1.0%
3 Choice Hotels International, Inc. * 95
110 Hilton Hotels Corp. 1,883
48 La Quinta Corp. * 306
--------------
2,284
Industrial Components -- 0.1%
13 Lennox International, Inc. 209
Insurance -- 4.2%
19 Allmerica Financial Corp. * 575
53 American Financial Group, Inc. 1,413
8 AmerUs Group Co. 273
8 Argonaut Group, Inc. * 120
0^^ Baldwin & Lyons, Inc., Class B 10
31 Commerce Group, Inc. 1,217
16 Delphi Financial Group, Inc., Class A 583
</Table>
See notes to financial statements.
23
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Insurance -- Continued
1 Direct General Corp. $ 26
5 FBL Financial Group, Inc., Class A 116
7 LandAmerica Financial Group, Inc. 355
0^^ Nationwide Financial Services, Class A 10
40 Philadelphia Consolidated Holding Co. * 1,949
9 PMA Capital Corp., Class A 46
1 ProAssurance Corp. * 19
21 Protective Life Corp. 717
4 RLI Corp. 150
21 SAFECO Corp. 818
3 Selective Insurance Group 81
3 State Auto Financial Corp. 63
12 Stewart Information Services Corp. 466
0^^ The Navigators Group, Inc. * 9
4 The Phoenix Companies, Inc. 43
0^^ United Fire & Casualty Co. 12
4 Universal American Financial Corp. * 44
1 Zenith National Insurance Corp. 23
--------------
9,138
Internet Services/Software -- 0.2%
5 AsiaInfo Holdings, Inc. (China) * 32
16 EarthLink, Inc. * 155
22 Homestore, Inc. * 103
2 Interland, Inc. * 15
0^^ Internet Security Systems, Inc. * 6
2 Openwave Systems, Inc. * 19
0^^ ProQuest Co. * 12
5 United Online, Inc. * 84
10 Vignette Corp. * 22
--------------
448
Leasing -- 0.1%
6 GATX Corp. 156
6 Interpool, Inc. 92
--------------
248
Machinery & Engineering Equipment -- 1.9%
100 AGCO Corp. * 2,015
18 Applied Industrial Technologies, Inc. 429
9 Cascade Corp. 194
3 Flowserve Corp. * 69
5 Global Power Equipment Group, Inc. * 31
0^^ Kadant, Inc. * 9
7 Milacron, Inc. 29
1 NACCO Industries, Inc., Class A 89
4 Regal-Beloit Corp. 77
7 Sauer-Danfoss, Inc. 113
49 Stewart & Stevenson Services, Inc. 684
3 Tecumseh Products Co., Class A 126
0^^ Thomas Industries, Inc. 14
11 UNOVA, Inc. * 252
--------------
4,131
Manufacturing -- 3.8%
1 Actuant Corp., Class A * 22
7 Acuity Brands, Inc. 168
</Table>
See notes to financial statements.
24
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Manufacturing -- Continued
12 Albany International Corp., Class A $ 400
3 AO Smith Corp. 119
9 Barnes Group, Inc. 294
4 Briggs & Stratton Corp. 249
3 Esco Technologies, Inc. * 113
0^^ Gardner Denver, Inc. * 2
5 Griffon Corp. * 109
16 Harsco Corp. 708
21 JLG Industries, Inc. 317
56 Joy Global, Inc. 1,467
1 Lydall, Inc. * 12
8 NN, Inc. 97
7 Quanex Corp. 300
65 Terex Corp. * 1,844
92 Timken Co. 1,855
12 Walter Industries, Inc. 160
3 Wilson Greatbatch Technologies, Inc. * 123
--------------
8,359
Metals/Mining -- 1.6%
43 Arch Coal, Inc. 1,345
10 Massey Energy Co. 214
2 Precision Castparts Corp. 95
4 RTI International Metals, Inc. * 66
101 The Shaw Group, Inc. * 1,381
2 USEC, Inc. 20
18 Valmont Industries, Inc. 419
--------------
3,540
Multi-Media -- 0.6%
1 4Kids Entertainment, Inc. * 18
8 Insight Communications Co., Inc. * 78
3 Journal Register Co. * 68
10 Lodgenet Entertainment Corp. * 188
27 Scholastic Corp. * 910
--------------
1,262
Office/Business Equipment -- 0.1%
0^^ Global Imaging Systems, Inc. * 3
5 United Stationers, Inc. * 221
--------------
224
Oil & Gas -- 5.0%
3 Black Hills Corp. 95
8 CAL Dive International, Inc. * 186
86 Chesapeake Energy Corp. 1,169
6 Cimarex Energy Co. * 149
7 Comstock Resources, Inc. * 133
16 Denbury Resources, Inc. * 217
7 Energen Corp. 295
9 Hanover Compressor Co. * 100
4 Houston Exploration Co. * 146
4 KCS Energy, Inc. * 46
10 Magnum Hunter Resources, Inc. * 94
14 Meridian Resource Corp. * 83
3 Nuevo Energy Co. * 80
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Oil & Gas -- Continued
4 NUI Corp. $ 63
3 Oceaneering International, Inc. * 73
7 Oil States International, Inc. * 103
50 ONEOK, Inc. 1,097
1 Plains Exploration & Production Co. * 13
23 Range Resources Corp. * 219
18 Southern Union Co. * 339
7 Southwest Gas Corp. 153
26 Southwestern Energy Co. * 617
7 Stone Energy Corp. * 276
81 Superior Energy Services, Inc. * 762
42 Swift Energy Co. * 709
15 Tesoro Petroleum Corp. * 219
49 Universal Compression Holding, Inc. * 1,283
7 Veritas DGC, Inc. * 71
13 Vintage Petroleum, Inc. 150
46 Westport Resources Corp. * 1,384
0^^ World Fuel Services Corp. 14
21 XTO Energy, Inc. 596
--------------
10,934
Packaging -- 1.2%
6 Chesapeake Corp. 159
54 Crown Holdings, Inc. * 485
4 Greif, Inc., Class A 146
59 Pactiv Corp. * 1,404
3 Rock-Tenn Co., Class A 57
8 Silgan Holdings, Inc. * 341
--------------
2,592
Paper/Forest Products -- 0.1%
8 Schweitzer-Mauduit International, Inc. 229
Pharmaceuticals -- 1.3%
12 Adolor Corp. * 238
3 Alpharma, Inc., Class A 52
10 AtheroGenics, Inc. * 148
6 Barr Laboratories, Inc. * 423
5 Cubist Pharmaceuticals, Inc. * 56
7 Cypress Bioscience, Inc. * 111
2 Esperion Therapeutics, Inc. * 69
46 KV Pharmaceutical Co., Class B * 1,196
10 Ligand Pharmaceuticals, Inc., Class B * 153
5 NBTY, Inc. * 137
9 NeighborCare, Inc. * 176
--------------
2,759
Printing & Publishing -- 0.2%
19 John H. Harland Co. 524
Real Estate -- 0.0% ^
5 Jones Lang LaSalle, Inc. * 93
Real Estate Investment Trust -- 4.4%
14 Alexandria Real Estate Equities, Inc. 810
</Table>
See notes to financial statements.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Real Estate Investment Trust -- Continued
11 American Home Mortgage Investment Corp. $ 252
32 Anthracite Capital, Inc. 354
10 Bedford Property Investors, Inc. 298
9 Boykin Lodging Co. 80
3 Capital Automotive Real Estate Investment Trust 106
5 CarrAmerica Realty Corp. 155
26 Entertainment Properties Trust 884
33 Equity Inns, Inc. 301
3 Gables Residential Trust 101
3 Glenborough Realty Trust, Inc. 54
9 Highwoods Properties, Inc. 236
17 IMPAC Mortgage Holdings, Inc. 300
20 InnKeepers USA Trust 169
5 Kilroy Realty Corp. 151
7 LaSalle Hotel Properties 121
26 Lexington Corporate Properties Trust 521
11 LTC Properties, Inc. 161
10 Meristar Hospitality Corp. * 67
9 MFA Mortgage Investments, Inc. 85
6 Mid-America Apartment Communities, Inc. 208
15 National Health Investors, Inc. 381
3 NovaStar Financial, Inc. 137
4 Parkway Properties, Inc. 162
9 Pennsylvania Real Estate Investment Trust 338
1 Post Properties, Inc. 22
4 Prentiss Properties Trust 119
14 RAIT Investment Trust 366
0^^ Saul Centers, Inc. 9
16 Senior Housing Properties Trust 276
20 SL Green Realty Corp. 804
7 Sun Communities, Inc. 267
5 Taubman Centers, Inc. 99
3 The Macerich Co. 147
2 The Mills Corp. 66
16 United Dominion Realty Trust, Inc. 298
1 Urstadt Biddle Properties, Inc., Class A 13
29 Ventas, Inc. 627
6 Winston Hotels, Inc. 58
--------------
9,603
Restaurants/Food Services -- 1.2%
13 Brinker International, Inc. * 421
22 CEC Entertainment, Inc. * 1,053
3 Jack in the Box, Inc. * 70
13 Landry's Restaurants, Inc. 342
0^^ Papa John's International, Inc. * 13
1 Ryan's Family Steak Houses, Inc. * 8
26 Sonic Corp. * 790
--------------
2,697
Retailing -- 5.1%
12 7-Eleven, Inc. * 194
6 Aaron Rents, Inc. 128
1 Aeropostale, Inc. * 25
</Table>
See notes to financial statements.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Retailing -- Continued
6 Alloy, Inc. * $ 31
6 American Eagle Outfitters, Inc. * 98
5 AnnTaylor Stores Corp. * 176
12 Asbury Automotive Group, Inc. * 219
9 BJ's Wholesale Club, Inc. * 197
0^^ BOB Evans Farms 3
4 Brown Shoe Co., Inc. 148
15 Burlington Coat Factory Warehouse Corp. 320
11 Casey's General Stores, Inc. 194
16 Cash America International, Inc. 341
1 Charlotte Russe Holding, Inc. * 10
21 Charming Shoppes, Inc. * 112
1 Cole National Corp. * 12
71 CSK Auto Corp. * 1,333
9 Dillards, Inc., Class A 142
5 Dress Barn, Inc. * 78
9 Footstar, Inc. * 34
86 Fred's, Inc. 2,661
3 Friedman's, Inc., Class A 21
4 Genesco, Inc. * 54
9 Goody's Family Clothing, Inc. 87
4 Great Atlantic & Pacific Tea Co., Inc. * 36
9 Hollywood Entertainment Corp. * 129
5 Jo-Ann Stores, Inc. * 94
0^^ Linens 'N Things, Inc. * 3
5 MarineMax, Inc. * 99
4 Men's Wearhouse, Inc. * 98
0^^ Movado Group, Inc. 6
31 Movie Gallery, Inc. * 572
1 Nash-Finch Co. 31
7 Nu Skin Enterprises, Inc., Class A 126
130 Office Depot, Inc. * 2,172
9 Payless ShoeSource, Inc. * 122
8 Pep Boys-Manny, Moe & Jack 176
8 REX Stores Corp. * 113
0^^ School Specialty, Inc. * 10
13 Shopko Stores, Inc. * 204
5 Smart & Final, Inc. * 46
1 Stage Stores, Inc. * 28
7 Systemax, Inc. * 49
13 The Bombay Co., Inc. * 106
1 The Sports Authority, Inc. * 40
5 United Auto Group, Inc. 150
--------------
11,028
Semi-Conductors -- 0.9%
0^^ Actel Corp. * 10
3 Ceva, Inc. * 26
10 Cirrus Logic, Inc. * 73
3 Cohu, Inc. 65
1 Dupont Photomasks, Inc. * 12
3 Exar Corp. * 44
43 Fairchild Semiconductor International, Inc. * 1,085
</Table>
See notes to financial statements.
28
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Semi-Conductors -- Continued
11 GlobespanVirata, Inc. * $ 62
10 Lattice Semiconductor Corp. * 97
3 Photronics, Inc. * 52
5 Silicon Storage Technology, Inc. * 55
6 Skyworks Solutions, Inc. * 51
3 Standard Microsystems Corp. * 63
8 Transmeta Corp. * 28
12 Vitesse Semiconductor Corp. * 72
4 Zoran Corp. * 70
--------------
1,865
Shipping/Transportation -- 0.0% ^
3 USF Corp. 89
Steel -- 0.3%
3 Carpenter Technology Corp. 77
4 Reliance Steel & Aluminum Co. 130
7 Ryerson Tull, Inc. 82
1 Schnitzer Steel Industries, Inc., Class A 36
13 Steel Dynamics, Inc. * 313
--------------
638
Telecommunications -- 1.4%
8 Aether Systems, Inc. * 38
191 American Tower Corp., Class A * 2,071
4 Arris Group, Inc. * 32
39 Cincinnati Bell, Inc. * 199
0^^ Commonwealth Telephone Enterprises, Inc. * 15
7 General Communication, Inc., Class A * 57
3 Hypercom Corp. * 13
19 MRV Communications, Inc. * 72
2 Network Equipment Technologies, Inc. * 22
3 North Pittsburgh Systems, Inc. 49
37 PTEK Holdings, Inc. * 322
5 Raindance Communications, Inc. * 13
7 Talk America Holdings, Inc. * 75
10 Time Warner Telecom, Inc., Class A * 103
--------------
3,081
Telecommunications Equipment -- 0.6%
79 Andrew Corp. * 910
4 C-COR.net Corp. * 43
41 Corvis Corp. * 70
4 Ditech Communications Corp. * 80
6 New Focus, Inc. * 30
7 Remec, Inc. * 55
15 Sycamore Networks, Inc. * 80
9 Terayon Communications Systems, Inc. * 41
--------------
1,309
Textiles -- 0.2%
11 Angelica Corp. 251
4 UniFirst Corp. 95
--------------
346
</Table>
See notes to financial statements.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
Tools/Equipment -- 0.2%
15 Snap-On, Inc. $ 480
Toys & Games -- 0.1%
5 RC2 Corp. * 93
4 Steinway Musical Instruments, Inc. * 94
--------------
187
Transportation -- 0.6%
4 Covenant Transport, Inc., Class A * 74
7 Genesee & Wyoming, Inc., Class A * 214
2 Greenbrier Co., Inc. * 37
4 Offshore Logistics, Inc. * 96
12 RailAmerica, Inc. * 139
8 SCS Transportation, Inc. * 148
3 US Xpress Enterprises, Inc., Class A * 34
10 Werner Enterprises, Inc. 198
11 Yellow Roadway Corp. * 394
--------------
1,334
Utilities -- 4.4%
4 Allegheny Energy, Inc. * 56
0^^ American States Water Co. 10
3 Atmos Energy Corp. 80
8 Avista Corp. 147
0^^ California Water Service Group 11
4 CH Energy Group, Inc. 188
38 CMS Energy Corp. * 324
55 Idacorp, Inc. 1,633
46 PNM Resources, Inc. 1,301
61 Puget Energy, Inc. 1,459
47 Sierra Pacific Resources * 343
3 UIL Holdings Corp. 117
18 UniSource Energy Corp. 439
62 Vectren Corp. 1,525
14 Westar Energy, Inc. 292
35 WPS Resources Corp. 1,622
--------------
9,547
Waste Management -- 0.7%
104 Allied Waste Industries, Inc. * 1,448
-------------------------------------------------------------------------------------------------
Total Common Stocks 204,375
(Cost $152,751)
-------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 1.3%
1 Gladstone Capital Corp. 20
17 iShares Russell 2000 Value Index Fund @ 2,691
9 Technology Investment Capital Corp. 143
-------------------------------------------------------------------------------------------------
Total Investment Companies 2,854
(Cost $2,364)
- -----------------------------------------------------------------------------------------------------------------
Total Long-Term Investments 207,229
(Cost $155,115)
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
30
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------------------------------------
Short-Term Investments -- 4.9%
U.S. TREASURY SECURITY -- 0.1%
$ 185 U.S. Treasury Note, 2.13%, 10/31/04 @ $ 186
(Cost $186)
- -----------------------------------------------------------------------------------------------------------------
<Caption>
SHARES
MONEY MARKET FUND -- 4.8%
10,429 JPMorgan Prime Money Market Fund (a) 10,429
(Cost $10,429)
- -----------------------------------------------------------------------------------------------------------------
Total Short-Term Investments 10,615
(Cost $10,615)
- -----------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 217,844
(Cost $165,730)
- -----------------------------------------------------------------------------------------------------------------
</Table>
Futures Contracts
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER VALUE AT APPRECIATION
OF EXPIRATION 12/31/03 (DEPRECIATION)
CONTRACTS DESCRIPTION DATE (USD) (USD)
- ----------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
6 Russell 2000 March, 2004 $ 2 $ 79
</Table>
See notes to financial statements.
31
<Page>
Abbreviations:
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Security is fully or partially segregated with the custodian or with
the brokers for futures contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by J.P. Morgan Investment
Management, Inc.
USD -- United States Dollar.
See notes to financial statements.
32
<Page>
JPMORGAN FUNDS
Statement of Assets and Liabilities
As of December 31, 2003
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
- --------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 204,238 $ 217,844
Cash 5 20
Receivables:
Investment securities sold 2,277 856
Fund shares sold 215 212
Interest and dividends 34 143
- --------------------------------------------------------------------------------------
Total Assets 206,769 219,075
- --------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 5,537 2,956
Fund shares redeemed 272 354
Variation Margin -- 20
Accrued liabilities:
Investment advisory fees 142 149
Administration fees 25 26
Shareholder servicing fees 33 37
Custodian fees 41 43
Trustees' fees 1 1
Other 68 70
- --------------------------------------------------------------------------------------
Total Liabilities 6,119 3,656
- --------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 163,298 161,084
Accumulated net investment income (loss) 11 42
Accumulated net realized gain (loss) on
investments and futures 2,722 2,100
Net unrealized appreciation (depreciation) of
investments and futures 34,619 52,193
- --------------------------------------------------------------------------------------
Total Net Assets $ 200,650 $ 215,419
- --------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized): 14,183 13,921
Net Asset Value, redemption and offering price
per share $ 14.15 $ 15.47
- --------------------------------------------------------------------------------------
Cost of investments $ 169,619 $ 165,730
======================================================================================
</Table>
See notes to financial statements.
33
<Page>
JPMORGAN FUNDS
Statement of Operations
For the period ended December 31, 2003
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
-------------------------------
2/28/03 (a) 2/28/03 (a)
THROUGH THROUGH
12/31/03 12/31/03
- --------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ -- $ 1
Dividend 361 1,232
Dividend income from affiliated investments* 56 71
- --------------------------------------------------------------------------------------
Total investment income 417 1,304
- --------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 934 929
Administration fees 165 164
Shareholder servicing fees 275 273
Custodian fees 174 196
Registration fees 26 25
Printing and postage 10 10
Professional fees 79 80
Transfer agent fees 40 38
Trustees' fees 17 16
Other 8 9
- --------------------------------------------------------------------------------------
Total expenses 1,728 1,740
- --------------------------------------------------------------------------------------
Less amounts waived 187 209
Less earnings credits 2 2
- --------------------------------------------------------------------------------------
Net expenses 1,539 1,529
- --------------------------------------------------------------------------------------
Net investment income (1,122) (225)
- --------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments 12,023 6,266
Futures -- 352
Change in net unrealized appreciation
(depreciation) of:
Investments 34,619 52,114
Futures -- 79
- --------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments and futures 46,642 58,811
- --------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 45,520 $ 58,586
- --------------------------------------------------------------------------------------
* Includes reimbursements of investment advisory,
administration and shareholder servicing fees : $ 9 $ 11
- --------------------------------------------------------------------------------------
</Table>
(a) Commenced operations on 2/28/03.
See notes to financial statements.
34
<Page>
JPMORGAN FUNDS
Statement of Changes in Net Assets For the periods indicated
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP GROWTH FUND SMALL CAP VALUE FUND
-------------------------------------------------
2/28/03* 2/28/03*
THROUGH THROUGH
12/31/03 12/31/03
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss $ (1,122) $ (225)
Net realized gain (loss) on investments and futures 12,023 6,618
Change in net unrealized appreciation/depreciation of investments and futures 34,619 52,193
- -------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 45,520 58,586
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain on investment transactions (8,168) (4,251)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares issued 184,870 181,483
Dividends reinvested 3,507 1,857
Cost of shares redeemed (25,079) (22,328)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 163,298 161,012
- -------------------------------------------------------------------------------------------------------------------------------
Voluntary Contribution from Advisor -- 72
- -------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 200,650 215,419
NET ASSETS:
Beginning of period -- --
- -------------------------------------------------------------------------------------------------------------------------------
End of period $ 200,650 $ 215,419
- -------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 11 $ 42
- -------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
Issued 15,810 15,432
Reinvested 258 124
Redeemed (1,885) (1,635)
- -------------------------------------------------------------------------------------------------------------------------------
Change in shares 14,183 13,921
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
See notes to financial statements.
35
<Page>
JPMORGAN FUNDS
Notes to Financial Statements
1. ORGANIZATION
J.P. Morgan Fleming Series Trust (the "Trust") was organized on December 24,
2002 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end management
investment company.
The following are two separate portfolios of the Trust (collectively, the
"Funds"):
FUND
JPMorgan Multi-Manager Small Cap Growth Fund ("MMSCGF")
JPMorgan Multi-Manager Small Cap Value Fund ("MMSCVF")
The Funds commenced operations on February 28, 2003. The Funds are
non-diversified, as defined in the 1940 Act.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market System equity securities quoted
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, (other than convertible bonds), with a
maturity of 61 days or more held by Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. When valuations are
not readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is reasonably possible
that the estimated values may differ significantly from the values that would
have been used had a ready market for the investments existed, and such
differences could have been material. Short-term investments with 60 days or
less to maturity at time of purchase are valued at amortized cost, which
approximates market value.
36
<Page>
Trading in securities on most foreign exchanges and over-the counter markets is
normally completed before the close of the domestic market and may also take
place on days when the domestic market is closed. In accordance with procedures
adopted by the Trustees, the Funds apply fair value pricing on a daily basis for
all non-U.S. and non-Canadian equity securities held in their portfolios by
utilizing the quotations of an independent pricing service, unless the Funds'
advisor, J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor"),
determines that use of another valuation methodology is appropriate. The pricing
service uses statistical analyses and quantitative models to adjust local market
prices using factors such as subsequent movements and changes in the prices of
indices, securities, and exchange rates in other markets, in determining fair
value as of the time a Fund calculates its net asset value.
B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes, i.e. to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
Use of long futures contracts subjects the Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities up to the notional
value of the futures contract. Use of short futures contracts subject the Fund
to unlimited risk of loss.
The Funds may enter into futures contracts only on exchanges or boards of trade.
The exchange or board of trade acts as the counterparty to each futures
transaction; therefore, the Fund's credit risk is limited to failure of the
exchange or board of trade.
As of December 31, 2003, MMSCVF had outstanding futures contracts as listed on
the Fund's Portfolio of Investments.
C. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund may invest in securities that
are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
37
<Page>
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income less foreign taxes withheld (if any) is recorded on
the ex-dividend date or when the Fund first learns of the dividend.
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses are allocated proportionately among
each of the Funds within the Trust in relation to the net assets of each Fund or
on another reasonable basis.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of their distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature, (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in
thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED NET REALIZED
PAID-IN (OVERDISTRIBUTED) GAIN (LOSS)
FUND CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
- --------------------------------------------------------------------
MMSCGF $ -- $ 1,133 $ (1,133)
MMSCVF -- 267 (267)
</Table>
The reclassification for the MMSCGF and MMSCVF relate primarily to the character
for tax purposes of current year net operating losses and distributions from
investments in Real Estate Investment Trusts.
38
<Page>
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor"), acts as the
investment advisor to the Funds. Prior to October 1, 2003, JPMIM was a wholly
owned subsidiary of J.P. Morgan Chase & Co. On October 1, 2003, JPMIM became a
wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings Inc,
which is a wholly owned subsidiary of J.P. Morgan Chase & Co. The investment
advisory services and personnel providing investment advice have not changed as
a result of the ownership change. The ownership change did not constitute an
assignment under the 1940 Act or the Investment Advisers Act of 1940. The
Advisor allocates portions of the Funds' assets to the subadvisors and is
responsible for monitoring and coordinating the overall management of the Funds
and for such services is paid a fee. The fee is accrued daily and paid monthly
at an annual rate of 0.85% of each Fund's average daily net assets.
State Street Research and Management Company, J. & W. Seligman & Co Inc. and UBS
Global Asset Management (New York) Inc. have been engaged by the Advisor to
serve as the initial subadvisors to the MMSCGF. The allocation of the assets of
MMSCGF at December 31, 2003 was 31%, 33% and 36%, respectively. EARNEST
Partners, LLC and ICM Asset Management have been engaged by the Advisor to serve
as the initial subadvisors to the MMSCVF. The allocation of the assets of MMSCVF
at December 31, 2003 was 33%, 33% and the remaining 34% has been allocated to
the Advisor. Each subadvisor is paid monthly by the Advisor at an annual rate of
0.55% of the average daily net assets of each of the Funds allocated to the
subadvisor. These fees are paid by the Advisor and are not expenses of the
Funds.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to reimburse its advisory fee from the Funds in an
amount sufficient to offset any doubling up of investment advisory,
administration and shareholder servicing fees related to each Fund's investment
in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
C. SHAREHOLDER SERVICING FEE -- The Trust has entered into Shareholder Servicing
Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB") under which
JPMCB provides account administration and personal account maintenance services
to the shareholders. For these services JPMCB will receive a fee from each Fund
that is computed daily and paid monthly at an annual rate of 0.25% of the
average daily net assets of each Fund.
39
<Page>
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and
custody services for the Funds. Compensation for such services is presented in
the Statement of Operations as custodian fees. The custodian fees may be reduced
by credits earned by each Fund, based on the uninvested cash balances held by
the custodian. Such earning credits are presented separately in the Statement of
Operations.
E. ADMINISTRATION FEES -- Pursuant to an agreement approved on January 21, 2003,
JPMCB (the "Administrator") provides certain administration services to the
Funds. In consideration of these services, the Administrator receives a fee
computed daily and paid monthly at an annual rate equal to 0.15% of the average
daily net assets of each Fund.
BISYS Funds Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Funds to the extent
that total operating expenses (excluding interest, taxes and extraordinary
items) do exceed 1.40% of the average daily net assets of MMSCGF and MMSCVF. The
expense limitation percentage on the Funds is due to expire on April 30, 2004.
The Administrator waived fees as outlined in Note 3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the period ended December 31, 2003, the
Funds' vendors waived fees for each of the Funds as follows (amounts in
thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
---------------------------------------
SHAREHOLDER CONTRACTUAL
FUND ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
- ----------------------------------------------------------------------
MMSCGF $ 15 $ 172 $ 187 $ --
MMSCVF 31 178 209 --
- ----------------------------------------------------------------------
Total 46 350 396 --
</Table>
G. OTHER-- Certain officers of the Trust are officers of J.P. Morgan Chase & Co.
or of BISYS or their subsidiaries.
During the period, certain of the Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisor.
The funds may use related party broker/dealers. For the period ended December
31, 2003, MMSCGF and MMSCVF incurred $13 and $3, respectively, as brokerage
commissions with broker/dealers affiliated with JPMCB.
40
<Page>
The SEC has granted an exemptive order permitting each Portfolio to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
4. INVESTMENT TRANSACTIONS
For the period ended December 31, 2003, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S.
FUND GOVERNMENT) GOVERNMENT)
----------------------------------------------------
MMSCGF $ 320,138 $ 170,024
MMSCVF 189,419 40,444
</Table>
5. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at December 31, 2003, are
as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------------
MMSCGF $ 170,420 $ 36,144 $ (2,326) $ 33,818
MMSCVF 165,748 52,608 (513) 52,095
</Table>
The tax character of distributions paid during the period ended December 31,
2003 are as follows (amounts in thousands)
<Table>
<Caption>
YEAR ORDINARY LONG-TERM TOTAL
ENDED INCOME CAPITAL GAIN DISTRIBUTIONS
--------------------------------------------------------
MMSCGF $ 8,168 $ -- $ 8,168
MMSCVF 4,098 153 4,251
</Table>
41
<Page>
At December 31, 2003, the components of net assets (excluding paid in capital)
on a tax basis are as follows (amounts in thousands):
<Table>
<Caption>
MMSCGF MMSCVF
- --------------------------------------------------------------------------------------
Current distributable ordinary income $ 3,532 $ 2,120
Plus/Less: cumulative timing differences -- --
-------------- --------------
Undistributed ordinary income or
(overdistribution of ordinary income) 3,532 2,120
============== ==============
Current distributable long-term capital
gain or (tax basis capital loss carryover) $ 2 $ 120
Plus/Less: cumulative timing differences -- --
-------------- --------------
Undistributed long-term gains/
accumulated capital loss 2 120
============== ==============
Unrealized appreciation (depreciation) $ 33,818 $ 52,095
============== ==============
</Table>
For the MMSCGF the difference between book basis and tax basis unrealized
appreciation/(depreciation) is primarily attributed to wash sales and basis
adjustments in REITS. For MMSCVF, the difference between book basis and tax
basis unrealized appreciation/(depreciation) is primarily attributed to wash
sales, basis adjustment in REITS and mark to market of futures.
6. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
Because each Subadvisor makes investment decisions independently, it is possible
that the stock selection process of the investment managers may not complement
one another. As a result, the Fund's exposure to a given stock, industry or
market capitalization could unintentionally be smaller or larger than intended.
7. SUBSEQUENT EVENT
On January 14, 2004, J. P. Morgan Chase and Co. and Bank One Corp. announced
they have entered into an agreement and plan of merger. The merger is subject to
the approval of the shareholders of both institutions as well as U.S. federal
and state and foreign regulatory authorities. Completion of the transaction is
expected to occur in mid-2004.
42
<Page>
JPMORGAN FUNDS
Financial Highlights
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
------------- -------------
2/28/03* 2/28/03*
THROUGH THROUGH
PER SHARE OPERATING PERFORMANCE: 12/31/03 12/31/03
- ----------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.00 $ 10.00
- ----------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) (0.11)@ (0.02)@
Net gains or losses on securities (both realized and unrealized) 4.86 5.81
------------- -------------
Total from investment operations 4.75 5.79
------------- -------------
Less distributions:
Distributions from capital gains 0.60 0.32
------------- -------------
Net asset value, end of period $ 14.15 $ 15.47
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 47.78% 58.01%
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 201 $ 215
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 1.40% 1.40%
- ----------------------------------------------------------------------------------------------------------
Net investment income (loss) (1.02%) (0.21%)
- ----------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.56% 1.58%
- ----------------------------------------------------------------------------------------------------------
Net investment income (loss) without waivers and earnings credits (1.18%) (0.39%)
- ----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 138% 34%
- ----------------------------------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
43
<Page>
JPMORGAN FUNDS
Report of Independent Auditors
To the Trustees of J.P. Morgan Fleming Series Trust
and Shareholders of JPMorgan Multi-Manager Small Cap Growth Fund and
JPMorgan Multi-Manager Small Cap Value Fund
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Multi-Manager Small Cap
Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (two portfolios of
J.P. Morgan Fleming Series Trust and hereafter referred to as the "Funds") at
December 31, 2003, and the results of each of their operations, the changes in
each of their net assets and the financial highlights for the period February
28, 2003 (commencement of operations) through December 31, 2003, in conformity
with accounting principles generally accepted in the United States of America.
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 audit. We conducted our audit of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
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 audit, which included
confirmation of securities at December 31, 2003 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 24, 2004
See notes to financial statements.
44
<Page>
JPMORGAN FUNDS
Trustee and Officer Information (unaudited)
The following tables contain basic information regarding the Trustees and
Officers, respectively that oversee operations of the Trust.
<Table>
<Caption>
POSITIONS NUMBER OF PORT- OTHER
HELD WITH PRINCIPAL FOLIOS IN JP MORGAN DIRECTORSHIPS
NAME, CONTACT JP MORGAN TERM OF OFFICE OCCUPATIONS FUND COMPLEX HELD OUTSIDE
ADDRESS AND FUND AND LENGTH OF DURING PAST OVERSEEN BY JP MORGAN FUND
YEAR OF BIRTH COMPLEX TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
Cheryl Ballenger; Trustee 2 years Mathematics Teacher, 7 None
522 Fifth Avenue, Round Lake High School;
New York, NY 10036; formerly Executive Vice
1956 President and Chief
Financial Officer,
Galileo International,
Inc.
John R. Rettberg; Trustee 8 years Retired; formerly 7 Director of Enalasys,
522 Fifth Avenue, Corporate Vice President Corp., Pepperdine
New York, NY 10036; and Treasurer, Northrop University, and VLPS
1937 Grumman Corporation Lighting Services, Inc.
John F. Ruffle; Trustee 8 years Retired; formerly 7 Trustee, the John Hopkins
522 Fifth Avenue, Director and Vice University and Director
New York, NY 10036; Chairman, J.P. Morgan of American Shared
1937 Chase & Co. Hospital Services
Kenneth Whipple, Jr.; Trustee 8 years Chairman and CEO, CMS 7 Director of CMS Energy
522 Fifth Avenue, Energy; formerly Corporation, Consumers
New York, NY 10036; Executive Vice President, Energy Company and AB
1934 Ford Motor Company; Volvo
President, Ford Financial
Services Group; Chairman
& CEO, Ford Motor Credit
Company
</Table>
45
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
George Gatch; President Since 2003 Managing Director, J.P. Morgan Investment Management
522 Fifth Avenue, Inc. (JPMIM); Head of J.P. Morgan Fleming's U.S. Mutual Funds and
New York, NY 10036; Financial Intermediaries Business ("FFI"); he has held
1962 numerous positions throughout the firm in business
management, marketing and sales.
Patricia A. Maleski; Treasurer Since 2003 Vice President, JPMIM.; Head of FFI and U.S. Institutional Funds
522 Fifth Avenue, Administration and Board Liaison. Prior to joining J.P. Morgan
New York, NY 10036; Chase in 2001, she was the Vice President of Finance for the
1960 Pierpont Group, Inc., a service provider to the board of
trustees of the heritage JPMorgan Funds.
Sharon J. Weinberg; Secretary Since 2003 Managing Director, JPMIM; since joining J.P. Morgan Chase in
522 Fifth Avenue, 1996, she has held numerous positions throughout the asset
New York, NY 10036; management business in mutual funds marketing, legal and
1959 product development.
Stephen M. Ungerman; Vice President and Since 2003 Vice President, JPMIM; Business Head for Vehicle Services Group
522 Fifth Avenue, Assistant Treasurer within Fund Administration; prior to joining J.P. Morgan Chase
New York, NY 10036; in 2000, he held a number of senior management positions in
1953 Prudential Insurance Co. of America's asset management
business, including Associate General Counsel, Tax Director and
Co-head of Fund Administration Department; Mr. Ungerman was also
the Assistant Treasurer of all mutual funds managed by
Prudential.
Judy R. Bartlett; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM, since
522 Fifth Avenue, Assistant Secretary September 2000; from August 1998 through August 2000, she was an
New York, NY 10036; attorney at New York Life Insurance Company where she served
1965 as Assistant Secretary for the Mainstay Funds.
Joseph J. Bertini; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM.
522 Fifth Avenue, Assistant Secretary
New York, NY 10036;
1965
Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM, since
522 Fifth Avenue, Assistant Secretary September 2002; Mr.Chan was an associate at the law firm of
New York, NY 10036; Shearman and Sterling LLP from May 2001 through September
1965 2002; Swidler Berlin Shereff Friedman LLP from June 1999
through May 2001 and Whitman Breed Abbott & Morgan LLP from
September 1997 through May 1999.
Thomas J. Smith Vice President and Since 2003 Managing Director, Head of Compliance for J.P. Morgan Chase &
522 Fifth Avenue, Assistant Secretary Co.'s asset management business in the Americas.
New York, NY 10036;
1955
Paul M. DeRusso Assistant Treasurer Since 2003 Vice President, JPMIM; Manger of the Budgeting and Expense Group
522 Fifth Avenue, of Funds Administration Group.
New York, NY 10036;
1954
</Table>
46
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME,CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Lai Ming Fung Assistant Treasurer Since 2003 Associate, JPMIM; Budgeting Analyst for the Budgeting and
522 Fifth Avenue, Expense Group of Funds Administration Group.
New York, NY 10036;
1974
Mary D. Squires Assistant Treasurer Since 2003 Vice President, JPMIM; Ms. Squires has held numerous financial
522 Fifth Avenue, and operations positions supporting the J.P. Morgan Chase
New York, NY 10036; organization complex.
1955
Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services of BISYS Fund Services, Inc.
3435 Stelzer Rd. since January 2003; held various positions within BISYS since
Columbus, OH 43219 1998.
1968
Arthur A. Jensen Assistant Treasurer Since 2003 Vice President of Financial Services of BISYS Fund Services,
3435 Stelzer Rd. Inc. since June 2001; formerly Section Manager of Northern
Columbus, OH 43219 Trust Company and Accounting Supervisor at Allstate Insurance
1966 Company.
Martin R. Dean Assistant Treasurer Since 2003 Vice President of Regulatory Services of BISYS Fund Services,
3435 Stelzer Rd. Inc.
Columbus, OH 43219
1963
Alaina Metz Assistant Secretary Since 2003 Chief Administrative Officer of BISYS Fund Services, Inc.;
3435 Stelzer Rd. formerly, Supervisor of the Blue Sky Department of Alliance
Columbus, OH 43219 Capital Management, L.P.
1967
Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund Services, Inc. since
60 State Street, 2000; formerly Attorney at Hill, Farrer & Burrill LLP from
Suite 1300 Boston, 1999 to 2000 and Knapp Peterson Clarke, PC from 1997 to 1999.
MA 02109;
1972
Lisa Hurley Assistant Secretary Since 2003 Executive Vice President and General Counsel of BISYS Fund
60 State Street, Services, Inc.
Suite 1300 Boston,
MA 02109
1955
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
47
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND ("MMSCGF")
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND ("MMSCVF")
Certain tax information for the JPMorgan Funds is required to be provided to
shareholders based upon the Funds' income and distributions for the taxable year
ended December 31, 2003. The information and distributions reported in this
letter may differ from the information and taxable distributions reported to the
shareholders for the calendar year ending December 31, 2003. The information
necessary to complete your income tax returns for the calendar year ending
December 31, 2003 will be received under separate cover.
The following represents the percentage of ordinary income distributions
eligible for the dividends received deduction and the dollar amount of long-term
capital gains distributed by the Funds for the fiscal year ended December 31,
2003.
<Table>
<Caption>
DIVIDENDS RECEIVED LONG-TERM CAPITAL
FUND DEDUCTION GAINS DISTRIBUTION
- --------------------------------------------------------------------------------
MMSCGF 2.80% $ --
MMSCVF 19.17% 153,064
</Table>
For the fiscal year ended December 31, 2003, certain dividends paid by the Funds
may be subject to a maximum tax rate of 15% as provided for by the Jobs and
Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the
maximum amount allowable as taxed at a maximum rate of 15%. Complete information
will be reported in conjunction with your 2003 Form 1099-DIV.
For the fiscal year ended December 31, 2003, the following represents the
percentage of ordinary income distributions treated as qualified dividends:
<Table>
<Caption>
QUALIFIED
FUND DIVIDENDS
- --------------------------------------------------------------------------------
MMSCGF 3.33%
MMSCVF 20.54%
</Table>
48
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMORGAN FAMILY OF FUNDS
U.S. EQUITY FUNDS
CAPITAL GROWTH FUND
DISCIPLINED EQUITY FUND
DIVERSIFIED FUND
DYNAMIC SMALL CAP FUND
EQUITY GROWTH FUND
EQUITY INCOME FUND
GROWTH AND INCOME FUND
MID CAP EQUITY FUND
MID CAP GROWTH FUND
MID CAP VALUE FUND
SMALL CAP EQUITY FUND
SMALL CAP GROWTH FUND
TRUST SMALL CAP EQUITY FUND
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
VALUE OPPORTUNITIES FUND
INTERNATIONAL EQUITY FUNDS
FLEMING ASIA EQUITY FUND
FLEMING EMERGING MARKETS EQUITY FUND
FLEMING EUROPEAN FUND
FLEMING INTERNATIONAL EQUITY FUND
FLEMING INTERNATIONAL GROWTH FUND
FLEMING INTERNATIONAL OPPORTUNITIES FUND
FLEMING INTERNATIONAL VALUE FUND
FLEMING JAPAN FUND
SPECIALTY FUNDS
GLOBAL 50 FUND
GLOBAL HEALTHCARE FUND
MARKET NEUTRAL FUND
TAX AWARE FUNDS
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
TAX AWARE DISCIPLINED EQUITY FUND
TAX AWARE ENHANCED INCOME FUND
TAX AWARE LARGE CAP GROWTH FUND
TAX AWARE LARGE CAP VALUE FUND
TAX AWARE SHORT-INTERMEDIATE INCOME FUND
TAX AWARE U.S. EQUITY FUND
INCOME FUNDS
BOND FUND
BOND FUND II
ENHANCED INCOME FUND
FLEMING EMERGING MARKETS DEBT FUND
GLOBAL STRATEGIC INCOME FUND
SHORT TERM BOND FUND
SHORT TERM BOND FUND II
STRATEGIC INCOME FUND
U.S. TREASURY INCOME FUND
TAXFREE FUNDS
CALIFORNIA BOND FUND
INTERMEDIATE TAX FREE INCOME FUND
NEW JERSEY TAX FREE INCOME FUND
NEW YORK INTERMEDIATE TAX FREE INCOME FUND
TAX FREE INCOME FUND
MONEY MARKET FUNDS
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
CALIFORNIA TAX FREE MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
LIQUID ASSETS MONEY MARKET FUND
NEW YORK TAX FREE MONEY MARKET FUND
PRIME MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
TREASURY PLUS MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
<Page>
ANNUAL REPORT
JPMORGAN FUNDS ARE DISTRIBUTED BY J.P. MORGAN FUND DISTRIBUTORS, INC., WHICH IS
UNAFFILIATED WITH THE JPMORGAN CHASE BANK. JPMORGAN CHASE AND ITS RESPECTIVE
AFFILIATES RECEIVE COMPENSATION FROM JPMORGAN FUNDS FOR PROVIDING SERVICES TO
THE FUNDS.
THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUNDS. IT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE
FUNDS UNLESS PRECEDED OR ACCOMPANIED BY A PROSPECTUS.
TO OBTAIN A PROSPECTUS FOR ANY OF THE JPMORGAN FUNDS, CALL 1-800-348-4782. THE
PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING CHARGES AND EXPENSES.
PLEASE READ IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
A LIST OF PORTFOLIO HOLDINGS IS AVAILABLE FIFTEEN DAYS AFTER MONTH-END UPON
REQUEST. PLEASE CONTACT YOUR JPMORGAN FLEMING REPRESENTATIVE OR CALL
1-800-766-7722 TO OBTAIN FURTHER INFORMATION.
JPMORGAN FUNDS FULFILLMENT CENTER
600 NORTH BEDFORD STREET
EAST BRIDGEWATER, MA 02333
(C) J.P. MORGAN CHASE & CO., 2004 ALL RIGHTS RESERVED. FEBRUARY 2004
AN-MULTI-1203
<Page>
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S
PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING
OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS.
THE REGISTRANT WILL PROVIDE ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF
THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving
on its audit committee; or
(ii) Does not have an audit committee financial expert serving
on its audit committee.
THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT
LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is
"independent." In order to be considered "independent" for
purposes of this Item, a member of an audit committee may not,
other than in his or her capacity as a member of the audit
committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-
2(a)(19)).
THE AUDIT COMMITTEE FINANCIAL EXPERTS ARE CHERYL BALLENGER, JOHN R. RETTBERG,
JOHN F. RUFFLE AND KENNETH WHIPPLE, JR. EACH TRUSTEE IS A "NON-INTERESTED"
TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE
COMMISSION FOR PURPOSES OF AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS.
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an
audit committee financial expert.
NOT APPLICABLE.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years
(the "Reporting Periods") for professional services rendered by the Registrant's
principal accountant (the "Auditor") for the audit of the Registrant's annual
financial statements, or services that are normally provided by the Auditor in
connection with the statutory and regulatory filings or engagements for the
Reporting Periods, were $14,000 in 2002 and $131,065 in 2003.
(b) AUDIT-RELATED FEES. There were no audit-related fees for the Registrant
during the Reporting Periods.
The aggregate fees billed in the Reporting Periods for assurance and related
services by the Auditor to the Registrant's investment adviser (not including
any sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any entity
controlling, controlled by or under common control with the investment adviser
that provides ongoing services to the Registrant ("Service Affiliates"), that
were reasonably related to the performance of the annual audit of the Service
Affiliates, which required pre-approval by the Audit Committee were $8,277,000
from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by
the Auditor were not required to be pre-approved).
<Page>
(c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting
Periods for professional services rendered by the Auditor for tax compliance,
tax advice and tax planning ("Tax Services") were none in 2002 and $16,200 in
2003. These services consisted of review or preparation of U.S. federal, state,
local and excise tax returns.
There were no fees billed for Tax Services by the Auditor to Service Affiliates
which required pre-approval by the Audit Committee for the period May 6, 2003
through December 31, 2003.
(d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for
products and services provided by the Auditor to the Registrant, or services
provided to Service Affiliates which were required to be pre-approved on or
after May 6, 2003 until December 31, 2003, other than the services reported
above.
(e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to
pre-approving any services to be provided by the Auditor to the Registrant, the
Audit Committee considers and approves any non-audit services to be provided to
the Service Affiliates by the Auditor and the fees to be charged for such
non-audit services. Pre-approval considerations include whether the proposed
services are compatible with maintaining the Auditor's independence. John F.
Ruffle, a Trustee of the Registrant, has been designated as the primary member
of the Audit Committee authorized to provide pre-approval to the Auditor for
audit and non-audit services in accordance with the applicable pre-approval
policies and procedures.
(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for
services rendered to the Registrant, and rendered to Service Affiliates, for the
Reporting Periods were $46.4 million in 2002 and $28.3 million in 2003.
(h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered
whether the provision of non-audit services that were rendered to Service
Affiliates that were not pre-approved (not requiring pre-approval) is compatible
with maintaining the Auditor's independence. All services provided by the
Auditor to the Registrant or to Service Affiliates that were required to be
pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3
under the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member. If
the entire board of directors is acting as the registrant's audit
committee as specified in Section 3(a)(58)(B) of the Exchange Act
(15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption
from the listing standards for all audit committees.
NOT APPLICABLE.
ITEMS 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report
on this Form N-CSR must, unless it invests exclusively in non-voting securities,
describe the policies and procedures that it uses to determine how to vote
proxies relating to portfolio securities, including the procedures that the
company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
NOT APPLICABLE.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
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(a) If the registrant is a closed-end management investment company,
provide the information specified in paragraph (b) of this Item with
respect to any purchase made by or on behalf of the registrant or any
"affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange
Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the
registrant's equity securities that is registered by the registrant
pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
NOT APPLICABLE.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
NOT APPLICABLE.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive and
principal financial officers, or persons performing similar functions, regarding
the effectiveness of the registrant's disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date
within 90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE
CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND
PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT
THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO
ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR
IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS
AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS
THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE
REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL
FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED
DISCLOSURE.
(b) Disclose any change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that
occurred during the registrant's last fiscal half-year (the registrant's second
fiscal half-year in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control
over financial reporting.
THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR
(THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT
HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE
REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
ITEM 11. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number
the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit.
NOT APPLICABLE - SEE ITEM 2 ABOVE.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2 under
the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
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(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons.
NOT APPLICABLE.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Fleming Series Trust
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By (Signature and Title)* /s/ Patricia A. Maleski
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Patricia A. Maleski, Treasurer
Date March 5, 2004
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Patricia A. Maleski
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Patricia A. Maleski, Treasurer
Date March 5, 2004
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By (Signature and Title)* /s/ George C.W. Gatch
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George C.W. Gatch, President
Date March 5, 2004
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* Print the name and title of each signing officer under his or her signature.
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