<Page>
-------------------------------------
OMB APPROVAL
OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response. . . . . . . 5.0
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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 811-07843
---------------------------------------------
J.P. Morgan Mutual Fund Select Group
- -------------------------------------------------------------------------------
(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: October, 31 2003
-------------------------------------------------------
Date of reporting period: November 1, 2002 through April 30, 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>
[GRAPHIC]
SEMI ANNUAL REPORT APRIL 30, 2003 (UNAUDITED)
JPMORGAN FUNDS
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
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
Fleming Tax Aware International
Opportunites Fund 3
Tax Aware Disciplined Equity Fund 7
Tax Aware Enhanced Income Fund 10
Tax Aware Large Cap Growth Fund 13
Tax Aware Large Cap Value Fund 16
Tax Aware Short-Intermediate Income Fund 19
Tax Aware U.S. Equity Fund 21
Portfolio of Investments 25
Financial Statements 69
Notes to Financial Statements 78
Financial Highlights 96
</Table>
HIGHLIGHTS
- - "Baghdad bounce" revives international markets
- - International equity returns aided by weak dollar
- - Portfolios not constrained by tax concerns
- - Earnings expansion key to equity price rises
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 TAX AWARE FUNDS
PRESIDENT'S LETTER JUNE 2, 2003
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Tax Aware
Funds. Inside, you'll find information detailing the performance of the Funds
for the six months ended April 30, 2003, along with a report from the Portfolio
Managers.
SWIFT WAR DRIVES POSITIVE RETURNS
The past few months served as a reminder of the old investment maxim "buy when
the shooting starts." After months of uncertainty, equity markets around the
world started to rally in early March, once it became clear that the war in Iraq
was inevitable. In the weeks that followed oil prices fell, removing much of the
threat that war in Iraq would have serious economic ramifications. Equities
retraced much of their earlier losses to the relief of investors everywhere.
Even so, the performance of U.S. and international markets was highly variable.
Broadly speaking, the United States outperformed Europe, which in turn
outperformed Asia. In Asia, geopolitical worries, the emergence of SARS and a
weak Japanese economy all held back markets. The S&P 500 Index rose 4.5%, which
compares with an appreciation of 1.8% for the broad-based MSCI EAFE Index of
international markets in U.S. dollar terms. It should be noted that the MSCI
EAFE return benefited from the sustained fall of the U.S. dollar during the
period.
Economically, U.S. data continued to lack direction, with a fall in business
investment and weak consumer demand becoming evident toward the end of the
period. Growth was poor almost everywhere, with fears of deflation stalking
Japan in particular, and Germany to a lesser extent. Perhaps the most positive
sign was that corporate earnings did not disappoint, although there are no
expectations of large rebounds in earnings.
TAX STATUS
From a tax perspective, our Funds are in good shape. The losses incurred during
the last few years' bear market mean that our Portfolio Managers have
considerable freedom of action. Because capital losses have been carried over
from previous years, there are not too many constraints on what the Managers can
buy and sell. This should benefit performance in the period ahead.
1
<Page>
OUTLOOK
Following the end of the war, the world's financial markets are more relaxed. We
believe there are some issues that still need to be resolved before equities can
resume an upward course. These include: lack of economic growth, deflation
concerns, U.S. equity market valuations, excess capacity and a debt-ridden U.S.
consumer. The key to a strong and prolonged rise in prices is resumption in
corporate earnings growth -- both in the United States and international
markets.
The portfolio management team and all of us here at JPMorgan Fleming Asset
Management thank you for your continued business and anticipate serving your
investment needs for many years to come. Should you have any questions, please
feel free to contact your financial advisor or the JPMorgan Funds Service Center
at 1-800-348-4782.
Sincerely yours,
/s/ George C. W. Gatch
George C. W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN FLEMING TAX AWARE
INTERNATIONAL OPPORTUNITIES FUND
As of April 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Fleming International Opportunities Fund, which seeks to provide
high after-tax return by investing in equity securities of foreign companies in
developed and, to a lesser extent, emerging markets, declined by 1.40%
(Institutional Shares) in the six months ended April 30, 2003. This compares
with a rise of 1.81% for the Fund's benchmark, the MSCI EAFE Index. The Fund's
benchmark was changed to the MSCI EAFE Index on February 28, 2003, from the MSCI
All Country World Free (ex-U.S.) Index.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The Fund trailed its MSCI EAFE Index (in U.S. dollar terms) benchmark in a
six months when the benchmark achieved a small rise chiefly as a result of
dollar weakness. Stock price movements were mixed. The portfolio had a
combination of difficulties in just a few holdings, and its Asian country
allocation. These negatives were partially offset by strong performances from
some European stocks.
The greatest problems occurred in holdings in the U.K. and The Netherlands. U.K.
electrical retailer Dixons fell back sharply following poor Christmas trading
and the announcement of a monopolies inquiry into its sale of extended
warranties, from which it makes significant profits. At Corus, the Anglo-Dutch
steel group, the Dutch Supervisory Board stopped the sale of the aluminum
business, preventing it from paying down debt and focusing on its carbon steel
business. Dutch insurer Aegon was caught up in the confusion surrounding
accounting fraud at Ahold, the Dutch food retailer where it holds a 5% stake.
There was also a disappointment in Japan, where miniature ball bearings
manufacturer Minebea fell in price following poor demand for the consumer
electronics goods in which these components are used.
Stock-picking caused the Fund to be vulnerable to rising tensions in East Asia.
An overweight position in South Korea hurt performance as North Korea publicized
its nuclear ambitions.
There was, however, strong performance from a number of European holdings. In
particular, the retail banks Barclays, BNP and Unicredito performed well.
Additionally, Spanish utility Iberdrola showed signs of benefiting from the
actions of new management.
Q: HOW WAS THE FUND MANAGED?
A: Current positions reflect a fairly neutral view regarding the economic cycle,
with holdings fairly well- balanced between defensive and cyclical stocks. The
biggest sector overweights are in the Banking and Telecommunications sectors,
while the greatest underweight is in Energy.
(UNAUDITED)
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
United Kingdom 28.60%
Japan 14.90%
France 12.00%
Switzerland 9.20%
The Netherlands 5.10%
Australia 4.20%
Germany 3.40%
Spain 3.30%
Italy 3.10%
Hong Kong 2.50%
Finland 2.40%
India 2.30%
Sweden 2.20%
Russia 2.00%
South Korea 1.60%
Mexico 1.20%
Belgium 1.00%
Singapore 1.00%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
1. VODAFONE GROUP PLC (UNITED KINGDOM) (3.8%)
2. BNP PARIBAS (FRANCE) (2.8%)
3. UNILEVER PLC (UNITED KINGDOM) (2.6%)
4. NOKIA OYJ (FINLAND) (2.4%)
5. UNICREDITO ITALIANO SPA (ITALY) (2.4%)
6. TOTAL FINA ELF SA (FRANCE) (2.3%)
7. NOVARTIS AG (SWITZERLAND) (2.3%)
8. IBERDROLA SA (SPAIN) (2.2%)
9. ASTRAZENECA PLC (UNITED KINGDOM) (2.1%)
10. LUKOIL (RUSSIA), ADR (2.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 24.9% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($29,706 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 102
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
(UNAUDITED)
4
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (4/30/01)
- ----------------------------------------------------------------
Class A Shares
Without Sales Charge (19.38%) (15.44%)
With Sales Charge* (24.01%) (17.92%)
- ----------------------------------------------------------------
Class B Shares
Without CDSC (19.80%) (15.86%)
With CDSC** (23.78%) (17.55%)
- ----------------------------------------------------------------
Class C Shares
Without CDSC (19.88%) (15.91%)
With CDSC*** (20.67%) (15.91%)
- ----------------------------------------------------------------
Institutional Shares (18.73%) (14.76%)
- ----------------------------------------------------------------
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period
and 5% CDSC for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
(UNAUDITED)
5
<Page>
[CHART]
LIFE OF FUND PERFORMANCE (4/30/01 TO 4/30/03)
<Table>
<Caption>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL MSCI ALL COUNTRY WORLD LIPPER INTERNATIONAL
OPPORTUNITIES FUND (INSTITUTONAL SHARES) MSCI EAFE USD NET INDEX FREE (EX-U.S.) FUNDS INDEX
---------------------------------------- ----------------- ---------------------- --------------------
E 4/30/01 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
E 5/31/01 $ 2,937,900 $ 2,894,100 $ 2,917,200 $ 2,927,400
E 6/30/01 $ 2,851,820 $ 2,775,731 $ 2,805,180 $ 2,844,847
E 7/31/01 $ 2,719,780 $ 2,725,213 $ 2,742,905 $ 2,770,881
E 8/31/01 $ 2,699,654 $ 2,656,265 $ 2,674,881 $ 2,715,187
E 9/30/01 $ 2,401,612 $ 2,387,185 $ 2,391,076 $ 2,419,231
E10/31/01 $ 2,485,669 $ 2,448,297 $ 2,458,026 $ 2,484,792
E11/30/01 $ 2,603,738 $ 2,538,640 $ 2,570,358 $ 2,577,475
E12/31/01 $ 2,641,492 $ 2,553,618 $ 2,603,515 $ 2,623,354
E 1/31/02 $ 2,511,002 $ 2,418,020 $ 2,492,085 $ 2,517,371
E 2/28/02 $ 2,508,993 $ 2,434,947 $ 2,510,028 $ 2,552,614
E 3/31/02 $ 2,647,490 $ 2,566,677 $ 2,646,322 $ 2,687,647
E 4/30/02 $ 2,681,643 $ 2,583,617 $ 2,663,523 $ 2,706,461
E 5/31/02 $ 2,727,767 $ 2,616,429 $ 2,692,556 $ 2,745,163
E 6/30/02 $ 2,585,377 $ 2,512,295 $ 2,576,237 $ 2,636,729
E 7/31/02 $ 2,324,513 $ 2,264,332 $ 2,325,054 $ 2,373,584
E 8/31/02 $ 2,348,688 $ 2,259,124 $ 2,325,287 $ 2,375,482
E 9/30/02 $ 2,077,884 $ 2,016,494 $ 2,078,806 $ 2,119,643
E10/31/02 $ 2,210,245 $ 2,124,780 $ 2,190,230 $ 2,229,652
E11/30/02 $ 2,330,483 $ 2,221,245 $ 2,295,580 $ 2,335,115
E12/31/02 $ 2,215,823 $ 2,146,611 $ 2,221,433 $ 2,260,391
E 1/31/03 $ 2,102,373 $ 2,057,097 $ 2,143,461 $ 2,177,661
E 2/28/03 $ 2,047,711 $ 2,009,990 $ 2,099,949 $ 2,113,202
E 3/31/03 $ 1,980,751 $ 1,970,594 $ 2,059,210 $ 2,061,429
E 4/30/03 $ 2,179,582 $ 2,163,712 $ 2,257,717 $ 2,265,510
</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 4/30/01.
All Shares Classes were introduced on 4/30/01.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Fleming Tax Aware International
Opportunities Fund, MSCI All Country World Index Free (ex U.S.), MSCI EAFE USD
Net and Lipper International Funds Index from April 30, 2001 to April 30, 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
MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the
performance of the world's equity markets, excluding the U.S. and Canada. The
MSCI All Country World Index Free (ex U.S.) is an unmanaged index that measures
developed and emerging foreign stock market performance. The Lipper
International Funds Index represents the total returns of the funds in the
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Institutional Shares have a $3,000,000 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.
International investing involves a greater degree of risk and increased
volatility. Changes in currency exchange rates and differences in accounting and
taxation policies outside the U.S. can raise or lower returns. Also, some
overseas markets may not be as politically and economically stable as the United
States and other nations.
(UNAUDITED)
6
<Page>
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND
As of April 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Disciplined Equity Fund, which seeks to provide high after
tax return from a portfolio of selected equity securities, rose 4.41%
(Institutional Shares) during the six months ended April 30, 2003. This compares
with a rise of 4.48% for the Fund's benchmark, the S&P 500 Index.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: The Fund slightly underperformed its benchmark during the reporting period.
On an individual-security level, stock selection was weak in the Software,
Energy and Consumer Staples sectors. One of the highest profile detractors from
performance was Altria (formerly Philip Morris), which faced a multi-billion
dollar lawsuit from Illinois smokers who claim they were misled over the dangers
of smoking "light" cigarettes.
On the flip side, within the Financial sector, the single greatest contributor
to performance was Countrywide Financial, which benefited from the wave of
mortgage refinancing sparked by lower interest rates. Additionally, the
Pharmaceutical sector was also an area of outperformance due to the Fund's high
weighting in the biotechnology sub-sector. Biotechnology stock prices rose both
in reaction to good news regarding their products, and as investors' risk
appetites improved.
Q: HOW WAS THE FUND MANAGED?
A: The Fund continued to focus on selecting stocks whose prices we believe will
outperform the sector average return. In each sector it takes modest overweight
positions in those stocks which the manager considers to be undervalued or
fairly valued, while taking modestly underweight positions in those considered
overvalued.
(UNAUDITED)
7
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 21.60%
Finance & Insurance 19.50%
Technology 16.40%
Industrial Products & Services 13.80%
Pharmaceuticals 11.40%
Energy 6.00%
Health Services & Systems 4.30%
Telecommunications 3.80%
Utilities 2.60%
REITs 0.40%
Short-Term Investments 0.20%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
1. MICROSOFT CORP. (4.2%)
2. GENERAL ELECTRIC CO. (4.0%)
3. CITIGROUP, INC. (3.4%)
4. PFIZER, INC. (2.8%)
5. WAL-MART STORES, INC. (2.6%)
6. THE COCA-COLA CO. (2.2%)
7. EXXON MOBIL CORP. (2.1%)
8. PROCTER & GAMBLE CO. (2.0%)
9. INTERNATIONAL BUSINESS MACHINES CORP. (1.9%)
10. JOHNSON & JOHNSON (1.7%)
TOP 10 EQUITY HOLDINGS COMPRISED 26.9% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($47,557 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 198
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (1/30/97)
- -------------------------------------------------------------------------
Institutional Shares (14.26%) (12.98%) (2.90%) 4.09%
</Table>
(UNAUDITED)
8
<Page>
[CHART]
LIFE OF FUND PERFORMANCE (1/30/97 TO 4/30/03)
<Table>
<Caption>
JPMORGAN TAX AWARE DISCIPLINED LIPPER LARGE-CAP
EQUITY FUND (INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
---------------------------------- ------------- ----------------
1/30/1997 $ 3,000,000 $ 3,000,000 $ 3,000,000
1/31/1997 $ 3,009,000 $ 3,000,000 $ 3,000,000
2/28/1997 $ 3,036,081 $ 3,023,400 $ 2,996,400
3/31/1997 $ 2,900,975 $ 2,899,138 $ 2,868,154
4/30/1997 $ 3,075,034 $ 3,072,217 $ 3,027,050
5/31/1997 $ 3,302,894 $ 3,259,315 $ 3,210,792
6/30/1997 $ 3,458,791 $ 3,405,332 $ 3,350,140
7/31/1997 $ 3,758,668 $ 3,676,397 $ 3,614,801
8/31/1997 $ 3,569,607 $ 3,470,518 $ 3,430,808
9/30/1997 $ 3,752,728 $ 3,660,703 $ 3,607,494
10/31/1997 $ 3,623,634 $ 3,538,435 $ 3,496,384
11/30/1997 $ 3,779,450 $ 3,702,265 $ 3,610,715
12/31/1997 $ 3,844,456 $ 3,765,944 $ 3,676,430
1/31/1998 $ 3,895,972 $ 3,807,746 $ 3,712,827
2/28/1998 $ 4,179,989 $ 4,082,284 $ 3,976,066
3/31/1998 $ 4,394,422 $ 4,291,297 $ 4,172,882
4/30/1998 $ 4,463,854 $ 4,334,639 $ 4,215,028
5/31/1998 $ 4,421,447 $ 4,260,083 $ 4,142,951
6/30/1998 $ 4,581,946 $ 4,433,043 $ 4,339,741
7/31/1998 $ 4,539,334 $ 4,386,053 $ 4,304,589
8/31/1998 $ 3,857,526 $ 3,751,829 $ 3,660,192
9/30/1998 $ 4,120,995 $ 3,992,322 $ 3,842,104
10/31/1998 $ 4,466,334 $ 4,316,897 $ 4,130,261
11/30/1998 $ 4,794,163 $ 4,578,501 $ 4,376,012
12/31/1998 $ 5,067,430 $ 4,842,223 $ 4,666,579
1/31/1999 $ 5,235,162 $ 5,044,628 $ 4,829,909
2/28/1999 $ 5,077,060 $ 4,887,740 $ 4,680,665
3/31/1999 $ 5,281,158 $ 5,083,250 $ 4,868,828
4/30/1999 $ 5,552,082 $ 5,279,971 $ 4,999,313
5/31/1999 $ 5,445,482 $ 5,155,364 $ 4,866,831
6/30/1999 $ 5,753,696 $ 5,441,487 $ 5,138,400
7/31/1999 $ 5,561,522 $ 5,271,712 $ 4,987,845
8/31/1999 $ 5,494,228 $ 5,245,354 $ 4,936,969
9/30/1999 $ 5,307,974 $ 5,101,631 $ 4,803,177
10/31/1999 $ 5,570,718 $ 5,424,564 $ 5,097,612
11/30/1999 $ 5,677,676 $ 5,534,683 $ 5,222,503
12/31/1999 $ 5,949,069 $ 5,860,676 $ 5,569,800
1/31/2000 $ 5,651,021 $ 5,566,470 $ 5,344,780
2/29/2000 $ 5,528,394 $ 5,461,264 $ 5,343,176
3/31/2000 $ 6,077,916 $ 5,995,375 $ 5,807,498
4/30/2000 $ 5,844,524 $ 5,814,915 $ 5,617,593
5/31/2000 $ 5,734,062 $ 5,695,709 $ 5,474,345
6/30/2000 $ 5,872,253 $ 5,835,823 $ 5,674,706
7/31/2000 $ 5,780,059 $ 5,744,784 $ 5,586,180
8/31/2000 $ 6,152,873 $ 6,101,535 $ 5,971,627
9/30/2000 $ 5,838,461 $ 5,779,374 $ 5,653,936
10/31/2000 $ 5,823,281 $ 5,755,101 $ 5,588,350
11/30/2000 $ 5,372,559 $ 5,301,599 $ 5,096,576
12/31/2000 $ 5,409,630 $ 5,327,577 $ 5,158,754
1/31/2001 $ 5,647,653 $ 5,516,706 $ 5,304,746
2/28/2001 $ 5,124,681 $ 5,013,582 $ 4,810,875
3/31/2001 $ 4,799,776 $ 4,695,721 $ 4,515,487
4/30/2001 $ 5,205,357 $ 5,060,579 $ 4,858,664
5/31/2001 $ 5,261,054 $ 5,094,485 $ 4,885,872
6/30/2001 $ 5,140,050 $ 4,970,689 $ 4,755,908
7/31/2001 $ 5,103,042 $ 4,921,976 $ 4,686,948
8/31/2001 $ 4,792,777 $ 4,613,860 $ 4,410,886
9/30/2001 $ 4,368,137 $ 4,241,522 $ 4,076,100
10/31/2001 $ 4,452,005 $ 4,322,535 $ 4,172,296
11/30/2001 $ 4,805,494 $ 4,654,073 $ 4,445,581
12/31/2001 $ 4,842,496 $ 4,695,029 $ 4,495,816
1/31/2002 $ 4,733,540 $ 4,626,482 $ 4,424,783
2/28/2002 $ 4,636,976 $ 4,537,190 $ 4,350,446
3/31/2002 $ 4,801,589 $ 4,707,789 $ 4,498,361
4/30/2002 $ 4,492,366 $ 4,422,497 $ 4,263,097
5/31/2002 $ 4,451,935 $ 4,389,770 $ 4,231,976
6/30/2002 $ 4,124,273 $ 4,077,219 $ 3,939,547
7/31/2002 $ 3,801,755 $ 3,759,196 $ 3,646,839
8/31/2002 $ 3,836,351 $ 3,784,006 $ 3,676,743
9/30/2002 $ 3,409,748 $ 3,372,685 $ 3,319,731
10/31/2002 $ 3,689,348 $ 3,669,481 $ 3,577,674
11/30/2002 $ 3,906,281 $ 3,885,614 $ 3,737,596
12/31/2002 $ 3,671,514 $ 3,657,528 $ 3,540,625
1/31/2003 $ 3,573,852 $ 3,561,701 $ 3,447,860
2/28/2003 $ 3,520,244 $ 3,508,275 $ 3,402,004
3/31/2003 $ 3,557,558 $ 3,542,306 $ 3,430,581
4/30/2003 $ 3,852,491 $ 3,834,192 $ 3,683,414
</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 1/30/97.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Disciplined Equity Fund, S&P 500
Index, and Lipper Large-Cap Core Funds Index from January 30, 1997 to April 30,
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 reflects an initial investment at the end of the month following the
Fund's inception. 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 S&P 500 Index is a broad-based
index that replicates the U.S. stock market. The Lipper Large-Cap Core 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.
Institutional Shares have a $3,000,000 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)
9
<Page>
JPMORGAN TAX AWARE ENHANCED INCOME FUND
As of April 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Enhanced Income Fund, which seeks to provide high
after-tax current income consistent with principal preservation, returned 1.34%
(Institutional Shares) for the six-month period ended April 30, 2003. This
compares to the 0.68% return from the Fund's benchmark index, the Merrill Lynch
3-Month U.S. Treasury Bill Index.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The chief contributor to the Fund's outperformance was our tactical
allocation to mortgage-backed securities. Slightly positive was our duration
position and our small allocation to investment-grade corporate bonds, which
benefited from a general narrowing in credit spreads. We took advantage of a
rare drop in municipal prices in high-tax states (such as New York and
California), purchasing issues at levels below their in-state advantage.
Q: HOW WAS THE FUND MANAGED?
A: Contradictory economic data and geopolitical anxiety buffeted the financial
markets during most of the reporting period. The Federal Reserve Board
maintained an accommodative monetary policy, lowering the Federal Funds Rate by
1/2 percent in November. Surprisingly, the fixed income markets paid little
attention to disappointing economic data in the first months of 2003, and the
decline in bond yields was less dramatic than the data would have justified. In
2002, municipal issuance reached a record $320 billion, as municipalities took
advantage of low interest rates to refinance outstanding debt and raise new
money. This torrid pace continued into 2003 with $113 billion in new issuance by
the end of April, 21% more than during the same period last year. The heavy
supply was met with strong demand from retail and institutional investors.
The ratio (the difference in prices) between municipal and taxable securities
was volatile during the period. We took advantage of the situation by increasing
our allocation to mortgages when municipals were expensive and reducing our
position when municipals came under pressure. We shortened our duration position
toward the end of 2002, which detracted from performance as Treasuries closed
the year with a strong rally. We maintained our short position into January,
recouping our losses as Treasury prices fell. We selectively added high-quality
California city and local municipality issues to the portfolios because of
improved investor sentiment about the state's budget shortfalls.
(UNAUDITED)
10
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE INCEPTION
1 YEAR 3 YEARS (4/16/99)
- -----------------------------------------------------------------------
Class A Shares
Without Sales Charge 1.38% 3.60% 3.41%
With Sales Charge* (0.10%) 3.08% 3.03%
- -----------------------------------------------------------------------
Institutional Shares 1.90% 3.95% 3.73%
- -----------------------------------------------------------------------
Select Shares 1.64% 3.73% 3.50%
- -----------------------------------------------------------------------
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (4/16/99 TO 4/30/03)
<Table>
<Caption>
JPMORGAN TAX AWARE ENHANCED MERRILL LYNCH 3-MONTH LIPPER SHORT-INTERMEDIATE
INCOME FUND (INSTITUTIONAL SHARES) U.S. TREASURY BILL INDEX INVESTMENT GRADE FUNDS INDEX
---------------------------------- ------------------------ ----------------------------
4/16/1999 $ 3,000,000 $ 3,000,000 $ 3,000,000
4/30/1999 $ 3,003,000 $ 3,011,400 $ 3,009,000
5/31/1999 $ 3,011,408 $ 3,023,144 $ 2,991,247
6/30/1999 $ 3,005,386 $ 3,035,842 $ 2,992,443
7/31/1999 $ 3,015,604 $ 3,048,289 $ 2,989,152
8/31/1999 $ 3,025,857 $ 3,060,482 $ 2,992,739
9/30/1999 $ 3,036,145 $ 3,074,254 $ 3,019,673
10/31/1999 $ 3,046,771 $ 3,086,244 $ 3,026,015
11/30/1999 $ 3,056,826 $ 3,098,589 $ 3,032,369
12/31/1999 $ 3,068,136 $ 3,112,532 $ 3,027,821
1/31/2000 $ 3,063,841 $ 3,125,916 $ 3,019,646
2/29/2000 $ 3,074,564 $ 3,139,670 $ 3,041,387
3/31/2000 $ 3,101,928 $ 3,155,996 $ 3,067,239
4/30/2000 $ 3,096,344 $ 3,170,830 $ 3,063,558
5/31/2000 $ 3,107,801 $ 3,190,172 $ 3,069,685
6/30/2000 $ 3,134,528 $ 3,203,889 $ 3,116,651
7/31/2000 $ 3,146,752 $ 3,218,307 $ 3,137,221
8/31/2000 $ 3,159,339 $ 3,235,042 $ 3,170,162
9/30/2000 $ 3,171,977 $ 3,252,188 $ 3,199,011
10/31/2000 $ 3,185,299 $ 3,269,099 $ 3,207,328
11/30/2000 $ 3,197,722 $ 3,287,079 $ 3,244,533
12/31/2000 $ 3,226,821 $ 3,305,158 $ 3,293,526
1/31/2001 $ 3,239,406 $ 3,326,972 $ 3,341,611
2/28/2001 $ 3,250,420 $ 3,339,615 $ 3,371,351
3/31/2001 $ 3,278,373 $ 3,354,977 $ 3,394,614
4/30/2001 $ 3,273,128 $ 3,369,739 $ 3,390,540
5/31/2001 $ 3,300,622 $ 3,382,881 $ 3,408,849
6/30/2001 $ 3,311,184 $ 3,392,691 $ 3,421,462
7/31/2001 $ 3,321,449 $ 3,403,887 $ 3,483,732
8/31/2001 $ 3,341,045 $ 3,414,779 $ 3,512,299
9/30/2001 $ 3,353,073 $ 3,429,463 $ 3,554,798
10/31/2001 $ 3,364,809 $ 3,438,380 $ 3,600,655
11/30/2001 $ 3,365,145 $ 3,445,944 $ 3,566,088
12/31/2001 $ 3,370,866 $ 3,451,458 $ 3,551,111
1/31/2002 $ 3,387,720 $ 3,456,635 $ 3,567,801
2/28/2002 $ 3,396,867 $ 3,461,128 $ 3,593,846
3/31/2002 $ 3,396,527 $ 3,466,320 $ 3,549,282
4/30/2002 $ 3,412,831 $ 3,471,866 $ 3,593,293
5/31/2002 $ 3,418,974 $ 3,477,421 $ 3,621,680
6/30/2002 $ 3,421,367 $ 3,482,290 $ 3,632,908
7/31/2002 $ 3,424,446 $ 3,487,513 $ 3,657,248
8/31/2002 $ 3,426,844 $ 3,492,395 $ 3,699,307
9/30/2002 $ 3,432,327 $ 3,497,983 $ 3,748,877
10/31/2002 $ 3,431,640 $ 3,503,230 $ 3,739,505
11/30/2002 $ 3,441,249 $ 3,508,835 $ 3,739,505
12/31/2002 $ 3,447,099 $ 3,513,046 $ 3,804,572
1/31/2003 $ 3,459,853 $ 3,516,559 $ 3,806,855
2/28/2003 $ 3,465,043 $ 3,519,724 $ 3,851,776
3/31/2003 $ 3,471,280 $ 3,523,948 $ 3,856,398
4/30/2003 $ 3,478,406 $ 3,527,119 $ 3,881,465
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
* Sales Charge for Class A Shares is 1.50%.
The Fund commenced operations on 4/16/99.
Returns for the Select Shares prior to 5/6/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 11/30/01 (offering date of the Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Tax Aware Enhanced Income Fund, Merrill
Lynch 3-Month U.S. Treasury Bill Index, and Lipper Short-Intermediate Investment
Grade Funds Index from April 16, 1999 to April 30, 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 reflects an initial
investment at the end of the month following the Fund's inception. 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 Merrill Lynch 3-Month U.S. Treasury Bill Index is
an unmanaged index that tracks the performance of the 3-Month U.S. Treasury
Market. The Lipper Short-Intermediate Investment Grade 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.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
(UNAUDITED)
11
<Page>
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)
12
<Page>
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND
As of April 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks to provide long term
capital growth while minimizing capital gain distributions from a portfolio of
large cap equity securities, had a total return of 3.65% (Select Shares) during
the six months ended April 30, 2003. This compares to the 4.28% return from the
Fund's benchmark, the Russell 1000 Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Undermining performance was an overweight position in the Software & Services
sector, and underweight positions in the Retail and Insurance sectors. The
Fund's 2% overweight in Software & Services detracted 0.62% from performance,
while an underweight position in Retail and Insurance detracted 0.30% and 0.24%,
respectively. On a stock-specific level, investments in Automatic Data
Processing, Home Depot and AIG negatively affected performance.
The top performing sectors included Pharmaceuticals, Consumer Staples and
Capital Markets. These sectors added a total of 1.19% to performance. Excellent
stock selection, including Amgen, Mylan Labs, YUM (a quick service restaurant
group), Colgate Palmolive, Proctor & Gamble Co., Goldman Sachs and American
Express, enhanced returns. The Fund also benefited from not owning Altria Group
(formerly Phillip Morris).
Q: HOW WAS THE FUND MANAGED?
A: We continued to barbell the Fund with an overweight position in the
technology sector, balanced to some extent by overweights in the Consumer
Staples and Pharmaceuticals sectors. Given relatively high unemployment levels
and weak consumer confidence numbers, among other factors, we questioned the
willingness and/or ability of the consumer to continue to spend. We thus chose
to underweight the Consumer Cyclical sector, which underperformed the Russell
1000 Growth Index. We remained fairly well diversified in technology, as news
flow remained mixed to negative.
(UNAUDITED)
13
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 27.60%
Pharmaceuticals 24.70%
Consumer Goods & Services 23.80%
Finance & Insurance 11.60%
Industrial Products & Services 5.50%
Health Services & Systems 3.10%
Energy 2.20%
Short-Term Investments 0.90%
Telecommunications 0.60%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
1. MICROSOFT CORP. (7.1%)
2. GENERAL ELECTRIC CO. (5.5%)
3. PFIZER, INC. (5.4%)
4. WAL-MART STORES, INC. (5.2%)
5. JOHNSON & JOHNSON (3.9%)
6. INTEL CORP. (3.8%)
7. AMGEN, INC. (3.0%)
8. INTERNATIONAL BUSINESS MACHINES CORP. (3.0%)
9. THE COCA-COLA CO. (2.9%)
10. CISCO SYSTEMS, INC. (2.6%)
TOP 10 EQUITY HOLDINGS COMPRISED 42.4% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($111,194 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 53
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- ----------------------------------------------------------------
Select Shares (12.56%) (21.69%) (4.57%) 7.61%
</Table>
(UNAUDITED)
14
<Page>
[CHART]
TEN-YEAR PERFORMANCE (4/30/93 TO 4/30/03)
<Table>
<Caption>
JPMORGAN TAX AWARE
LARGE CAP GROWTH RUSSELL 1000 S&P 500/BARRA LIPPER LARGE CAP
FUND (SELECT SHARES) GROWTH INDEX GROWTH INDEX GROWTH FUNDS INDEX
-------------------- ------------ ------------- ------------------
4/30/1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000
5/31/1993 $ 1,021,100 $ 1,035,000 $ 1,035,600 $ 1,037,800
6/30/1993 $ 1,005,477 $ 1,025,478 $ 1,026,797 $ 1,046,102
7/31/1993 $ 1,003,969 $ 1,007,122 $ 1,005,645 $ 1,038,989
8/31/1993 $ 1,037,200 $ 1,048,414 $ 1,042,351 $ 1,082,107
9/30/1993 $ 1,037,097 $ 1,040,551 $ 1,026,403 $ 1,098,339
10/31/1993 $ 1,052,860 $ 1,069,478 $ 1,064,586 $ 1,110,860
11/30/1993 $ 1,046,859 $ 1,062,420 $ 1,063,840 $ 1,088,420
12/31/1993 $ 1,072,403 $ 1,080,799 $ 1,071,287 $ 1,122,270
1/31/1994 $ 1,104,789 $ 1,105,766 $ 1,094,213 $ 1,163,121
2/28/1994 $ 1,084,019 $ 1,085,641 $ 1,074,626 $ 1,144,278
3/31/1994 $ 1,033,612 $ 1,033,205 $ 1,024,979 $ 1,088,323
4/30/1994 $ 1,035,163 $ 1,038,061 $ 1,029,591 $ 1,093,656
5/31/1994 $ 1,058,040 $ 1,053,735 $ 1,046,373 $ 1,100,218
6/30/1994 $ 1,034,128 $ 1,022,650 $ 1,024,086 $ 1,059,180
7/31/1994 $ 1,060,705 $ 1,057,625 $ 1,056,754 $ 1,089,578
8/31/1994 $ 1,097,405 $ 1,116,534 $ 1,113,185 $ 1,145,473
9/30/1994 $ 1,069,531 $ 1,101,238 $ 1,097,266 $ 1,118,211
10/31/1994 $ 1,096,591 $ 1,127,227 $ 1,122,832 $ 1,146,837
11/30/1994 $ 1,072,575 $ 1,091,156 $ 1,086,004 $ 1,104,519
12/31/1994 $ 1,098,853 $ 1,109,487 $ 1,104,791 $ 1,113,134
1/31/1995 $ 1,124,457 $ 1,133,119 $ 1,132,190 $ 1,121,817
2/28/1995 $ 1,175,507 $ 1,180,597 $ 1,176,346 $ 1,160,407
3/31/1995 $ 1,206,540 $ 1,215,071 $ 1,213,283 $ 1,193,363
4/30/1995 $ 1,224,276 $ 1,241,681 $ 1,244,828 $ 1,225,942
5/31/1995 $ 1,257,087 $ 1,285,015 $ 1,289,393 $ 1,266,520
6/30/1995 $ 1,296,434 $ 1,334,617 $ 1,338,777 $ 1,331,239
7/31/1995 $ 1,333,253 $ 1,390,137 $ 1,381,484 $ 1,403,659
8/31/1995 $ 1,349,785 $ 1,391,666 $ 1,376,925 $ 1,411,519
9/30/1995 $ 1,396,622 $ 1,455,822 $ 1,444,945 $ 1,463,887
10/31/1995 $ 1,383,634 $ 1,456,841 $ 1,456,505 $ 1,455,543
11/30/1995 $ 1,460,149 $ 1,513,512 $ 1,508,939 $ 1,501,392
12/31/1995 $ 1,463,653 $ 1,522,139 $ 1,525,990 $ 1,501,993
1/31/1996 $ 1,489,267 $ 1,573,131 $ 1,584,283 $ 1,546,151
2/29/1996 $ 1,511,457 $ 1,601,919 $ 1,598,700 $ 1,580,940
3/31/1996 $ 1,520,526 $ 1,604,001 $ 1,591,985 $ 1,581,730
4/30/1996 $ 1,536,948 $ 1,646,187 $ 1,623,029 $ 1,619,375
5/31/1996 $ 1,555,391 $ 1,703,639 $ 1,682,756 $ 1,667,147
6/30/1996 $ 1,559,902 $ 1,706,024 $ 1,703,791 $ 1,652,143
7/31/1996 $ 1,461,472 $ 1,606,051 $ 1,625,246 $ 1,563,753
8/31/1996 $ 1,494,940 $ 1,647,487 $ 1,649,300 $ 1,610,666
9/30/1996 $ 1,578,357 $ 1,767,424 $ 1,763,761 $ 1,722,768
10/31/1996 $ 1,592,562 $ 1,778,028 $ 1,802,035 $ 1,744,302
11/30/1996 $ 1,723,471 $ 1,911,558 $ 1,936,647 $ 1,857,159
12/31/1996 $ 1,675,214 $ 1,874,092 $ 1,891,910 $ 1,811,101
1/31/1997 $ 1,715,586 $ 2,005,466 $ 2,040,047 $ 1,925,925
2/28/1997 $ 1,696,715 $ 1,991,828 $ 2,057,183 $ 1,898,192
3/31/1997 $ 1,635,973 $ 1,884,071 $ 1,959,467 $ 1,801,004
4/30/1997 $ 1,747,873 $ 2,009,173 $ 2,117,596 $ 1,899,880
5/31/1997 $ 1,879,838 $ 2,154,235 $ 2,243,169 $ 2,028,881
6/30/1997 $ 1,972,138 $ 2,240,404 $ 2,356,898 $ 2,113,891
7/31/1997 $ 2,168,760 $ 2,438,456 $ 2,543,564 $ 2,315,980
8/31/1997 $ 2,054,032 $ 2,295,807 $ 2,374,417 $ 2,189,759
9/30/1997 $ 2,155,501 $ 2,408,760 $ 2,495,512 $ 2,310,633
10/31/1997 $ 2,099,243 $ 2,319,636 $ 2,420,397 $ 2,230,454
11/30/1997 $ 2,175,655 $ 2,418,221 $ 2,551,825 $ 2,279,970
12/31/1997 $ 2,225,695 $ 2,445,305 $ 2,583,213 $ 2,310,978
1/31/1998 $ 2,257,968 $ 2,518,419 $ 2,670,008 $ 2,351,882
2/28/1998 $ 2,448,540 $ 2,707,804 $ 2,855,574 $ 2,531,566
3/31/1998 $ 2,552,848 $ 2,815,846 $ 3,003,207 $ 2,649,284
4/30/1998 $ 2,629,944 $ 2,854,705 $ 3,028,434 $ 2,693,792
5/31/1998 $ 2,554,728 $ 2,773,631 $ 2,967,563 $ 2,633,451
6/30/1998 $ 2,708,778 $ 2,943,654 $ 3,179,150 $ 2,784,084
7/31/1998 $ 2,680,065 $ 2,924,226 $ 3,177,242 $ 2,782,692
8/31/1998 $ 2,299,764 $ 2,485,300 $ 2,763,883 $ 2,328,279
9/30/1998 $ 2,488,804 $ 2,676,171 $ 2,948,787 $ 2,497,545
10/31/1998 $ 2,710,557 $ 2,891,335 $ 3,196,190 $ 2,658,636
11/30/1998 $ 2,876,443 $ 3,111,366 $ 3,412,572 $ 2,841,284
12/31/1998 $ 3,135,035 $ 3,392,011 $ 3,672,269 $ 3,153,826
1/31/1999 $ 3,359,190 $ 3,591,122 $ 3,896,645 $ 3,358,509
2/28/1999 $ 3,243,298 $ 3,427,008 $ 3,743,896 $ 3,220,474
3/31/1999 $ 3,449,896 $ 3,607,611 $ 3,925,101 $ 3,403,397
4/30/1999 $ 3,499,920 $ 3,612,301 $ 3,917,643 $ 3,414,969
5/31/1999 $ 3,389,322 $ 3,501,403 $ 3,803,640 $ 3,301,933
6/30/1999 $ 3,642,166 $ 3,746,502 $ 4,075,980 $ 3,531,418
7/31/1999 $ 3,573,329 $ 3,627,363 $ 3,947,179 $ 3,420,531
8/31/1999 $ 3,628,358 $ 3,686,489 $ 4,002,045 $ 3,421,215
9/30/1999 $ 3,602,959 $ 3,609,073 $ 3,934,010 $ 3,386,661
10/31/1999 $ 3,789,232 $ 3,881,558 $ 4,206,244 $ 3,646,418
11/30/1999 $ 3,937,770 $ 4,090,773 $ 4,386,271 $ 3,826,551
12/31/1999 $ 4,305,558 $ 4,516,214 $ 4,710,855 $ 4,251,681
E 1/31/00 $ 4,088,558 $ 4,304,403 $ 4,397,112 $ 4,081,188
E 2/29/00 $ 4,327,330 $ 4,514,889 $ 4,489,451 $ 4,295,859
E 3/31/00 $ 4,570,526 $ 4,838,155 $ 4,904,726 $ 4,597,428
E 4/30/00 $ 4,335,144 $ 4,607,859 $ 4,661,942 $ 4,241,587
E 5/31/00 $ 3,969,691 $ 4,375,623 $ 4,471,735 $ 3,997,272
E 6/30/00 $ 4,338,078 $ 4,707,295 $ 4,832,604 $ 4,261,492
E 7/31/00 $ 4,210,539 $ 4,511,001 $ 4,617,553 $ 4,174,983
E 8/31/00 $ 4,516,645 $ 4,919,246 $ 4,884,909 $ 4,536,119
E 9/30/00 $ 3,952,516 $ 4,453,885 $ 4,408,142 $ 4,190,013
E 10/31/00 $ 3,754,890 $ 4,243,217 $ 4,293,530 $ 3,968,362
E 11/30/00 $ 3,310,687 $ 3,617,767 $ 3,837,128 $ 3,435,808
E 12/31/00 $ 3,241,493 $ 3,503,445 $ 3,670,980 $ 3,414,506
E 1/31/01 $ 3,403,892 $ 3,745,533 $ 3,775,603 $ 3,513,868
E 2/28/01 $ 2,937,899 $ 3,109,542 $ 3,331,970 $ 2,969,921
E 3/31/01 $ 2,662,912 $ 2,771,224 $ 3,031,759 $ 2,661,346
E 4/30/01 $ 2,978,733 $ 3,121,783 $ 3,302,799 $ 2,947,175
E 5/31/01 $ 2,940,010 $ 3,075,893 $ 3,310,725 $ 2,924,776
E 6/30/01 $ 2,898,556 $ 3,004,532 $ 3,265,700 $ 2,840,543
E 7/31/01 $ 2,852,469 $ 2,929,419 $ 3,257,209 $ 2,738,851
E 8/31/01 $ 2,643,668 $ 2,689,793 $ 3,038,324 $ 2,530,699
E 9/30/01 $ 2,375,600 $ 2,421,351 $ 2,834,453 $ 2,276,110
E 10/31/01 $ 2,504,595 $ 2,548,472 $ 2,938,761 $ 2,370,569
E 11/30/01 $ 2,666,392 $ 2,793,380 $ 3,199,135 $ 2,587,713
E 12/31/01 $ 2,672,525 $ 2,788,073 $ 3,203,933 $ 2,599,616
E 1/31/02 $ 2,648,205 $ 2,738,724 $ 3,198,807 $ 2,540,865
E 2/28/02 $ 2,572,466 $ 2,625,067 $ 3,104,442 $ 2,435,673
E 3/31/02 $ 2,619,285 $ 2,715,894 $ 3,178,328 $ 2,533,587
E 4/30/02 $ 2,380,930 $ 2,494,277 $ 2,950,760 $ 2,364,850
E 5/31/02 $ 2,341,645 $ 2,433,916 $ 2,893,515 $ 2,321,810
E 6/30/02 $ 2,123,872 $ 2,208,779 $ 2,661,455 $ 2,132,815
E 7/31/02 $ 2,024,687 $ 2,087,296 $ 2,533,705 $ 1,972,214
E 8/31/02 $ 2,043,921 $ 2,093,558 $ 2,549,668 $ 1,983,061
E 9/30/02 $ 1,819,908 $ 1,876,456 $ 2,285,777 $ 1,790,902
E 10/31/02 $ 2,008,632 $ 2,048,527 $ 2,497,211 $ 1,928,802
E 11/30/02 $ 2,111,876 $ 2,159,762 $ 2,618,326 $ 2,008,654
E 12/31/02 $ 1,950,106 $ 2,010,522 $ 2,448,135 $ 1,868,651
E 1/31/03 $ 1,897,648 $ 1,961,667 $ 2,386,687 $ 1,825,485
E 2/28/03 $ 1,893,094 $ 1,952,643 $ 2,379,527 $ 1,805,953
E 3/31/03 $ 1,941,557 $ 1,988,962 $ 2,427,831 $ 1,839,904
E 4/30/03 $ 2,081,548 $ 2,135,946 $ 2,590,496 $ 1,974,585
</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 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Growth Fund, Russell 1000 Growth
Index, S&P 500/BARRA Growth Index, and Lipper Large-Cap Growth Funds Index from
April 30, 1993 to April 30, 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 1000 Growth Index measures the
performance of those Russell 1000 companies with higher price-to-book ratios and
higher forecasted growth values. The S&P 500/BARRA Growth Index contains large
U.S. companies with high price-to-book ratios relative to the S&P 500 Index. The
Lipper Large-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.
Select 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)
15
<Page>
JPMORGAN TAX AWARE LARGE CAP VALUE FUND
As of April 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Large Cap Value Fund, which seeks to provide income and
capital appreciation while minimizing taxable capital gain distributions through
a portfolio of large cap equity securities, returned 2.00% (Select Shares)
during the six months ended April 30, 2003. This compares to a return of 5.25%
from the Fund's benchmark, the Russell 1000 Value Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Aiding performance were positions in the Media, Industrial Cyclical and
Finance sectors, while sector positions in Retail, Capital Markets and Energy
detracted from six-month results. This was particularly true of the energy
sector, where the Fund's position in Baker Hughes declined on disappointing
first-quarter 2003 earnings and a position in GlobalSantafe (GSF) declined on
concerns about the company's North Sea exposure. Other stocks that detracted
from performance included Altria (formerly Philip Morris), which fell 23%
year-to-date through April on concerns about pending litigation and increasing
competition from discount cigarettes. Altria was once one of our best
performers, but in recent months, we have been aggressively reducing our
position in it, primarily due to competitive concerns. Other detractors included
Jones Apparel and DTE (Detroit Edison). Jones declined on concerns that a
licensing dispute could lead to higher royalty costs and/or the loss of one of
the company's most profitable product lines. DTE, a top performer in 2002,
suffered from a downgrade by an influential analyst, who cited regulatory issues
that might limit the magnitude of the company's cost recovery efforts. Helping
performance were investments in American Electric Power, Liberty Media, Fannie
Mae, Caterpillar and CIT.
Q: HOW WAS THE FUND MANAGED?
A: We continued to pursue a strategy that focuses on higher quality companies,
avoiding "low quality" stocks hit hard in recent years by liquidity issues,
agency downgrades, etc. Examples of the latter include companies in the Wireless
Communications, Networking, Telecommunications Equipment and Merchant Energy
sectors. We currently favor high quality and defensive names that tend to
outperform in a weak economy, such as those in the Consumer Staples, Utilities,
and Discount Retail sectors. Unfortunately, in early March both "deep value" and
economically sensitive stocks staged major rallies, outperforming their higher
quality counterparts, as investors bet on an impending strong economic recovery.
During this period, our high-quality, defensive positioning hurt our relative
returns.
(UNAUDITED)
16
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 32.00%
Consumer Goods & Services 17.60%
Industrial Products & Services 12.50%
Energy 12.20%
Utilities 6.50%
Telecommunications 5.50%
Technology 4.80%
Pharmaceuticals 3.10%
REITs 2.40%
Autos & Transportation 1.70%
Health Services & Systems 1.10%
Short-Term Investments 0.60%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
1. EXXON MOBIL CORP. (5.5%)
2. CITIGROUP, INC. (5.4%)
3. VERIZON COMMUNICATIONS, INC. (3.6%)
4. THE ALLSTATE CORP. (3.5%)
5. AMBAC FINANCIAL GROUP, INC. (3.2%)
6. FANNIE MAE (2.9%)
7. PROCTER & GAMBLE CO. (2.9%)
8. PRAXAIR INC. (2.8%)
9. DTE ENERGY CO. (2.7%)
10. WACHOVIA CORP. (2.7%)
TOP 10 EQUITY HOLDINGS COMPRISED 35.2% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($113,074 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 50
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- ------------------------------------------------------------------------
Select Shares (14.06%) (11.20%) (5.15%) 6.16%
</Table>
(UNAUDITED)
17
<Page>
[CHART]
TEN-YEAR PERFORMANCE (4/30/93 TO 4/30/03)
<Table>
<Caption>
JPMORGAN TAX AWARE
LARGE CAP VALUE RUSSELL 1000 LIPPER EQUITY
FUND (SELECT SHARES) VALUE INDEX S&P 500 INDEX INCOME FUNDS INDEX
-------------------- ----------- ------------- ------------------
4/30/1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000
5/31/1993 $ 1,039,500 $ 1,020,100 $ 1,026,800 $ 1,015,300
6/30/1993 $ 1,046,153 $ 1,042,644 $ 1,029,778 $ 1,026,265
7/31/1993 $ 1,034,645 $ 1,054,322 $ 1,025,659 $ 1,034,578
8/31/1993 $ 1,072,720 $ 1,092,383 $ 1,064,531 $ 1,069,547
9/30/1993 $ 1,086,451 $ 1,094,131 $ 1,056,334 $ 1,070,402
10/31/1993 $ 1,087,863 $ 1,093,365 $ 1,078,200 $ 1,083,568
11/30/1993 $ 1,056,098 $ 1,070,841 $ 1,067,957 $ 1,064,498
12/31/1993 $ 1,074,263 $ 1,091,187 $ 1,080,880 $ 1,083,658
1/31/1994 $ 1,105,309 $ 1,132,434 $ 1,117,630 $ 1,117,469
2/28/1994 $ 1,082,650 $ 1,093,705 $ 1,087,342 $ 1,089,755
3/31/1994 $ 1,031,441 $ 1,053,019 $ 1,039,934 $ 1,046,165
4/30/1994 $ 1,040,311 $ 1,073,237 $ 1,053,245 $ 1,059,870
5/31/1994 $ 1,051,338 $ 1,085,579 $ 1,070,518 $ 1,071,952
6/30/1994 $ 1,028,419 $ 1,059,526 $ 1,044,290 $ 1,056,195
7/31/1994 $ 1,054,849 $ 1,092,477 $ 1,078,543 $ 1,085,979
8/30/1994 $ 1,091,558 $ 1,123,831 $ 1,122,763 $ 1,122,143
9/30/1994 $ 1,065,252 $ 1,056,207 $ 1,052,119 $ 1,065,454
10/31/1994 $ 1,074,413 $ 1,139,452 $ 1,148,026 $ 1,128,202
11/30/1994 $ 1,027,783 $ 1,093,418 $ 1,106,237 $ 1,086,007
12/31/1994 $ 1,035,800 $ 1,105,993 $ 1,122,610 $ 1,094,370
1/31/1995 $ 1,039,322 $ 1,140,057 $ 1,151,685 $ 1,113,959
2/28/1995 $ 1,091,184 $ 1,185,089 $ 1,196,601 $ 1,149,828
3/31/1995 $ 1,125,556 $ 1,211,043 $ 1,231,901 $ 1,176,964
4/30/1995 $ 1,154,708 $ 1,249,312 $ 1,268,242 $ 1,205,211
5/31/1995 $ 1,199,973 $ 1,301,908 $ 1,318,972 $ 1,242,211
6/30/1995 $ 1,236,212 $ 1,319,484 $ 1,349,572 $ 1,258,733
7/31/1995 $ 1,293,078 $ 1,365,402 $ 1,394,377 $ 1,293,222
8/31/1995 $ 1,302,517 $ 1,384,654 $ 1,397,863 $ 1,309,129
9/30/1995 $ 1,323,227 $ 1,434,778 $ 1,456,853 $ 1,349,843
10/31/1995 $ 1,298,350 $ 1,420,574 $ 1,451,609 $ 1,330,675
11/30/1995 $ 1,356,387 $ 1,492,597 $ 1,515,334 $ 1,386,696
12/31/1995 $ 1,373,341 $ 1,530,061 $ 1,544,580 $ 1,420,948
1/31/1996 $ 1,420,172 $ 1,577,799 $ 1,597,096 $ 1,453,487
2/28/1996 $ 1,440,055 $ 1,589,790 $ 1,611,949 $ 1,464,098
3/31/1996 $ 1,467,848 $ 1,616,817 $ 1,627,424 $ 1,482,545
4/30/1996 $ 1,473,572 $ 1,622,961 $ 1,651,347 $ 1,496,185
5/31/1996 $ 1,492,729 $ 1,643,248 $ 1,693,951 $ 1,518,328
6/30/1996 $ 1,500,939 $ 1,644,562 $ 1,700,388 $ 1,520,606
7/31/1996 $ 1,453,509 $ 1,582,398 $ 1,625,231 $ 1,470,882
8/31/1996 $ 1,490,283 $ 1,627,654 $ 1,659,524 $ 1,504,124
9/30/1996 $ 1,548,255 $ 1,692,435 $ 1,752,955 $ 1,559,476
10/31/1996 $ 1,592,690 $ 1,757,932 $ 1,801,336 $ 1,596,279
11/30/1996 $ 1,692,552 $ 1,885,382 $ 1,937,517 $ 1,687,427
12/31/1996 $ 1,682,227 $ 1,861,250 $ 1,899,155 $ 1,676,627
1/31/1997 $ 1,773,236 $ 1,951,520 $ 2,017,852 $ 1,737,992
2/28/1997 $ 1,794,160 $ 1,980,207 $ 2,033,591 $ 1,761,976
3/31/1997 $ 1,734,414 $ 1,908,920 $ 1,950,010 $ 1,704,888
4/30/1997 $ 1,791,823 $ 1,989,095 $ 2,066,426 $ 1,755,694
5/31/1997 $ 1,889,657 $ 2,100,285 $ 2,192,271 $ 1,856,822
6/30/1997 $ 1,972,991 $ 2,190,387 $ 2,290,485 $ 1,927,010
7/31/1997 $ 2,077,362 $ 2,355,104 $ 2,472,808 $ 2,043,016
8/31/1997 $ 2,005,485 $ 2,271,263 $ 2,334,331 $ 1,977,639
9/30/1997 $ 2,127,419 $ 2,408,447 $ 2,462,252 $ 2,077,906
10/31/1997 $ 2,082,105 $ 2,341,251 $ 2,380,013 $ 2,017,023
11/30/1997 $ 2,152,063 $ 2,444,735 $ 2,490,207 $ 2,083,988
12/31/1997 $ 2,208,232 $ 2,516,121 $ 2,533,039 $ 2,132,128
1/31/1998 $ 2,200,062 $ 2,480,392 $ 2,561,155 $ 2,131,275
2/28/1998 $ 2,272,224 $ 2,647,322 $ 2,745,815 $ 2,246,364
3/31/1998 $ 2,391,970 $ 2,809,338 $ 2,886,401 $ 2,348,125
4/30/1998 $ 2,367,094 $ 2,828,161 $ 2,915,553 $ 2,346,950
5/31/1998 $ 2,344,369 $ 2,786,304 $ 2,865,406 $ 2,318,083
6/30/1998 $ 2,352,106 $ 2,821,969 $ 2,981,741 $ 2,336,859
7/31/1998 $ 2,276,839 $ 2,772,302 $ 2,950,135 $ 2,276,568
8/31/1998 $ 1,976,751 $ 2,359,784 $ 2,523,545 $ 2,002,014
9/30/1998 $ 2,114,135 $ 2,495,235 $ 2,685,304 $ 2,104,918
10/31/1998 $ 2,240,561 $ 2,688,616 $ 2,903,620 $ 2,229,319
11/30/1998 $ 2,324,582 $ 2,813,906 $ 3,079,579 $ 2,323,619
12/31/1998 $ 2,470,333 $ 2,909,578 $ 3,256,963 $ 2,383,103
1/31/1999 $ 2,488,613 $ 2,932,855 $ 3,393,104 $ 2,380,005
2/28/1999 $ 2,415,697 $ 2,891,502 $ 3,287,578 $ 2,335,975
3/31/1999 $ 2,435,747 $ 2,951,356 $ 3,419,081 $ 2,385,264
4/30/1999 $ 2,580,918 $ 3,227,012 $ 3,551,400 $ 2,554,618
5/31/1999 $ 2,528,267 $ 3,191,515 $ 3,467,587 $ 2,518,853
6/30/1999 $ 2,611,194 $ 3,284,069 $ 3,660,038 $ 2,598,197
7/31/1999 $ 2,533,642 $ 3,187,846 $ 3,545,845 $ 2,532,463
8/31/1999 $ 2,443,951 $ 3,069,577 $ 3,528,116 $ 2,473,456
9/30/1999 $ 2,383,341 $ 2,962,142 $ 3,431,445 $ 2,385,896
10/31/1999 $ 2,423,619 $ 3,132,761 $ 3,648,656 $ 2,466,301
11/30/1999 $ 2,452,703 $ 3,108,326 $ 3,722,723 $ 2,452,490
12/31/1999 $ 2,533,397 $ 3,123,245 $ 3,941,992 $ 2,482,900
E 1/31/00 $ 2,468,288 $ 3,021,428 $ 3,744,104 $ 2,388,798
E 2/28/00 $ 2,404,853 $ 2,796,936 $ 3,673,340 $ 2,254,309
E 3/31/00 $ 2,627,062 $ 3,138,162 $ 4,032,593 $ 2,462,833
E 4/30/00 $ 2,595,012 $ 3,101,759 $ 3,911,212 $ 2,444,115
E 5/31/00 $ 2,549,859 $ 3,134,328 $ 3,831,032 $ 2,481,021
E 6/30/00 $ 2,600,091 $ 2,991,089 $ 3,925,275 $ 2,427,679
E 7/31/00 $ 2,560,309 $ 3,028,477 $ 3,864,041 $ 2,441,760
E 8/31/00 $ 2,698,822 $ 3,196,861 $ 4,103,998 $ 2,584,847
E 9/30/00 $ 2,567,929 $ 3,226,272 $ 3,887,307 $ 2,579,160
E 10/31/00 $ 2,577,174 $ 3,305,638 $ 3,870,980 $ 2,633,323
E 11/30/00 $ 2,441,614 $ 3,182,999 $ 3,565,947 $ 2,540,630
E 12/31/00 $ 2,474,820 $ 3,342,467 $ 3,583,420 $ 2,667,915
E 1/31/01 $ 2,472,098 $ 3,355,503 $ 3,710,632 $ 2,690,059
E 2/28/01 $ 2,300,782 $ 3,262,220 $ 3,372,222 $ 2,600,211
E 3/31/01 $ 2,174,699 $ 3,147,063 $ 3,158,423 $ 2,505,043
E 4/30/01 $ 2,333,669 $ 3,301,270 $ 3,403,833 $ 2,635,055
E 5/31/01 $ 2,339,737 $ 3,375,548 $ 3,426,638 $ 2,680,905
E 6/30/01 $ 2,255,506 $ 3,300,611 $ 3,343,371 $ 2,614,419
E 7/31/01 $ 2,262,950 $ 3,293,680 $ 3,310,606 $ 2,611,543
E 8/31/01 $ 2,126,267 $ 3,161,603 $ 3,103,362 $ 2,525,362
E 9/30/01 $ 1,996,565 $ 2,939,026 $ 2,852,921 $ 2,351,364
E 10/31/01 $ 2,024,717 $ 2,913,751 $ 2,907,411 $ 2,363,356
E 11/30/01 $ 2,153,286 $ 3,083,040 $ 3,130,410 $ 2,485,306
E 12/31/01 $ 2,170,512 $ 3,155,799 $ 3,157,958 $ 2,529,047
E 1/31/02 $ 2,142,947 $ 3,131,500 $ 3,111,851 $ 2,504,262
E 2/28/02 $ 2,141,447 $ 3,136,510 $ 3,051,793 $ 2,508,019
E 3/31/02 $ 2,227,961 $ 3,284,867 $ 3,166,540 $ 2,603,073
E 4/30/02 $ 2,114,335 $ 3,172,196 $ 2,974,648 $ 2,514,308
E 5/31/02 $ 2,132,096 $ 3,188,057 $ 2,952,635 $ 2,516,571
E 6/30/02 $ 1,993,936 $ 3,005,063 $ 2,742,408 $ 2,358,782
E 7/31/02 $ 1,843,394 $ 2,725,592 $ 2,528,500 $ 2,169,372
E 8/31/02 $ 1,871,413 $ 2,746,306 $ 2,545,188 $ 2,185,425
E 9/30/02 $ 1,663,312 $ 2,440,917 $ 2,268,526 $ 1,957,922
E 10/31/02 $ 1,781,574 $ 2,621,789 $ 2,468,156 $ 2,076,572
E 11/30/02 $ 1,866,555 $ 2,786,962 $ 2,613,531 $ 2,195,767
E 12/31/02 $ 1,801,972 $ 2,666,007 $ 2,460,116 $ 2,113,646
E 1/31/03 $ 1,734,038 $ 2,601,490 $ 2,395,661 $ 2,054,886
E 2/28/03 $ 1,684,964 $ 2,532,030 $ 2,359,726 $ 2,004,131
E 3/31/03 $ 1,684,122 $ 2,536,335 $ 2,382,616 $ 2,006,936
E 4/30/03 $ 1,817,588 $ 2,759,532 $ 2,578,943 $ 2,160,668
</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 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware Large Cap Value Fund, Russell 1000 Value Index,
S&P 500 Index, and Lipper Equity Income Funds Index from April 30, 1993, to
April 30, 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 1000 Value Index measures the performance of the
Russell 1000 companies with lower price-to-book ratios and lower forecasted
growth values. The S&P 500 Index is an unmanaged broad-based index that
replicates the U.S. stock markets. The Lipper Equity Income 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.
Select 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)
18
<Page>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND
As of April 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware Short-Intermediate Income Fund, which seeks to maximize
after-tax income from a portfolio of tax-exempt and taxable securities, returned
1.52% (Institutional Shares) from its inception on December 20, 2002 through
April 30, 2003. This compares to the 1.03% return from the Fund's benchmark
index, the Lehman 1-5 Year Municipal Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The chief contributor to the Fund's outperformance was our tactical
allocation to mortgage-backed securities. Slightly positive was our duration
position and our small allocation to investment-grade corporate bonds, which
benefited from a general narrowing in credit spreads. A flattening in the five-
to 10-year part of yield curve enhanced performance. We also took advantage of a
rare drop in municipal prices in high-tax states (such as New York and
California), purchasing issues at levels below their in-state advantage.
Q: HOW WAS THE FUND MANAGED?
A: Contradictory economic data and geopolitical anxiety buffeted the financial
markets during most of the reporting period. The Federal Reserve Board
maintained an accommodative monetary policy, lowering the Federal Funds Rate by
1/2 percent in November. Surprisingly, the fixed income markets paid little
attention to disappointing economic data in the first months of 2003, and the
decline in bond yields was less dramatic than the data would have justified.
In 2002, municipal issuance reached a record $320 billion, as municipalities
took advantage of low interest rates to refinance outstanding debt and raise new
money. This torrid pace continued into 2003 with $113 billion in new issuance by
the end of April, 21% more than during the same period last year. The heavy
supply was met with strong demand from retail and institutional investors.
The ratio (the difference in prices) between municipal and taxable securities
was volatile during the period. We took advantage of the situation by increasing
our allocation to mortgages when municipals were expensive and reducing our
position when municipals came under pressure. Our shorter-duration position
detracted from performance as Treasuries closed 2002 with a strong rally.
However, we recouped our losses when Treasury prices fell. We selectively added
high-quality California city and local municipality issues to the portfolios
because of improved investor sentiment about the state's budget shortfalls.
(UNAUDITED)
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE INCEPTION
(12/20/02)
- ---------------------------------------------------------
Institutional Shares 1.52%
- ---------------------------------------------------------
Select Shares 1.47%
- ---------------------------------------------------------
</Table>
(UNAUDITED)
20
<Page>
JPMORGAN TAX AWARE U.S. EQUITY FUND
As of April 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Aware U.S. Equity Fund, which seeks to provide high after tax
total return from a portfolio of selected equity securities, rose 3.57% (Select
Shares) in the six months ended April 30, 2003. This compares with a rise of
4.48% for the S&P 500 Index.
Q. WHY DID THE FUND PERFORM THIS WAY?
A: U.S. equities rose during the six months ended April 30, 2003, spurred on
chiefly by relief that the war in Iraq was over quickly. While the Fund
appreciated in value, its rise did not match that of the S&P 500 Index due to
the weak performance of some holdings, and the above-average appreciation of
certain stocks that the Fund did not own.
There was strong performance from stocks in the Pharmaceutical sector. In
particular, biotechnology holdings performed well as investors' risk appetites
grew. Biotechnology stocks Amgen and MedImmune both rose more than 30% in price.
Additionally, pharmaceutical company Wyeth performed well, with strong
first-quarter results helping it to recover in investors' perceptions from the
contentious withdrawal of its hormone replacement therapy treatment in the
summer of 2002.
One of the strongest individual names held was Danaher, the
industrial group, which reported record first-quarter results. Another
outstanding holding was Capital One Finance, the credit card issuer, which rose
by over 30% as sentiment improved from the lows of last year, assisted by strong
fourth-quarter earnings.
From a negative perspective, several individual names stood out. One of the
biggest detractors from performance was Jones Apparel, which may lose a contract
for the manufacture of Ralph Lauren garments. AMBAC Financial performed poorly
in reaction to worries about municipal government credit quality. Meanwhile,
Coca-Cola slid with worries about overseas anti-American sentiment damaging
sales.
The Fund also suffered from not owning expensively valued stocks such as Ebay,
EMC and Yahoo, which performed exceptionally well during the period.
Q. HOW WAS THE FUND MANAGED?
A: Although the Fund has an objective of minimizing capital gains distributions,
this did not constrain portfolio trading because it has considerable losses
following the bear market of the last few years. Additionally, the Fund merged
with the JPMorgan Select Large Cap Equity Fund during the period, but this did
not lead to significant trades because both funds had similar portfolios.
(UNAUDITED)
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.60%
Finance & Insurance 20.10%
Technology 14.50%
Industrial Products & Services 13.10%
Pharmaceuticals 11.80%
Energy 7.50%
Telecommunications 3.10%
Utilities 2.40%
Short-Term Investments 2.00%
Health Services & Systems 1.90%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
1. EXXON MOBIL CORP. (3.8%)
2. GENERAL ELECTRIC CO. (3.8%)
3. MICROSOFT CORP. (3.8%)
4. CITIGROUP, INC. (3.7%)
5. PFIZER, INC. (3.3%)
6. WAL-MART STORES, INC. (3.1%)
7. PROCTER & GAMBLE CO. (2.6%)
8. INTERNATIONAL BUSINESS MACHINES CORP. (2.5%)
9. FANNIE MAE (2.3%)
10. JOHNSON & JOHNSON (2.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 30.9% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($175,854 IN THOUSANDS). AS OF APRIL 30, 2003 THE FUND HELD 79
EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
(UNAUDITED)
22
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEAR 5 YEAR (12/18/96)
- ----------------------------------------------------------------------
Class A Shares
Without Sales Charge (13.17%) (12.61%) (2.13%) 5.10%
With Sales Charge* (18.18%) (14.32%) (3.28%) 4.12%
- ----------------------------------------------------------------------
Class B Shares
Without CDSC (13.58%) (13.06%) (2.43%) 4.84%
With CDSC** (17.90%) (13.93%) (2.81%) 4.84%
- ----------------------------------------------------------------------
Class C Shares
Without CDSC (13.59%) (13.08%) (2.44%) 4.83%
With CDSC*** (14.45%) (13.08%) (2.44%) 4.83%
- ----------------------------------------------------------------------
Institutional Shares (12.83%) (12.58%) (2.10%) 5.12%
- ----------------------------------------------------------------------
Select Shares (12.89%) (12.55%) (2.08%) 5.13%
- ----------------------------------------------------------------------
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 1% CDSC
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
(UNAUDITED)
23
<Page>
[CHART]
LIFE OF FUND PERFORMANCE (12/18/96 TO 4/30/03)
<Table>
<Caption>
JPMORGAN TAX AWARE U.S.
EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE INDEX
--------------------------- ------------- ---------------------------
12/18/1996 $ 1,000,000 $ 1,000,000 $ 1,000,000
12/31/1996 $ 1,011,100 $ 980,200 $ 981,600
1/31/1997 $ 1,082,180 $ 1,041,463 $ 1,035,294
2/28/1997 $ 1,085,210 $ 1,049,586 $ 1,034,051
3/31/1997 $ 1,042,128 $ 1,006,448 $ 989,794
4/30/1997 $ 1,090,170 $ 1,066,533 $ 1,044,628
5/31/1997 $ 1,157,215 $ 1,131,485 $ 1,108,037
6/30/1997 $ 1,202,231 $ 1,182,175 $ 1,156,126
7/31/1997 $ 1,321,372 $ 1,276,276 $ 1,247,460
8/31/1997 $ 1,257,285 $ 1,204,805 $ 1,183,964
9/30/1997 $ 1,311,349 $ 1,270,828 $ 1,244,939
10/31/1997 $ 1,258,239 $ 1,228,383 $ 1,206,594
11/30/1997 $ 1,304,290 $ 1,285,257 $ 1,246,050
12/31/1997 $ 1,317,464 $ 1,307,363 $ 1,268,728
1/31/1998 $ 1,338,543 $ 1,321,875 $ 1,281,289
2/28/1998 $ 1,427,021 $ 1,417,182 $ 1,372,132
3/31/1998 $ 1,495,375 $ 1,489,742 $ 1,440,052
4/30/1998 $ 1,527,526 $ 1,504,788 $ 1,454,597
5/31/1998 $ 1,505,377 $ 1,478,906 $ 1,429,723
6/30/1998 $ 1,558,667 $ 1,538,949 $ 1,497,635
7/31/1998 $ 1,544,483 $ 1,522,636 $ 1,485,504
8/31/1998 $ 1,326,865 $ 1,302,463 $ 1,263,124
9/30/1998 $ 1,420,542 $ 1,385,951 $ 1,325,902
10/31/1998 $ 1,532,339 $ 1,498,629 $ 1,425,344
11/30/1998 $ 1,641,288 $ 1,589,446 $ 1,510,152
12/31/1998 $ 1,727,784 $ 1,680,998 $ 1,610,426
1/31/1999 $ 1,783,419 $ 1,751,264 $ 1,666,791
2/28/1999 $ 1,720,821 $ 1,696,799 $ 1,615,287
3/31/1999 $ 1,801,699 $ 1,764,671 $ 1,680,222
4/30/1999 $ 1,889,622 $ 1,832,964 $ 1,725,252
5/31/1999 $ 1,842,004 $ 1,789,706 $ 1,679,533
6/30/1999 $ 1,949,208 $ 1,889,035 $ 1,773,251
7/31/1999 $ 1,884,495 $ 1,830,097 $ 1,721,294
8/31/1999 $ 1,858,112 $ 1,820,946 $ 1,703,737
9/30/1999 $ 1,801,439 $ 1,771,053 $ 1,657,566
10/31/1999 $ 1,900,699 $ 1,883,160 $ 1,759,175
11/30/1999 $ 1,952,398 $ 1,921,388 $ 1,802,275
12/31/1999 $ 2,044,160 $ 2,034,558 $ 1,922,126
1/31/2000 $ 2,007,570 $ 1,932,423 $ 1,844,472
2/29/2000 $ 1,997,331 $ 1,895,900 $ 1,843,919
3/31/2000 $ 2,180,287 $ 2,081,320 $ 2,004,155
4/30/2000 $ 2,055,356 $ 2,018,672 $ 1,938,619
5/31/2000 $ 1,992,257 $ 1,977,289 $ 1,889,184
6/30/2000 $ 2,045,052 $ 2,025,930 $ 1,958,329
7/31/2000 $ 2,055,277 $ 1,994,326 $ 1,927,779
8/31/2000 $ 2,174,483 $ 2,118,173 $ 2,060,795
9/30/2000 $ 2,086,851 $ 2,006,334 $ 1,951,161
10/31/2000 $ 2,089,982 $ 1,997,907 $ 1,928,528
11/30/2000 $ 1,935,114 $ 1,840,472 $ 1,758,817
12/31/2000 $ 1,938,791 $ 1,849,491 $ 1,780,275
1/31/2001 $ 2,005,097 $ 1,915,147 $ 1,830,657
2/28/2001 $ 1,813,210 $ 1,740,486 $ 1,660,222
3/31/2001 $ 1,686,647 $ 1,630,139 $ 1,558,285
4/30/2001 $ 1,818,375 $ 1,756,801 $ 1,676,714
5/31/2001 $ 1,833,649 $ 1,768,572 $ 1,686,104
6/30/2001 $ 1,788,725 $ 1,725,595 $ 1,641,254
7/31/2001 $ 1,777,456 $ 1,708,684 $ 1,617,455
8/31/2001 $ 1,676,318 $ 1,601,721 $ 1,522,187
9/30/2001 $ 1,559,814 $ 1,472,462 $ 1,406,653
10/31/2001 $ 1,593,506 $ 1,500,586 $ 1,439,850
11/30/2001 $ 1,717,162 $ 1,615,681 $ 1,534,161
12/31/2001 $ 1,731,930 $ 1,629,899 $ 1,551,497
1/31/2002 $ 1,674,430 $ 1,606,102 $ 1,526,983
2/28/2002 $ 1,634,411 $ 1,575,105 $ 1,501,330
3/31/2002 $ 1,701,258 $ 1,634,329 $ 1,552,375
4/30/2002 $ 1,578,087 $ 1,535,288 $ 1,469,788
5/31/2002 $ 1,576,036 $ 1,523,927 $ 1,459,059
6/30/2002 $ 1,466,186 $ 1,415,423 $ 1,358,238
7/31/2002 $ 1,358,275 $ 1,305,020 $ 1,257,321
8/31/2002 $ 1,374,710 $ 1,313,634 $ 1,267,631
9/30/2002 $ 1,222,255 $ 1,170,842 $ 1,144,544
10/31/2002 $ 1,327,368 $ 1,273,876 $ 1,233,475
11/30/2002 $ 1,399,445 $ 1,348,907 $ 1,288,611
12/31/2002 $ 1,322,335 $ 1,269,726 $ 1,220,702
1/31/2003 $ 1,282,004 $ 1,236,459 $ 1,188,719
2/28/2003 $ 1,264,441 $ 1,217,912 $ 1,172,909
3/31/2003 $ 1,272,154 $ 1,229,726 $ 1,182,762
4/30/2003 $ 1,375,289 $ 1,331,056 $ 1,269,931
</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 their original
cost.
The Fund commenced operations on 12/18/96.
Returns for the Institutional Shares prior to 9/15/00 (offering date of the
Institutional Shares) are calculated using the historical expenses of the Select
Shares, which are higher than the expenses of the Institutional Shares.
Returns for the Class A, B, and C Shares prior to 4/16/01 (offering date of the
Class A, B, and C Shares) are calculated using the historical expenses of the
Select Shares, which are lower than the expenses of the Class A, B, and C
Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Aware U.S. Equity Fund, S&P 500 Index, and Lipper
Large-Cap Core Funds Index from December 18, 1996 to April 30, 2003. The
performance of the indices reflects an initial investment at the end of the
month following the Fund's inception. 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 S&P 500 Index is a broad-based index
that replicates the U.S. stock market. The Lipper Large-Cap Core 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.
Select 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)
24
<Page>
JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
Portfolio of Investments
As of April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- 100%
- ---------------------------------------------------------------------------------
COMMON STOCKS -- 99.0%
Australia -- 3.2%
79 Alumina LTD $ 216
89 Commonwealth Bank of Australia 1,512
308 Foster's Group LTD 863
338 Southern Pacific Petroleum NL * 46
488 WMC Resources LTD * 1,221
------------
3,858
Belgium -- 1.0%
54 Interbrew SA 1,208
Finland -- 2.4%
170 Nokia OYJ 2,882
France -- 12.0%
71 BNP Paribas 3,352
44 France Telecom 1,005
10 Lafarge SA 684
26 Pechiney SA, A Shares 743
27 Sanofi-Synthelabo SA 1,601
12 Technip-Coflexip SA 1,022
19 Thales SA 498
21 Total Fina Elf SA 2,791
19 Valeo SA 538
94 Veolia Environnement 2,022
------------
14,256
Germany -- 3.4%
5 Adidas-Salomon AG 390
22 Bayerische Motoren Werke AG 736
10 DaimlerChrysler AG 332
27 Deutsche Telekom AG 356
20 E.ON AG 971
27 Schering AG 1,219
------------
4,004
Hong Kong -- 2.5%
149 CLP Holdings LTD 609
489 CNOOC LTD 643
43 Sun Hung Kai Properties LTD 202
889 Wharf Holdings LTD 1,556
------------
3,010
India -- 2.3%
38 Ranbaxy Laboratories LTD, GDR 591
190 Reliance Industries LTD, GDR, # 2,211
------------
2,802
Italy -- 3.1%
59 ENI-Ente Nazionale Idrocarburi SPA 837
652 UniCredito Italiano SPA 2,854
------------
3,691
Japan -- 14.9%
28 Aeon Co., LTD 643
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Japan -- Continued
20 Aiful Corp. $ 761
94 Chugai Pharmaceutical Co., LTD 983
125 Daiwa Securities Group, Inc. 492
60 Fast Retailing Co., LTD 1,743
430 Fujitsu LTD 1,201
56 Honda Motor Co., LTD 1,858
124 JFE Holdings, Inc. 1,488
22 Kyocera Corp. 1,092
95 Matsushita Electric Industrial Co., LTD 757
317 Minebea Co., LTD 941
353 Mitsubishi Chemical Corp. 586
103 Mitsubishi Pharma Corp. 622
140 NEC Corp. 438
7 Nintendo Co., LTD 531
0^^ Nippon Telegraph & Telephone Corp. 918
121 Ricoh Co., LTD 1,856
9 Rohm Co., LTD 907
------------
17,817
Mexico -- 1.2%
79 Grupo Financiero BBVA Bancomer SA de CV, ADR * 1,374
Russia -- 2.0%
35 LUKOIL, ADR 2,411
Singapore -- 1.0%
155 DBS Group Holdings LTD 759
551 Singapore Telecommunications LTD 450
------------
1,209
South Korea -- 1.6%
32 KT Corp., ADR 638
5 Samsung Electronics Co., LTD, GDR, # 653
42 SK Telecom Co., LTD, ADR 641
------------
1,932
Spain -- 3.3%
30 Acerinox SA 1,103
161 Iberdrola SA 2,595
18 Repsol YPF SA 265
------------
3,963
Sweden -- 2.2%
154 Assa Abloy AB, Class B 1,464
95 Securitas AB, B Shares 1,112
------------
2,576
Switzerland -- 9.2%
99 Credit Suisse Group 2,371
16 Lonza Group AG 970
68 Novartis AG 2,688
13 Roche Holding AG 848
1 Serono SA 365
11 Swiss Reinsurance Co. 723
</Table>
See notes to financial statements.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Switzerland -- Continued
46 UBS AG $ 2,195
8 Zurich Financial Services AG 851
------------
11,011
The Netherlands -- 5.1%
64 Aegon NV 647
22 Akzo Nobel NV 486
48 Heineken Holding NV, Class A 1,400
37 ING Groep NV 605
162 Koninklijke KPN NV * 1,076
36 Koninklijke Philips Electronics NV 675
41 TPG NV 644
38 Wolters Kluwer NV 491
------------
6,024
United Kingdom -- 28.6%
96 Amersham PLC 692
162 Amvescap PLC 880
63 AstraZeneca PLC 2,485
343 Barclays PLC 2,372
145 BBA Group PLC 451
46 British American Tobacco PLC 441
80 British Sky Broadcasting PLC * 824
713 BT Group PLC 2,044
53 Carnival PLC 1,319
239 Centrica PLC 635
290 Dixons Group PLC 515
72 GlaxoSmithKline PLC 1,433
342 Hays PLC 457
195 HSBC Holdings PLC 2,131
42 Imperial Tobacco Group PLC 698
980 Legal & General Group PLC 1,214
47 Man Group PLC 785
241 Prudential PLC 1,476
115 Reckitt Benckiser PLC 2,021
30 Royal Bank of Scotland Group PLC 788
167 Scottish Power PLC 1,035
527 Tesco PLC 1,668
312 Unilever PLC 3,071
2,319 Vodafone Group PLC 4,577
------------
34,012
--------------------------------------------------------------------
Total Common Stocks 118,040
(Cost $123,116)
--------------------------------------------------------------------
PREFERRED STOCK -- 1.0%
Australia -- 1.0%
209 News Corp., LTD 1,234
(Cost $1,693)
- ---------------------------------------------------------------------------------
Total Investments -- 100.0% $ 119,274
(Cost $124,809)
- ---------------------------------------------------------------------------------
</Table>
See notes to financial statements.
27
<Page>
SUMMARY OF INVESTMENTS BY INDUSTRY, APRIL 30, 2003
<Table>
<Caption>
INDUSTRY % OF INVESTMENT SECURITIES
- ---------------------------------------------------------------------------
Banking 15.4%
Pharmaceuticals 10.8
Telecommunications 10.5
Food/Beverage Products 6.9
Oil & Gas 5.9
Utilities 4.9
Insurance 4.6
Electronics/Electrical Equipment 4.0
Financial Services 3.6
Chemicals 3.6
Automotive 2.9
Retailing 2.4
Steel 2.2
Consumer Products 2.1
Metals/Mining 1.8
Telecommunications Equipment 1.7
Environmental Services 1.7
Manufacturing 1.6
Office/Business Equipment 1.6
Multi-Media 1.4
Diversified 1.3
Entertainment/Leisure 1.1
Computers/Computer Hardware 1.0
Other (less than 1%) 7.0
- ---------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------
</Table>
See notes to financial statements.
28
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT VALUE APPRECIATION
SETTLEMENT VALUE AT 4/30/03 (DEPRECIATION)
CONTRACTS TO BUY DATE (USD) (USD) (USD)
- ----------------------------------------------------------------------------------------
1,541 AUD for
600 GBP 5/20/03 $ 958 $ 962 $ 4
11,113 CAD 5/20/03 7,362 7,738 376
24 CAD for
15 EUR 5/20/03 16 16 --^^
714 CHF 5/20/03 526 527 1
888 CHF for
610 EUR 5/20/03 680 655 (25)
2,380 CHF for
2,641 CAD 5/20/03 1,839 1,756 (83)
5,525 EUR 5/20/03 5,966 6,162 196
5,273 EUR for
8,496 CAD 5/20/03 5,915 5,880 (35)
4,030 EUR for
526,516 JPY 5/20/03 4,418 4,494 76
4,402 GBP 5/20/03 6,965 7,027 62
2,050 GBP for
379,004 JPY 5/20/03 3,180 3,273 93
2,760 HKD for
42,085 JPY 5/20/03 353 354 1
2,340,336 JPY 5/20/03 19,732 19,637 (95)
166,303 JPY for
880 GBP 5/20/03 1,405 1,396 (9)
-------- --------- -----
$ 59,315 $ 59,877 $ 562
======== ========= =====
</Table>
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT VALUE APPRECIATION
SETTLEMENT VALUE AT 4/30/2003 (DEPRECIATION)
CONTRACTS TO SELL DATE (USD) (USD) (USD)
- ----------------------------------------------------------------------------------------
6,443 CHF 5/20/03 $ 4,741 $ 4,753 $ (12)
768 SGD 5/20/03 441 433 8
24,769 HKD 5/20/03 3,175 3,175 --^^
13,737 EUR 5/20/03 14,831 15,320 (489)
5,608 GBP 5/20/03 8,893 8,953 (60)
1,024,775 JPY 5/20/03 8,697 8,599 98
-------- --------- ------
$ 40,778 $ 41,233 $ (455)
======== ========= ======
</Table>
See notes to financial statements.
29
<Page>
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND
Portfolio of Investments
As of April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- 99.8%
- ---------------------------------------------------------------------------------
COMMON STOCKS -- 99.8%
Aerospace -- 1.9%
6 General Dynamics Corp. $ 341
6 Northrop Grumman Corp. 484
13 Raytheon Co. 392
25 The Boeing Co. 674
23 United Technologies Corp. 1,415
------------
3,306
Agricultural Production/Services -- 1.4%
65 Altria Group, Inc. 1,993
23 Monsanto Co. 403
------------
2,396
Apparel -- 1.2%
41 Jones Apparel Group, Inc. * 1,163
17 Nike, Inc., Class B 905
------------
2,068
Automotive -- 1.3%
7 Delphi Corp. 57
32 Ford Motor Co. 334
16 Harley-Davidson, Inc. 692
11 Johnson Controls, Inc. 921
8 Lear Corp. * 326
------------
2,330
Banking -- 6.1%
7 Bank of America Corp. 504
30 Bank One Corp. 1,074
11 Compass Bancshares, Inc. 368
13 FleetBoston Financial Corp. 334
28 GreenPoint Financial Corp. 1,342
18 Hibernia Corp., Class A 324
7 Marshall & Ilsley Corp. 215
17 Mellon Financial Corp. 460
7 National Commerce Financial Corp. 146
4 North Fork Bancorporation, Inc. 129
2 PNC Financial Services Group, Inc. 79
16 SouthTrust Corp. 438
16 SunTrust Banks, Inc. 916
119 U.S. Bancorp 2,636
40 Wachovia Corp. 1,532
6 Wells Fargo & Co. 290
------------
10,787
Biotechnology -- 1.5%
34 Amgen, Inc. * 2,072
6 Gilead Sciences, Inc. * 268
11 MedImmune, Inc. * 374
------------
2,714
Business Services -- 1.1%
28 Cendant Corp. * 403
2 Cintas Corp. 75
6 Computer Sciences Corp. * 198
</Table>
See notes to financial statements.
30
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Business Services -- Continued
33 First Data Corp. $ 1,294
------------
1,970
Chemicals -- 0.5%
9 Air Products & Chemicals, Inc. 388
10 Eastman Chemical Co. 290
3 Praxair, Inc. 186
------------
864
Computer Networks -- 1.6%
186 Cisco Systems, Inc. * 2,802
8 Juniper Networks, Inc. * 79
------------
2,881
Computer Software -- 5.0%
2 Adobe Systems, Inc. 76
6 Electronic Arts, Inc. * 326
294 Microsoft Corp. 7,518
74 Oracle Corp. * 881
8 Siebel Systems, Inc. * 72
------------
8,873
Computers/Computer Hardware -- 3.9%
52 Dell Computer Corp. * 1,495
24 EMC Corp. * 222
77 Hewlett-Packard Co. 1,259
39 International Business Machines Corp. 3,328
4 Lexmark International, Inc. * 268
14 NCR Corp. * 311
29 Sun Microsystems, Inc. * 95
------------
6,978
Construction Materials -- 0.4%
34 Masco Corp. 712
Consumer Products -- 3.0%
3 Black & Decker Corp. 136
3 Fortune Brands, Inc. 155
9 Kimberly-Clark Corp. 433
40 Procter & Gamble Co. 3,585
34 The Gillette Co. 1,029
------------
5,338
Diversified -- 4.7%
240 General Electric Co. 7,071
83 Tyco International LTD (Bermuda) 1,292
------------
8,363
Electronics/Electrical Equipment -- 0.2%
6 Emerson Electric Co. 309
Environmental Services -- 0.3%
22 Waste Management, Inc. 480
Financial Services -- 9.4%
32 Capital One Financial Corp. 1,336
36 CIT Group, Inc. 735
152 Citigroup, Inc. 5,984
</Table>
See notes to financial statements.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Financial Services -- Continued
31 Countrywide Financial Corp. $ 2,089
74 E*TRADE Group, Inc. * 409
17 Fannie Mae 1,247
22 Freddie Mac 1,285
10 Goldman Sachs Group, Inc. 789
11 MBNA Corp. 208
13 Merrill Lynch & Co., Inc. 521
45 Morgan Stanley 2,014
------------
16,617
Food/Beverage Products -- 3.9%
7 Archer Daniels Midland Co. 81
11 H.J. Heinz Co. 314
30 Kraft Foods, Inc., Class A 918
27 PepsiCo, Inc. 1,152
15 Sysco Corp. 431
97 The Coca-Cola Co. 3,934
------------
6,830
Health Care/Health Care Services -- 4.3%
20 Aetna, Inc. 971
6 Anthem, Inc. * 378
9 Baxter International, Inc. 207
6 Biomet, Inc. 186
27 CIGNA Corp. 1,434
18 Guidant Corp. * 686
20 HCA, Inc. 632
25 Medtronic, Inc. 1,208
3 St. Jude Medical, Inc. * 157
4 Stryker Corp. 288
13 Tenet Healthcare Corp. * 199
11 UnitedHealth Group, Inc. 995
4 WellPoint Health Networks, Inc. * 311
------------
7,652
Industrial Components -- 0.0%^
2 SPX Corp. * 74
Insurance -- 4.1%
7 AFLAC, Inc. 226
33 AMBAC Financial Group, Inc. 1,949
23 American International Group, Inc. 1,308
18 AON Corp. 394
10 MBIA, Inc. 467
32 Metlife, Inc. 922
4 Protective Life Corp. 109
18 The Allstate Corp. 688
8 Torchmark Corp. 302
43 Travelers Property Casualty Corp., Class A 691
11 Travelers Property Casualty Corp., Class B 176
------------
7,232
Internet Services/Software -- 0.7%
13 eBay, Inc. * 1,197
</Table>
See notes to financial statements.
32
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Machinery & Engineering Equipment -- 0.3%
11 Ingersoll-Rand Co., LTD (Bermuda), Class A $ 498
Manufacturing -- 0.8%
6 3M Co. 782
26 Honeywell International, Inc. 618
------------
1,400
Metals/Mining -- 1.1%
16 Alcan, Inc. (Canada) 475
66 Alcoa, Inc. 1,512
------------
1,987
Multi-Media -- 4.5%
91 AOL Time Warner, Inc. * 1,242
32 Comcast Corp., Class A * 1,010
31 Comcast Corp., Special Class A * 944
1 E.W. Scripps Co., Class A 79
3 Fox Entertainment Group, Inc., Class A * 74
6 Gannett Co., Inc. 424
37 The Walt Disney Co. 694
17 Tribune Co. 852
60 Viacom, Inc., Class B * 2,592
------------
7,911
Office/Business Equipment -- 0.1%
5 Pitney Bowes, Inc. 183
Oil & Gas -- 5.9%
15 Anadarko Petroleum Corp. 675
6 Baker Hughes, Inc. 165
36 ChevronTexaco Corp. 2,245
40 ConocoPhillips 2,006
10 Cooper Cameron Corp. * 474
5 Devon Energy Corp. 213
108 Exxon Mobil Corp. 3,805
21 Rowan Companies, Inc. 431
24 Transocean, Inc. 461
------------
10,475
Paper/Forest Products -- 0.7%
8 Bowater, Inc. 319
8 Georgia-Pacific Corp. 117
16 Temple-Inland, Inc. 739
------------
1,175
Pharmaceuticals -- 9.7%
33 Abbott Laboratories 1,337
62 Bristol-Myers Squibb Co. 1,595
20 Eli Lilly & Co. 1,280
14 Forest Laboratories, Inc. * 745
52 Johnson & Johnson 2,936
47 Merck & Co., Inc. 2,758
159 Pfizer, Inc. 4,875
24 Schering-Plough Corp. 431
33 Wyeth 1,441
------------
17,398
</Table>
See notes to financial statements.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Photographic Equipment -- 0.1%
7 Eastman Kodak Co. $ 218
Pipelines -- 0.1%
15 El Paso Corp. 114
Printing & Publishing -- 0.1%
4 The McGraw-Hill Companies, Inc. 210
Real Estate Investment Trust -- 0.4%
10 CarrAmerica Realty Corp. 259
7 ProLogis 167
7 The Rouse Co. 250
------------
676
Restaurants/Food Services -- 0.4%
7 Wendy's International, Inc. 209
19 Yum! Brands, Inc. * 457
------------
666
Retailing -- 7.0%
16 Abercrombie & Fitch Co., Class A * 513
7 Bed Bath & Beyond, Inc. * 281
44 CVS Corp. 1,073
2 Family Dollar Stores 75
56 Home Depot, Inc. 1,580
21 Kohl's Corp. * 1,216
29 Lowe's Companies, Inc. 1,251
33 Target Corp. 1,090
24 The Gap, Inc. 398
80 Wal-Mart Stores, Inc. 4,521
14 Walgreen Co. 438
------------
12,436
Semi-Conductors -- 2.9%
58 Altera Corp. * 919
9 Analog Devices, Inc. * 285
38 Applied Materials, Inc. * 555
149 Intel Corp. 2,743
2 Micron Technology, Inc. * 19
5 Novellus Systems, Inc. * 146
5 QLogic Corp. * 207
10 Xilinx, Inc. * 279
------------
5,153
Shipping/Transportation -- 1.5%
9 Burlington Northern Santa Fe Corp. 251
5 CSX Corp. 144
5 FedEx Corp. 317
9 Norfolk Southern Corp. 180
6 Union Pacific Corp. 345
23 United Parcel Service, Inc., Class B 1,454
------------
2,691
Steel -- 0.2%
25 United States Steel Corp. 359
</Table>
See notes to financial statements.
34
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Telecommunications -- 3.8%
11 AT&T Corp. $ 190
80 AT&T Wireless Services, Inc. * 520
42 BellSouth Corp. 1,063
14 Nextel Communications, Inc., Class A * 203
37 Qwest Communications International, Inc. * 138
68 SBC Communications, Inc. 1,579
20 Sprint Corp. - FON Group 224
19 Sprint Corp. - PCS Group * 66
72 Verizon Communications, Inc. 2,693
------------
6,676
Telecommunications Equipment -- 0.9%
91 Lucent Technologies, Inc. * 163
73 Motorola, Inc. 573
29 QUALCOMM, Inc. 929
------------
1,665
Toys & Games -- 0.2%
17 Mattel, Inc. 361
Utilities -- 2.6%
9 Dominion Resources, Inc. 539
21 DTE Energy Co. 827
15 Edison International * 212
7 FirstEnergy Corp. 229
10 Pepco Holdings, Inc. 172
72 PG&E Corp. * 1,079
40 Pinnacle West Capital Corp. 1,324
15 XCEL Energy, Inc. 204
------------
4,586
--------------------------------------------------------------------
Total Common Stocks 176,809
(Cost $181,566)
- ---------------------------------------------------------------------------------
Short-Term Investment -- 0.2%
- ---------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.2%
400 JPMorgan Prime Money Market Fund (a) 400
(Cost $400)
- ---------------------------------------------------------------------------------
Total Investments -- 100.0% $ 177,209
(Cost $181,966)
- ---------------------------------------------------------------------------------
</Table>
See notes to financial statements.
35
<Page>
JPMORGAN TAX AWARE ENHANCED INCOME FUND
Portfolio of Investments
As of April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- 49.6%
- --------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 0.1%
$ 3,115 U.S. Treasury Notes & Bonds, 4.63%, 5/15/06 $ 3,355
(Cost $3,334)
U.S. GOVERNMENT AGENCY SECURITIES -- 0.9%
21,100 Federal Home Loan Mortgage Corp., 0.00%,
5/19/06, MTN, FRN 21,095
(Cost $21,100)
STATE AND MUNICIPAL OBLIGATIONS -- 30.3%
Alaska -- 0.1%
2,250 Valdez, Alaska, Marine Terminal, Arco Transportation
Project, Ser. B, Rev., Adj., 2.00%, 5/1/31 2,253
Arizona -- 0.9%
4,000 Northern Arizona Capital Facilities Finance Corp.,
Northern Arizona University Project, Student
Housing, Ser. A, Rev., Adj., 4.00%, 8/1/33 4,064
5,000 Phoenix, Arizona, Civic Improvement Corp.,
Wastewater Systems Lease, Rev., (p), 6.13%, 7/1/03 5,139
11,250 Salt River Project Agricultural Improvement & Power
District, Salt River Project, Ser. A, Rev., 5.25%, 1/1/06 12,289
------------
21,492
California -- 1.8%
14,000 Bay Area Governments Association, Bay Area
Rapid Transit, FTA Capital Grant, Ser. A, Rev.,
AMBAC, 5.00%, 6/15/08 14,061
10,000 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. C, Adj., Rev.,
3.70%, 11/1/29 10,306
5,000 Los Angeles Department of Water & Power,
Waterworks, Ser. B, Rev., MBIA, 3.50%, 7/1/04 5,138
9,000 Santa Clara County Financing Authority, Measure B
Transportation Improvement Program,
Rev., 4.00%, 8/1/05 9,469
3,577 University of California, COP, 5.43%, 4/15/04 3,594
------------
42,568
Colorado -- 0.1%
1,500 Colorado Housing & Finance Authority, Multi-Family
Housing, Class 1-B1, Rev., Adj., 2.20%, 10/1/32 1,500
Connecticut -- 1.0%
10,500 Connecticut State, Recovery Note, Ser. A, GO,
4.00%, 12/1/05 11,179
10,425 Fairfield, Connecticut, GO, BAN, 3.00%, 8/1/03 10,476
2,565 New Haven, Connecticut, Ser. C, GO, MBIA,
5.00%, 11/1/06 2,841
------------
24,496
</Table>
See notes to financial statements.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
District of Columbia -- 0.4%
$ 10,000 District of Columbia, Ser. A-2, GO, Adj., MBIA,
1.20%, 6/1/19 $ 10,000
Florida -- 0.4%
1,265 Bay County, Hospital Systems, Bay Medical Center
Project, Rev., (p), 8.00%, 10/1/04 1,384
3,820 Boca Place Associates LTD, Senior Certificates,
Beneficial Ownership, Rev., 4.65%, 2/1/04 3,905
3,000 Duval County School District, GO, AMBAC,
6.00%, 8/1/03 3,035
1,000 Turtle Run Community Development District, Rev.,
(p), 6.40%, 5/1/03 1,000
------------
9,324
Georgia -- 1.7%
8,000 Burke County Development Authority, PCR,
Ser. 1994, Rev., Adj., 2.50%, 10/1/32 8,000
12,310 Henry County School District, GO, FGIC, 5.00%,
4/1/07 13,617
19,525 Milledgeviille & Baldwin County Development
Authority, Georgia College & State University
Foundation, Student Housing, Rev., Adj., 5.00%,
9/1/32 20,277
------------
41,894
Illinois -- 0.9%
7,000 Chicago Board of Education, FLOATS, Ser. SG-103,
Adj., 1.42%, 12/1/20 7,000
1,700 Illinois Health Facilities Authority, Lifelink Corp.
Obligation Group, Ser. B, Rev., (p), 8.00%, 2/15/05 1,893
10,765 Illinois State, 1st Ser., GO, 5.00%, 8/1/07 11,896
------------
20,789
Indiana -- 0.5%
12,525 Indiana Municipal Power Agency, Power Supply
Systems, FLOATS, Ser. PT-1412, Rev., Adj.,
AMBAC, 1.42%, 1/1/19 12,525
Kansas -- 0.3%
6,000 Burlington, Kansas, Environmental Improvement,
Kansas City Power & Light, Rev., Adj., 4.75%, 9/1/15 6,229
Kentucky -- 0.4%
10,275 Kentucky Asset Liability Commission, Ser. A, Rev.,
3.50%, 11/1/03 10,313
Maine -- 0.1%
1,500 Maine Veterans Homes, Rev., (p), 7.75%, 10/1/05 1,752
</Table>
See notes to financial statements.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Maryland -- 1.4%
$ 2,700 Maryland State Health & Higher Educational
Facilities Authority, Johns Hopkins Hospital, Ser. B,
Rev., Adj., 2.10%, 7/1/27 $ 2,700
10,000 Maryland State, State & Local Facilities Loan, 1st
Ser. B, GO, 5.00%, 7/15/06 11,038
10,535 Washington Suburban Sanitation District, Water
Supply, GO, 4.00%, 6/1/05 11,115
8,000 Washington Suburban Sanitation District, Water
Supply, GO, 5.25%, 6/1/07 8,998
------------
33,851
Massachusetts -- 0.9%
8,000 Chelsea, Massuchusetts, Ser. B, GO, BAN, 4.00%,
4/15/05 8,394
6,375 Massachusetts State Water Resources Authority,
Ser. D, Rev., Adj., AMBAC, 1.10%, 4/1/29 6,375
8,000 Massachusetts State, Ser. A, GO, BAN, 4.00%,
9/1/03 8,074
------------
22,843
Michigan -- 1.0%
9,000 Central Michigan University, Ser. B, Rev., Adj.,
FGIC, 1.75%, 10/1/15 9,000
1,225 Michigan State Hospital Finance Authority, Sparrow
Obligation Group, Rev., 5.00%, 11/15/03 1,246
2,555 Michigan State Hospital Finance Authority, Trinity
Health, Ser. A, Rev., 5.50%, 12/1/04 2,709
10,000 Michigan Strategic Fund, Dow Chemical Project,
Rev., Adj., 3.80%, 6/1/14 10,165
------------
23,120
Minnesota -- 1.3%
10,000 Southern Minnesota Municipal Power Agency, Power
Supply Systems, Ser. A, Rev., 5.00%, 1/1/04 10,239
20,860 Washington County Housing & Redevelopment
Authority, Multi-Family Housing, FLOATS, Ser.
PT-702, Rev., 1.44%, 12/31/03 20,860
------------
31,099
Missouri -- 0.1%
2,520 Missouri State Board of Public Buildings, Ser. A,
Rev., 5.25%, 10/15/08 2,865
Multiple States -- 3.7%
2,260 MBIA Capital Corp., FLOATS, 1.51%, 1/14/16 2,260
2,555 Puttable Floating Option Tax-Exempt Receipts,
FLOATS, 1.56%, 3/14/06 2,555
4,080 Puttable Floating Option Tax-Exempt Receipts,
FLOATS, Ser. POL-1, 1.61%, 12/1/15 4,080
45,285 Puttable Floating Option Tax-Exempt Receipts,
FLOATS, Ser. PPT-12, 1.56%, 7/1/24 45,285
</Table>
See notes to financial statements.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Multiple States -- Continued
$ 8,750 Puttable Floating Option Tax-Exempt Receipts,
FLOATS, Ser. PPT-38, Mode A, Adj., 1.25%, 12/1/18 $ 8,750
29,281 Puttable Floating Option Tax-Exempt Reciepts,
FLOATS, Ser. PPT-34, Adj., #, 1.25%, 12/1/29 29,281
------------
92,211
Nebraska -- 0.6%
14,000 Nebraska Public Power District, Construction Notes,
Rev., 3.50%, 12/1/03 14,194
New York -- 2.7%
5,000 Long Island Power Authority, Electric Systems, Ser.
A, Rev., 4.50%, 6/1/05 5,231
12,750 Long Island Power Authority, Electric Systems, Ser.
B, Rev., 5.00%, 6/1/05 13,493
4,925 New York City Municipal Water Finance Authority,
Water & Sewer System, FLOATS, Ser. PA-446, Rev.,
Adj., FGIC, 1.36%, 6/15/30 4,925
1,060 New York City, New York, Ser. 2002-B, GO, 7.50%,
2/1/06 1,076
11,685 New York City, New York, Ser. C, GO, 5.00%,
8/1/05 12,396
15,450 New York City, New York, Ser. G, GO, 5.00%,
8/1/06 16,619
5,070 New York State Dormitory Authority, Fifth
Generation, City University System, Ser. A, Rev.,
CONS, FGIC, 5.25%, 1/1/08 5,673
4,950 New York State Urban Development Corp.,
Correctional & Youth Facilities Services, Ser. A,
Rev., 5.00%, 1/1/07 5,407
------------
64,820
North Carolina -- 0.2%
4,435 North Carolina Housing Finance Agency,
Appalachian Student Housing, Ser. A, Rev., Adj.,
5.50%, 7/1/31 4,455
Oklahoma -- 0.3%
7,000 Tulsa County Industrial Authority, Healthcare,
St. Francis Hospital, Inc., Ser. B, Rev., Adj., 5.15%,
12/15/18 7,156
Oregon -- 0.9%
20,000 Oregon State Department of Administrative
Services, Rev., FSA, 5.00%, 9/1/08 22,441
Pennsylvania -- 0.4%
10,000 Pennsylvania State University, Rev., 4.75%,
8/15/03 10,101
</Table>
See notes to financial statements.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Puerto Rico -- 1.7%
$ 14,250 Puerto Rico Commonwealth, Ser. C, Adj., GO,
MBIA, 5.00%, 7/1/28 $ 15,785
7,000 Puerto Rico Highway & Transportation Authority,
Ser. AA, Rev., 5.00%, 7/1/07 7,652
16,605 Puerto Rico Municipal Finance Agency, Ser. A,
Rev., 4.00%, 8/1/04 17,146
------------
40,583
Rhode Island -- 0.1%
2,500 Rhode Island Housing & Mortgage Finance Corp.,
Hometown Opportunity Notes, Ser. 41-C, Rev.,
3.38%, 11/1/05 2,566
South Carolina -- 0.3%
7,500 South Carolina State Public Service Authority, Ser.
D, Rev., FSA, 4.00%, 1/1/08 7,985
Texas -- 4.1%
1,800 Brazos River Authority, PCR, Utilities Electric Co.,
Ser. B, Rev., Adj., 5.05%, 6/1/30 1,798
3,490 Houston, Texas, Airport Systems, Sub Lien, Ser. A,
Rev., FGIC, 6.00%, 7/1/10 3,883
19,465 Houston, Texas, Public Improvement, GO, MBIA,
5.00%, 3/1/08 21,554
2,000 Lewisville, Texas, Combination Contract, Special
Assessment, Castle Hills No. 3 Project, Rev., 4.13%,
5/1/31 2,123
6,070 San Antonio, Texas, Electric & Gas, FLOATS, Ser.
SG-101, (p), 1.42%, 2/1/19 6,070
3,700 San Antonio, Texas, General Improvement, GO,
3.00%, 8/1/04 3,780
22,500 San Antonio, Texas, Water, FLOATS, Ser. SG-159,
Rev., Adj., FSA, 1.42%, 5/15/28 22,500
40,000 Texas State, Rev., TRAN, 2.75%, 8/29/03 40,218
------------
101,926
Virgin Islands -- 0.2%
3,570 University of the Virgin Islands, Ser. A, Rev., (p),
7.70%, 10/1/19 3,964
Virginia -- 0.7%
2,265 Loudoun County, Ser. B, GO, 3.00%, 10/1/04 2,313
4,000 Louisa IDA, Solid Waste & Sewer Disposal, Electric
& Power Co. Project, Ser. A, Rev., Adj., 3.40%,
3/1/31 4,049
9,045 Prince William County, Public Improvement, Ser. A,
GO, 5.00%, 8/1/06 10,003
------------
16,365
Washington -- 0.2%
4,000 Washington Health Care Facilities Authority,
Multicare Health Systems, Rev., MBIA, 4.38%,
8/15/04 4,155
</Table>
See notes to financial statements.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
West Virginia -- 0.1%
$ 1,545 Morgantown, West Virginia, Sewer Systems, Rev.,
7.25%, 6/1/05 $ 1,676
Wisconsin -- 0.8%
6,250 Wisconsin Health & Educational Facilities Authority,
Ser. 1999A, Rev., Adj., 4.45%, 5/1/29 (i) 6,570
5,000 Wisconsin State Health & Educational Facilities,
1.60%, 12/31/50 (i) 5,000
3,975 Wisconsin State Health & Educational Facilities
Authority, Hospital Charity Obligation Group,
Ser. D, Rev., Adj., (p), 4.90%, 11/1/15 4,226
3,075 Wisconsin State Health & Educational Facilities
Authority, Ministry Health Care, Inc., Rev., 3.40%,
5/15/07 3,081
------------
18,877
--------------------------------------------------------------------------------
Total State and Municipal Obligations 732,388
(Cost $727,638)
--------------------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 7.6%
Asset Backed Securities -- 1.7%
Restructured Asset Securities with Enhanced Returns
(RACERS),
14,300 1.16%, 4/15/04, Ser. 2002-35, Class C, FRN, # 14,217
14,900 1.18%, 4/15/04, Ser. 2002-40, Class C, FRN, # 14,815
12,200 Special Purpose Accounts Receivable Cooperative
Corp. (SPARCS), 2.19%, 5/23/04, Ser. 2002-6, FRN, # 12,218
------------
41,250
Automotive -- 0.5%
General Motors Acceptance Corp.,
9,000 1.44%, 8/18/03, FRN 8,984
1,900 6.75%, 1/15/06 2,004
------------
10,988
Computers/Computer Hardware -- 0.6%
15,100 International Business Machines Corp., 1.44%,
9/10/04, FRN 15,112
Financial Services -- 3.5%
CIT Group, Inc.,
1,800 7.50%, 11/14/03 1,852
800 2.84%, 3/1/04, MTN, FRN 805
22,185 2.80%, 1/31/05, MTN, FRN 22,223
9,925 Countrywide Home Loans, Inc., 3.50%, 12/19/05,
Ser. K, MTN 10,164
Counts Trusts,
8,250 2.12%, 8/15/07, Ser. 2002-10, FRN, # 8,250
8,250 2.17%, 8/15/07, Ser. 2002-11, FRN, # 8,250
9,600 Credit Suisse First Boston USA, Inc., 5.75%,
4/15/07 10,484
</Table>
See notes to financial statements.
41
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Financial Services (Continued)
Household Finance Corp.,
$ 1,750 1.69%, 5/28/04, MTN, FRN $ 1,755
14,400 7.88%, 3/1/07 16,697
5,615 International Lease Finance Corp., 4.00%, 1/17/06,
Ser. O, MTN 5,699
------------
86,179
Multi-Media -- 0.8%
10,225 Walt Disney Co., Structured Note, MTN, 2.50%, 8/7/03 18,974
Paper/Forest Products -- 0.3%
7,100 Weyerhaeuser Co., 2.38%, 9/15/03, FRN 7,101
Telecommunications -- 0.2%
3,875 Sprint Capital Corp., 6.00%, 1/15/07 3,953
--------------------------------------------------------------------------------
Total Corporate Notes & Bonds 183,557
(Cost $180,764)
--------------------------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 7.5%
Collateralized Mortgage Obligations -- 1.0%
Federal National Mortgage Association,
10,832 1.82%, 6/25/32, Ser. 2002-36, Class FS, FRN 10,929
8,256 4.50%, 5/25/42, Ser. 2002-W4, Class A1 8,273
3,092 Government National Mortgage Association, 1.72%,
12/20/30, Ser. 2000-38, Class F, FRN 3,100
Residential Funding Mortgage Securities I,
1,047 6.75%, 4/25/29, Ser. 1999-S9, Class A1 1,047
1,706 6.50%, 5/25/32, Ser. 2002-S7, Class A1 1,712
------------
25,061
Mortgage Backed Pass-Through Securities -- 6.5%
152,550 Federal Home Loan Mortgage Corp., 5.50%,
5/15/33, Gold Pool, TBA 156,697
--------------------------------------------------------------------------------
Total Residential Mortgage Backed Securities 181,758
(Cost $178,860)
--------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 3.2%
11,200 Citibank Credit Card Issuance Trust, 2.29%,
3/20/08, Ser. 2003-C2, Class C2, FRN 11,200
18,976 Countrywide Asset-Backed Certificates, 1.72%,
3/25/33, Ser. 2003-BC1, Class A1, FRN 19,011
8,763 EQCC Trust, 1.62%, 11/25/31, Ser. 2002-1, Class
2A, FRN 8,771
9,030 HFC Home Equity Loan Asset Backed Certificates,
1.63%, 4/20/32, Ser. 2002-2, Class A, FRN 9,036
627 Peco Energy Transition Trust, 1.46%, 3/1/06, Ser.
1999-A, Class A3, FRN 627
12,292 Residential Asset Mortgage Products, Inc., 1.69%,
8/25/32, Ser. 2002-RS5, FRN 12,274
</Table>
See notes to financial statements.
42
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Asset Backed Securities -- Continued
$ 7,599 SLM Student Loan Trust, 1.35%, 10/25/10, Ser.
2002-1, Class A1, FRN $ 7,599
8,550 Wachovia Asset Securitization, Inc., 1.75%,
12/25/32, Ser. 2002-HE2, Class A, FRN 8,571
--------------------------------------------------------------------------------
Total Asset Backed Securities 77,089
(Cost $77,036)
- --------------------------------------------------------------------------------------------
Total Long-Term Investments
(Cost $1,188,732) 1,199,242
- --------------------------------------------------------------------------------------------
Short-Term Investments -- 50.4%
- --------------------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 43.7%
Arizona -- 1.7%
12,000 Arizona Educational Loan Marketing Corp., ACES,
Ser. A, Rev., FRDO, 1.15%, 5/7/03 12,000
15,800 Arizona Educational Loan Marketing Corp., RAMS,
Sub Ser. B, Rev., FRDO, 1.20%, 5/8/03 15,800
10,000 Arizona Health Facilities Authority, Banner Health
Systems, Ser. A, Rev., FRDO, AMBAC, 1.07%, 5/2/03 10,000
3,000 Arizona Student Loan Acquisition Authority, RAMS,
Senior Ser. A-1, Rev., FRDO, 1.12%, 5/15/03 3,000
------------
40,800
Arkansas -- 0.1%
2,500 Arkansas Student Loan Authority, Ser. A-2, Rev.,
FRDO, 1.13%, 5/8/03 2,500
California -- 3.8%
4,500 Access to Loans for Learning Student Loan Corp.,
Student Loan Project, Ser. IV-A4, Rev., RAMS,
FRDO, 1.05%, 5/6/03 4,500
6,000 California State Department of Water Resources,
Power Supply, Ser. C-8, Rev., FRDO, 1.35%, 5/1/03 6,000
40,000 California State, Rev., RAN, 2.50%, 6/27/03 40,055
13,250 California State, Rev., RAN, FRDO, 1.32%, 5/1/03 13,230
20,000 California State, Ser. 819-D, GO, FRDO, AMBAC,
0.00%, 5/1/03 20,000
1,000 Chela Financial USA, Inc., California Student Loan,
ACES, Senior Ser. C-4, Rev., FRDO, 1.30%, 5/13/03 1,000
5,500 Student Education Loan Marketing Corp., Sub Ser.
IV-C-1, Rev., FRDO, 1.20%, 5/15/03 5,500
------------
90,285
Colorado -- 0.8%
10,000 Denver City & County, Airport Sub Systems, Sub
Ser. A-2, Rev., FRDO, FGIC, 1.40%, 5/6/03 10,000
8,825 Denver City & County, Airport Sub Systems, Sub
Ser. C-3, Rev., FRDO, FGIC, 1.03%, 5/27/03 8,825
------------
18,825
</Table>
See notes to financial statements.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Short-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Connecticut -- 0.2%
$ 5,700 Connecticut State Health & Educational Facilities
Authority, Wesleyan University, Ser. D, Rev.,
FRDO, 1.20%, 5/7/03 $ 5,700
District of Columbia -- 2.7%
2,150 District of Columbia, Georgetown University, Ser.
A, Rev., FRDO, MBIA, 1.20%, 6/4/03 2,150
16,900 District of Columbia, Georgetown University, Ser.
C, Rev., FRDO, MBIA, 1.07%, 5/15/03 16,900
7,350 District of Columbia, Georgetown University, Ser.
D, Rev., FRDO, MBIA, 1.12%, 5/19/03 7,350
15,000 District of Columbia, Ser. A-1, GO, FRDO, MBIA,
1.15%, 5/8/03 15,000
22,500 District of Columbia, Ser. B, GO, FRDO, FSA,
1.35%, 5/7/03 22,500
2,000 District of Columbia, Ser. B-2, GO, FRDO, MBIA,
1.15%, 5/6/03 2,000
------------
65,900
Florida -- 0.5%
5,150 Miami-Dade County School Board, COP, Ser. B,
FRDO, AMBAC, 1.05%, 5/9/03 5,150
6,875 Orlando & Orange County Expressway Authority,
Ser. C-2, Rev., FRDO, FSA, 1.35%, 5/1/03 6,875
------------
12,025
Georgia -- 0.9%
4,000 Fulton County Development Authority, Lovett
School Project, Rev., FRDO, 1.35%, 5/7/03 4,000
5,000 Fulton County Development Authority, Piedmont
Medical Center Project, Ser. B, Rev., FRDO, MBIA,
1.09%, 5/21/03 5,000
4,000 Gwinnett County Hospital Authority, Gwinnett
Hospital Systems, Inc. Project, Rev., RAN, FRDO,
1.35%, 5/7/03 4,000
9,385 Municipal Electric Authority of Georgia, Project One,
Ser. C, Rev., FRDO, FSA, 1.30%, 5/7/03 9,385
------------
22,385
Illinois -- 1.7%
7,000 Chicago Metropolitan Water Reclamation District,
Ser. A, GO, FRDO, 1.30%, 5/7/03 7,000
16,100 Chicago, Illinois Water Authority, Rev., FRDO,
1.35%, 5/7/03 16,100
4,300 Galesburg, Illinois, Knox College Project, Rev.,
FRDO, 1.46%, 5/8/03 4,300
9,500 Illinois Development Finance Authority, Provena
Health, Ser. B, Rev., FRDO, MBIA, 1.10%, 5/21/03 9,500
3,700 Springfield, Illinois, Electric, Sub Lien, Rev., FRDO,
MBIA, 1.20%, 5/29/03 3,700
------------
40,600
</Table>
See notes to financial statements.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Short-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Indiana -- 1.4%
$ 22,075 Indiana Health Facility Financing Authority,
Acension Health, Ser. E, Rev., FRDO,
1.20%, 5/29/03 $ 22,075
9,215 Indiana University, Student Residence Systems,
Rev., FRDO, 1.30%, 5/7/03 9,215
2,000 Indianapolis Local Public Improvement Bond Bank,
Ser. F-2, Rev., FRDO, MBIA, 1.30%, 5/7/03 2,000
------------
33,290
Iowa -- 0.3%
6,500 Iowa Student Loan Liquidity Corp., Ser. R, Rev.,
FRDO, AMBAC, 1.20%, 5/28/03 6,500
Kentucky -- 0.1%
2,950 Ohio County, PCR, Big Rivers Electric Project, Ser.
A, Rev., FRDO, AMBAC, 1.15%, 5/7/03 2,950
Louisiana -- 0.8%
2,400 Louisiana Public Facilities Authority, Student Loan,
Ser. A-3, Rev., FRDO, MBIA, 1.07%, 5/7/03 2,400
13,150 Louisiana Public Facilities Authority, Wills-Knighton
Medical Center, Ser. 1993, Rev., FRDO, AMBAC,
1.12%, 6/3/01 13,150
3,565 Louisiana State, Gas & Fuels Tax, Ser. A, Rev.,
AMBAC, 3.00%, 6/1/03 3,571
------------
19,121
Massachusetts -- 1.9%
21,450 Massachusetts Health & Educational Facilities
Authority, Boston College Issue, Rev., FRDO,
1.20%, 5/8/03 21,450
4,500 Massachusetts Health & Educational Facilities
Authority, Tufts University, Ser. G, Rev., FRDO,
1.17%, 5/8/03 4,500
4,000 Massachusetts Housing Finance Agency, Ser. F,
Rev., FRDO, FSA, 1.35%, 5/7/03 4,000
15,000 Route 3 North Transit Improvement Association,
Ser. B, Rev., FRDO, AMBAC, 1.30%, 5/7/03 15,000
------------
44,950
Michigan -- 3.7%
20,500 Michigan Higher Education Student Loan Authority,
Ser. XII-R-2, Rev., FRDO, AMBAC, 1.20%, 5/29/03 20,500
20,000 Michigan State Building Authority, Multi-Modal
Facilties Program, Rev., FRDO, 1.35%, 5/7/03 20,000
2,500 Michigan State Hospital Finance Authority,
Ascension Health Group, Ser. B-6, Rev., FRDO,
MBIA, 1.15%, 5/27/03 2,500
8,170 Saline Area Schools, GO, FRDO, 1.35%, 5/1/03 8,170
13,340 University of Michigan, Rev., FRDO, 1.30%,
5/1/03 13,340
3,000 Wayne State University, General Purpose, Rev.,
FRDO, AMBAC, 1.11%, 5/8/03 3,000
</Table>
See notes to financial statements.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Short-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Michigan -- Continued
$ 10,000 Wayne State University, Rev., FRDO, AMBAC,
1.15%, 5/22/03 $ 10,000
10,800 Western Michigan University, Ser. A, Rev., FRDO,
AMBAC, 1.15%, 5/1/03 10,800
------------
88,310
Minnesota -- 0.4%
5,000 Northern Municipal Power Agency, Minnesota
Electric Systems, Ser. A-1, Rev., FRDO, MBIA,
1.20%, 5/3/03 5,000
5,000 Rochester, Minnesota, Health Care Facilities, Mayo
Foundation, Ser. A, Rev., FRDO, 1.20%, 5/22/03 5,000
------------
10,000
Mississippi -- 0.4%
1,700 Mississippi Higher Education Assistance Corp.,
Student Loan, Ser. A, Rev., FRDO, 1.20%, 6/4/03 1,700
7,400 Mississippi Higher Education Assistance Corp.,
Student Loan, Ser. B, Rev., FRDO, 1.10%, 5/13/03 7,400
------------
9,100
Missouri -- 1.6%
10,000 Missouri State Health & Educational Facilities
Authority, Mercy Health Systems, Ser. C, Rev.,
FRDO, AMBAC, 1.08%, 5/21/03 10,000
18,500 Missouri State Health & Educational Facilities
Authority, Ascension Health, Ser. C-1, Rev., FRDO,
1.12%, 5/7/03 18,500
10,000 Missouri State Health & Educational Facilities
Authority, Mercy Health Systems, Ser. B, Rev.,
FRDO, AMBAC, 1.15%, 5/28/03 10,000
------------
38,500
Montana -- 0.6%
11,600 Montana Higher Education Student Assistance
Corp., Student Loan, Senior Ser. A, Rev., FRDO,
1.10%, 5/9/03 11,600
4,000 Montana Higher Education Student Assistance
Corp., Student Loan, Senior Ser. A, Rev., FRDO,
1.20%, 6/4/03 4,000
------------
15,600
Nevada -- 0.3%
7,225 Las Vegas Valley Water District, Municipal Trust
Certificates, Ser. ZTC-51, Class A, GO, FRDO,
MBIA, 1.56%, 5/1/03 7,225
New Hampshire -- 0.1%
3,000 New Hampshire Health & Education Facilities
Authority, Higher Education Loans, Ser. A, Rev.,
FRDO, 1.20%, 5/28/03 3,000
</Table>
See notes to financial statements.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Short-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
New Jersey -- 0.6%
$ 8,500 New Jersey Sports & Exposition Authority, State
Contract, Ser. C, Rev., FRDO, MBIA, 1.35%, 5/1/03 $ 8,500
5,200 North Hudson Sewerage Authority Sewer Revenue,
Ser. B, Rev., FRDO, MBIA, 1.35%, 5/1/03 5,200
------------
13,700
New Mexico -- 0.4%
5,000 New Mexico Educational Assistance Foundation,
Student Loan Project, Senior Ser. A-1, Rev., FRDO,
1.12%, 5/7/03 5,000
4,000 New Mexico Educational Assistance Foundation,
Student Loan Project, Senior Ser. A-1, Rev., FRDO,
1.13%, 6/3/03 4,000
------------
9,000
New York -- 2.9%
23,950 Metropolitan Transportation Authority, Dedicated Tax
Fund, Ser. B, Rev., FRDO, FSA, 1.35%, 5/1/03 23,950
20,200 New York State Environmental Facilities Corp.,
Clean Water & Drinking, FLOATS, Ser. 731, Rev.,
FRDO, 1.39%, 5/1/03 20,200
9,375 New York State Urban Development Corp.,
Correctional Facilities, Sub Ser. B-7, Rev., FRDO,
AMBAC, 1.10%, 5/6/03 9,375
15,500 New York State Energy Research & Development
Authority, Consolidated Edison Co., Subser. A-2,
Rev., FRDO, AMBAC, 1.15%, 5/7/03 15,500
------------
69,025
North Carolina -- 0.6%
6,625 Charlotte-Mecklenburg Hospital Authority, North
Carolina Health Care Facilities, Ser. B, Rev., FRDO,
AMBAC, 1.15%, 5/27/03 6,625
5,000 Guilford County, Ser. C, GO, FRDO, 1.35%, 5/7/03 5,000
1,800 North Carolina Municipal Power Agency No. 1,
Catawba, Taxable, Ser. B, Rev., 2.95%, 1/1/04 1,806
2,000 Wake County Industrial Facilities & Pollution Control
Financing Authority, Ser. E, Rev., FRDO, AMBAC,
1.00%, 5/6/03 2,000
------------
15,431
Ohio -- 1.4%
7,500 Franklin County, Hospital, OhioHealth Corp., Ser. A,
Rev., FRDO, MBIA, 1.07%, 5/16/03 7,500
12,000 Ohio State, Infrastructure Improvement, Ser. B,
GO, FRDO, 1.30%, 5/7/03 12,000
13,900 Student Loan Funding Corp., Cincinnati, Student
Loans, Rev., FRDO, 1.13%, 5/23/03 13,900
------------
33,400
Oklahoma -- 0.3%
8,300 Oklahoma Student Loan Authority, ACES, Ser. A-1,
Rev., FRDO, 1.15%, 5/29/03 8,300
</Table>
See notes to financial statements.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Short-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Pennsylvania -- 1.6%
$ 2,000 ABN AMRO Munitops Certificate Trust, Ser.
1999-16, Class V, FRDO, MBIA, 1.43%, 5/7/03 $ 2,000
1,605 Beaver County IDA, PCR, Ser. D, Rev., FRDO,
AMBAC, 1.15%, 5/28/03 1,605
18,000 Pennsylvania Economic Development Financing
Authority, Reliant Energy Seward LLC Project,
Ser. B, Rev., FRDO, 1.50%, 5/7/03 18,000
10,000 Pennsylvania Higher Education Assistance Agency,
Guaranteed Student Loans, Sub Ser. N-2, Rev.,
FRDO, 1.10%, 5/13/03 10,000
7,000 Philadelphia School District, GO, TRAN, 2.75%,
6/30/03 7,018
------------
38,623
Puerto Rico -- 0.6%
15,500 Puerto Rico Commonwealth, Rev., TRAN, 2.50%,
7/30/03 15,553
Rhode Island -- 1.4%
8,000 Rhode Island State & Providence Plantations,
FLOATS, Ser. 720, GO, FRDO, FGIC, 1.42%, 5/1/03 8,000
10,500 Rhode Island Student Loan Authority, ACES, Ser. 1,
Rev., FRDO, AMBAC, 1.10%, 5/7/03 10,500
200 Rhode Island Student Loan Authority, ACES, Ser. A,
Rev., FRDO, 1.13%, 5/23/03 200
9,700 Rhode Island Student Loan Authority, Ser. 1, Rev.,
FRDO, AMBAC, 1.08%, 5/1/03 9,700
6,150 Rhode Island Student Loan Authority, Ser. B, Rev.,
FRDO, 1.13%, 5/2/03 6,150
------------
34,550
South Carolina -- 0.4%
6,000 Greenville Hospital Systems, Ser. C, Rev.,
AMBAC, 0.00%, 5/1/03 6,000
2,500 South Carolina State Education Assistance
Authority, Student Loan, Senior Lien, Ser. A, Rev,
FRDO, 1.19%, 6/4/03 2,500
------------
8,500
South Dakota -- 0.9%
10,800 Education Loans, Inc., South Dakota Student Loan,
ACES, Ser. 1-A, Rev., FRDO, 1.15%, 5/29/03 10,800
10,000 Education Loans, Inc., South Dakota Student Loan,
ACES, Ser. 1-C, Rev., FRDO, 1.10%, 5/8/03 10,000
------------
20,800
Texas -- 2.3%
10,000 Brazos Higher Education Authority, ACES, Student
Loan, Senior Lien, Ser. A-1, Rev., FRDO, 1.10%,
5/15/03 10,000
2,200 Brazos Higher Education Authority, ACES, Student
Loan, Senior Lien, Ser. A-1, Rev., FRDO, 1.20%,
5/29/03 2,200
</Table>
See notes to financial statements.
48
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Short-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Texas -- Continued
$ 2,000 Brazos Higher Education Authority, Student Loan,
Ser. A-7, Rev., FRDO, 1.10%, 5/2/03 $ 2,000
10,000 Harris County Health Facilities Development
Authority, Hospital, Memorial Hermann, Ser. B,
Rev., FRDO, FSA, 1.15%, 5/22/03 10,000
9,800 Harris County Health Facilities Development
Authority, Stars Memorial Hospital, Ser. B, Rev.,
FRDO, MBIA, 1.14%, 5/21/03 9,800
8,000 Houston, Texas, Hotel Occupancy, Convention &
Entertainment, Ser. C-1, Rev., FRDO, AMBAC,
1.11%, 5/8/03 8,000
10,000 South Texas Higher Education Authority, Ser. A-1,
Rev., FRDO, MBIA, 1.10%, 5/15/03 10,000
3,584 Texas State, Veterans Housing Assistance Fund I,
GO, FRDO, 1.30%, 5/7/03 3,584
------------
55,584
Utah -- 1.6%
19,450 Utah State Board of Regents, Student Loan, ACES,
Ser. A, Class II, Rev., FRDO, 1.12%, 6/3/03 19,450
20,000 Utah Transit Authority, Sales Tax & Transportation,
Light Rail Transit, Ser. R, Rev., FRDO, 1.30%, 5/1/03 20,000
------------
39,450
Vermont -- 0.6%
5,200 Vermont Student Assistance Corp., Student Loans,
Ser. G, Rev., FRDO, FSA, 1.15%, 5/28/03 5,200
10,000 Vermont Student Assistance Corp., Student Loans,
Ser. N, Rev., FRDO, AMBAC, 1.16%, 5/8/03 10,000
------------
15,200
Virginia -- 0.2%
6,000 Virginia Commonwealth Transportation Board,
FLOATS, Ser. 727, Rev., FRDO, 1.42%, 5/1/03 6,000
Washington -- 1.0%
23,850 Washington State Public Power Supply System,
Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA,
1.35%, 5/7/03 23,850
West Virginia -- 1.3%
31,500 West Virginia State Parkways Economic
Development & Tourism Authority, Rev., FRDO,
FGIC, 1.30%, 5/7/03 31,500
Wisconsin -- 0.7%
6,055 Milwaukee Metropolitan Sewerage District, Municipal
Trust Certificates, Ser. ZTC-53, Class A, GO, FRDO,
1.56%, 5/1/03 6,055
10,375 Wisconsin Public Power, Inc., Power Supply
Systems, Ser. B, Rev., FRDO, MBIA, 1.15%, 6/6/03 10,375
------------
16,430
</Table>
See notes to financial statements.
49
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- --------------------------------------------------------------------------------------------
Short-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Wyoming-- 0.9%
$ 4,000 Wyoming Student Loan Corp., ACES, Ser. A, Rev.,
FRDO, 1.15%, 5/14/03 $ 4,000
8,000 Wyoming Student Loan Corp., ACES, Ser. A, Rev.,
FRDO, 1.23%, 6/4/03 8,000
5,800 Wyoming Student Loan Corp., ACES, Ser. B, Rev.,
FRDO, 1.15%, 5/7/03 5,800
5,000 Wyoming Student Loan Corp., ACES, Ser. B, Rev.,
FRDO, 1.15%, 5/14/03 5,000
------------
22,800
--------------------------------------------------------------------------------
Total State and Municipal Obligations 1,055,262
(Cost $1,055,250)
- --------------------------------------------------------------------------------------------
U.S. TREASURY SECURITY -- 0.1%
2,370 U.S. Treasury Bill, 1.16%, 5/15/03 @ 2,369
(Cost $2,369)
Shares
MONEY MARKET FUND -- 6.6%
158,882 JPMorgan Tax Free Money Market Fund (a) 158,882
(Cost $158,882)
- --------------------------------------------------------------------------------------------
Total Short-Term Investments
(Cost $1,216,501) 1,216,513
- --------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 2,415,755
(Cost $2,405,233)
- --------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
50
<Page>
Futures Contracts
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER VALUE AT APPRECIATION
OF EXPIRATION 4/30/03 (DEPRECIATION)
CONTRACTS DESCRIPTION DATE (USD) (USD)
- -------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
984 30 Day Federal Funds June, 2003 $ 405,297 $ 141
330 30 Day Federal Funds December, 2003 136,033 225
SHORT FUTURES OUTSTANDING
(72) 2 Year Treasury Notes June, 2003 (15,545) (78)
(405) 5 Year Treasury Notes June, 2003 (46,069) (530)
</Table>
Swap Contracts
<Table>
<Caption>
UNDERLYING UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
DESCRIPTIONS DATE VALUE (DEPRECIATION)
- ------------------------------------------------------------------------------------
Interest Rate Swap with Lehman Brothers
Special Financing, swap rate lock on 5 Year
Forward Contract rate less 3.47, JPMorgan
receives positive, pays negative 5/12/03 $ 119,200 $ (1,742)
</Table>
See notes to financial statements.
51
<Page>
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND
Portfolio of Investments
As of April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- 99.1%
- --------------------------------------------------------------------------------------------
COMMON STOCKS -- 99.1%
Banking -- 1.2%
65 Fifth Third Bancorp $ 3,189
Biotechnology -- 5.5%
130 Amgen, Inc. * 7,945
162 Applied Biosystems Group (Applera Corp.) 2,843
37 Gilead Sciences, Inc. * 1,726
50 MedImmune, Inc. * 1,778
------------
14,292
Broadcasting/Cable -- 0.6%
49 USA Networks, Inc. * 1,468
Business Services -- 2.4%
159 First Data Corp. 6,238
Computer Networks -- 2.6%
456 Cisco Systems, Inc. * 6,856
Computer Software -- 9.2%
46 Affiliated Computer Services, Inc., Class A * 2,185
728 Microsoft Corp. 18,614
277 Oracle Corp. * 3,290
------------
24,089
Computers/Computer Hardware -- 5.3%
206 Dell Computer Corp. * 5,947
92 International Business Machines Corp. 7,794
------------
13,741
Consumer Products -- 4.4%
98 Colgate-Palmolive Co. 5,603
67 Procter & Gamble Co. 6,008
------------
11,611
Diversified -- 5.5%
485 General Electric Co. 14,283
Electronics/Electrical Equipment -- 1.0%
49 Emerson Electric Co. 2,494
Financial Services -- 7.9%
146 American Express Co. 5,543
80 Citigroup, Inc. 3,156
92 Fannie Mae 6,666
53 Goldman Sachs Group, Inc. 4,045
25 Legg Mason, Inc. 1,358
------------
20,768
Food/Beverage Products -- 5.8%
67 PepsiCo, Inc. 2,885
190 The Coca-Cola Co. 7,676
73 Unilever NV, N.Y. Registered Shares
(The Netherlands) 4,578
------------
15,139
</Table>
See notes to financial statements.
52
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Health Care/Health Care Services -- 3.1%
33 Cardinal Health, Inc. $ 1,850
131 Medtronic, Inc. 6,269
------------
8,119
Insurance -- 2.4%
66 AMBAC Financial Group, Inc. 3,840
44 American International Group, Inc. 2,561
------------
6,401
Multi-Media -- 2.9%
65 Comcast Corp., Special Class A * 1,956
84 The Walt Disney Co. 1,569
92 Viacom, Inc., Class B * 3,994
------------
7,519
Oil & Gas -- 2.2%
57 Anadarko Petroleum Corp. 2,531
93 Exxon Mobil Corp. 3,273
------------
5,804
Pharmaceuticals -- 19.2%
167 Abbott Laboratories 6,773
96 Eli Lilly & Co. 6,095
37 Forest Laboratories, Inc. * 1,903
181 Johnson & Johnson 10,210
75 Merck & Co., Inc. 4,375
462 Pfizer, Inc. 14,221
54 Teva Pharmaceutical Industries LTD (Israel), ADR 2,536
98 Wyeth 4,275
------------
50,388
Restaurants/Food Services -- 1.5%
160 Yum! Brands, Inc. * 3,952
Retailing -- 8.6%
36 Bed Bath & Beyond, Inc. * 1,403
140 Home Depot, Inc. 3,949
62 Kohl's Corp. * 3,520
243 Wal-Mart Stores, Inc. 13,680
------------
22,552
Semi-Conductors -- 6.1%
42 Altera Corp. * 659
197 Applied Materials, Inc. * 2,882
539 Intel Corp. 9,915
75 Linear Technology Corp. 2,578
------------
16,034
Telecommunications -- 0.6%
40 Verizon Communications, Inc. 1,495
</Table>
See notes to financial statements.
53
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------------------
Long-Term Investments -- Continued
- --------------------------------------------------------------------------------------------
Telecommunications Equipment -- 1.1%
172 Nokia OYJ (Finland), ADR $ 2,857
--------------------------------------------------------------------------------
Total Common Stocks 259,289
(Cost $280,922)
- --------------------------------------------------------------------------------------------
Short-Term Investment -- 0.9%
- --------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.9%
2,366 JPMorgan Prime Money Market Fund (a) 2,366
(Cost $2,366)
- --------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 261,655
(Cost $283,288)
- --------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
54
<Page>
JPMORGAN TAX AWARE LARGE CAP VALUE FUND
Portfolio of Investments
As of April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- 99.4%
- ---------------------------------------------------------------------------------
COMMON STOCKS -- 99.4%
Agricultural Production/Services -- 1.4%
148 Altria Group, Inc. $ 4,544
Apparel -- 1.6%
185 Jones Apparel Group, Inc. * 5,282
Automotive -- 1.7%
68 Johnson Controls, Inc. 5,584
Banking -- 8.9%
196 Bank One Corp. 7,080
261 U.S. Bancorp 5,781
227 Wachovia Corp. 8,655
140 Wells Fargo & Co. 6,756
------------
28,272
Business Services -- 1.8%
366 Accenture LTD (Bermuda), Class A * 5,863
Chemicals -- 4.7%
97 Potash Corp. of Saskatchewan (Canada) 5,977
157 Praxair, Inc. 9,130
------------
15,107
Computers/Computer Hardware -- 3.0%
205 Hewlett-Packard Co. 3,348
73 International Business Machines Corp. 6,196
------------
9,544
Consumer Products -- 2.9%
103 Procter & Gamble Co. 9,267
Diversified -- 1.5%
312 Tyco International LTD (Bermuda) 4,860
Financial Services -- 16.5%
262 CIT Group, Inc. 5,337
439 Citigroup, Inc. 17,228
128 Fannie Mae 9,295
110 Goldman Sachs Group, Inc. 8,334
256 Janus Capital Group, Inc. 3,561
121 Merrill Lynch & Co., Inc. 4,967
99 Washington Mutual, Inc. 3,926
------------
52,648
Food/Beverage Products -- 1.2%
96 The Coca-Cola Co. 3,878
Health Care/Health Care Services -- 1.1%
58 C.R. Bard, Inc. 3,644
</Table>
See notes to financial statements.
55
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Insurance -- 6.7%
177 AMBAC Financial Group, Inc. $ 10,316
297 The Allstate Corp. 11,224
------------
21,540
Machinery & Engineering Equipment -- 1.5%
89 Caterpillar, Inc. 4,669
Manufacturing -- 1.5%
141 Honeywell International, Inc. 3,328
86 Timken Co. 1,522
------------
4,850
Metals/Mining -- 1.9%
272 Alcoa, Inc. 6,239
Multi-Media -- 4.2%
252 Comcast Corp., Special Class A * 7,566
531 Liberty Media Corp., Class A * 5,840
------------
13,406
Oil & Gas -- 12.2%
170 Baker Hughes, Inc. 4,760
82 ChevronTexaco Corp. 5,162
137 ConocoPhillips 6,891
501 Exxon Mobil Corp. 17,629
208 GlobalSantaFe Corp. 4,395
------------
38,837
Packaging -- 2.0%
453 Smurfit-Stone Container Corp. * 6,377
Pharmaceuticals -- 3.1%
66 Eli Lilly & Co. 4,184
157 Schering-Plough Corp. 2,842
69 Wyeth 3,011
------------
10,037
Real Estate Investment Trust -- 2.4%
341 Archstone-Smith Trust 7,768
Restaurants/Food Services -- 1.5%
290 McDonald's Corp. 4,959
Retailing -- 4.1%
236 CVS Corp. 5,704
392 The TJX Companies, Inc. 7,546
------------
13,250
Telecommunications -- 5.5%
264 SBC Communications, Inc. 6,162
312 Verizon Communications, Inc. 11,645
------------
17,807
</Table>
See notes to financial statements.
56
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Utilities -- 6.5%
212 American Electric Power Co., Inc. $ 5,593
215 DTE Energy Co. 8,685
159 Progress Energy, Inc. 6,643
------------
20,921
--------------------------------------------------------------------
Total Common Stocks 319,153
(Cost $359,205)
- ---------------------------------------------------------------------------------
Short-Term Investments -- 0.6%
- ---------------------------------------------------------------------------------
MONEY MARKET FUND -- 0.6%
1,831 JPMorgan Prime Money Market Fund (a) 1,831
(Cost $1,831)
- ---------------------------------------------------------------------------------
Total Investments -- 100.0% $ 320,984
(Cost $361,036)
- ---------------------------------------------------------------------------------
</Table>
See notes to financial statements.
57
<Page>
JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND
Portfolio of Investments
As of April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- 82.0%
- ---------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 75.3%
Alabama -- 0.4%
$ 1,000 Alabama State Docks Department, Dock Facilities,
Rev., MBIA, 6.00%, 10/1/06 $ 1,141
Alaska -- 0.4%
1,000 Valdez, Alaska, Marine Terminal,
Arco Transportation Project, Ser. B, Rev., Adj.,
2.00%, 5/1/31 1,001
Arizona -- 4.8%
3,480 Arizona School Facilities Board, COP, Ser. A, MBIA,
4.00%, 9/1/04 3,605
4,735 Arizona State Transportation Board, Ser. A, Rev.,
5.00%, 7/1/09 5,323
1,000 Maricopa County School District No. 6-Washington
Elementary, Ser. B, GO, 7.10%, 7/1/06 1,159
2,000 Northern Arizona University, Rev., FGIC,
4.00%, 6/1/06 2,141
1,090 Salt River Project Agricultural Improvement
& Power District, Electric Systems, Ser. A,
Rev., 5.75%, 1/1/07 1,228
------------
13,456
California -- 3.6%
1,000 California State, GO, 7.00%, 8/1/07 1,169
4,335 Los Angeles Department of Water & Power,
Waterworks, Ser. B, Rev., MBIA, 4.00%, 7/1/05 4,586
3,000 Los Angeles Unified School District, Election of
1997, Ser. F, GO, FSA, 4.50%, 7/1/13 3,224
1,000 Santa Clara County Financing Authority, Measure B
Transportation Improvement Program, Rev.,
4.00%, 8/1/05 1,052
------------
10,031
Colorado -- 2.4%
1,540 Colorado Department of Transportation, Ser. A,
TRAN, Rev., 5.00%, 6/15/06 1,696
2,000 E-470 Public Highway Authority, Ser. C, Rev.,
MBIA, 6.00%, 9/1/06 2,277
2,390 Metro Wastewater Reclamation District, Ser.
2002-A, Rev., 5.25%, 4/1/07 2,666
------------
6,639
District of Columbia -- 0.4%
1,000 District of Columbia, Ser. A-3, GO, AMBAC, (p),
5.40%, 6/1/05 1,082
Florida -- 0.4%
1,000 Escambia County Health Facilities Authority,
Ascension Health Credit, Ser. A, Rev.,
5.00%, 11/15/06 1,100
</Table>
See notes to financial statements.
58
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Georgia -- 1.9%
$ 1,680 Fulco Hospital Authority, Health Systems, Catholic
Health East, Ser. A, Rev., RAC, MBIA,
5.50%, 11/15/08 $ 1,933
3,000 Georgia State, Ser. B, GO, 5.13%, 5/1/14 3,332
------------
5,265
Hawaii -- 0.8%
1,850 Honolulu City & County, Ser. A, GO, FGIC,
7.35%, 7/1/06 2,162
Illinois -- 6.6%
2,500 Chicago Metropolitan Water Reclamation
District-Greater Chicago, GO, 5.85%, 12/1/05 2,771
4,000 Illinois Development Finance Authority, Gas Supply,
Peoples Gas Light & Coke, Ser. B, Rev., Adj.,
AMBAC, 3.05%, 2/1/33 4,096
2,500 Illinois Development Finance Authority, PCR, Illinois
Power Company Project, Ser. A, Rev., (p),
7.38%, 7/1/21 2,970
1,350 Illinois Health Facilities Authority, University of
Chicago Hospital System, Rev., MBIA,
5.00%, 8/15/07 1,498
1,315 Illinois State, 1st Ser., GO, 5.00%, 10/1/05 1,422
5,000 Illinois State, 1st Ser., GO, 5.00%, 8/1/07 5,525
------------
18,282
Indiana -- 1.4%
3,500 Indiana Transportation Finance Authority, Aiport
Facilities Lease, Ser. A, Rev., AMBAC,
6.00%, 11/1/06 3,963
Maryland -- 1.2%
2,000 Maryland State Health & Higher Educational
Facilities Authority, Johns Hopkins Hospital,
Ser. A, Rev., 4.50%, 8/1/05 2,136
1,000 Maryland State, State & Local Facilities Loan, 1st
Ser. B, GO, 5.00%, 7/15/06 1,104
------------
3,240
Massachusetts -- 1.4%
3,515 Massachusetts State, CONS, Ser. C, GO,
5.25%, 12/1/07 3,963
Michigan -- 1.8%
3,000 Michigan State Hospital Finance Authority,
Ascension Health Credit, Ser. B, Rev., Adj.,
5.38%, 11/15/33 3,360
645 Michigan State University, Ser. A-2, Rev., Adj.,
1.35%, 8/15/22 645
1,000 Michigan Strategic Fund, Dow Chemical Project,
Rev., Adj., 4.60%, 6/1/14 1,018
------------
5,023
</Table>
See notes to financial statements.
59
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Mississippi -- 2.5%
$ 6,230 Mississippi State, Capital Improvements, Ser. A,
GO, 6.00%, 7/1/06 $ 7,032
Nevada -- 1.5%
3,795 University Of Nevada, Community College, Ser. A,
Rev., FSA, 5.00%, 7/1/07 4,218
New Jersey -- 2.2%
1,280 Essex County, Ser. A-1, GO, FGIC,
6.00%, 11/15/05 1,423
1,595 New Jersey Building Authority, Rev.,
5.50%, 6/15/06 @ 1,772
2,575 New Jersey State, Ser. J, GO, 5.00%, 7/15/08 2,890
------------
6,085
New Mexico -- 0.8%
1,000 New Mexico State Highway Commission, Sub Lien,
Ser. A, Rev., 5.50%, 6/15/06 1,116
1,000 New Mexico State Highway Commission, Sub Lien,
Ser. B, Rev., 5.00%, 6/15/06 1,098
------------
2,214
New York -- 10.8%
3,500 Long Island Power Authority, Electric Systems, Ser.
B, Rev., 5.00%, 6/1/06 3,764
2,800 Municipal Assistance Corp. for the City of New
York, Ser. O, Rev., 5.25%, 7/1/08 3,164
2,500 Municipal Assistance Corp. for the City Of New
York., Ser. G, Rev., 6.00%, 7/1/06 2,827
2,000 New York City Health & Hospital Corp., Health
Systems, Ser. A, Rev., AMBAC, 5.00%, 2/15/09 2,220
2,000 New York City Transitional Finance Authority,
Future Tax Secured, Ser. B, Rev., Adj.,
5.25%, 2/1/29 2,173
800 New York City, New York, Ser. B, GO,
5.10%, 8/1/08 864
5,000 New York City, New York, Ser. D, GO, MBIA,
6.20%, 2/1/07 5,672
1,400 New York City, New York, Ser. F, GO,
5.70%, 8/1/06 1,536
3,000 New York City, New York, Ser. G, GO,
5.00%, 8/1/07 3,236
3,505 New York State Dormitory Authority, Fourth
Generation, City University System, Ser. A, Rev.,
CONS, 5.00%, 7/1/06 3,818
1,000 New York State, Ser. D, GO, 5.25%, 7/15/08 1,123
------------
30,397
North Carolina -- 0.2%
500 North Carolina Municipal Power Agency No. 1,
Catawba, Taxable, Ser. B, Rev., 3.26%, 1/1/05 504
</Table>
See notes to financial statements.
60
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Ohio -- 4.4%
$ 2,500 Ohio State Air Quality Development Authority, Ohio
Edison Project, Ser. A, Rev., Adj., AMBAC,
3.25%, 2/1/15 $ 2,563
2,600 Ohio State, Common School Capital Facilities, Ser.
A, GO, 5.75%, 6/15/06 2,918
1,000 Ohio State, Highway Capital Improvement, Ser. C,
GO, 5.00%, 5/1/06 1,096
2,000 Ohio State, Infrastructure Improvement, Ser. A,
GO, 4.50%, 8/1/04 2,080
3,300 Ohio State, Major New State Infrastructure, Rev.,
5.00%, 6/15/05 3,540
------------
12,197
Oklahoma -- 0.7%
1,845 Oklahoma State Capital Improvement Authority,
Highway Capital Improvement, Rev., MBIA,
5.00%, 6/1/08 2,067
Oregon -- 5.2%
1,200 Crook County School District, GO, FSA,
5.00%, 2/1/09 1,334
2,095 Oregon State Department of Administrative
Services, Rev., FSA, 2.50%, 9/1/04 2,131
7,960 Oregon State Department of Administrative
Services, Rev., FSA, 5.00%, 9/1/08 8,933
2,000 Tri-County Metropolitan Transportation District, Light
Rail Extension, Ser. A, GO, 5.00%, 7/1/05 2,148
------------
14,546
Pennsylvania -- 1.6%
1,000 Pennsylvania IDA, Economic Development, Rev.,
AMBAC, 7.00%, 7/1/06 1,158
2,000 Philadelphia, Pennsyvania, Water & Wastewater
Systems, Ser. 1999, Rev., AMBAC,
5.00%, 12/15/05 2,177
1,000 Pittsburgh, Pennsylvania, Ser. 2002-2004,2006,
2008 & 2009, GO, AMBAC, 5.00%, 9/1/06 1,104
------------
4,439
Puerto Rico -- 3.6%
1,000 Puerto Rico Commonwealth, GO, 5.30%, 7/1/04 1,044
5,000 Puerto Rico Commonwealth, Ser. C, Adj., GO, MBIA,
5.00%, 7/1/28 5,539
3,000 Puerto Rico Highway & Transportation Authority,
Ser. AA, Rev., 5.00%, 7/1/07 3,279
------------
9,862
South Carolina -- 1.4%
1,855 Charleston, South Carolina, Public Facilities Corp.,
COP, 5.00%, 9/1/12 2,069
1,715 Piedmont Municipal Power Agency, Electric, Ser. A,
Rev, FGIC, 6.25%, 1/1/05 1,850
------------
3,919
</Table>
See notes to financial statements.
61
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Texas -- 10.6%
$ 1,000 Austin, Texas, Electric Utilities Systems, Rev.,
FSA, 5.50%, 11/15/13 $ 1,153
1,065 Bexar County Health Facilities Development Corp.,
Baptist Memorial Hospital System Project, Rev.,
MBIA, (p), 6.63%, 2/15/13 1,160
1,155 College Station, Texas, Ultililty Systems, Rev.,
FSA, 4.50%, 2/1/07 1,251
3,500 Dallas, Texas, Waterworks & Sewage Systems, Ser.
A, Rev., 4.00%, 10/1/04 3,628
2,990 Houston, Texas, Hotel Occupancy Tax,
Convention & Entertainment, Ser. A, Rev., AMBAC,
5.00%, 9/1/06 3,300
2,790 Lower Colorado River Authority, Transmission
Contract, Rev., FSA, 5.00%, 5/15/07 3,086
1,065 San Antonio, Texas, Water, Rev., FGIC,
6.00%, 5/15/06 1,199
3,000 Texas State Turnpike Authority, Highway
Improvements, Rev., BAN, 5.00%, 6/1/08 3,332
1,000 Texas State, Public Finance Authority, GO,
5.25%, 10/1/09 1,112
3,000 Travis County Health Facilities Development Corp.,
Ascension Health Credit, Ser. A, Rev., MBIA,
5.75%, 11/15/07 3,397
3,025 University of Houston, CONS, Ser. B, Rev., FSA,
5.00%, 2/15/06 3,293
3,075 University of Texas, Financing Systems, Ser. A,
Rev., 5.38%, 8/15/16 3,458
------------
29,369
Washington -- 1.2%
2,000 Snohomish County Public Utility District No 1,
Electric, Rev., 5.00%, 12/1/05 2,156
1,000 Washington Public Power Supply System, Nuclear
Project No. 2., Ser. A, Rev., 4.80%, 7/1/04 1,039
------------
3,195
Wisconsin -- 1.1%
1,895 Milwaukee, Wisconsin, Ser. T, GO, 4.50%, 9/1/04 1,975
1,035 Wisconsin State, Ser. C, GO, MBIA, 5.00%, 5/1/07 1,144
------------
3,119
--------------------------------------------------------------------
Total State and Municipal Obligations 209,511
(Cost $208,074)
--------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 0.8%
Automotive -- 0.1%
360 General Motors Acceptance Corp., 6.75%, 1/15/06
Financial Services -- 0.6% 380
400 Credit Suisse First Boston USA, Inc.,
5.75%, 4/15/07 437
550 Household Finance Corp., 2.09%, 1/15/04,
FRN, MTN 552
</Table>
See notes to financial statements.
62
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Automotive -- Continued
$ 400 International Lease Finance Corp., 4.00%, 1/17/06,
Ser. O, MTN $ 406
Telecommunications -- 0.1%
355 Sprint Capital Corp., 6.00%, 1/15/07 362
--------------------------------------------------------------------
Total Corporate Notes & Bonds 2,137
(Cost $2,106)
--------------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 5.9%
Mortgage Backed Pass-Through Securities -- 5.9%
15,850 Federal Home Loan Mortgage Corp., 5.50%,
5/15/33, Gold Pool, TBA 16,281
(Cost $15,986)
- ---------------------------------------------------------------------------------
Total Long-Term Investments 227,929
(Cost $226,166)
- ---------------------------------------------------------------------------------
Short-Term Investments -- 18.0%
- ---------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATION -- 0.4%
North Carolina -- 0.4%
1,000 North Carolina Municipal Power Agency No. 1,
Catawba, Taxable, Ser. B, Rev., 2.95%, 1/1/04 1,003
(Cost $1,000)
<Caption>
SHARES
MONEY MARKET FUND -- 17.6%
48,859 JPMorgan Tax Free Money Market Fund (a) 48,859
(Cost $48,859)
- ---------------------------------------------------------------------------------
Total Short-Term Investments 49,862
(Cost $49,859)
- ---------------------------------------------------------------------------------
Total Investments -- 100.0% $ 277,791
(Cost $276,025)
- ---------------------------------------------------------------------------------
</Table>
See notes to financial statements.
63
<Page>
Futures Contracts
(Amounts in thousands, except number of contracts)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER VALUE AT APPRECIATION
OF EXPIRATION 4/30/03 (DEPRECIATION)
CONTRACTS DESCRIPTION DATE (USD) (USD)
- ---------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
35 30 Day Federal Funds December, 2003 $ 14,428 $ 24
106 30 Day Federal Funds June, 2003 43,660 15
SHORT FUTURES OUTSTANDING
(7) 2 Year Treasury Notes June, 2003 (1,511) (7)
(32) 5 Year Treasury Notes June, 2003 (3,640) (34)
</Table>
Swap Contracts
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNDERLYING UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
DESCRIPTIONS DATE VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------
Interest Rate Swap with Morgan
Stanley Capital Services, semi-annual
payment of 3.415% and semi-annual
receipt of weekly average BMA 7/1/13 $ 3,150 $ 1
Interest Rate Swap with Morgan
Stanley Capital Services, semi-annual
payment of 3.750% and semi-annual
receipt of weekly average BMA 5/1/13 9,500 (297)
Interest Rate Swap with Lehman
Brothers Special Financing, swap rate
lock on 5 Year Forward Contract rate
less 3.47, JPMorgan receives positive,
pays negative 5/12/03 9,000 (132)
</Table>
See notes to financial statements.
64
<Page>
JPMORGAN TAX AWARE U.S. EQUITY FUND
Portfolio of Investments
As of April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- 98.0%
- ---------------------------------------------------------------------------------
COMMON STOCKS -- 98.0%
Aerospace -- 1.0%
88 United Technologies Corp. $ 5,439
Agricultural Production/Services -- 0.8%
142 Altria Group, Inc. 4,357
Apparel -- 1.1%
118 Jones Apparel Group, Inc. * 3,365
50 Nike, Inc., Class B 2,677
------------
6,042
Automotive -- 1.5%
106 Johnson Controls, Inc. 8,742
Banking -- 5.2%
241 Bank One Corp. 8,688
143 Mellon Financial Corp. 3,782
516 U.S. Bancorp 11,421
149 Wachovia Corp. 5,682
------------
29,573
Biotechnology -- 1.9%
114 Amgen, Inc. * 6,977
110 MedImmune, Inc. * 3,880
------------
10,857
Business Services -- 1.1%
216 Accenture LTD (Bermuda), Class A * 3,461
75 First Data Corp. 2,942
------------
6,403
Chemicals -- 0.8%
100 Air Products & Chemicals, Inc. 4,307
Computer Networks -- 1.7%
644 Cisco Systems, Inc. * 9,682
Computer Software -- 4.5%
838 Microsoft Corp. 21,416
350 Oracle Corp. * 4,158
------------
25,574
Computers/Computer Hardware -- 3.8%
171 Dell Computer Corp. * 4,945
130 Hewlett-Packard Co. 2,119
169 International Business Machines Corp. 14,312
------------
21,376
Consumer Products -- 4.7%
70 Colgate-Palmolive Co. 3,996
166 Procter & Gamble Co. 14,949
252 The Gillette Co. 7,679
------------
26,624
</Table>
See notes to financial statements.
65
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Diversified -- 4.7%
730 General Electric Co. $ 21,504
329 Tyco International LTD (Bermuda) 5,137
------------
26,641
Financial Services -- 9.5%
98 Capital One Financial Corp. 4,082
62 CIT Group, Inc. 1,263
535 Citigroup, Inc. 20,982
178 Fannie Mae 12,893
122 Goldman Sachs Group, Inc. 9,283
128 The Charles Schwab Corp. 1,107
128 Washington Mutual, Inc. 5,052
------------
54,662
Food/Beverage Products -- 3.3%
68 Kraft Foods, Inc., Class A 2,090
124 PepsiCo, Inc. 5,345
284 The Coca-Cola Co. 11,459
------------
18,894
Health Care/Health Care Services -- 1.9%
123 Becton, Dickinson & Co. 4,354
167 Guidant Corp. * 6,512
------------
10,866
Insurance -- 5.3%
193 AMBAC Financial Group, Inc. 11,248
166 American International Group, Inc. 9,615
172 The Allstate Corp. 6,489
183 Travelers Property Casualty Corp., Class A 2,975
------------
30,327
Machinery & Engineering Equipment -- 1.0%
131 Deere & Co. 5,786
Manufacturing -- 1.4%
116 Danaher Corp. 8,015
Metals/Mining -- 0.8%
192 Alcoa, Inc. 4,411
Multi-Media -- 5.4%
316 Comcast Corp., Special Class A * 9,488
143 News Corp., LTD, ADR (Australia) 4,030
173 Tribune Co. 8,464
197 Viacom, Inc., Class B * 8,537
------------
30,519
Oil & Gas -- 7.4%
60 Anadarko Petroleum Corp. 2,664
239 Baker Hughes, Inc. 6,686
183 ChevronTexaco Corp. 11,483
617 Exxon Mobil Corp. 21,736
------------
42,569
Paper/Forest Products -- 1.3%
162 Temple-Inland, Inc. 7,348
</Table>
See notes to financial statements.
66
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ---------------------------------------------------------------------------------
Long-Term Investments -- Continued
- ---------------------------------------------------------------------------------
Pharmaceuticals -- 9.8%
161 Bristol-Myers Squibb Co. $ 4,111
152 Eli Lilly & Co. 9,696
50 Forest Laboratories, Inc. * 2,586
206 Johnson & Johnson 11,583
606 Pfizer, Inc. 18,650
150 Schering-Plough Corp. 2,711
164 Wyeth 7,129
------------
56,466
Restaurants/Food Services -- 0.5%
110 Yum! Brands, Inc. * 2,717
Retailing -- 7.1%
60 CVS Corp. 1,453
243 Home Depot, Inc. 6,826
218 Target Corp. 7,297
383 The TJX Companies, Inc. 7,365
317 Wal-Mart Stores, Inc. 17,829
------------
40,770
Semi-Conductors -- 2.7%
154 Altera Corp. * 2,428
119 Applied Materials, Inc. * 1,745
485 Intel Corp. 8,917
63 Linear Technology Corp. 2,172
------------
15,262
Shipping/Transportation -- 1.5%
142 Union Pacific Corp. 8,422
Telecommunications -- 3.1%
255 SBC Communications, Inc. 5,965
307 Verizon Communications, Inc. 11,487
------------
17,452
Telecommunications Equipment -- 0.8%
198 Motorola, Inc. 1,564
91 QUALCOMM, Inc. 2,899
------------
4,463
Utilities -- 2.4%
50 Consolidated Edison, Inc. 1,944
143 DTE Energy Co. 5,757
171 Pinnacle West Capital Corp. 5,681
------------
13,382
--------------------------------------------------------------------
Total Common Stocks 557,948
(Cost $631,000)
- ---------------------------------------------------------------------------------
Short-Term Investments -- 2.0%
- ---------------------------------------------------------------------------------
MONEY MARKET FUND -- 2.0%
11,470 JPMorgan Prime Money Market Fund (a) 11,470
(Cost $11,470)
- ---------------------------------------------------------------------------------
Total Investments -- 100.0% $ 569,418
(Cost $642,470)
- ---------------------------------------------------------------------------------
</Table>
See notes to financial statements.
67
<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 segregated for TBA, when issued,
delayed delivery, swaps or unsettled trades.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Securities fully or partially segregated with the custodian as
collateral for futures or with brokers as initial margin for futures
contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as ammended and advised by JPMorgan Investment
Management, Inc.
Adj. -- Adjustable. The interest rate shown is the rate in effect at April
30, 2003.
(i) -- Security is considered illiquid and may be difficult to sell.
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the date of the prerefunded call.
ACES -- Auction Rate Securities.
ADR -- American Depositary Receipt
AMBAC -- American Municipal Bond Assurance Corp.
BAN -- Bond Anticipation Note.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
FGIC -- Financial Guaranty Insurance Co.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next
interest reset date. The interest rate shown is the rate in effect at
April 30, 2003.
FRN -- Floating Rate Note. The interset rate shown is the rate in effect at
April 30, 2003.
FSA -- Financial Securities Assistance.
GDR -- Global Depositary Receipt
GO -- General Obligation Bond.
IDA -- Industrial Development Authority.
MBIA -- Municipal Bond Insurance Association.
MTN -- Medium Term Note.
PCR -- Pollution Control Revenue.
RAC -- Revenue Anticipation Certificate.
RAMS -- Reverse Annuity Mortgage Security.
RAN -- Revenue Anticipation Note.
Rev. -- Revenue Bond.
Ser. -- Series.
TBA -- To Be Announced.
TRAN -- Tax & Revenue Anticipation Note.
AUD -- Australian Dollar.
CAD -- Canadian Dollar.
CHF -- Swiss Franc.
EUR -- Euro.
GBP -- Great Britain Pound.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
SGD -- Singapore Dollar.
USD -- United States Dollar.
See notes to financial statements.
68
<Page>
JPMORGAN FUNDS
Statement of Assets and Liabilities
As of April 30, 2003 (unaudited)
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED
OPPORTUNITIES EQUITY
FUND FUND
- -------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 119,274 $ 177,209
Cash 506 7
Foreign currency, at value 14 --
Receivables:
Investment securities sold 941 6,255
Fund shares sold 20 264
Interest and dividends 505 192
Foreign tax reclaim 315 --
Unrealized appreciation on forward foreign
currency contracts 915 --
Expense reimbursements 1 --
- -------------------------------------------------------------------------------------------------
Total Assets 122,491 183,927
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 1,236 6,015
Fund shares redeemed 8 77
Unrealized depreciation on forward foreign
currency contracts 808 --
Accrued liabilities:
Investment advisory fees 67 49
Administration fees -- 11
Distribution fees 1 --
Custodian fees 38 8
Trustee's fees - deferred compensation plan --^ --^
Other 25 37
- -------------------------------------------------------------------------------------------------
Total Liabiliites 2,183 6,197
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 186,161 309,814
Accumulated undistributed (overdistributed)
net investment income 866 120
Accumulated net realized gain (loss) on investments,
futures and foreign exchange transactions (61,349) (127,447)
Net unrealized appreciation (depreciation) on
investments and foreign exchange translations (5,370) (4,757)
- -------------------------------------------------------------------------------------------------
Total Net Assets $ 120,308 $ 177,730
- -------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized):
Class A 540 --
Class B 6 --
Class C 1 --
Institutional 10,652 14,604
Net Asset Value:
Class A (and redemption price) $ 10.61 $ --
Class B* $ 10.52 $ --
Class C* $ 10.51 $ --
Institutional (and redemption price) $ 10.75 $ 12.17
Class A Maximum Public Offering Price Per Share
(net asset value per share/94.25%) $ 11.26 $ --
- -------------------------------------------------------------------------------------------------
Cost of investments $ 124,809 $ 181,966
- -------------------------------------------------------------------------------------------------
Cost of foreign currency $ 14 $ --
=================================================================================================
</Table>
^Amount rounds to less than one thousand.
*Redemption price may be reduced by contingent deferred sales charge.
See notes to financial statements.
69
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE
ENHANCED INCOME LARGE CAP
FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 2,415,755 $ 261,655
Cash 190 --
Receivables:
Investment securities sold 324,216 --
Fund shares sold 47,370 15
Interest and dividends 11,109 168
Variation margin 22 --
- -------------------------------------------------------------------------------------------------
Total Assets 2,798,662 261,838
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 699 --
Investment securities purchased 537,820 --
Fund shares redeemed 1,552 72
Unrealized depreciation on open swap contracts 1,742
Accrued liabilities:
Investment advisory fees 394 83
Administration fees -- 31
Shareholder servicing fees 71 46
Distribution fees 4 --
Custodian fees 32 9
Trustee's fees - deferred compensation plan 1 113
Other 73 30
- -------------------------------------------------------------------------------------------------
Total Liabilities 542,388 384
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 2,249,709 401,262
Accumulated undistributed (overdistributed) net
investment income 354 (145)
Accumulated net realized gain (loss) on investments,
futures, options and swaps (2,327) (118,030)
Net unrealized appreciation (depreciation) on
investments, futures and swaps 8,538 (21,633)
- -------------------------------------------------------------------------------------------------
Total Net Assets $ 2,256,274 $ 261,454
- -------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized):
Class A 2,141 --
Institutional 187,461 --
Select 33,677 19,394
Net Asset Value:
Class A (and redemption price) $ 10.11 $ --
Institutional (and redemption price) $ 10.10 $ --
Select (and redemption price) $ 10.11 $ 13.48
Class A Maximum Public Offering Price Per Share
(net asset value per share/98.50%) $ 10.26 $ --
- -------------------------------------------------------------------------------------------------
Cost of investments $ 2,405,233 $ 283,288
- -------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
70
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE TAX AWARE
LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
- --------------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 320,984 $ 277,791 $ 569,418
Cash -- 6 3
Receivables:
Investment securities sold -- 33,022 --
Fund shares sold 942 1,905 770
Interest and dividends 643 2,649 716
Variation margin -- 5 --
Unrealized appreciation on swap contracts -- 1 --
Expense reimbursements -- -- 3
- --------------------------------------------------------------------------------------------------------------------
Total Assets 322,569 315,379 570,910
- --------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 346 268 --
Investment securities purchased -- 66,171 --
Fund shares redeemed 19 200 117
Unrealized depreciation on open
swap contracts -- 429 --
Accrued liabilities:
Investment advisory fees 102 43 201
Administration fees 38 -- 31
Shareholder servicing fees 63 13 104
Distribution fees -- -- 3
Custodian fees 14 17 24
Trustee's fees - deferred compensation plan 145 --^ 34
Other 36 59 66
- --------------------------------------------------------------------------------------------------------------------
Total Liabilities 763 67,200 580
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 403,517 246,838 691,705
Accumulated undistributed (overdistributed)
net investment income (95) 71 388
Accumulated net realized gain (loss) on
investments, futures, options and swaps (41,564) (66) (48,711)
Net unrealized appreciation (depreciation) of
investments, futures and swaps (40,052) 1,336 (73,052)
- --------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 321,806 $ 248,179 $ 570,330
- --------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized):
Class A -- -- 317
Class B -- -- 227
Class C -- -- 24
Institutional -- 17,012 5,741
Select 19,859 7,601 38,313
Net Asset Value:
Class A (and redemption price) $ -- $ -- $ 13.25
Class B* $ -- $ -- $ 13.14
Class C* $ -- $ -- $ 13.12
Institutional (and redemption price) $ -- $ 10.08 $ 9.43
Select (and redemption price) $ 16.20 $ 10.08 $ 13.28
Class A Maximum Public Offering Price
Per Share (net asset value per share/94.25%) $ -- $ -- $ 14.06
- --------------------------------------------------------------------------------------------------------------------
Cost of investments $ 361,036 $ 276,025 $ 642,470
====================================================================================================================
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
^ Amount rounds to less than one thousand.
See notes to financial statements.
71
<Page>
JPMORGAN FUNDS
Statement of Operations
For the six months ended April 30, 2003 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
FLEMING
TAX AWARE TAX AWARE
INTERNATIONAL DISCIPLINED
OPPORTUNITIES EQUITY
FUND FUND
- -------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ 1 $ --
Dividend 1,771 1,607
Dividend income from affiliated investments* -- 2
Foreign taxes withheld (198) --
- -------------------------------------------------------------------------------------------------
Total investment income 1,574 1,609
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 579 314
Administration fees 102 135
Shareholder servicing fees 73 90
Distribution fees 8 --
Custodian fees 107 30
Printing and postage 5 2
Professional fees 33 23
Registration fees 22 11
Transfer agent fees 43 27
Trustees' fees 1 1
Other 4 7
- -------------------------------------------------------------------------------------------------
Total expenses 977 640
- -------------------------------------------------------------------------------------------------
Less amounts waived 267 146
Less earnings credits -- --^
Less expense reimbursements 4 --
- -------------------------------------------------------------------------------------------------
Net expenses 706 494
- -------------------------------------------------------------------------------------------------
Net investment income 868 1,115
- -------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments (19,768) (15,177)
Futures (174) --
Foreign exchange contracts (54) --
Change in net unrealized appreciation/depreciation of:
Investments 16,250 21,849
Futures (63) --
Foreign currency translations 106 --
- -------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments,
futures and foreign exchange transactions (3,703) 6,672
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ (2,835) $ 7,787
- -------------------------------------------------------------------------------------------------
* Includes reimbursements of investment advisory,
administration and shareholder servicing fees: $ -- $ --^
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
72
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE
ENHANCED LARGE CAP
INCOME GROWTH
FUND FUND
- -------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ 22,751 $ --
Dividend -- 1,505
Dividend income from affiliated investments* 542 31
Foreign tax dividend income -- 4
- -------------------------------------------------------------------------------------------------
Total investment income 23,293 1,540
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 2,492 498
Administration fees 1,495 187
Shareholder servicing fees 1,229 311
Distribution fees 26 --
Custodian fees 120 27
Printing and postage 37 2
Professional fees 47 29
Registration fees 32 9
Transfer agent fees 49 11
Trustees' fees 10 1
Other 31 7
- -------------------------------------------------------------------------------------------------
Total expenses 5,568 1,082
- -------------------------------------------------------------------------------------------------
Less amounts waived 2,657 23
Less earnings credits 6 --^
- -------------------------------------------------------------------------------------------------
Net expenses 2,905 1,059
- -------------------------------------------------------------------------------------------------
Net investment income 20,388 481
- -------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments (659) (19,060)
Futures 97 --
Options 126 --
Swaps (1,780) --
Change in net unrealized appreciation/depreciation of:
Investments 8,730 27,550
Futures 1,133 --
Swaps (1,742) --
- -------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments, futures, options and swaps 5,905 8,490
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
operations $ 26,293 $ 8,971
- -------------------------------------------------------------------------------------------------
* Includes reimbursements of investment advisory,
administration and shareholder servicing fees of : $ 76 $ 4
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
73
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE TAX AWARE
LARGE CAP SHORT-INTERMEDIATE U.S. EQUITY
VALUE FUND INCOME FUND FUND
11/1/02 12/20/02 11/1/02
THROUGH THROUGH THROUGH
4/30/03 4/30/03(a) 4/30/03
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ -- $ 1,283 $ 3
Dividend 3,887 -- 2,598
Dividend income from affiliated investments* 32 100 76
Foreign taxes withheld (7) -- --
- --------------------------------------------------------------------------------------------------------------------
Total investment income 3,912 1,383 2,677
- --------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 635 133 702
Administration fees 238 80 234
Shareholder servicing fees 397 74 355
Distribution fees -- -- 17
Custodian and accounting fees 32 28 53
Printing and postage 1 3 11
Professional fees 22 33 25
Registration fees 5 13 25
Transfer agent fees 11 19 83
Trustees' fees 2 1 2
Other 7 5 8
- --------------------------------------------------------------------------------------------------------------------
Total expenses 1,350 389 1,515
- --------------------------------------------------------------------------------------------------------------------
Less amounts waived 1 183 202
Less earnings credits --^ --^ --^
Less expense reimbursements -- -- 19
- --------------------------------------------------------------------------------------------------------------------
Net expenses 1,349 206 1,294
- --------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 2,563 1,177 1,383
- --------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments (14,080) (56) (8,023)
Futures -- (134) --
Options -- 6 --
Swaps -- 118 --
Change in net unrealized appreciation/ depreciation of:
Investments 17,456 1,766 23,460
Futures -- (2) --
Swaps -- (428) --
- --------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments, futures, options and swaps 3,376 1,270 15,437
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 5,939 $ 2,447 $ 16,820
- --------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of investment advisory,
administration and shareholder servicing fees: $ 4 $ 14 $ 10
====================================================================================================================
</Table>
(a) Commencement of Operations
^ Amount rounds to less than one thousand.
See notes to financial statements.
74
<Page>
JPMORGAN FUNDS
Statement of Changes in Net Assets For the periods indicated (unaudited)
(Amounts in thousands)
<Table>
<Caption>
FLEMING TAX AWARE TAX AWARE
INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY
FUND FUND
--------------------------- --------------------------
11/1/02 YEAR 11/1/02 YEAR
THROUGH ENDED THROUGH ENDED
4/30/03 10/31/02 4/30/03 10/31/02
- --------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 868 $ 1,923 $ 1,115 $ 2,489
Net realized gain (loss) on investments, futures and
foreign exchange transactions (19,996) (27,651) (15,177) (44,615)
Change in net unrealized appreciation/depreciation from
investments and foreign exchange translations 16,293 5,537 21,849 1,515
- --------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations (2,835) (20,191) 7,787 (40,611)
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,586) (546) (1,252) (3,600)
- --------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (31,473) (2,720) (22,801) (74,547)
- --------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (35,894) (23,457) (16,266) (118,758)
NET ASSETS:
Beginning of period 156,202 179,659 193,996 312,754
- --------------------------------------------------------------------------------------------------------------------
End of period $ 120,308 $ 156,202 $ 177,730 $ 193,996
- --------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME $ 866 $ 1,584 $ 120 $ 257
- --------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
75
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE
ENHANCED INCOME LARGE CAP
FUND GROWTH FUND
-------------------------- -----------------------------------------
11/1/02 YEAR 11/1/02 1/1/02 11/1/01
THROUGH ENDED THROUGH THROUGH THROUGH
4/30/03 10/31/02 4/30/03 10/31/02(a) 12/31/01(b)
- -----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 20,388 $ 33,137 $ 481 $ 940 $ 415
Net realized gain (loss) on investments, futures,
options and swaps (2,216) 271 (19,060) (34,608) (3,297)
Change in net unrealized appreciation/depreciation of
investments, futures and swaps 8,121 (5,319) 27,550 (62,473) 31,331
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 26,293 28,089 8,971 (96,141) 28,449
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (20,321) (33,310) (473) (934) (601)
Net realized gain on investment transactions -- (734) -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (20,321) (34,044) (473) (934) (601)
- -----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 282,565 836,900 (3,570) (79,691) (17,591)
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 288,537 830,945 4,928 (176,766) 10,257
NET ASSETS:
Beginning of period 1,967,737 1,136,792 256,526 433,292 423,035
- -----------------------------------------------------------------------------------------------------------------------------------
End of period $ 2,256,274 $ 1,967,737 $ 261,454 $ 256,526 $ 433,292
- -----------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET
INVESTMENT INCOME $ 354 $ 287 $ (145) $ (153) $ (159)
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
(a) The fund changed its fiscal year end from December 31 to October 31.
(b) The fund changed its fiscal year end from October 31 to December 31.
See notes to financial statements.
76
<Page>
<Table>
<Caption>
TAX AWARE TAX AWARE SHORT -
LARGE CAP INTERMEDIATE
VALUE FUND INCOME FUND
----------------------------------- -------------------
11/1/02 1/1/02 11/1/01 12/20/02*
THROUGH THROUGH THROUGH THROUGH
4/30/03 10/31/02(a) 12/31/01(b) 4/30/03
- ----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) $ 2,563 $ 4,441 $ 639 $ 1,177
Net realized gain (loss) on investments, futures,
options and swaps (14,080) (26,675) (338) (66)
Change in net unrealized appreciation/depreciation of
investments, futures, and swaps 17,456 (49,837) 28,437 1,336
- ------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 5,939 (72,071) 28,738 2,447
- ------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (2,557) (4,354) (579) (1,106)
- ------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (8,919) (11,678) (18,389) 246,838
- ------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (5,537) (88,103) 9,770 248,179
NET ASSETS:
Beginning of period 327,343 415,446 405,676 --
- ------------------------------------------------------------------------------------------------------------------------
End of period $ 321,806 $ 327,343 $ 415,446 $ 248,179
- ------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (95) $ (101) $ (188) $ 71
- ------------------------------------------------------------------------------------------------------------------------
<Caption>
TAX AWARE
U.S. EQUITY
FUND
-----------------------
11/1/02 YEAR
THROUGH ENDED
4/30/03 10/31/02
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) $ 1,383 $ 1,865
Net realized gain (loss) on investments, futures,
options and swaps (8,023) (11,267)
Change in net unrealized appreciation/depreciation of
investments, futures, and swaps 23,460 (37,041)
- -------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 16,820 (46,443)
- -------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,283) (2,275)
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 318,593 59,205
- -------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 334,130 10,487
NET ASSETS:
Beginning of period 236,200 225,713
- -------------------------------------------------------------------------------------------
End of period $ 570,330 $ 236,200
- ------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 388 $ 288
- -------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
(a) The fund changed its fiscal year end from December 31 to October 31.
(b) The fund changed its fiscal year end from October 31 to December 31.
See notes to financial statements.
77
<Page>
JPMORGAN FUNDS
Notes to Financial Statements (unaudited)
1. ORGANIZATION
J.P. Morgan Series Trust ("JPMST"), Mutual Fund Group ("MFG"), Mutual Fund
Select Group ("MFSG") and J.P. Morgan Institutional Funds ("JPMIF") (the
"Trusts") were organized on August 15, 1996, May 11, 1987, October 1, 1996 and
November 4, 1997, respectively, as Massachusetts business trusts and are
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as open-end management investment companies.
The following are seven separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
- --------------------------------------------------------------------------------
JPMorgan Fleming Tax Aware International
Opportunities Fund ("FTAIO") Class A, Class B, Class C and Institutional
JPMorgan Tax Aware Disciplined Equity ("TADE") Institutional
JPMorgan Tax Aware Enhanced Income ("TAEI") Class A, Institutional and Select
JPMorgan Tax Aware Large Cap Growth ("TALCG") Select
JPMorgan Tax Aware Large Cap Value Fund ("TALCV") Select
JPMorgan Tax Aware Short-Intermediate Income
Fund ("TASI") Institutional and Select
JPMorgan Tax Aware U.S. Equity Class A, Class B, Class C, Institutional
Fund ("TAUSE") and Select
</Table>
FTAIO is a separate series of MFG. TADE, TAEI and TAUSE are separate series of
JPMST. TALCG and TALCV are separate series of MFSG. TASI is a separate series of
JPMIF.
TASI commenced operations on December 20, 2002.
Class A Shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class and Select Class. All classes
of shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing fees and each class has exclusive voting rights with respect to its
distribution plan and shareholder servicing agreements.
During the six months ended April 30, 2003, TADE received a contribution of
securities ("In-kind contributions") valued at $18,994 in exchange for shares of
institutional share class. The effective date of the contribution was December
31, 2002 and the securities were transferred at market value, which resulted in
no unrealized gain or loss.
78
<Page>
2. REORGANIZATION
Prior to the open of business on March 24, 2003, the JPMorgan Tax Aware U.S.
Equity Fund (now known as TAUSE, the "Acquiring Fund") acquired all of the net
assets of JPMorgan Select Large Cap Equity Fund (the "Target Fund"), as shown in
the table below, pursuant to a Reorganization Plan approved by the Target Fund's
shareholders on February 13, 2003. The transaction was structured for tax
purposes to qualify as a tax-free reorganization under the Internal Revenue
Code. Under the Reorganization Plan, shareholders of the Target Fund received
shares in the Acquiring Fund with a value equal to their holdings in the Target
Fund. Holders of the Target Fund received Select Class Shares of the Acquiring
Fund.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the Reorganization:
JPMORGAN TAX AWARE U.S. EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE APPRECIATION
- --------------------------------------------------------------------------------------------------
Target Fund
JPMorgan Select Large Cap
Equity Fund $ (42,214,855)
Select Class 12,404,349 $ 241,296,996 $ 19.45
Acquiring Fund
JPMorgan Tax Aware
U.S. Equity Fund $ (43,722,485)
Class A 319,589 $ 4,145,071 $ 12.97
Class B 223,652 $ 2,878,848 $ 12.87
Class C 23,291 $ 299,186 $ 12.85
Institutional Class 5,529,424 $ 51,039,313 $ 9.23
Select Class 16,878,721 $ 219,252,705 $ 12.99
Post Reorganization
JPMorgan Tax Aware U.S.
Equity Fund $ (85,937,340)
Class A 319,589 $ 4,145,071 $ 12.97
Class B 223,652 $ 2,878,848 $ 12.87
Class C 23,291 $ 299,186 $ 12.85
Institutional Class 5,529,424 $ 51,039,313 $ 9.23
Select Class 35,451,822 $ 460,549,701 $ 12.99
</Table>
3. 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.
79
<Page>
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 the 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.
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. If events materially affecting
the value of foreign securities occur between the time when the exchange on
which they are traded closes and the time when the Funds' net assets are
calculated, such securities will be valued at fair value in accordance with
procedures adopted by the Trustees.
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 Funds
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.
80
<Page>
As of April 30, 2003, the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the prevailing exchange rates, or at the mean of the current bid and
asked prices, of such currencies against the U.S. dollar as quoted by a major
bank, on the following basis:
1. Market value of investment securities and other assets and liabilities: at
the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at the
rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations arising as a
result of changes in the foreign exchange rates from the fluctuations arising
from changes in the market prices of securities held or sold during the year.
Accordingly, such realized foreign currency gains (losses) are included in the
reported net realized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Funds' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities other than investments and
liabilities denominated in foreign currencies held at period end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into
forward foreign currency exchange contracts (obligations to purchase or sell
foreign currency in the future on a date and price fixed at the time the
contracts are entered into) to manage the Funds' exposure to foreign currency
exchange fluctuations. Each day the forward contract is open, changes in the
value of the contract are recognized as unrealized gains or losses by "marking
to market". When the forward contract is closed, or the delivery of the currency
is made or taken, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The Funds are subject to off-balance sheet
risk to the extent of the value of the contracts for purchases of foreign
currency and in an unlimited amount for sales of foreign currency.
As of April 30, 2003, the Funds had outstanding forward foreign currency
exchange contracts as listed on the Funds' Portfolio of Investments.
81
<Page>
E. WRITTEN OPTIONS -- When a Fund writes an option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets and
Liabilities as an asset and corresponding liability. The amount of liability is
adjusted daily to reflect the current market value of the written option and the
change is recorded in a corresponding unrealized gain or loss account. When a
written option expires on its stipulated expiration date, or when a closing
transaction is entered into, the related liability is extinguished and the fund
realizes a gain or loss based on the cost of the closing transaction and the
premium received when the option was written.
Transactions in options written for TAEI and TASI during the six months ended
April 30, 2003, were as follows (amounts in thousands):
<Table>
<Caption>
TAEI TASI
- ----------------------------------------------------------------------------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
UNITS RECEIVED UNITS RECEIVED
- ----------------------------------------------------------------------------------------
Options outstanding at
October 31, 2002 -- -- -- --
Options written 2 1,550 --^ 49
Options terminated in closing
purchase transactions (2) (1,550) --^ (49)
---------- ---------- ---------- ----------
Options outstanding at
April 30, 2003 -- -- -- --
========== ========== ========== ==========
</Table>
^Amount rounds to less than one thousand.
F. SWAPS -- The Funds may engage in swap transactions such as interest rate or
currency swaps, consistent with its investment objective and policies. Swaps
involve the exchange by the Fund with another party of their respective
commitments to pay or receive interest, effective return or total return
throughout the lives of the agreements. The interest to be paid or received on
swaps is included in the value of the exchange. Unrealized gains are reported as
an asset and unrealized losses are reported as a liability on the Statement of
Assets and Liabilities. The interest to be paid or received on swaps is reported
as unrealized gains or losses in the Statement of Operations. A realized gain or
loss is recorded upon termination of the swap agreements. Swap agreements are
stated at fair value. Notional principal amounts are used to express the extent
of involvement in these transactions, but the amounts potentially subject to
credit risk are much smaller.
As of April 30, 2003, the Funds had outstanding swap agreements as listed on the
Funds' Portfolio of Investments.
G. DOLLAR ROLLS -- The Funds may enter into dollar rolls (principally using
TBA's) in which the Funds sell mortgage securities for delivery in the current
month and simultaneously contract to repurchase similar, but not identical,
securities at an agreed-upon price on a fixed date. The Funds account for such
dollar rolls as purchases and sales and receive compensation as consideration
for entering the
82
<Page>
commitment to repurchase. Each Fund must maintain liquid securities having a
value not less than the repurchase price (including accrued interest) for such
dollar rolls. The market value of the securities that a Fund is required to
purchase may decline below the agreed upon repurchase price of these securities.
In a "fee" roll, the compensation is recorded as deferred income and amortized
to income over the roll period. The counterparty receives all principal and
interest payments, including prepayments, made in respect of a security subject
to such a contract while it is the holder. Mortgage dollar rolls may be renewed
with a new purchase and repurchase price and a cash settlement made on
settlement date without physical delivery of the securities subject to the
contract. The Funds engage in dollar rolls for the purpose of enhancing their
yields, principally by earning a negotiated fee. The Funds had TBA Dollar Rolls
outstanding as of April 30, 2003, which are included in Receivable for
Investment securities sold and Payable for Investment securities purchased on
the Statement of Assets and Liabilities. The Funds segregate assets with a
current value at least equal to the amount of their TBA Dollar Rolls.
H. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund is permitted to invest up to
15% of its net assets 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.
I. 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 is recorded on the ex-dividend date or when the Fund
first learns of the dividend.
Purchases of To Be Announced (TBA), when-issued or delayed securities may be
settled a month or more after the trade date; interest income is not accrued
until settlement date. It is each Fund's policy to segregate assets with a
current value at least equal to the amount of its TBA, when-issued or delayed
delivery purchase commitments.
J. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular share class are charged directly to that class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
83
<Page>
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
K. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The policy of the Funds is to comply with the
provisions of the Internal Revenue Code applicable to regulated investment
companies and to distribute to shareholders all of its 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.
L. FOREIGN TAXES -- Certain Funds may be subject to foreign taxes on income,
gains on investments or currency repatriation, a portion of which may be
recoverable. The Funds will accrue such taxes and recoveries as applicable,
based upon their current interpretation of tax rules and regulations that exist
in the markets in which they invest.
M. DISTRIBUTION 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 Unites 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.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to separate Investment Advisory
Agreements, J. P. Morgan Fleming Asset Management (USA), Inc. ("JPMFAM") and
J.P. Morgan Investment Management, Inc. ("JPMIM" and, together with JPMFAM, the
"Advisors") act as the investment advisors to the Funds. JPMFAM, a direct wholly
owned subsidiary of JPMorgan Chase Bank ("JPMCB") and an indirect wholly owned
subsidiary of J.P. Morgan Chase & Co. ("JPMorgan"), is the Advisor for TALCG and
TALCV. JPMIM, a wholly owned subsidiary of JPMorgan, is the Advisor for FTAIO,
TADE, TAEI, TASI and TAUSE. The Advisors supervise the investments of each
respective Fund and for such services are paid a fee. The fee is accrued daily
and paid monthly based on each Fund's respective average daily net assets. The
annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
FUND ADVISORY FEE (%)
-------------------------------------
FTAIO 0.85
TADE 0.35
TAEI 0.25
TALCG 0.40
TALCV 0.40
TASI 0.25
TAUSE 0.45
</Table>
84
<Page>
The Advisors waived fees as outlined in Note 4.F. below.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisors have agreed to waive and/or reimburse their 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 FEES -- Pursuant to the Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' 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.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
FUND CLASS A CLASS B CLASS C
- -----------------------------------------------------------
FTAIO 0.25 0.75 0.75
TAEI 0.25 n/a n/a
TAUSE 0.25 0.75 0.75
</Table>
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in Note 4.F. below.
C. SHAREHOLDER SERVICING FEES -- The Trusts entered into Shareholder Servicing
Agreements with JPMCB under which JPMCB provides account administration and
personal account maintenance service to the Funds' shareholders. JPMCB may
obtain the services of one or more Shareholder Servicing Agents. For these
services JPMCB or the Shareholder Servicing Agent will receive a fee that is
computed daily and paid monthly equal to a percentage of the average daily net
assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
FUND CLASS A CLASS B CLASS C CLASS CLASS
- -----------------------------------------------------------------------
FTAIO 0.25 0.25 0.25 0.10 n/a
TADE n/a n/a n/a 0.10 n/a
TAEI 0.25 n/a n/a 0.10 0.25
TALCG n/a n/a n/a n/a 0.25
TALCV n/a n/a n/a n/a 0.25
TASI n/a n/a n/a 0.10 0.25
TAUSE 0.25 0.25 0.25 0.10 0.25
</Table>
85
<Page>
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and JPMST are parties to
separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of TADE, TAEI and TAUSE available to customers of investment
advisors and other financial intermediaries who are Schwab's clients. TADE, TAEI
and TAUSE are not responsible for payments to Schwab under the Schwab
Agreements; however, in the event the servicing agreement with Schwab is
terminated for reasons other than a breach by Schwab and the relationship
between JPMST and JPMCB is terminated, TADE, TAEI and TAUSE would be responsible
for the ongoing payments to Schwab with respect to pre-termination shares.
The Shareholder Servicing Agent waived fees as outlined in Note 4.F. below.
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 uninvested cash balances held by the
custodian. Such earnings credits are presented separately in the Statement of
Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, 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 the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
BISYS Fund Services, LP. ("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, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
FUND CLASS A CLASS B CLASS C CLASS CLASS
- -----------------------------------------------------------------------
FTAIO 1.80 2.30 2.30 1.00 n/a
TADE n/a n/a n/a 0.55 n/a
TAEI 0.75 n/a n/a 0.25 0.50
TALCG n/a n/a n/a n/a 0.85
TALCV n/a n/a n/a n/a 0.85
TASI n/a n/a n/a 0.35 0.50
TAUSE 1.10 1.60 1.60 0.70 0.84
</Table>
86
<Page>
The contractual expense limitation agreements were in effect for the six months
ended April 30, 2003. The expense limitation percentages in the table above are
due to expire as follows:
<Table>
<Caption>
INSTITUTIONAL SELECT
FUND CLASS A CLASS B CLASS C CLASS CLASS
- ---------------------------------------------------------------------------
FTAIO 2/28/04 2/28/04 2/28/04 2/28/04 n/a
TADE n/a n/a n/a 2/28/05 n/a
TAEI 2/28/04 n/a n/a 2/28/05 2/28/05
TALCG n/a n/a n/a n/a 2/28/04
TALCV n/a n/a n/a n/a 2/28/04
TASI n/a n/a n/a 12/31/03 12/31/03
TAUSE 2/28/05 2/28/05 2/28/05 2/28/05 3/31/06
</Table>
The Administrator waived fees and reimbursed expenses as outlined in Note 4.F.
below.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended April 30, 2003, the
Funds' vendors waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
---------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
FUND ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
- ---------------------------------------------------------------------------------------
FTAIO $ 102 $ 92 $ 73 $ 267 $ 4
TADE -- 56 90 146 --
TAEI 301 1,495 861 2,657 --
TALCG -- -- 23 23 --
TALCV -- -- 1 1 --
TASI@ 53 80 50 183 --
TAUSE -- 171 31 202 19
------ -------- -------- -------- ------
Total $ 456 $ 1,894 $ 1,129 $ 3,479 $ 23
====== ======== ======== ======== ======
</Table>
@For the period 12/20/02 to 4/30/03.
G. OTHER -- Certain officers of the Trust(s) are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period certain funds may purchase securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate are
affiliated with the advisor.
The Funds may use related-party broker/dealers. For the six months ended
April 30, 2003, TALCG, TALCV, and TAUSE incurred approximately (in thousands)
$3, $7, and $11, respectively, in brokerage commissions with affiliated
broker/dealers.
87
<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the six months ended April 30, 2003 are
as follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
- -----------------------------------------------------------------------
FTAIO
- -----------------------------------------------------------------------
Class A $ 8 $ 8 $ 22
Class B --^ --^ --^
Class C --^ --^ --^
Institutional 65 -- 21
- -----------------------------------------------------------------------
$ 73 $ 8 $ 43
- -----------------------------------------------------------------------
TADE
- -----------------------------------------------------------------------
Institutional $ 90 $ -- $ 27
- -----------------------------------------------------------------------
TAEI
- -----------------------------------------------------------------------
Class A $ 26 $ 26 $ 8
Institutional 842 -- 25
Select 361 -- 16
- -----------------------------------------------------------------------
$ 1,229 $ 26 $ 49
- -----------------------------------------------------------------------
TALCG
- -----------------------------------------------------------------------
Select $ 311 $ -- $ 11
- -----------------------------------------------------------------------
TALCV
- -----------------------------------------------------------------------
Select $ 397 $ -- $ 11
- -----------------------------------------------------------------------
TASI@
- -----------------------------------------------------------------------
Institutional $ 34 $ -- $ 10
Select 40 -- 9
- -----------------------------------------------------------------------
$ 74 $ -- $ 19
- -----------------------------------------------------------------------
TAUSE
- -----------------------------------------------------------------------
Class A $ 5 $ 5 $ 17
Class B 4 11 11
Class C --^ 1 1
Institutional 23 -- 10
Select 323 -- 44
- -----------------------------------------------------------------------
$ 355 $ 17 $ 83
- -----------------------------------------------------------------------
</Table>
^Amount rounds to less than one thousand.
@For the period 12/20/02 to 4/30/03.
88
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the six months ended April 30, 2003 and the
period ended October 31, 2002 are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 4/30/03 YEAR ENDED 10/31/02
--------------------------------------------------------------------------------
NET NET
FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
- --------------------------------------------------------------------------------------------
FTAIO
- --------------------------------------------------------------------------------------------
Class A $ 64 -- $ 6 $ --
Class B 1 -- -- --
Class C --^ -- -- --
Institutional 1,521 -- 540 --
- --------------------------------------------------------------------------------------------
$ 1,586 $ -- $ 546 $ --
- --------------------------------------------------------------------------------------------
TADE
- --------------------------------------------------------------------------------------------
Institutional $ 1,252 -- $ 3,600 $ --
- --------------------------------------------------------------------------------------------
TAEI
- --------------------------------------------------------------------------------------------
Class A $ 163 $ -- $ 166 $ --
Institutional 17,504 -- 28,885 630
Select 2,654 -- 4,259 104
- --------------------------------------------------------------------------------------------
$ 20,321 $ -- $ 33,310 $ 734
- --------------------------------------------------------------------------------------------
TALCG
- --------------------------------------------------------------------------------------------
Select $ 473 $ -- $ 934* $ --
- --------------------------------------------------------------------------------------------
TALCV
- --------------------------------------------------------------------------------------------
Select $ 2,557 $ -- $ 4,354* $ --
- --------------------------------------------------------------------------------------------
TASI@
- --------------------------------------------------------------------------------------------
Institutional $ 833 $ -- $ -- $ --
Select 273 -- -- --
- --------------------------------------------------------------------------------------------
$ 1,106 $ -- $ -- $ --
- --------------------------------------------------------------------------------------------
TAUSE
- --------------------------------------------------------------------------------------------
Class A $ 15 $ -- $ 23 $ --
Class B 6 -- 4 --
Class C 1^ -- --^ --
Institutional 340 -- 560 --
Select 921 -- 1,688 --
- --------------------------------------------------------------------------------------------
$ 1,283 $ -- $ 2,275 $ --
- --------------------------------------------------------------------------------------------
</Table>
* For period 1/1/02 to 10/31/02. For period 11/1/01 to 12/31/01, distributions
from net investment income were $601 and $579 for TALCG and TALCV,
respectively.
@ For the period 12/20/02 to 4/30/03.
^ Amount rounds to less than one thousand
89
<Page>
7. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2003, purchases and sales of investments
(excluding short-term investments) are as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
FUND GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
- -----------------------------------------------------------------------------------
FTAIO $ 43,268 $ 73,938 $ -- $ --
TADE 56,066 79,566 -- --
TAEI 1,435,713 1,105,346 1,354,222 1,322,235
TALCG 38,575 42,330 -- --
TALCV 49,130 52,887 -- --
TASI@ 330,140 119,558 136,965 120,852
TAUSE 364,561 6,894 -- --
</Table>
@For the period 12/20/02 to 4/30/03.
8. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at April 30, 2003, are as
follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION)
- -------------------------------------------------------------------------------------------
FTAIO $ 124,809 $ 8,764 $ (14,299) $ (5,535)
TADE 181,966 12,539 (17,296) (4,757)
TAEI 2,405,233 10,927 (405) 10,522
TALCG 283,288 15,738 (37,371) (21,633)
TALCV 361,036 10,751 (50,803) (40,052)
TASI@ 276,025 1,826 (60) 1,766
TAUSE 642,470 17,747 (90,799) (73,052)
</Table>
@For the period 12/20/02 to 4/30/03.
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Funds. The commitment fee is included in
Other expenses in the Statement of Operations. This agreement will expire on
April 15, 2004.
90
<Page>
Prior to April 17, 2003, the Funds could borrow money for temporary or emergency
purposes. The Funds had entered into an agreement, enabling them to participate
with other JPMorgan Funds in an unsecured line of credit with a syndicate of
banks, which permitted borrowings up to $400 million, collectively. Interest was
charged to each Fund based on its borrowings at an annual rate equal to the sum
of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of
0.09% per annum on the average daily amount of the available commitment, which
was allocated on a pro-rata basis to the Funds. This agreement expired on April
16, 2003.
The Funds had no borrowings outstanding at April 30, 2003, nor at anytime during
the period then ended.
10. CONCENTRATIONS AND INDEMNIFICATIONS
FTAIO may have elements of risk not typically associated with investments in the
United States of America due to concentrated investments in a limited number of
countries or regions, which may vary throughout the year. Such concentrations
may subject FTAIO to additional risks resulting from political or economic
conditions in such countries or regions and the possible imposition of adverse
governmental laws or currency exchange restrictions could cause the securities
and their markets to be less liquid and their prices more volatile than those of
comparable U.S. securities.
As of April 30, 2003, substantially all of the net assets of FTAIO consist of
securities of issuers which are denominated in foreign currencies. Changes in
currency exchange rates will affect the value of investment income from such
securities.
As of April 30, 2003, FTAIO invested approximately 28.6% of its net assets in
issuers in the United Kingdom. The issuers' abilities to meet their obligations
may be affected by economic or political developments in the specific region or
country.
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.
11. SUBSEQUENT EVENT
The Fund's Board of Trustees has approved a change of name for Mutual Fund Group
and Mutual Fund Select Group. The Trusts will be renamed J.P. Morgan Mutual Fund
Group and J.P. Morgan Mutual Fund Select Group, respectively, effective May 1,
2003.
91
<Page>
12. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (Amounts in
Thousands):
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
CLASS A CLASS B
----------------- -----------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 2,227 224 $ 19 2
Shares issued in reinvestment of distributions 22 2 1 --^
Shares redeemed (3,535) (341) (8) (1)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (1,286) (115) $ 12 1
=================================================================================================================
YEAR ENDED OCTOBER 31, 2002
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 8,971 740 $ 219 20
Shares issued in reinvestment of distributions 3 --^ -- --
Shares redeemed (4,248) (380) (192) (17)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 4,726 360 $ 27 3
=================================================================================================================
<Caption>
CLASS C INSTITUTIONAL
---------------- ----------------
AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- ------------------------------------------------------------------------------------------------------
Shares sold $ 719 66 $ 18,405 1,712
Shares issued in reinvestment of distributions --^ --^ 336 30
Shares redeemed (720) (66) (48,939) (4,614)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (1) -- $ (30,198) (2,872)
======================================================================================================
YEAR ENDED OCTOBER 31, 2002
- ------------------------------------------------------------------------------------------------------
Shares sold $ 821 73 $ 94,416 7,557
Shares issued in reinvestment of distributions -- -- 127 10
Shares redeemed (825) (73) (102,012) (8,201)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (4) -- $ (7,469) (634)
======================================================================================================
</Table>
^ Amount rounds to less than one thousand
<Table>
<Caption>
TAX AWARE DISCIPLINED EQUITY FUND
INSTITUTIONAL
--------------------------
AMOUNT SHARES
- --------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- --------------------------------------------------------------------------------------
Shares sold $ 20,867 1,775
In-kind contributions 18,994 1,633
Shares issued in reinvestment of distributions 935 81
Shares redeemed (63,597) (5,402)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (22,801) (1,913)
- --------------------------------------------------------------------------------------
YEAR ENDED OCTOBER 31, 2002
- --------------------------------------------------------------------------------------
Shares sold $ 161,630 12,045
Shares issued in reinvestment of distributions 2,680 191
Shares redeemed (188,435) (13,972)
Redemption in-kind (50,422) (3,533)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (74,547) (5,269)
======================================================================================
</Table>
92
<Page>
TAX AWARE ENHANCED INCOME FUND
<Table>
<Caption>
CLASS A INSTITUTIONAL SELECT
----------------- --------------------- -------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 15,032 1,488 $ 777,461 77,015 $ 176,457 17,458
Shares issued in reinvestment of distributions 142 14 15,095 1,496 1,611 159
Shares redeemed (12,329) (1,220) (574,578) (56,936) (116,326) (11,513)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 2,845 282 $ 217,978 21,575 $ 61,742 6,104
===============================================================================================================================
YEAR ENDED OCTOBER 31, 2002*
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 27,851 2,754 $ 1,569,397 155,388 $ 285,072 28,199
Shares issued in reinvestment of distributions 139 14 25,569 2,532 2,869 284
Shares redeemed (9,188) (909) (870,067) (86,164) (194,742) (19,269)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 18,802 1,859 $ 724,899 71,756 $ 93,199 9,214
===============================================================================================================================
</Table>
* For Class A Shares, from commencement of offering on November 30, 2001.
TAX AWARE LARGE CAP GROWTH FUND
<Table>
<Caption>
SELECT
----------------------------
AMOUNT SHARES
- -------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- -------------------------------------------------------------------------------------
Shares sold $ 22,119 1,704
Shares issued in reinvestment of distributions 10 1
Shares redeemed (25,699) (1,992)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (3,570) (287)
=====================================================================================
PERIOD ENDED OCTOBER 31, 2002(a)
- -------------------------------------------------------------------------------------
Shares sold $ 17,363 1,174
Shares issued in reinvestment of distributions 16 1
Shares redeemed (97,070) (6,408)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (79,691) (5,233)
=====================================================================================
PERIOD ENDED DECEMBER 31, 2001(b)
- -------------------------------------------------------------------------------------
Shares sold $ 3,476 200
Shares issued in reinvestment of distributions 9 1
Shares redeemed (21,076) (1,213)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (17,591) (1,012)
=====================================================================================
</Table>
(a) The Fund changed its fiscal year end from December 31 to October 31.
(b) The Fund changed its fiscal year end from October 31 to December 31.
93
<Page>
TAX AWARE LARGE CAP VALUE FUND
<Table>
<Caption>
SELECT
-----------------------------
AMOUNT SHARES
- ---------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- ---------------------------------------------------------------------------------------------
Shares sold $ 34,601 2,165
Shares issued in reinvestment of distributions 62 4
Shares redeemed (43,582) (2,758)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (8,919) (589)
=============================================================================================
PERIOD ENDED OCTOBER 31, 2002(a)
- ---------------------------------------------------------------------------------------------
Shares sold $ 32,489 1,853
Shares issued in reinvestment of distributions $ 35 2
Shares redeemed $ (44,202) (2,451)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (11,678) (596)
=============================================================================================
PERIOD ENDED DECEMBER 31, 2001(b)
- ---------------------------------------------------------------------------------------------
Shares sold $ 2,296 117
Shares issued in reinvestment of distributions 2 --^
Shares redeemed (20,687) (1,067)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (18,389) $ (950)
=============================================================================================
</Table>
(a) The Fund changed its fiscal year end from December 31 to October 31.
(b) The Fund changed its fiscal year end from October 31 to December 31.
^ Amount rounds to less than one thousand.
TAX AWARE SHORT - INTERMEDIATE INCOME FUND
<Table>
<Caption>
INSTITUTIONAL SELECT
------------------ ----------------
AMOUNT SHARES AMOUNT SHARES
- -------------------------------------------------------------------------------------------------
PERIOD ENDED APRIL 30, 2003*
- -------------------------------------------------------------------------------------------------
Shares sold $ 188,063 18,755 $ 80,873 8,059
Shares issued in reinvestment of distributions 336 33 85 8
Shares redeemed (17,830) (1,776) (4,689) (466)
- -------------------------------------------------------------------------------------------------
Net increase (decrease)in Fund shares outstanding $ 170,569 17,012 $ 76,269 7,601
=================================================================================================
</Table>
* From commencement of offering on December 20, 2002.
94
<Page>
TAX AWARE U.S. EQUITY FUND
<Table>
<Caption>
CLASS A CLASS B CLASS C
-------------------- -------------------- ----------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- --------------------------------------------------------------------------------------------------------------------------
Shares sold $ 457 35 $ 490 39 $ 129 10
Shares issued in reinvestment of distributions 13 1 5 --^ --^ --^
Shares redeemed (1,061) (83) (413) (33) (83) (7)
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (591) (47) $ 82 6 $ 46 3
==========================================================================================================================
YEAR ENDED OCTOBER 31, 2002
- --------------------------------------------------------------------------------------------------------------------------
Shares sold $ 5,976 378 $ 2,946 187 $ 333 21
Shares issued in reinvestment of distributions 19 1 4 --^ --^ --^
Shares redeemed (958) (69) (633) (43) (121) (7)
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 5,037 310 $ 2,317 144 $ 212 14
==========================================================================================================================
^ Amount rounds to less than one thousand.
</Table>
<Table>
<Caption>
INSTITUTIONAL SELECT
------------------- -------------------
AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2003
- ------------------------------------------------------------------------------------------------------------
Shares sold $ 18,410 2,020 $ 96,663 7,565
Shares issued in connection with Fund Reorganization (Note 2) -- -- 241,297 18,573
Shares issued in reinvestment of distributions 199 22 556 43
Shares redeemed (7,250) (794) (30,819) (2,411)
- ------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 11,359 1,248 $ 307,697 23,770
============================================================================================================
YEAR ENDED OCTOBER 31, 2002
- ------------------------------------------------------------------------------------------------------------
Shares sold $ 64,704 5,750 $ 92,692 6,260
Shares issued in reinvestment of distributions 366 35 1,141 76
Shares redeemed (16,770) (1,562) (64,049) (4,345)
Redemption in-kind (10,024) (834) (16,421) (1,000)
- ------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 38,276 3,389 $ 13,363 991
============================================================================================================
</Table>
95
<Page>
JPMORGAN FUNDS
Financial Highlights (unaudited)
<Table>
<Caption>
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
------------------------------------------------------------------------------
CLASS A CLASS B
------------------------------------- ---------------------------------------
11/1/02 YEAR 4/30/01* 11/1/02 YEAR 4/30/01*
THROUGH ENDED THROUGH THROUGH ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 4/30/03 10/31/02 10/31/01
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.90 $ 12.38 $ 15.00 $ 10.84 $ 12.35 $ 15.00
- --------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.03^ 0.06 0.08^ 0.01^ (0.03) 0.01^
Net gains or losses on securities
(both realized and unrealized) (0.21) (1.53) (2.70) (0.23) (1.48) (2.66)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (0.18) (1.47) (2.62) (0.22) (1.51) (2.65)
---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment income 0.11 0.01 -- 0.10 -- --
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 10.61 $ 10.90 $ 12.38 $ 10.52 $ 10.84 $ 12.35
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1)(b) (1.71%) (11.85%) (17.47%) (2.05%) (12.23%) (17.67%)
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 6 $ 7 $ 4 $ --@ $ --@ $ --@
- --------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 1.80% 1.80% 1.80% 2.30% 2.30% 2.29%
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 0.56% 0.40% 0.29% 0.17% (0.27%) (0.20%)
- --------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 2.46% 2.37% 5.48%+ 2.96% 2.84% 20.63%+
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without
waivers, reimbursements and earnings
credits (0.10%) (0.17%) (3.39%)+ (0.49%) (0.81%) (18.54%)+
- --------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(b) 32% 97% 43% 32% 97% 43%
- --------------------------------------------------------------------------------------------------------------------------
<Caption>
FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND
----------------------------------------------------------------------------
CLASS C INSTITUTIONAL
------------------------------------ ------------------------------------
11/1/02 YEAR 4/30/01 * 11/1/02 YEAR 5/1/01*
THROUGH ENDED THROUGH THROUGH ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 4/30/03 10/31/02 10/31/01
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.83 $ 12.35 $ 15.00 $ 11.02 $ 12.43 $ 15.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) (0.14)^ 0.03 (0.02)^ 0.07^ 0.14 0.07^
Net gains or losses on securities
(both realized and unrealized) (0.08) (1.55) (2.63) (0.22) (1.51) (2.64)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (0.22) (1.52) (2.65) (0.15) (1.37) (2.57)
---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment income 0.10 -- -- 0.12 0.04 --
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 10.51 $ 10.83 $ 12.35 $ 10.75 $ 11.02 $ 12.43
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1)(b) (2.05%) (12.31%) (17.67%) (1.40%) (11.08%) (17.13%)
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ --@ $ --@ $ --@ $ 114 $ 149 $ 176
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------------------------
Net expenses 2.30% 2.30% 2.28% 1.00% 1.00% 1.00%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income (loss) (1.58%) 0.18% (0.19%) 1.32% 1.08% 1.09%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 2.94% 2.84% 37.67%+ 1.39% 1.32% 1.33%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without
waivers, reimbursements and earnings
credits (2.22%) (0.36%) (35.58%)+ 0.93% 0.76% 0.76%
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(b) 32% 97% 43% 32% 97% 43%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of offering of Class of shares
^ Calculated based on average shares outstanding.
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(b) Not annualized for periods less than one year.
@ Amount rounds to less than one million.
# Short periods have been annualized.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
96
<Page>
<Table>
<Caption>
TAX AWARE DISCIPLINED EQUITY FUND
---------------------------------------------------------------------------
INSTITUTIONAL
---------------------------------------------------------------------------
11/1/02 YEAR ENDED
THROUGH --------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 10/31/00 10/31/99 10/31/98
- ----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 11.74 $ 14.36 $ 18.87 $ 18.19 $ 14.71 $ 12.08
- ----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.07 0.14 0.14 0.15 0.15 0.11
Net gains or losses on securities
(both realized and unrealized) 0.44 (2.57) (4.57) 0.68 3.48 2.68
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.51 (2.43) (4.43) 0.83 3.63 2.79
---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment income 0.08 0.19 0.08 0.15 0.15 0.16
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 12.17 $ 11.74 $ 14.36 $ 18.87 $ 18.19 $ 14.71
- ----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(b) 4.41% (17.13%) (23.55%) 4.54% 24.72% 23.26%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 178 $ 194 $ 313 $ 478 $ 341 $ 90
- ----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- ----------------------------------------------------------------------------------------------------------------------
Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% 0.55%
- ----------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.24% 0.93% 0.77% 0.78% 0.94% 0.97%
- ----------------------------------------------------------------------------------------------------------------------
Expenses without waivers,
reimbursements and earnings credits 0.71% 0.70% 0.60% 0.59% 0.65% 1.02%
- ----------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without
waivers, reimbursements and earnings
credits 1.08% 0.78% 0.72% 0.74% 0.84% 0.50%
- ----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(b) 31% 60% 44% 51% 40% 57%
- ----------------------------------------------------------------------------------------------------------------------
</Table>
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
97
<Page>
<Table>
<Caption>
TAX AWARE ENHANCED INCOME FUND
----------------------------------------------------------------------------------------
CLASS A INSTITUTIONAL
----------------------- --------------------------------------------------------------
11/1/02 11/30/01* 11/1/02 4/16/99*
THROUGH THROUGH THROUGH YEAR ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 4/30/03 10/31/02 10/31/01^ 10/31/00^ 10/31/99^
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.08 $ 10.10 $ 10.07 $ 10.10 $ 9.95 $ 9.95 $ 10.00
- ---------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.08 0.16 0.11 0.22 0.39 0.45 0.20
Net gains or losses on securities
(both realized and unrealized) 0.03 (0.01) 0.02 (0.01) 0.15 -- (0.05)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.11 0.15 0.13 0.21 0.54 0.45 0.15
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment income 0.08 0.16 0.10 0.23 0.39 0.45 0.20
Distributions from capital gains -- 0.01 -- 0.01 -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total distributions 0.08 0.17 0.10 0.24 0.39 0.45 0.20
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 10.11 $ 10.08 $ 10.10 $ 10.07 $ 10.10 $ 9.95 $ 9.95
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(b) 1.09% 1.42% 1.34% 2.01% 5.63% 4.55% 1.57%
=================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 22 $ 19 $ 1,894 $ 1,671 $ 951 $ 299 $ 355
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses 0.75% 0.75% 0.25% 0.25% 0.25% 0.25% 0.25%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.57% 1.55% 2.09% 2.20% 3.80% 4.43% 4.01%
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers,
reimbursements and earnings credits 1.00% 1.06% 0.53% 0.54% 0.50% 0.50% 0.57%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without
waivers, reimbursements and
earnings credits 1.32% 1.23% 1.81% 1.90% 3.55% 4.18% 3.69%
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 129% 186% 129% 186% 142% 172% 69%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
TAX AWARE ENHANCED INCOME FUND
--------------------------------------------------------------
SELECT
--------------------------------------------------------------
11/1/02 5/6/99*
THROUGH YEAR ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01^ 10/31/00^ 10/31/99^
- -------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.08 $ 10.11 $ 9.95 $ 9.95 $ 10.00
- -------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.09 0.20 0.36 0.40 0.20
Net gains or losses on securities
(both realized and unrealized) 0.03 (0.02) 0.16 -- (0.05)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.12 0.18 0.52 0.40 0.15
---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment income 0.09 0.20 0.36 0.40 0.20
Distributions from capital gains -- 0.01 -- -- --
---------- ---------- ---------- ---------- ----------
Total distributions 0.09 0.21 0.36 0.40 0.20
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 10.11 $ 10.08 $ 10.11 $ 9.95 $ 9.95
- -------------------------------------------------------------------------------------------------------
TOTAL RETURN(1)(b) 1.21% 1.75% 5.47% 4.29% 1.29%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 340 $ 278 $ 186 $ 37 $ 28
- -------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- -------------------------------------------------------------------------------------------------------
Net expenses 0.50% 0.50% 0.50% 0.50% 0.50%
- -------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.84% 1.94% 3.51% 4.23% 3.75%
- -------------------------------------------------------------------------------------------------------
Expenses without waivers,
reimbursements and earnings credits 0.69% 0.70% 0.67% 0.67% 0.72%
- -------------------------------------------------------------------------------------------------------
Net investment income (loss) without
waivers, reimbursements and
earnings credits 1.65% 1.74% 3.34% 4.06% 3.53%
- -------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 129% 186% 142% 172% 69%
- -------------------------------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares.
^ On August 17, 2001, the class underwent a reverse split of shares. Prior
periods have been restated to reflect the split (1 to 5).
(1) Total return figures do not include the effect of any front-end sales
load.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
98
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP GROWTH FUND^ +
---------------------------------------------------------------------------------
SELECT
---------------------------------------------------------------------------------
11/01/02 01/01/02 11/01/01 YEAR ENDED
THROUGH THROUGH THROUGH ---------------------------------------------
PER SHARE OPERATING PERFORMANCE: 04/30/03 10/31/02(a) 12/31/01(b) 10/31/01 10/31/00 10/31/99 10/31/98
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 13.03 $ 17.39 $ 16.32 $ 42.93 $ 47.54 $ 37.36 $ 32.30
- ----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.02 0.04 0.02 0.04 0.04 0.30 0.34
Net gains or losses on securities
(both realized and unrealized) 0.45 (4.36) 1.07 (11.41) (0.07) 13.66 8.23
--------- --------- --------- --------- --------- --------- ---------
Total from investment operations 0.47 (4.32) 1.09 (11.37) (0.03) 13.96 8.57
--------- --------- --------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment income 0.02 0.04 0.02 0.04 0.03 0.30 0.34
Distributions from capital gains -- -- -- 15.20 4.55 3.48 3.17
--------- --------- --------- --------- --------- --------- ---------
Total distributions 0.02 0.04 0.02 15.24 4.58 3.78 3.51
--------- --------- --------- --------- --------- --------- ---------
Net asset value, end of period $ 13.48 $ 13.03 $ 17.39 $ 16.32 $ 42.93 $ 47.54 $ 37.36
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(c) 3.65% (24.84%) 6.70% (33.30%) (0.91%) 39.78% 29.12%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 261 $ 257 $ 433 $ 423 $ 839 $ 901 $ 654
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.85% 0.68% 0.55% 0.49% 0.47% 0.03% 0.02%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 0.39% 0.34% 0.56% 0.21% 0.08% 0.69% 0.98%
- ----------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.87% 0.85% 0.85% 0.85% 0.80% 0.59% 0.60%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without
waivers, reimbursements and earnings
credits 0.37% 0.17% 0.26% (0.15%) (0.25%) 0.13% 0.40%
- ----------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(c) 16% 46% 3% 84% 74% 26% 22%
============================================================================================================================
</Table>
^ Formerly JPMorgan Select Equity Fund.
+ On November 20, 1998, the Fund underwent a split of shares. Prior period
has been restated to reflect the split.
(a) The fund changed its fiscal year end from December 31 to October 31.
(b) The fund changed its fiscal year end from October 31 to December 31.
(c) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
99
<Page>
<Table>
<Caption>
TAX AWARE LARGE CAP VALUE FUND^+
---------------------------------------------------------------------------------
SELECT
---------------------------------------------------------------------------------
11/1/02 1/1/02 11/1/01 YEAR ENDED
THROUGH THROUGH THROUGH ---------------------------------------------
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02(a) 12/31/01(b) 10/31/01 10/31/00 10/31/99 10/31/98
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 16.01 $ 19.74 $ 18.44 $ 25.57 $ 27.53 $ 28.89 $ 34.22
- ----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.13 0.22 0.03 0.20 0.21 0.65 0.85
Net gains or losses on securities
(both realized and unrealized) 0.19 (3.74) 1.30 (5.41) 1.40 1.69 1.50
--------- --------- --------- --------- --------- --------- ---------
Total from investment operations 0.32 (3.52) 1.33 (5.21) 1.61 2.34 2.35
--------- --------- --------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment income 0.13 0.21 0.03 0.19 0.17 0.67 0.83
--------- --------- --------- --------- --------- --------- ---------
Net asset value, end of period $ 16.20 $ 16.01 $ 19.74 $ 18.44 $ 25.57 $ 27.53 $ 28.89
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(c) 2.00% (17.94%) 7.20% (21.43%) 6.35% 8.18% 7.62%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 322 $ 327 $ 415 $ 406 $ 625 $ 787 $ 923
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- ----------------------------------------------------------------------------------------------------------------------------
Net expenses 0.85% 0.79% 0.69% 0.69% 0.68% 0.03% 0.03%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 1.62% 1.43% 0.91% 0.93% 0.83% 2.25% 2.85%
- ----------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.85% 0.85% 0.85% 0.87% 0.80% 0.58% 0.59%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without
waivers, reimbursements and earnings
credits 1.62% 1.37% 0.75% 0.75% 0.71% 1.70% 2.29%
- ----------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(c) 16% 80% 0% 8% 43% 146% 148%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly JPMorgan Select Equity Income Fund.
+ On November 20, 1998, the Fund underwent a split of shares. Prior period
has been restated to reflect the split.
(a) The fund changed its fiscal year end from December 31 to October 31.
(b) The fund changed its fiscal year end from October 31 to December 31.
(c) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
100
<Page>
<Table>
<Caption>
TAX AWARE
SHORT - INTERMEDIATE
INCOME FUND
---------------------------
INSTITUTIONAL SELECT
---------------------------
12/20/02* 12/20/02*
THROUGH THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 4/30/03
- --------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.00 $ 10.00
- --------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.07 0.07
Net gains or losses on securities
(both realized and unrealized) 0.08 0.08
------------ ------------
Total from investment operations 0.15 0.15
------------ ------------
Less distributions:
Dividends from net investment income 0.07 0.07
------------ ------------
Net asset value, end of period $ 10.08 $ 10.08
- --------------------------------------------------------------------------------
TOTAL RETURN(b) 1.52% 1.47%
================================================================================
RATIOS/SUPPLEMENTAL DATA:
- --------------------------------------------------------------------------------
Net assets, end of period (millions) $ 172 $ 76
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:#
- --------------------------------------------------------------------------------
Net expenses 0.34% 0.49%
- --------------------------------------------------------------------------------
Net investment income (loss) 2.19% 2.08%
- --------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.67% 0.85%
- --------------------------------------------------------------------------------
Net investment income (loss) without waivers,
reimbursements and earnings credits credits 1.87% 1.73%
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE(b) 157% 157%
- --------------------------------------------------------------------------------
</Table>
* Commencement of operations
(b) Not annualized for periods less than one year
# Short periods have been annualized
See notes to financial statements.
101
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
-----------------------------------------------------------------------------
CLASS A CLASS B
------------------------------------ -------------------------------------
11/1/02 YEAR 4/16/01* 11/1/02 YEAR 4/16/01*
THROUGH ENDED THROUGH THROUGH ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 4/30/03 10/31/02 10/31/01
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 12.86 $ 15.58 $ 16.88 $ 12.76 $ 15.47 $ 16.88
- ---------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.04^ 0.10 0.03^ 0.01^ 0.03 (0.03)^
Net gains or losses on securities
(both realized and unrealized) 0.39 (2.71) (1.27) 0.39 (2.71) (1.33)
---------- ---------- ---------- ---------- --------- -----------
Total from investment operations 0.43 (2.61) (1.24) 0.40 (2.68) (1.36)
---------- ---------- ---------- ---------- --------- -----------
Less distributions:
Dividends from net investment income 0.04 0.11 0.06 0.02 0.03 0.05
---------- ---------- ---------- ---------- --------- -----------
Net asset value, end of period $ 13.25 $ 12.86 $ 15.58 $ 13.14 $ 12.76 $ 15.47
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1) (b) 3.39% (16.89%) (7.38%) 3.18% (17.35%) (8.09%)
=================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 4 $ 5 $ 1 $ 3 $ 3 $ 1
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses 1.10% 1.10% 1.04% 1.60% 1.60% 1.60%
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 0.66% 0.52% 0.33% 0.16% 0.00%^^ (0.35%)
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 1.97% 1.88% 8.73%+ 2.47% 2.39% 7.71%+
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) without waivers,
reimbursements and earnings credits (0.21%) (0.26%) (7.36%)+ (0.71%) (0.79%) (6.46%)+
- ---------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 2% 27% 22% 2% 27% 22%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
TAX AWARE U.S. EQUITY FUND
----------------------------------------
CLASS C
----------------------------------------
11/1/02 YEAR 4/16/01*
THROUGH ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01
- --------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 12.74 $ 15.45 $ 16.88
- --------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.01^ 0.04 (0.02)^
Net gains or losses on securities
(both realized and unrealized) 0.39 (2.71) (1.35)
---------- ---------- ------------
Total from investment operations 0.40 (2.67) (1.37)
---------- ---------- ------------
Less distributions:
Dividends from net investment income 0.02 0.04 0.06
---------- ---------- ------------
Net asset value, end of period $ 13.12 $ 12.74 $ 15.45
- --------------------------------------------------------------------------------------------
TOTAL RETURN (1) (b) 3.18% (17.35%) (8.16%)
============================================================================================
RATIOS/SUPPLEMENTAL DATA:
- --------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ --@ $ --@ $ --@
- --------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- --------------------------------------------------------------------------------------------
Net expenses 1.60% 1.60% 1.57%
- --------------------------------------------------------------------------------------------
Net investment income (loss) 0.16% 0.00%^^ (0.17%)
- --------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 2.48% 2.38% 23.55%+
- --------------------------------------------------------------------------------------------
Net investment income (loss) without waivers,
reimbursements and earnings credits (0.72%) (0.78%) (22.15%)+
- --------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 2% 27% 22%
- --------------------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares.
^ Calculated based on average shares outstanding
(1) Total return figures do not include the effect of any front-end or
deferred sales load.
(b) Not annualized for periods less than one year.
@ Amount rounds to less than one million.
# Short periods have been annualized.
^^ Amount rounds to less than .005%.
+ Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
See notes to financial statements.
102
<Page>
<Table>
<Caption>
TAX AWARE U.S. EQUITY FUND
------------------------------------------------------
INSTITUTIONAL
------------------------------------------------------
11/1/02 YEAR YEAR 9/15/00*
THROUGH ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 10/31/00
- -----------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.17 $ 11.15 $ 14.73 $ 15.00
- -----------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.05^ 0.12 0.08^ 0.01^
Net gains or losses on securities
(both realized and unrealized) 0.28 (1.94) (3.55) (0.28)
---------- ---------- ---------- ----------
Total from investment operations 0.33 (1.82) (3.47) (0.27)
---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment
income 0.07 0.16 0.11 --
---------- ---------- ---------- ----------
Net asset value, end of period $ 9.43 $ 9.17 $ 11.15 $ 14.73
- -----------------------------------------------------------------------------------------------
TOTAL RETURN (b) 3.57% (16.50%) (23.67%) (1.80%)
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------
Net assets, end of period
(millions) $ 54 $ 41 $ 12 $ --@
- -----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- -----------------------------------------------------------------------------------------------
Net expenses 0.70% 0.70% 0.70% 0.70%
- -----------------------------------------------------------------------------------------------
Net investment income (loss) 1.06% 0.92% 0.69% 0.51%
- -----------------------------------------------------------------------------------------------
Expenses without waivers,
reimbursements and earnings
credits 0.83% 0.84% 0.93% 0.85%
- -----------------------------------------------------------------------------------------------
Net investment income (loss)
without waivers, reimbursements
and earnings credits credits 0.93% 0.78% 0.46% 0.36%
- -----------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 2% 27% 22% 15%
- -----------------------------------------------------------------------------------------------
<Caption>
TAX AWARE U.S. EQUITY FUND
---------------------------------------------------------------------------------
SELECT
----------------------------------------------------------------------------------
11/1/02 YEAR ENDED
THROUGH --------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 4/30/03 10/31/02 10/31/01 10/31/00 10/31/99 10/31/98
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 12.88 $ 15.59 $ 20.51 $ 18.73 $ 15.19 $ 12.57
- ---------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.05^ 0.10 0.10^ 0.09 0.10 0.08
Net gains or losses on securities
(both realized and unrealized) 0.41 (2.69) (4.96) 1.77 3.55 2.65
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.46 (2.59) (4.86) 1.86 3.65 2.73
---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment
income 0.06 0.12 0.06 0.08 0.11 0.11
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 13.28 $ 12.88 $ 15.59 $ 20.51 $ 18.73 $ 15.19
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 3.57% (16.70%) (23.76%) 9.96% 24.05% 21.81%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ---------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(millions) $ 509 $ 187 $ 212 $ 249 $ 163 $ 77
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ---------------------------------------------------------------------------------------------------------------------------
Net expenses 0.84% 0.84% 0.84% 0.85% 0.85% 0.85%
- ---------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 0.87% 0.73% 0.56% 0.46% 0.58% 0.63%
- ---------------------------------------------------------------------------------------------------------------------------
Expenses without waivers,
reimbursements and earnings
credits 0.96% 0.97% 0.87% 0.85% 0.90% 1.09%
- ---------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)
without waivers, reimbursements
and earnings credits credits 0.75% 0.60% 0.53% 0.46% 0.53% 0.39%
- ---------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 2% 27% 22% 15% 29% 44%
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
^ Calculated based on average shares outstanding
(b) Not annualized for periods less than one year.
@ Amount rounds to less than one million.
# Short periods have been annualized.
See notes to financial statements.
103
<Page>
JPMORGAN FUNDS
Special Meeting of Shareholders (unaudited)
A Special Meeting of Shareholders was held on February 13, 2003 at 522 Fifth
Avenue, New York, New York 10036 for purposes of approving an Agreement and Plan
of Reorganization (the "Reorganization Plan") between the following series of
J.P. Morgan Series Trust and Mutual Fund Select Group:
<Table>
<Caption>
ACQUIRING FUND TARGET FUND
- -----------------------------------------------------------------------------------
JPMorgan Tax Aware U.S. Equity JPMorgan Select Large Cap Equity ("LCEF")
</Table>
Under the Reorganization Plan, the Target Fund would transfer all of its assets
and liabilities to the Acquiring Fund in a tax-free reorganization. In exchange,
shareholders of the Target Fund would receive shares of the Acquiring Fund with
a value equal to their respective holdings in the Target Fund. A majority of
shareholders of LCEF approved the Reorganization Plan by the following votes:
<Table>
<Caption>
FOR AGAINST ABSTAIN
- ----------------------------------------------------------------------------
LCEF 11,956,568 0 0
</Table>
See notes to financial statements.
104
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMORGAN FUNDS
U.S. EQUITY FUNDS
Capital Growth Fund
Disciplined Equity Fund
Disciplined Equity Value 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
U.S. Equity Fund
U.S. Small Company Fund
U.S. Small Company Opportunities Fund
Value Opportunities Fund
INTERNATIONAL EQUITY FUNDS
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
Fleming Asia Equity 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>
SEMI-ANNUAL REPORT (UNAUDITED)
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.
The financial information in this report has been taken from the books and
records of the funds without examination by independent accountants, who express
no opinion thereto.
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.
JPMorgan Funds Fulfillment Center
393 Manley Street
West Bridgewater, MA 02379-1039
(C)J.P. Morgan Chase & Co., 2003 All Rights Reserved. June 2003
SAN-TA-403
<Page>
ITEM 2. CODE OF ETHICS.
(a) 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.
NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR
AFTER JULY 15, 2003.
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.
(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)).
(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 - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR
AFTER JULY 15, 2003.
2
<Page>
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for
each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees
billed in each of the last two fiscal years for assurance and related services
by the principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each
of the last two fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning. Registrants shall
describe the nature of the services comprising the fees disclosed under this
category.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed
in each of the last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through
(c) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs
(b) through (d) of this Item that were approved by the audit committee pursuant
to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended
on the principal accountant's engagement to audit the registrant's financial
statements for the most recent fiscal year that were attributed to work
performed by persons other than the principal accountant's full-time, permanent
employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered 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 adviser that provides ongoing services to the registrant for
each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant's audit committee of the board of
directors has considered whether the provision of nonaudit services that were
rendered to the registrant's investment adviser (not including any subadviser
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 that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR
AFTER DECEMBER 15, 2003.
ITEMS 5-6. [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
3
<Page>
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
officer or officers and principal financial officer or officers, or persons
performing similar functions, about the effectiveness of the registrant's
disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act
(17 CFR 270.30a-2(c))) based on their evaluation of these controls and
procedures as of a date within 90 days of the filing date of the report that
includes the disclosure required by this paragraph.
REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER,
FOLLOWING AN EVALUATION WITHIN 90 DAYS PRIOR TO THE FILING DATE OF THIS REPORT
OF THE DISCLOSURE CONTROLS AND PROCEDURES AS DEFINED IN RULE 30a-2(c) UNDER THE
ACT CONCLUDE AS FOLLOWS:
1.THE DISCLOSURE CONTROLS AND PROCEDURES REFLECT A CUMULATIVE PROCESS INVOLVING
THE REGISTRANT'S SERVICE PROVIDERS;
2. THE CUMULATIVE PROCESS SEEKS TO ENSURE THAT THE INFORMATION REQUIRED TO BE
DISCLOSED BY THE REGISTRANT IN FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND
REPORTED WITHIN THE TIME PERIOD SPECIFIED IN THE COMMISSION'S RULES AND FORMS
AND THAT THE INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THESE
REPORTS IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT INCLUDING
ITS PRINCIPAL EXECUTIVE AND FINANCIAL OFFICER, AS APPROPRIATE TO ALLOW TIMELY
DECISIONS REGARDING REQUIRED DISCLOSURE; AND THAT
3. THIS PROCESS IS EFFECTIVE WITH REGARDS TO ITS PURPOSE.
(b) There were no significant changes in the registrant's internal controls
or in other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
THERE ARE NO SIGNIFICANT DEFICIENCIES OR MATERIAL WEAKNESSES IN THE REGISTRANT'S
INTERNAL CONTROLS AS OF THE DATE OF THEIR MOST RECENT EVALUATION, AND THERE HAVE
BEEN NO SIGNIFICANT CHANGES IN THE REGISTRANT'S INTERNAL CONTROLS OR IN OTHER
FACTORS THAT COULD SIGNIFICANTLY AFFECT THESE CONTROLS SUBSEQUENT TO THE DATE OF
THEIR MOST RECENT EVALUATION.
ITEM 10. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a) 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.
(b) 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.
4
<Page>
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 Mutual Fund Select Group
-------------------------------------------------------------------
By (Signature and Title)* /s/ David Wezdenko
------------------------------------------------------
David Wezdenko, Treasurer
Date 7/7/03
---------------------------------------------------------------------------
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/ David Wezdenko
------------------------------------------------------
David Wezdenko, Treasurer
Date 7/7/03
---------------------------------------------------------------------------
By (Signature and Title)* /s/ George C.W. Gatch
------------------------------------------------------
George C.W. Gatch, President
Date 7/7/03
---------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.
- -------------------------------------------------------------------------------
5