<Page>
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OMB APPROVAL
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21276
---------------------------------------------
J.P. Morgan Fleming Series Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
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(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: December 31, 2003
--------------------------
Date of reporting period: February 28, 2003 through June 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 CFR270.30e-1).
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT JUNE 30, 2003
MULTI-MANAGER FUNDS
MULTI-MANAGER SMALL CAP GROWTH FUND
MULTI-MANAGER SMALL CAP VALUE FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
Multi-Manager Small Cap Growth Fund 3
Multi-Manager Small Cap Value Fund 5
Portfolio of Investments 7
Financial Statements 30
Notes to Financial Statements 33
Financial Highlights 39
</Table>
HIGHLIGHTS
- - Quicker than expected war sparks relief rally
- - Liquidity and positive Q1 earnings support investor sentiment
- - Economic data remains mixed
- - Small-cap stocks attractive compared to large-cap stocks
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN MULTI-MANAGER FUNDS
PRESIDENT'S LETTER AUGUST 4, 2003
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Multi-Manager
Funds for the period ended June 30, 2003.
THE "BAGHDAD BOUNCE" TRIGGERS A LIQUIDITY DRIVEN RALLY
Despite the uncertainty of the first few months of 2003, equity markets found
direction once it became clear that allied troops would cross the border into
Iraq in mid-March. Prior to that, wrangling in the United Nations regarding the
legitimacy of war dogged market sentiment. However, the combination of action,
followed by a quicker than expected war, led to a relief-rally -- the "Baghdad
Bounce".
This then acquired momentum thanks to utterances by the Fed confirming its
determination to avoid deflation and to nurture growth (leading ultimately to a
1/4-point rate cut in late June), a weaker dollar, and Congress's approval of a
$350 billion package of tax cuts by the Bush administration in an attempt to
boost consumer demand. The combination of liquidity and the lack of any major
negative earnings surprises supported investor sentiment. By June 30th, the S&P
500 Index of blue chip U.S. stocks had risen 11.8% year to date, while the S&P
600 Index of small company stocks was up 12.9%.
While stock market sentiment improved, economic data was mixed with the labor
market sluggish, but deteriorating less rapidly, and core CPI -- the benchmark
measure of inflation -- falling to its lowest level in 40 years, +1.5%. However,
there was some positive leading indicator data towards the end of the period,
prompting the Fed to comment in its Beige Book that: "the unwinding of
war-related concerns appears to have provided some lift to business and consumer
confidence, but most reports suggested that the effect had not been dramatic".
OUTLOOK
From an economic perspective, we expect the accomodative fiscal and monetary
policies, combined with a weak dollar, to start delivering growth later this
year and in 2004. This should provide further support to equities through
improved earnings, while undermining bonds. The extent to which improving
earnings will be reflected in stock prices is open to question, however, as
price/earning valuation multiples are still not cheap relative to history. In
the meantime, equities may be stuck in a trading range due to profit taking and
concern about the recovery. In terms of capitalization, we believe that the
prospects for small stocks are more attractive than those for large.
1
<Page>
We would like to thank you for your investment. Should you have any questions,
please feel free to contact 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 MULTI-MANAGER SMALL CAP GROWTH FUND
As of June 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Multi-Manager Small Cap Growth Fund, which seeks capital
appreciation over the long term from U.S. small capitalization growth stocks
using a multiple manager approach, returned 22.5% since its inception of
February 28, 2003. This compares with the rise of its benchmark, the Russell
2000 Growth Index, of 26.0%.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: While the Fund participated in the broad market rise, it did not appreciate
as much due to a having a lower exposure to the market's smallest stocks,
companies without earnings and those with poor credit quality, which led the
market's rally. By sector, the majority of the Fund's underperformance resulted
from poor stock selection in Healthcare and Technology. Additionally, it was
underweighted in these two sectors, which have been two of the strongest
performing sectors since the Fund's inception.
Within the Healthcare sector, Priority Healthcare, a distributor of injectable
drugs for chronic illnesses, was down following the announcement that their
second quarter earnings would be less then expected as fewer patients sought
treatments during the quarter. In Technology, Cree Inc. fell following news that
its former Chief Executive had filed suit against the company.
From a positive perspective, within the Consumer Discretionary sector, Career
Education contributed positively to performance. A provider of post-secondary
education in the U.S. and Canada, it posted strong earnings, revenue and new
student enrollment. In Financial Services, LendingTree, an internet-based loan
provider, climbed 134% in the period following its acquisition by USA
Interactive for approximately $735 million. Other stocks within the sector that
contributed to performance were New York Community Bancorp and Factset Research
Systems.
At the manager level, our best performing manager was State Street Global
Advisors, which outperformed the index. UBS Asset Management and Seligman
Investment Management underperformed the index. Of the three managers, State
Street was most suited to market conditions due to its willingness to invest in
stocks with higher valuations within the context of the portfolio.
Q: HOW WAS THE FUND MANAGED?
A: The Fund started with a 40% weighting in both Seligman and UBS and a 20%
weighting in State Street. We brought State Street to an equal weighting of
approximately 33% within the Fund as it demonstrated the ability to perform
strongly in this market and deploy the cash flows into the market.
In the long term, we believe that these managers should add value in a market
that is fundamentally driven. Based upon our view of future market conditions,
we will adjust the manager's allocations when warranted.
(UNAUDITED)
3
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
As of June 30, 2003
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 25.7%
Consumer Goods & Services 25.1%
Health Services & Systems 13.9%
Finance & Insurance 9.1%
Industrial Products & Services 6.6%
Energy 6.1%
Pharmaeuticals 5.6%
Short-Term Investments 4.1%
Telecommunications 2.0%
REITs 1.3%
Finance 0.5%
</Table>
TOP TEN EQUITY HOLDING OF THE PORTFOLIO
<Table>
1. CAREER EDUCATION CORP. (2.3%)
2. NEW YORK COMMUNITY BANCORP, INC. (1.7%)
3. CAREMARK RX, INC. (1.7%)
4. O'CHARLEYS, INC. (1.4%)
5. UCBH HOLDINGS, INC. (1.4%)
6. PATTERSON-UTI ENERGY, INC. (1.4%)
7. AEROFLEX, INC. (1.3%)
8. ALLIANCE GAMING CORP. (1.3%)
9. RESPIRONICS, INC. (1.1%)
10. CHICO'S FAS, INC. (1.1%)
</Table>
TOP 10 EQUITY HOLDINGS COMPRISED 13.9% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($16,677,967). AS OF JUNE 30, 2003, THE FUND HELD 241 EQUITY
HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE INCEPTION
(2/28/03)
- ---------------------------------------------------------------------
Multi-Manager Small Cap Growth Fund 22.50%
</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.
The Fund commenced operations on 2/28/03. 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.
4
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND
As of June 30, 2003
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Multi-Manager Small Cap Value Fund, which seeks capital appreciation
over the long term from U.S. small capitalization value stocks using a multiple
manager approach, returned 22.1% since its inception of February 28, 2003. This
compares with the rise of its benchmark, the Russell 2000 Value Index, of 24.0%.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: While the Fund participated in the broad market rise, it did not appreciate
as much due to having a lower exposure to the market's smallest stocks,
companies without earnings and those with poor credit quality, which led the
market's rally. By sector, the majority of the underperformance resulted from
poor stock selection in Healthcare and Technology. Additionally, the Fund was
underweighted in these two sectors, which have been two of the strongest
performing market sectors since the Fund's inception.
Within the Healthcare sector, stock in Covance, a contract research company for
pharmaceutical and biotechnology companies, fell after its first quarter sales
fell slightly short of expectations. In addition, Cerner, a software developer
for healthcare organizations, fell following a decline in first quarter net
income due to increased competition and a decrease by hospitals in technology
spending. Within Technology, Verity Inc., a creator of internet search-engine
software, fell on an earnings shortfall due to pricing competition. The company
also noted the need to hire additional salesmen to achieve sales growth targets.
From a positive perspective, an overweight in Producer Durables and strong stock
selection contributed to performance. Homebuilders Hovnanian Enterprises and DR
Horton rose as housing sales continued to be buoyant. Stock selection within
Financial services also added to performance. New Century, American Home
Mortgage and Flagstar Bancorp all contributed positively as consumers continued
to take advantage of historically low interest rates to refinance their
mortgages.
On the manager level, JPMorgan Fleming Asset Management exceeded the benchmark
while ICM Asset Management and Earnest Partners underperformed. ICM Asset
Management and Earnest Partners have a relatively conservative approach to stock
selection and the valuations they are willing to pay.
Q: HOW WAS THE FUND MANAGED?
A: The Fund was managed with an equal weighting of 33% allocated to each
manager. We continue to allocate an equal weighting to each manager.
In the long term, we believe that these managers should add value in a market
that is fundamentally driven. Based upon our view of future market conditions,
we will adjust the manager's allocations when warranted.
5
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Industrial Products & Services 18.8%
Consumer Goods & Services 17.6%
Finance & Insurance 15.4%
Technology 13.2%
Health Services & Systems 9.1%
Short-Term Investments 5.7%
Energy 4.7%
REITs 4.5%
Pharmaeuticals 3.9%
Utilities 2.7%
Finance 2.5%
Telecommunications 1.8%
Fixed Income 0.1%
</Table>
TOP TEN EQUITY HOLDING OF THE PORTFOLIO
<Table>
1. HOVNANIAN ENTERPRISES, INC. (1.3%)
2. AMERICAN TOWER CORP., CLASS A (1.2%)
3. FRED'S, INC. (1.1%)
4. HARMAN INTERNATIONAL INDUSTRIES, INC. (1.0%)
5. THE COLONIAL BANCGROUP, INC. (1.0%)
6. ACCREDO HEALTH, INC. (1.0%)
7. ALBANY MOLECULAR RESEARCH, INC. (1.0%)
8. ARCH COAL, INC. (1.0%)
9. PACTIV CORP. (1.0%)
10. ADMINISTAFF, INC. (1.0%)
</Table>
TOP 10 EQUITY HOLDINGS COMPRISED 10.7% OF THE PORTFOLIO'S MARKET VALUE OF
INVESTMENTS ($12,498,813). AS OF JUNE 30, 2003, THE FUND HELD 649 EQUITY
HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME.
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE INCEPTION
(2/28/03)
- ---------------------------------------------------------------------
Multi-Manager Small Cap Value Fund 22.10%
</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.
The Fund commenced operations on 2/28/03. 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.
6
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP GROWTH FUND
Portfolio of Investments
As of June 30, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- 95.9%
COMMON STOCKS -- 95.4%
Advertising -- 0.6%
21 Lamar Advertising Co. * $ 740
Aerospace -- 0.3%
8 Engineered Support Systems, Inc. 314
Apparel -- 0.3%
1 Coach, Inc. * 68
10 Polo Ralph Lauren Corp. 256
------------
324
Automotive -- 0.4%
19 American Axle & Manufacturing Holdings, Inc. * 449
Banking -- 6.0%
10 Banknorth Group, Inc. 263
5 Doral Financial Corp. 206
26 East-West Bancorp, Inc. 953
12 First Niagara Financial Group, Inc. 161
11 Harbor Florida Bancshares, Inc. 268
19 Hudson River Bancorp 526
28 Investors Financial Services Corp. 802
65 New York Community Bancorp, Inc. 1,905
3 Southwest Bancorp of Texas, Inc. * 100
32 Sterling Bancshares, Inc. 417
55 UCBH Holdings, Inc. 1,580
------------
7,181
Biotechnology -- 1.3%
8 Affymetrix, Inc. * 152
10 ICOS Corp. * 379
5 InterMune, Inc. * 81
5 Millipore Corp. * 205
18 Pharmaceutical Product Development, Inc. * 520
12 Telik, Inc. * 199
------------
1,536
Broadcasting/Cable -- 0.8%
68 Entravision Communications Corp., Class A * 770
9 Salem Communications Corp., Class A * 180
------------
950
Business Services -- 4.1%
12 ChoicePoint, Inc. * 413
38 Cognizant Technology Solutions Corp. * 914
17 Fair Isaac Corp. 895
9 Hewitt Associates, Inc., Class A * 209
21 Kroll, Inc. * 562
24 Resources Connection, Inc. * 572
36 Robert Half International, Inc. * 677
18 Sylvan Learning Systems, Inc. * 419
6 The Corporate Executive Board Co. * 247
------------
4,908
</Table>
See notes to financial statements.
7
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Chemicals -- 1.1%
24 Airgas, Inc. $ 409
16 Albemarle Corp. 433
4 Minerals Technologies, Inc. 198
7 Valspar Corp. 283
------------
1,323
Computer Networks -- 1.8%
58 Adaptec, Inc. * 455
11 Avocent Corp. * 329
9 Factset Research Systems, Inc. 405
30 Foundry Networks, Inc. * 425
40 McDATA Corp., Class A * 589
------------
2,203
Computer Software -- 5.9%
45 Autodesk, Inc. 729
34 Borland Software Corp. * 334
11 Business Objects S.A. (France), ADR * 250
28 CACI International, Inc., Class A * 976
10 Cognos, Inc. (Canada) * 263
34 Compuware Corp. * 194
20 Documentum, Inc. * 392
81 Embarcadero Technologies, Inc. * 568
24 FileNET Corp. * 434
56 Informatica Corp. * 385
13 Jack Henry & Associates, Inc. 235
30 Magma Design Automation, Inc. * 506
7 Mercury Interactive Corp. * 278
23 NetScreen Technologies, Inc. * 529
23 Retek, Inc. * 150
18 THQ, Inc. * 315
30 Verisity LTD * 359
17 webMethods, Inc. * 137
------------
7,034
Computers/Computer Hardware -- 0.4%
33 Extreme Networks, Inc. * 176
4 Zebra Technologies Corp., Class A * 313
------------
489
Construction -- 1.2%
15 EMCOR Group, Inc. * 719
7 Hovnanian Enterprises, Inc. * 395
1 NVR, Inc. * 370
------------
1,484
Consumer Products -- 1.2%
5 Harman International Industries, Inc. 362
43 Moore Wallace, Inc. * 631
25 Wolverine World Wide, Inc. 479
------------
1,472
Consumer Services -- 3.1%
39 Career Education Corp. * 2,642
10 Corinthian Colleges, Inc. * 499
10 Corrections Corp of America * 256
</Table>
See notes to financial statements.
8
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Consumer Services -- Continued
4 Education Management Corp. * $ 229
3 iPayment Holdings, Inc. * 82
------------
3,708
Electronics/Electrical Equipment -- 2.8%
10 Ametek, Inc. 362
34 AVX Corp. 375
20 Benchmark Electronics, Inc. * 600
14 Cubic Corp. 300
15 DSP Group, Inc. * 326
16 Electro Scientific Industries, Inc. * 247
8 FEI Co. * 148
10 Fisher Scientific International * 356
7 SanDisk Corp. * 272
25 Symbol Technologies, Inc. 326
------------
3,312
Engineering Services -- 0.2%
10 Chicago Bridge & Iron Co., NV -- New York
Registered Shares (The Netherlands) 230
Entertainment/Leisure -- 4.0%
79 Alliance Gaming Corp. * 1,497
42 Boyd Gaming Corp. * 720
5 Harrah's Entertainment, Inc. * 186
31 Macrovision Corp. * 615
14 Pegasus Solutions, Inc. * 233
42 Penn National Gaming, Inc. * 861
12 Regal Entertainment Group, Class A 292
15 Station Casinos, Inc. * 388
------------
4,792
Financial Services -- 1.6%
11 Affiliated Managers Group, Inc. * 681
29 BankUnited Financial Corp., Class A * 574
7 Eaton Vance Corp. 226
6 Jefferies Group, Inc. 315
4 T. Rowe Price Group, Inc. 150
------------
1,946
Food/Beverage Products -- 1.4%
23 Constellation Brands, Inc., Class A * 716
22 Cott Corp. * 453
14 Performance Food Group Co. * 518
------------
1,687
Health Care/Health Care Services -- 14.0%
13 Advanced Neuromodulation Systems, Inc. * 694
57 American Medical Systems Holdings, Inc. * 954
10 Amsurg Corp. * 305
17 Apria Healthcare Group, Inc. * 425
73 Caremark Rx, Inc. * 1,885
23 Community Health Systems, Inc. * 453
11 Cooper Companies, Inc. 395
20 Coventry Health Care, Inc. * 903
23 Cyberonics, Inc. * 502
</Table>
See notes to financial statements.
9
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Health Care/Health Care Services -- Continued
16 Dade Behring Holdings, Inc. * $ 363
8 Diagnostic Products Corp. 326
12 Edwards Lifesciences Corp. * 386
8 Henry Schein, Inc. * 404
12 Inamed Corp. * 617
18 Oakley, Inc. * 207
28 Odyssey Healthcare, Inc. * 1,022
8 Oxford Health Plans, Inc. * 320
20 Patterson Dental Co. * 921
21 Pediatrix Medical Group, Inc. * 756
5 ResMed, Inc. * 196
33 Respironics, Inc. * 1,251
49 Select Medical Corp. * 1,222
79 Therasense, Inc. * 793
12 Thoratec Corp. * 182
29 VCA Antech, Inc. * 558
22 WellChoice, Inc. * 641
------------
16,681
Insurance -- 1.4%
6 Arch Capital Group LTD * 200
18 HCC Insurance Holdings, Inc. 530
7 Hilb, Rogal & Hamilton Co. 252
17 Hub International LTD 292
13 RLI Corp. 434
------------
1,708
Internet Services/Software -- 2.1%
65 Agile Software Corp. * 630
89 Autobytel, Inc. * 558
32 LendingTree, Inc. * 780
24 Network Associates, Inc. * 303
17 Overture Services, Inc. * 303
------------
2,574
Machinery & Engineering Equipment -- 1.2%
2 Baldor Electric Co. 37
25 Cognex Corp. * 563
18 Flowserve Corp. * 356
10 Graco, Inc. 308
6 IDEX Corp. 205
------------
1,469
Manufacturing -- 1.6%
18 AO Smith Corp. 501
7 Clarcor, Inc. 257
26 Esco Technologies, Inc. * 1,150
------------
1,908
Multi-Media -- 2.2%
25 Cox Radio, Inc., Class A * 570
42 Cumulus Media, Inc. * 786
10 Entercom Communications Corp. * 484
45 Radio One, Inc. * 798
------------
2,638
</Table>
See notes to financial statements.
10
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Oil & Gas -- 5.9%
2 Evergreen Resources, Inc. * $ 105
24 Grant Prideco, Inc. * 280
13 Headwaters, Inc. * 197
80 Key Energy Services, Inc. * 861
16 Lone Star Technologies * 345
5 Maverick Tube Corp. * 99
25 Newfield Exploration Co. * 946
16 Patina Oil & Gas Corp. 521
49 Patterson-UTI Energy, Inc. * 1,573
18 Quicksilver Resources, Inc. * 441
22 Tetra Technologies, Inc. * 652
20 Tidewater, Inc. 591
23 XTO Energy, Inc. 458
------------
7,069
Pharmaceuticals -- 4.4%
10 AdvancePCS, Inc. * 366
26 Alkermes, Inc. * 279
10 Amylin Pharmaceuticals, Inc. * 225
34 CV Therapeutics, Inc. * 1,006
29 Isis Pharmaceuticals, Inc. * 152
10 Medicines Co. * 196
10 Neurocrine Biosciences, Inc. * 519
14 NPS Pharmaceuticals, Inc. * 343
23 Penwest Pharmaceuticals Co. * 558
15 SangStat Medical Corp. * 196
9 SICOR, Inc. * 190
10 Taro Pharmaceutical Industries LTD (Israel) * 560
10 Trimeris, Inc. * 451
4 Watson Pharmaceuticals, Inc. * 178
------------
5,219
Pipelines -- 0.2%
6 Western Gas Resources, Inc. 248
Real Estate -- 0.3%
21 Jones Lang LaSalle, Inc. * 327
Real Estate Investment Trust -- 1.0%
23 American Financial Realty Trust 343
13 The Mills Corp. 443
30 Ventas, Inc. 450
------------
1,236
Restaurants/Food Services -- 4.3%
11 Brinker International, Inc. * 410
12 Jack in the Box, Inc. * 278
74 O'Charleys, Inc. * 1,591
3 P.F. Chang's China Bistro, Inc. * 163
13 Panera Bread Co., Class A * 536
6 Rare Hospitality International, Inc. * 198
37 Ruby Tuesday, Inc. 910
29 The Cheesecake Factory, Inc. * 1,058
------------
5,144
</Table>
See notes to financial statements.
11
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Retailing -- 6.3%
12 Advanced Auto Parts, Inc. * $ 716
27 AnnTaylor Stores Corp. * 781
59 Chico's FAS, Inc. * 1,246
18 Electronics Boutique Holdings Corp. * 404
12 Gart Sports Co. * 349
14 Gymboree Corp. 230
53 Hollywood Entertainment Corp. * 905
10 HOT Topic, Inc. * 259
29 Michaels Stores, Inc. * 1,118
16 Office Depot, Inc. * 233
22 Pep Boys-Manny, Moe & Jack 294
24 PETCO Animal Supplies, Inc. * 520
16 Williams-Sonoma, Inc. * 460
------------
7,515
Semi-Conductors -- 7.6%
41 Advanced Micro Devices, Inc. * 265
21 Applied Micro Circuits Corp. * 128
34 Artisan Components, Inc. * 777
22 ASM International N.V. (The Netherlands) * 332
14 ATMI, Inc. * 352
47 Cree, Inc. * 771
9 Cymer, Inc. * 284
49 Exar Corp. * 772
1 Formfactor, Inc. * 21
23 International Rectifier Corp. * 621
19 Intersil Corp., Class A * 498
29 Lam Research Corp. * 520
18 Micrel, Inc. * 188
25 National Semiconductor Corp. * 498
34 O2Micro International LTD (Cayman Islands) * 551
19 Pericom Semiconductor Corp. * 178
20 Power Integrations, Inc. * 486
16 Rudolph Technologies, Inc. * 257
13 Semtech Corp. * 184
16 Skyworks Solutions, Inc. * 109
46 Teradyne, Inc. * 801
18 Varian Semiconductor Equipment Associates, Inc. * 537
------------
9,130
Shipping/Transportation -- 0.7%
3 Expeditors International of Washington, Inc. 109
23 UTI Worldwide, Inc. (Virgin Islands) 715
------------
824
Telecommunications -- 2.0%
195 Aeroflex, Inc. * 1,509
11 Amdocs LTD (Channel Islands) * 275
40 Arris Group, Inc. * 197
27 Tekelec * 308
5 West Corp. * 127
------------
2,416
</Table>
See notes to financial statements.
12
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Telecommunications Equipment -- 0.9%
146 ADC Telecommunications, Inc. * $ 339
25 Comverse Technology, Inc. * 374
4 NTL, Inc. * 142
44 RF Micro Devices, Inc. * 262
------------
1,117
Toys & Games -- 0.5%
13 Action Performance Companies, Inc. 241
13 Leapfrog Enterprises, Inc. * 414
------------
655
Transportation -- 0.3%
7 Heartland Express, Inc. * 149
7 Knight Transportation, Inc. * 169
------------
318
----------------------------------------------------------------
Total Common Stocks 114,278
(Cost $100,120)
----------------------------------------------------------------
INVESTMENT COMPANY -- 0.5%
7 iShares Trust -- Russell 2000 Index Fund 605
(Cost $604)
- ----------------------------------------------------------------------------------
Total Long-Term Investments $ 114,883
(Cost $100,724)
- ----------------------------------------------------------------------------------
Short-Term Investments -- 4.1%
MONEY MARKET FUND -- 4.1%
4,872 JPMorgan Prime Money Market Fund (a) 4,872
(Cost $4,872)
- ----------------------------------------------------------------------------------
Total Investments -- 100.0% $ 119,755
(Cost $105,596)
==================================================================================
</Table>
See notes to financial statements.
13
<Page>
JPMORGAN MULTI-MANAGER SMALL CAP VALUE FUND
Portfolio of Investments
As of June 30, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- 94.2%
COMMON STOCKS -- 91.7%
Advertising -- 0.1%
9 Aquantive, Inc. * $ 94
1 R.H. Donnelley Corp. * 51
------------
145
Aerospace -- 1.9%
11 AAR Corp. * 79
7 Aviall, Inc. * 78
0^^ Curtiss-Wright Corp. 25
0^^ Ducommun, Inc. * 4
5 Esterline Technologies Corp. * 78
4 GenCorp., Inc. 32
41 Goodrich Corp. 865
2 HEICO Corp. 29
6 Kaman Corp., Class A 68
4 Moog, Inc., Class A * 122
79 Titan Corp. * 809
1 Triumph Group, Inc. * 39
------------
2,228
Agricultural Production/Services -- 0.1%
10 DIMON, Inc. 68
2 Seminis, Inc., Class A * 8
4 Standard Commercial Corp. 66
------------
142
Airlines -- 0.2%
1 Alaska Air Group, Inc. * 30
5 AMR Corp. * 52
4 ExpressJet Holdings, Inc. * 53
4 Northwest Airlines Corp. * 44
------------
179
Apparel -- 0.2%
4 Kellwood Co. 132
0^^ Kenneth Cole Productions, Inc. * 6
4 Quiksilver, Inc. * 71
3 Steven Madden LTD * 55
------------
264
Appliances & Household Durables -- 0.1%
3 Applica, Inc. 26
0^^ Furniture Brands International, Inc. * 10
8 Jacuzzi Brands, Inc. * 40
------------
76
Automotive -- 0.7%
1 American Axle & Manufacturing Holdings, Inc. * 33
1 BorgWarner, Inc. 90
4 Dura Automotive Systems, Inc. * 42
4 Keystone Automotive Industries, Inc. * 68
1 Lithia Motors, Inc., Class A * 21
3 Oshkosh Truck Corp. 160
1 Superior Industries International, Inc. 58
10 Tower Automotive, Inc. * 38
</Table>
See notes to financial statements.
14
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Automotive -- Continued
6 Visteon Corp. $ 39
8 Winnebago Industries, Inc. 308
------------
857
Banking -- 6.8%
9 Allegiant Bancorp, Inc. 184
4 Amcore Financial, Inc. 81
17 Astoria Financial Corp. 483
1 Bancfirst Corp. 26
0^^ Bank of the Ozarks, Inc. 12
6 BankAtlantic Bancorp, Inc. 76
1 Capitol Bancorp LTD 38
0^^ Century Bancorp, Inc., Class A 3
3 Chemical Financial Corp. 80
1 Columbia Banking Systems, Inc. 25
9 Commerce Bancorp, Inc. 323
2 Commercial Federal Corp. 45
6 Community Bank System, Inc. 220
2 Community Trust BanCorp, Inc. 60
32 Compass Bancshares, Inc. 1,104
3 Corus Bankshares, Inc. 140
5 Cullen/Frost Bankers, Inc. 144
3 Dime Community Bancshares 69
0^^ Financial Institutions, Inc. 2
0^^ First Citizens Banc Corp. 3
0^^ First Citizens BancShares, Inc. 10
0^^ First National Corp. 10
3 First Niagara Financial Group, Inc. 38
1 First Oak Brook Bancshares, Inc. 20
3 Firstfed America Bancorp 97
2 FirstFed Financial Corp. * 74
16 Flagstar BanCorp, Inc. 396
12 Fremont General Corp. 159
14 Gold Banc Corp., Inc. 145
0^^ Great Southern Bancorp, Inc. 12
5 Greater Bay Bancorp 94
0^^ Hawthorne Financial Corp. * 10
1 Heritage Commerce Corp. * 16
5 Hibernia Corp., Class A 91
4 Hudson River Bancorp 123
5 Iberiabank Corp. 259
2 Independent Bank Corp. -- Massachusetts 47
5 Independent Bank Corp. -- Michigan 136
7 IndyMac Bancorp, Inc. 186
9 Irwin Financial Corp. 228
0^^ Lakeland Financial Corp. 3
6 Local Financial Corp. * 87
0^^ MainSource Financial Group, Inc. 7
0^^ MB Financial Corp. 16
1 Mercantile Bank Corp. 23
4 Mid-State Bancshares 83
0^^ Nara Bancorp, Inc. 4
6 NetBank, Inc. 80
</Table>
See notes to financial statements.
15
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Banking -- Continued
1 Oak Hill Financial, Inc. $ 18
0^^ Old Second Bancorp, Inc. 4
0^^ Peoples Bancorp, Inc. 10
4 Provident Bankshares Corp. 94
4 R & G Financial Corp. (Puerto Rico), Class B 104
9 Republic Bancorp, Inc. 114
1 Republic Bancorp, Inc., Class A 9
0^^ Royal Bancshares of Pennsylvania 6
1 Second Bancorp, Inc. 23
1 Silicon Valley Bancshares * 33
2 Simmons First National Corp. 30
0^^ Southwest Bancorp, Inc. 3
3 St Francis Capital Corp. 78
1 State Financial Services Corp. 24
1 Summit Bancshares, Inc. 33
2 Sun Bancorp, Inc. * 48
1 Taylor Capital Group, Inc. 15
88 The Colonial BancGroup, Inc. 1,218
0^^ The Peoples Holding Co. 4
10 The South Financial Group, Inc. 229
2 Umpqua Holdings Corp. 44
4 W Holding Co., Inc. (Puerto Rico) 73
10 West Coast Bancorp 175
1 Willow Grove Bancorp, Inc. 24
------------
7,985
Biotechnology -- 2.5%
3 Abgenix, Inc. * 28
78 Albany Molecular Research, Inc. * 1,184
0^^ Alexion Pharmaceuticals, Inc. * 5
4 Applera Corp. -- Celera Genomics Group * 36
7 Nektar Therapeutics * 65
38 Pharmaceutical Product Development, Inc. * 1,097
33 Serologicals Corp. * 444
2 Telik, Inc. * 27
------------
2,886
Broadcasting/Cable -- 0.8%
17 Charter Communications, Inc., Class A * 67
0^^ Pulitzer, Inc. 20
74 Sinclair Broadcast Group, Inc. * 860
------------
947
Business Services -- 2.1%
110 Administaff, Inc. * 1,133
1 Banta Corp. 45
0^^ Charles River Associates, Inc. * 11
0^^ Consolidated Graphics, Inc. * 9
2 Cornell Companies, Inc. * 33
5 Dollar Thrifty Automotive Group, Inc. * 98
7 Harris Interactive, Inc. * 43
3 infoUSA, Inc. * 23
16 Kelly Services, Inc. 382
3 Metris Companies, Inc. 17
1 NCO Group, Inc. * 11
</Table>
See notes to financial statements.
16
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Business Services -- Continued
2 Parexel International Corp. * $ 31
36 Quintiles Transnational Corp. * 507
11 Spherion Corp. * 74
4 Tyler Technologies, Inc. * 17
0^^ Volt Information Sciences, Inc. * 5
------------
2,439
Chemicals -- 3.8%
17 Cabot Corp. 479
11 Crompton Corp. 77
27 Engelhard Corp. 668
4 Ethyl Corp. * 40
2 FMC Corp. * 38
7 Georgia Gulf Corp. 135
3 HB Fuller Co. 59
6 Hercules, Inc. * 59
147 IMC Global, Inc. 985
7 Millennium Chemicals, Inc. 68
0^^ Minerals Technologies, Inc. 15
7 NL Industries, Inc. 126
3 Octel Corp. 40
7 Omnova Solutions, Inc. * 27
4 Polyone Corp. 17
79 RPM International, Inc. 1,093
21 Solutia, Inc. 45
10 Valspar Corp. 426
7 Wellman, Inc. 74
------------
4,471
Computer Networks -- 0.1%
3 Anixter International, Inc. * 65
1 Black Box Corp. 51
7 Pioneer Standard Electronics, Inc. 58
------------
174
Computer Software -- 3.1%
3 Ascential Software Corp. * 54
9 Aspen Technology, Inc. * 43
0^^ Avid Technology, Inc. * 14
3 Borland Software Corp. * 26
0^^ CACI International, Inc., Class A * 14
7 Ciber, Inc. * 46
17 CompuCom Systems, Inc. * 76
2 E.piphany, Inc. * 11
18 Global Payments, Inc. 646
0^^ Hyperion Solutions Corp. * 3
4 InterCept Group, Inc. * 35
50 JDA Software Group, Inc. * 560
0^^ Magma Design Automation, Inc. * 7
7 ManTech International Corp., Class A * 130
8 Manugistics Group, Inc. * 33
6 NetIQ Corp. * 91
22 Novell, Inc. * 66
10 Per-Se Technologies, Inc. * 113
6 Rainbow Technologies, Inc. * 54
</Table>
See notes to financial statements.
17
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Computer Software -- Continued
0^^ SeaChange International, Inc. * $ 3
3 Sybase, Inc. * 45
75 Systems & Computer Technology Corp. * 674
2 Tier Technologies, Inc., Class B * 16
69 Unisys Corp. * 845
------------
3,605
Computers/Computer Hardware -- 0.6%
6 Electronics for Imaging, Inc. * 112
4 Hutchinson Technology, Inc. * 135
7 iGate Corp. * 23
4 Imagistics International, Inc. * 108
6 Iomega Corp. * 66
23 Maxtor Corp. * 170
0^^ Palm, Inc. * 5
13 Quantum Corp. * 51
2 RadiSys Corp. * 22
26 Silicon Graphics, Inc. * 29
4 Sykes Enterprises, Inc. * 21
------------
742
Construction -- 2.4%
0^^ Beazer Homes USA, Inc. * 8
21 D.R. Horton, Inc. 590
2 Dycom Industries, Inc. * 39
2 EMCOR Group, Inc. * 114
26 Hovnanian Enterprises, Inc. * 1,509
4 MDC Holdings, Inc. 173
1 Meritage Corp. * 30
7 Standard-Pacific Corp. 242
4 WCI Communities, Inc. * 79
------------
2,784
Construction Materials -- 1.0%
4 AMCOL International Corp. 32
4 Ameron International Corp. 143
0^^ Centex Construction Products, Inc. 12
0^^ Florida Rock Industries, Inc. 4
4 Genlyte Group, Inc. * 122
46 Louisiana-Pacific Corp. * 498
1 Texas Industries, Inc. 33
6 Universal Forest Products, Inc. 134
9 USG Corp. * 179
------------
1,157
Consumer Products -- 2.6%
4 Alberto-Culver Co., Class A 174
2 American Greetings Corp., Class A * 39
1 Blyth, Inc. 38
19 Chattem, Inc. * 355
0^^ CSS Industries, Inc. 4
0^^ Department 56, Inc. * 6
16 Harman International Industries, Inc. 1,228
1 Jarden Corp. * 19
4 Kimball International 67
</Table>
See notes to financial statements.
18
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Consumer Products -- Continued
9 Sturm Ruger & Co., Inc. $ 88
11 The Scotts Co., Class A * 525
3 Toro Co. 107
9 Universal Corp. 376
1 WD-40 Co. 40
------------
3,066
Consumer Services -- 2.0%
6 Alderwoods Group, Inc. * 32
2 Arbitron, Inc. * 82
1 Central Parking Corp. 9
11 Gartner, Inc., Class A * 80
0^^ MemberWorks, Inc. * 8
27 Regis Corp. 783
3 Right Management Consultants, Inc. * 34
24 Service Corp. International * 93
37 Stewart Enterprises, Inc., Class A * 160
0^^ The Standard Register Co. 5
75 United Rentals, Inc. * 1,043
2 Wackenhut Corrections Corp. * 30
------------
2,359
Distribution -- 0.6%
3 Advanced Marketing Services, Inc. 35
3 Building Material Holding Corp. 37
6 Hughes Supply, Inc. 222
25 Watsco, Inc. 418
1 WESCO International, Inc. * 5
------------
717
Diversified -- 0.1%
8 Walter Industries, Inc. 98
Electronics/Electrical Equipment -- 4.7%
1 Analogic Corp. 54
3 Benchmark Electronics, Inc. * 86
3 Checkpoint Systems, Inc. * 47
30 Coherent, Inc. * 720
3 CTS Corp. 30
3 DSP Group, Inc. * 58
30 Flir Systems, Inc. * 908
4 Integrated Electrical Services, Inc. * 32
1 InVision Technologies, Inc. * 12
5 Methode Electronics 52
8 MTS Systems Corp. 122
80 Paxar Corp. * 877
48 PerkinElmer, Inc. 657
3 ROFIN-SINAR Technologies, Inc. * 38
52 Sanmina-SCI Corp. * 329
4 Stoneridge, Inc. * 48
46 Symbol Technologies, Inc. 593
1 Trimble Navigation LTD * 14
60 Vishay Intertechnology, Inc. * 785
3 Watts Industries, Inc., Class A 59
------------
5,521
</Table>
See notes to financial statements.
19
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Engineering Services -- 0.2%
27 McDermott International, Inc. * $ 168
4 URS Corp. * 84
------------
252
Entertainment/Leisure -- 1.2%
4 Alliance Gaming Corp. * 78
3 AMC Entertainment, Inc. * 32
3 Ameristar Casinos, Inc. * 56
2 Arctic Cat, Inc. 40
4 Argosy Gaming Co. * 84
7 Aztar Corp. * 116
4 Bally Total Fitness Holding Corp. * 35
7 Boyd Gaming Corp. * 128
11 Callaway Golf Co. 151
2 Isle of Capri Casinos, Inc. * 28
6 K2, Inc. * 72
1 Nautilus Group, Inc. 12
4 Navigant International, Inc. * 48
4 Pegasus Solutions, Inc. * 67
2 Pinnacle Entertainment, Inc. * 12
26 WMS Industries, Inc. * 407
------------
1,366
Environmental Services -- 0.3%
0^^ Mine Safety Appliances Co. 17
12 Republic Services, Inc. * 279
5 Tetra Tech, Inc. * 84
------------
380
Financial Services -- 5.4%
8 American Capital Strategies LTD 205
7 American Home Mortgage Holdings, Inc. 131
71 AmeriCredit Corp. * 608
45 BankUnited Financial Corp., Class A * 915
0^^ Blackrock, Inc. * 9
4 CompuCredit Corp. * 51
1 Credit Acceptance Corp. * 10
4 DVI, Inc. * 21
25 Eaton Vance Corp. 784
1 eSpeed, Inc., Class A * 12
0^^ ITLA Capital Corp. * 12
17 Jefferies Group, Inc. 841
3 New Century Financial Corp. 109
22 Raymond James Financial, Inc. 737
72 Sovereign BanCorp, Inc. 1,119
5 Sterling Financial Corp. * 114
4 Student Loan Corp. 454
2 Superior Financial Corp. 36
0^^ Troy Financial Corp. 3
0^^ Westcorp 8
2 World Acceptance Corp. * 34
1 WSFS Financial Corp. 54
------------
6,267
</Table>
See notes to financial statements.
20
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Food/Beverage Products -- 0.3%
11 Chiquita Brands International, Inc. * $ 154
1 Corn Products International, Inc. 15
1 Flowers Foods, Inc. 23
0^^ J & J Snack Foods Corp. * 9
4 Pathmark Stores, Inc. * 31
6 Pilgrim's Pride Corp. 55
4 Ralcorp Holdings, Inc. * 87
0^^ Riviana Foods, Inc. 3
0^^ Sensient Technologies Corp. 9
------------
386
Health Care/Health Care Services -- 9.2%
55 Accredo Health, Inc. * 1,200
7 Beverly Enterprises, Inc. * 24
4 Conceptus, Inc. * 55
3 CONMED Corp. * 51
33 Cooper Companies, Inc. 1,140
36 Covance, Inc. * 657
4 CTI Molecular Imaging, Inc. * 81
27 Diagnostic Products Corp. 1,121
9 Genesis Health Ventures, Inc. * 166
58 Health Management Associates, Inc., Class A 1,062
0^^ Invacare Corp. 3
4 Kindred Healthcare, Inc. * 75
8 Lincare Holdings, Inc. * 252
40 Manor Care, Inc. * 989
28 NDCHealth Corp. 521
31 Omnicare, Inc. 1,041
4 PacifiCare Health Systems, Inc. * 173
27 Pediatrix Medical Group, Inc. * 970
3 PSS World Medical, Inc. * 14
0^^ Sierra Health Services * 6
7 Sola International, Inc. * 118
0^^ SurModics, Inc. * 6
130 US Oncology, Inc. * 963
------------
10,688
Hotels/Other Lodging -- 0.8%
2 Choice Hotels International, Inc. * 41
58 Hilton Hotels Corp. 746
25 La Quinta Corp. * 109
------------
896
Industrial Components -- 0.1%
9 Lennox International, Inc. 109
Insurance -- 3.1%
12 Allmerica Financial Corp. * 221
5 AmerUs Group Co. 149
4 Argonaut Group, Inc. 52
0^^ Baldwin & Lyons, Inc. 8
18 Commerce Group, Inc. 655
5 Delphi Financial Group, Inc., Class A 253
3 FBL Financial Group, Inc., Class A 60
0^^ Harleysville Group, Inc. 9
</Table>
See notes to financial statements.
21
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Insurance -- Continued
4 LandAmerica Financial Group, Inc. $ 209
0^^ Nationwide Financial Services, Inc., Class A 10
23 Philadelphia Consolidated Holding Co. * 946
6 PMA Capital Corp., Class A 75
1 ProAssurance Corp. * 16
12 Protective Life Corp. 329
3 RLI Corp. 92
2 State Auto Financial Corp. 34
8 Stewart Information Services Corp. * 209
1 The Midland Co. 16
0^^ The Navigators Group, Inc. * 9
3 Triad Guaranty, Inc. * 106
10 UICI * 146
0^^ United Fire & Casualty Co. 10
3 Universal American Financial Corp. * 20
1 Zenith National Insurance Co. 20
------------
3,654
Internet Services/Software -- 0.8%
2 Agile Software Corp. * 20
11 CNET Networks, Inc. * 69
11 EarthLink, Inc. * 84
0^^ Internet Security Systems, Inc. * 4
0^^ Netegrity, Inc. * 2
2 PC-Tel, Inc. * 27
0^^ ProQuest Co. * 10
4 United Online, Inc. * 104
45 Verity, Inc. * 573
13 Vignette Corp. * 28
------------
921
Leasing -- 0.1%
4 GATX Corp. 64
4 Interpool, Inc. 64
------------
128
Machinery & Engineering Equipment -- 2.0%
46 AGCO Corp. * 789
12 Applied Industrial Technologies, Inc. 255
6 Cascade Corp. 106
3 Global Power Equipment Group, Inc. * 15
0^^ Kadant, Inc. * 8
5 Milacron, Inc. 23
0^^ NACCO Industries, Inc. 18
4 Regal-Beloit Corp. 84
5 Sauer-Danfoss, Inc. 49
49 Stewart & Stevenson Services, Inc. 767
1 Tecumseh Products Co., Class A 54
0^^ Thomas Industries, Inc. 11
13 UNOVA, Inc. * 145
------------
2,324
Manufacturing -- 3.7%
0^^ Actuant Corp., Class A * 14
4 Acuity Brands, Inc. 74
</Table>
See notes to financial statements.
22
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Manufacturing -- Continued
8 Albany International Corp., Class A $ 222
6 AO Smith Corp. 163
6 Barnes Group, Inc. 137
0^^ Briggs & Stratton Corp. 15
1 Esco Technologies, Inc. * 62
0^^ Gardner Denver, Inc. * 2
3 Griffon Corp. * 43
16 Harsco Corp. 582
14 JLG Industries, Inc. 97
68 Joy Global, Inc. * 1,010
1 Lydall, Inc. * 13
2 NN, Inc. 27
4 Quanex Corp. 122
2 SPS Technologies, Inc. * 46
43 Terex Corp. * 837
47 Timken Co. 829
2 Wilson Greatbatch Technologies, Inc. * 54
------------
4,349
Metals/Mining -- 1.4%
51 Arch Coal, Inc. 1,168
1 Massey Energy Co. 18
2 Mueller Industries, Inc. * 57
3 RTI International Metals, Inc. * 29
4 Southern Peru Copper Corp. 67
2 USEC, Inc. 11
12 Valmont Industries, Inc. 236
------------
1,586
Multi-Media -- 0.5%
5 Insight Communications Co., Inc. * 69
2 Journal Register Co. * 38
7 Lodgenet Entertainment Corp. * 77
14 Scholastic Corp. * 428
------------
612
Office/Business Equipment -- 0.1%
0^^ Global Imaging Systems, Inc. * 2
4 United Stationers, Inc. * 138
------------
140
Oil & Gas -- 4.7%
2 Black Hills Corp. 61
8 CAL Dive International, Inc. * 168
5 Comstock Resources, Inc. * 62
11 Denbury Resources, Inc. * 142
5 Energen Corp. 160
6 Hanover Compressor Co. * 70
3 Houston Exploration Co. * 97
4 KCS Energy, Inc. * 19
3 Lufkin Industries, Inc. 68
2 Magnum Hunter Resources, Inc. * 12
10 Meridian Resource Corp. * 45
2 Nuevo Energy Co. * 37
3 NUI Corp. 42
</Table>
See notes to financial statements.
23
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Oil & Gas -- Continued
1 Oceaneering International, Inc. * $ 36
5 Oil States International, Inc. * 61
29 ONEOK, Inc. 573
0^^ Penn Virginia Corp. 17
1 Plains Exploration & Production Co. * 9
16 Range Resources Corp. * 98
1 Seacor Smit, Inc. * 26
4 Southern Union Co. * 75
4 Southwest Gas Corp. 93
18 Southwestern Energy Co. * 263
0^^ Spinnaker Exploration Co. * 10
4 Stone Energy Corp. * 172
55 Superior Energy Services, Inc. * 523
22 Swift Energy Co. * 240
11 Tesoro Petroleum Corp. * 74
48 Universal Compression Holding, Inc. * 996
4 Veritas DGC, Inc. * 51
9 Vintage Petroleum, Inc. 96
27 Westport Resources Corp. * 616
0^^ World Fuel Services Corp. 10
21 XTO Energy, Inc. 424
------------
5,446
Packaging -- 1.4%
0^^ Chesapeake Corp. 9
29 Crown Holdings, Inc. * 206
3 Greif, Inc., Class A 67
59 Pactiv Corp. * 1,158
2 Rock-Tenn Co. 36
6 Silgan Holdings, Inc. * 172
------------
1,648
Paper/Forest Products -- 0.1%
4 Schweitzer-Mauduit International, Inc. 84
Pharmaceuticals -- 1.4%
9 Adolor Corp. * 113
1 Alpharma, Inc., Class A 30
4 Amylin Pharmaceuticals, Inc. * 83
5 AtheroGenics, Inc. * 81
6 Barr Laboratories, Inc. * 360
0^^ CV Therapeutics, Inc. * 9
22 KV Pharmaceutical Co., Class B * 619
3 Ligand Pharmaceuticals, Inc., Class B * 35
4 NBTY, Inc. * 78
2 OSI Pharmaceuticals, Inc. * 71
9 SangStat Medical Corp. * 115
2 Tanox, Inc. * 35
------------
1,629
Pipelines -- 0.0%^
9 Dynegy, Inc., Class A * 38
Printing & Publishing -- 0.4%
17 John H. Harland Co. 439
</Table>
See notes to financial statements.
24
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Real Estate -- 0.1%
3 Jones Lang LaSalle, Inc. * $ 52
1 LNR Property Corp. 53
------------
105
Real Estate Investment Trust -- 4.4%
6 Alexandria Real Estate Equities, Inc. 279
21 Anthracite Capital, Inc. 258
2 Apex Mortgage Capital, Inc. 13
7 Bedford Property Investors, Inc. 193
6 Boykin Lodging Co. 48
2 Capital Automotive Real Estate Investment Trust 59
0^^ Centerpoint Properties Corp. 6
6 Chelsea Property Group, Inc. 254
3 Cousins Properties, Inc. 75
12 Entertainment Properties Trust 338
22 Equity Inns, Inc. 152
9 FelCor Lodging Trust, Inc. 67
5 Gables Residential Trust 136
6 Highwoods Properties, Inc. 143
11 IMPAC Mortgage Holdings, Inc. 182
14 InnKeepers USA Trust 93
3 Kilroy Realty Corp. 94
4 LaSalle Hotel Properties 61
17 Lexington Corporate Properties Trust 307
7 LTC Properties, Inc. 70
13 Meristar Hospitality Corp. 69
6 MFA Mortgage Investments, Inc. 59
2 National Health Investors, Inc. 39
1 NoveStar Financial, Inc. 48
3 Parkway Properties, Inc. 114
6 Pennsylvania Real Estate Investment Trust 192
7 Prentiss Properties Trust 204
9 RAIT Investment Trust 249
5 RFS Hotel Investors, Inc. 58
0^^ Saul Centers, Inc. 8
11 Senior Housing Properties Trust 144
9 SL Green Realty Corp. 307
0^^ Summit Properties, Inc. 6
5 Sun Communities, Inc. 177
4 Taubman Centers, Inc. 67
2 The Macerich Co. 74
0^^ The Mills Corp. 13
10 United Dominion Realty Trust, Inc. 179
1 Urstadt Biddle Properties, Inc., Class A 12
20 Ventas, Inc. 295
4 Winston Hotels, Inc. 31
------------
5,173
Restaurants/Food Services -- 1.6%
13 Brinker International, Inc. * 457
13 CEC Entertainment, Inc. * 484
2 Jack in the Box, Inc. * 47
9 Landry's Restaurants, Inc. 205
5 Lone Star Steakhouse & Saloon 98
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Restaurants/Food Services -- Continued
0^^ Papa John's International, Inc. * $ 11
0^^ Ryan's Family Steak Houses, Inc. * 6
20 Sonic Corp. * 509
------------
1,817
Retailing -- 3.8%
6 7-Eleven, Inc. * 64
3 Aaron Rents, Inc. 72
5 Aeropostale, Inc. * 99
3 AnnTaylor Stores Corp. * 96
5 Asbury Automotive Group, Inc. * 62
6 BJ's Wholesale Club, Inc. * 86
0^^ BOB Evans Farms 3
3 Brown Shoe Co., Inc. 80
10 Burlington Coat Factory Warehouse Corp. 179
7 Casey's General Stores, Inc. 96
11 Cash America International, Inc. 141
1 Charlotte Russe Holding, Inc. * 5
6 Charming Shoppes, Inc. * 28
0^^ Claire's Stores, Inc. 10
3 Cole National Corp. * 34
42 CSK Auto Corp. * 604
6 Dillards Department Stores, Inc. 81
4 Dress Barn, Inc. * 44
3 Footstar, Inc. * 40
35 Fred's, Inc. 1,310
8 Friedman's, Inc. 86
2 Genesco, Inc. * 42
3 Handleman Co. * 45
6 Hollywood Entertainment Corp. * 110
3 Jo-Ann Stores, Inc., Class A * 73
0^^ Linens 'N Things, Inc. * 2
3 Men's Wearhouse, Inc. * 59
0^^ Movado Group, Inc. 4
20 Movie Gallery, Inc. * 363
1 Nash-Finch Co. 22
4 Nu Skin Enterprises, Inc., Class A 43
15 OfficeMax, Inc. * 96
7 Pep Boys-Manny, Moe & Jack 93
0^^ School Specialty, Inc. * 9
9 Shopko Stores, Inc. * 116
3 Smart & Final, Inc. * 15
2 Sports Authority, Inc. * 26
1 Stage Stores, Inc. * 12
9 The Bombay Co., Inc. * 91
3 United Auto Group, Inc. * 57
------------
4,498
Semi-Conductors -- 1.0%
0^^ Actel Corp. * 8
17 Agere Systems, Inc., Class A * 39
0^^ Brooks Automation, Inc. * 3
7 Cirrus Logic, Inc. * 26
3 Cypress Semiconductor Corp. * 35
</Table>
See notes to financial statements.
26
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Semi-Conductors -- Continued
1 Dupont Photomasks, Inc. * $ 9
2 Exar Corp. * 24
52 Fairchild Semiconductor International, Inc. * 665
7 GlobespanVirata, Inc. * 61
14 Lattice Semiconductor Corp. * 111
1 Photronics, Inc. * 24
4 Skyworks Solutions, Inc. * 27
6 Transmeta Corp. * 10
11 Vitesse Semiconductor Corp. * 56
3 Zoran Corp. * 54
------------
1,152
Shipping/Transportation -- 0.0%^
1 USF Corp. 38
Steel -- 0.2%
3 Reliance Steel & Aluminum Co. 56
5 Ryerson Tull, Inc. 40
0^^ Schnitzer Steel Industries, Inc., Class A 13
9 Steel Dynamics, Inc. * 125
3 United States Steel Corp. 44
------------
278
Telecommunications -- 1.8%
6 Aether Systems, Inc. * 27
6 Allen Telecom, Inc. * 106
151 American Tower Corp., Class A * 1,331
16 Arris Group, Inc. * 80
6 Avanex Corp. * 25
27 Cincinnati Bell, Inc. * 183
0^^ Commonwealth Telephone Enterprises, Inc. * 18
4 General Communication, Inc. * 38
13 MRV Communications, Inc. * 26
1 North Pittsburgh Systems, Inc. 21
21 PTEK Holdings, Inc. * 102
3 Raindance Communications, Inc. * 8
6 Stratex Networks, Inc. * 18
4 Talk America Holdings, Inc. * 45
7 Time Warner Telecom, Inc., Class A * 46
------------
2,074
Telecommunications Equipment -- 0.8%
92 Andrew Corp. * 849
3 C-COR.net Corp. * 13
3 CommScope, Inc. * 26
4 New Focus, Inc. * 15
4 Remec, Inc. * 29
10 Sycamore Networks, Inc. * 39
------------
971
Textiles -- 0.2%
8 Angelica Corp. 131
3 UniFirst Corp. 61
------------
192
</Table>
See notes to financial statements.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
Long-Term Investments -- Continued
Tools/Equipment -- 0.2%
9 Snap-On, Inc. $ 253
Toys & Games -- 0.1%
2 RC2 Corp. * 37
3 Steinway Musical Instruments, Inc. * 44
------------
81
Transportation -- 0.6%
2 Airborne, Inc. 44
3 Covenant Transport, Inc. * 46
4 Genesee & Wyoming, Inc., Class A * 91
3 Offshore Logistics, Inc. * 59
8 RailAmerica, Inc. * 69
3 Roadway Corp. 80
6 SCS Transportation, Inc. * 75
6 Werner Enterprises, Inc. 116
5 Yellow Corp. * 103
------------
683
Utilities -- 2.7%
3 Allegheny Energy, Inc. 27
0^^ American States Water Co. 11
2 Atmos Energy Corp. 52
6 Avista Corp. 79
0^^ California Water Service Group 11
3 CH Energy Group, Inc. 126
2 Cleco Corp. 40
26 CMS Energy Corp. 211
3 El Paso Electric Co. * 38
43 Idacorp, Inc. 1,131
28 PNM Resources, Inc. 749
48 Sierra Pacific Resources * 285
1 UIL Holdings Corp. 57
12 UniSource Energy Corp. 226
6 Westar Energy, Inc. 102
------------
3,145
Waste Management -- 0.5%
61 Allied Waste Industries, Inc. * 615
----------------------------------------------------------------
Total Common Stocks 107,259
(Cost $94,076)
----------------------------------------------------------------
INVESTMENT COMPANIES -- 2.5%
3 Gladstone Capital Corp. 58
23 iShares Russell 2000 Value Index Fund 2,923
----------------------------------------------------------------
Total Investment Companies 2,981
(Cost $2,841)
- ----------------------------------------------------------------------------------
Total Long-Term Investments $ 110,240
(Cost $96,917)
- ----------------------------------------------------------------------------------
</Table>
See notes to financial statements.
28
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------
Short-Term Investments -- 5.8%
U.S. TREASURY SECURITY -- 0.1%
$ 95 U.S. Treasury Notes & Bonds, 2.75%, 10/31/03 @ $ 96
(Cost $96)
- ----------------------------------------------------------------------------------
<Caption>
SHARES
MONEY MARKET FUND -- 5.7%
6,670 JPMorgan Prime Money Market Fund (a) @ 6,670
(Cost $6,670)
- ----------------------------------------------------------------------------------
Total Short-Term Investments $ 6,766
(Cost $6,766)
- ----------------------------------------------------------------------------------
Total Investments -- 100.0% $ 117,006
(Cost $103,683)
- ----------------------------------------------------------------------------------
</Table>
Futures Contracts
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER VALUE AT APPRECIATION/
OF EXPIRATION 6/30/03 (DEPRECIATION)
CONTRACTS DESCRIPTION DATE (USD) (USD)
- ----------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
3 Russell 2000 September, 2003 $ 673 $ 11
</Table>
Abbreviations
^ -- Amount rounds to less than 0.1%.
* -- Non-income producing security.
^^ -- Amount rounds to less than one thousand.
@ -- Security is 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 amended and advised by JPMorgan Fleming Asset
Management, Inc.
ADR -- American Depositary Receipt.
See notes to financial statements.
29
<Page>
JPMORGAN FUNDS
Statement of Assets and Liabilities
As of June 30, 2003
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
- ---------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 119,755 $ 117,006
Cash 578 --
Receivables:
Investment securities sold 1,245 2,140
Fund shares sold 2,541 3,526
Interest and dividends 18 85
Variation margin -- 3
Expense reimbursements 20 20
- ---------------------------------------------------------------------------------------------
Total Assets 124,157 122,780
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Due to custodian -- 126
Investment securities purchased 2,022 3,857
Fund shares redeemed 986 --
Accrued liabilities:
Investment advisory fees 76 73
Administration fees 5 1
Custodian fees 24 11
Trustees' fees 2 2
Other 31 29
- ---------------------------------------------------------------------------------------------
Total Liabilities 3,146 4,099
- ---------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 105,593 104,211
Accumulated net investment income (loss) (244) (24)
Accumulated net realized gain (loss) on investments
and futures 1,503 1,160
Net unrealized appreciation (depreciation) of
investments and futures 14,159 13,334
- ---------------------------------------------------------------------------------------------
Total Net Assets $ 121,011 $ 118,681
- ---------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized): 9,882 9,720
Net Asset Value, redemption and offering price per share $ 12.25 $ 12.21
- ---------------------------------------------------------------------------------------------
Cost of investments $ 105,596 $ 103,683
=============================================================================================
</Table>
See notes to financial statements.
30
<Page>
JPMORGAN FUNDS
Statement of Operations
For the period ended June 30, 2003
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND(a) VALUE FUND(a)
- ---------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ -- $ 1
Dividend 71 269
Dividend income from affiliated investments* 22 27
- ---------------------------------------------------------------------------------------------
Total investment income 93 297
- ---------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 204 194
Administration fees 36 34
Shareholder servicing fees 60 57
Custodian fees 61 63
Registration fees 12 11
Printing and postage 5 5
Professional fees 29 28
Transfer agent fees 11 11
Trustees' fees 6 5
Other 3 3
- ---------------------------------------------------------------------------------------------
Total expenses 427 411
=============================================================================================
Less amounts waived 68 69
Less earnings credits 2 1
Less expense reimbursements 20 20
- ---------------------------------------------------------------------------------------------
Net expenses 337 321
- ---------------------------------------------------------------------------------------------
Net investment income (244) (24)
- ---------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments 1,503 1,081
Futures -- 79
Change in net unrealized appreciation (depreciation) of:
Investments 14,159 13,323
Futures -- 11
- ---------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments and futures 15,662 14,494
Net increase (decrease) in net assets from operations $ 15,418 $ 14,470
- ---------------------------------------------------------------------------------------------
* Includes reimbursements of investment advisory,
administration and shareholder servicing fees: $ 3 $ 4
=============================================================================================
</Table>
(a) Commenced operations on 2/28/03.
See notes to financial statements.
31
<Page>
JPMORGAN FUNDS
Statement of Changes in Net Assets For the periods indicated
(Amounts in thousands)
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP GROWTH FUND SMALL CAP VALUE FUND
--------------------- --------------------
2/28/03* 2/28/03*
THROUGH THROUGH
6/30/03 6/30/03
- -----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ (244) $ (24)
Net realized gain (loss) on investments and futures 1,503 1,160
Change in net unrealized appreciation/depreciation of investments and futures 14,159 13,334
- -----------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 15,418 14,470
- -----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 111,564 109,122
Cost of shares redeemed (5,971) (4,983)
- -----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 105,593 104,139
- -----------------------------------------------------------------------------------------------------------------------------
Voluntary Contribution from Advisor -- 72
- -----------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 121,011 118,681
NET ASSETS:
Beginning of period -- --
- -----------------------------------------------------------------------------------------------------------------------------
End of period $ 121,011 $ 118,681
- -----------------------------------------------------------------------------------------------------------------------------
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ (244) $ (24)
- -----------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
Issued 10,419 10,177
Redeemed (537) (457)
- -----------------------------------------------------------------------------------------------------------------------------
Change in shares 9,882 9,720
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations
32
<Page>
JPMORGAN FUNDS
Notes to Financial Statements
1. ORGANIZATION
J.P. Morgan Fleming Series Trust (the "Trust") was organized on December 24,
2002 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end management
investment company.
The following are two separate portfolios of the Trust (collectively, the
"Funds"):
Fund
JPMorgan Multi-Manager Small Cap Growth Fund ("MMSCGF")
JPMorgan Multi-Manager Small Cap Value Fund ("MMSCVF")
The Funds commenced operations on February 28, 2003. The Funds are
non-diversified, as defined in the 1940 Act.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures
contracts are valued at the last sale price on the exchange on which they are
primarily traded. The value of National Market System equity securities quoted
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, (other than convertible bonds), with a
maturity of 61 days or more held by Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. When valuations are
not readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is reasonably possible
that the estimated values may differ significantly from the values that would
have been used had a ready market for the investments existed, and such
differences could have been material. Short-term investments with 60 days or
less to maturity at time of purchase are valued at amortized cost, which
approximates market value.
33
<Page>
Trading in securities on most foreign exchanges and over-the-counter markets is
normally completed before the close of the domestic market and may also take
place on days when the domestic market is closed. 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 Fund
to unlimited risk of loss.
The Funds may enter into futures contracts only on exchanges or boards of trade.
The exchange or board of trade acts as the counterparty to each futures
transaction; therefore, the Fund's credit risk is limited to failure of the
exchange or board of trade.
As of June 30, 2003, MMSCVF had outstanding futures contracts as listed on the
Fund's Portfolio of Investments.
C. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund is permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income is recorded on the ex-dividend date or when the Fund
first learns of the dividend.
34
<Page>
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses are allocated proportionately among
each of the Funds within the Trust in relation to the net assets of each Fund or
on another reasonable basis.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of 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.
G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature, (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to an agreement approved on January 21,
2003, J.P. Morgan Investment Management Inc. ("JPMIM") acts as the investment
adviser to the Funds. JPMIM (the "Adviser") is an affiliate of JPMorgan Chase
Bank ("JPMCB") and, a wholly owned subsidiary of J.P. Morgan Chase & Co.
("JPMIM") allocates portions of the Funds' assets to the subadvisers and is
responsible for monitoring and coordinating the overall management of the Funds
and for such services is paid a fee. The fee is accrued daily and paid monthly
at an annual rate of 0.85% of each Fund's average daily net assets. Each
subadviser is paid monthly by the Adviser at an annual rate of 0.55% of the
average daily net assets of each Subadviser's portion of the respective Fund.
State Street Research and Management Company, J. & W. Seligman & Co Inc. and UBS
Global Asset Management (New York) Inc. have been engaged by the Adviser to
serve as the initial subadvisers to the MMSCGF. The initial allocation of the
assets of MMSCGF is expected to be approximately 20%, 40% and 40%, respectively.
EARNEST Partners, LLC and ICM Asset Management, Inc. have been engaged by the
Adviser to serve as the initial subadvisers to the MMSCVF. The initial
allocation of the assets of MMSCVF is expected to be approximately 34%, 33% and
the remaining 33% will be allocated to the Adviser. Each subadviser is paid
monthly by the Adviser at an annual rate of 0.55% of the average daily net
assets of each subadviser's portion of the respective Fund. These fees are paid
by the Adviser and are not expenses of the Funds.
35
<Page>
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Adviser has agreed to reimburse its advisory fee from the Funds in an
amount sufficient to offset any doubling up of investment advisory,
administration and shareholder servicing fees related to each Fund's investment
in an affiliated money market fund.
B. DISTRIBUTION FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
C. SHAREHOLDER SERVICING FEE -- The Trust has entered into Shareholder Servicing
Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB") under which
JPMCB provides account administration and personal account maintenance service
to the shareholders. For these services JPMCB will receive a fee from each Fund
that is computed daily and paid monthly at an annual rate of 0.25% of the
average daily net assets of the each Fund.
JPMCB waived fees as outlined in Note 3.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 the uninvested cash balances held by
the custodian. Such earning credits are presented separately in the Statement of
Operations.
E. ADMINISTRATION FEES -- Pursuant to an agreement approved on January 21, 2003,
JPMCB (the "Administrator") provides certain administration services to the
Funds. In consideration of these services, the Administrator receives a fee from
each Fund. The fee is computed daily and paid monthly at an annual rate equal to
0.15% of each Funds' average daily net assets.
The Administrator has contractually agreed to reimburse the Funds to the extent
that total operating expenses (excluding interest, taxes and extraordinary
items) do exceed 1.40% of the average daily net assets of MMSCGF and MMSCVF. The
expense limitation percentage on the Funds is due to expire on April 30, 2004.
BISYS Fund Services, LP ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS received a portion of the fees payable
to JPMCB as Administrator.
36
<Page>
The Administrator waived fees as outlined in Note 3.F. below.
F. WAIVERS AND REIMBURSEMENTS -- For the period ended June 30, 2003, the Funds'
vendors waived fees for each of the Funds as follows (amounts in thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
----------------------------------
SHAREHOLDER CONTRACTUAL
FUND ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS
- ---------------------------------------------------------------
MMSCGF $ 8 $ 60 $ 68 $ 20
MMSCVF 12 57 69 20
- ---------------------------------------------------------------
Total 20 117 137 40
- ---------------------------------------------------------------
</Table>
G. OTHER -- Certain officers of the Trust are officers of JPMorgan or of BISYS
or their subsidiaries.
During the period, certain funds purchased securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate were
affiliated with the Advisor.
For the period ended June 30, 2003, MMSCGF and MMSCVF incurred $1,924 and $50,
respectively, as brokerage commissions with broker/dealers affiliated with
JPMCB.
4. INVESTMENT TRANSACTIONS
For the period ended June 30, 2003, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S.
FUND GOVERNMENT) GOVERNMENT)
- ------------------------------------------------
MMSCGF $ 132,643 $ 33,421
MMSCVF 107,414 11,577
- ------------------------------------------------
</Table>
5. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized appreciation
(depreciation) in value of the investment securities at June 30, 2003, are as
follows (amounts in thousands):
<Table>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
FUND AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------
MMSCGF $ 105,596 $ 14,812 $ (653) $ 14,159
MMSCVF 103,683 14,137 (814) 13,323
- ---------------------------------------------------------------------------
</Table>
37
<Page>
6. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
In the normal course of business the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
Because each subadviser makes investment decisions independently, it is possible
that the stock selection process of the investment managers may not complement
one another. As a result, the Fund's exposure to a given stock, industry or
market capitalization could unintentionally be smaller or larger than intended.
7. SUBSEQUENT EVENTS
On or about September 1, 2003 JPMFAM and Robert Fleming, Inc. ("RFI") will merge
into J.P. Morgan Investment Management Inc. ("JPMIM"). JPMIM, as the surviving
entity, will assume all the rights and obligations of JPMFAM and RFI.
In addition, on or about October 31, 2003, it is expected that JPMIM will change
from being a wholly-owned subsidiary of J.P. Morgan Chase & Co. ("Parent") to
being an indirectly wholly-owned subsidiary of the Parent, with the intermediary
being J.P. Morgan Fleming Asset Management Holdings Inc.
The investment advisory services and personnel providing these services will not
change as a result of the mergers.
38
<Page>
JPMORGAN FUNDS
Financial Highlights
<Table>
<Caption>
MULTI-MANAGER MULTI-MANAGER
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
-------------- --------------
2/28/03* 2/28/03*
THROUGH THROUGH
PER SHARE OPERATING PERFORMANCE: 6/30/03 6/30/03
- -----------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.00 $ 10.00
- -----------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) (0.02) --^
Net gains or losses on securities (both realized and unrealized) 2.27 2.21
-------------- --------------
Total from investment operations 2.25 2.21
-------------- --------------
Net asset value, end of period $ 12.25 $ 12.21
- -----------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 22.50% 22.10%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 121 $ 119
- -----------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- -----------------------------------------------------------------------------------------------------------------
Net expenses 1.40% 1.40%
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss) (1.01%) (0.10%)
- -----------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.77% 1.80%
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss) without waivers and earnings credits (1.38%) (0.50%)
- -----------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE (b) 50% 19%
- -----------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares.
^ Amount is less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
39
<Page>
JPMORGAN FUNDS
Report of Independent Auditors
To the Trustees and Shareholders of
JPMorgan Multi-Manager Small Cap Growth Fund and
JPMorgan Multi-Manager Small Cap Value Fund
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Multi-Manager Small Cap
Growth Fund and JPMorgan Multi-Manager Small Cap Value Fund (the "Funds") at
June 30, 2003, and the results of their operations, the changes in their net
assets and the financial highlights for the period from February 28, 2003
(commencement of operations) through June 30, 2003, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audit of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audit, which included
confirmation of securities at June 30, 2003 by correspondence with the custodian
and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 21, 2003
See notes to financial statements.
40
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMorgan Family of 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
Trust Small Cap Equity Fund
U.S. Equity Fund
U.S. Small Company Fund
U.S. Small Company Opportunities Fund
Value Opportunities Fund
INTERNATIONAL EQUITY FUNDS
Fleming Asia Equity Fund
Fleming Emerging Markets Equity Fund
Fleming European Fund
Fleming International Equity Fund
Fleming International Growth Fund
Fleming International Opportunities Fund
Fleming International Value Fund
Fleming Japan Fund
SPECIALTY FUNDS
Global 50 Fund
Global Healthcare Fund
Market Neutral Fund
TAX AWARE FUNDS
Fleming Tax Aware International Opportunities Fund
Tax Aware Disciplined Equity Fund
Tax Aware Enhanced Income Fund
Tax Aware Large Cap Growth Fund
Tax Aware Large Cap Value Fund
Tax Aware Short-Intermediate Income Fund
Tax Aware U.S. Equity Fund
INCOME FUNDS
Bond Fund
Bond Fund II
Enhanced Income Fund
Fleming Emerging Markets Debt Fund
Global Strategic Income Fund
Short Term Bond Fund
Short Term Bond Fund II
Strategic Income Fund
U.S. Treasury Income Fund
TAX FREE 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
Funds may be registered under separate registrants.
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SEMI-ANNUAL REPORT
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
funds. It is not authorized for distribution to prospective investors in the
funds unless preceded or accompanied by a prospectus.
To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The
prospectus contains more complete information, including charges and expenses.
Please read it carefully before you invest or send money.
JPMorgan Funds Fulfillment Center
393 Manley Street
West Bridgewater, MA 02379-1039
(C) J.P. Morgan Chase & Co., 2003 All Rights Reserved. August 2003
SAN-MULTI-603
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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.
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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
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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) Disclose whether or not there were 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 WAS NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL FOUR MONTHS
(THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT
HAS MATERIALLY AFFECTED OR IS REASONABLY LIKELY TO MATERIALLY AFFECT, THE
REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
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 AND 906 OF THE SARBANES-OXLEY ACT OF 2002
ARE ATTACHED HERETO.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Fleming Series Trust
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By (Signature and Title)* /s/ David Wezdenko
------------------------------------------------------
David Wezdenko, Treasurer
Date August 25, 2003
---------------------------------------------------------------------------
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 August 25, 2003
---------------------------------------------------------------------------
By (Signature and Title)* /s/ George C.W. Gatch
------------------------------------------------------
George C.W. Gatch, President
Date August 25, 2003
---------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.
5