<Page>
-----------------------------
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 811-07342
---------------------------------------------
J.P. Morgan Institutional Funds
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: December 31, 2003
--------------------------
Date of reporting period: January 1, 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 CFR 270.30e-1).
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT JUNE 30 2003
U.S. EQUITY FUNDS
DIVERSIFIED FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Fleming Asset Management is a premier global wealth manager that has
been working with affluent investors for over a hundred years. We have a keen
understanding of the unique needs of the affluent investor's financial needs.
The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the
foundation from which our investment products have been built. Our investment
professionals are based in 44 countries across the globe. This local insight
provides us with a global view of every investment decision we make which we
believe is crucial in light of the ever-increasing rise of globalization in our
market place. JPMorgan Fleming Asset Management is dedicated to working as an
EXPERIENCED PARTNER with your financial advisor to help provide you with the
WEALTH SOLUTIONS your portfolio needs.
CONTENTS
<Table>
President's Letter 1
JPMorgan Diversified Fund
Fund Commentary 2
Portfolio of Investments 5
Financial Statements 24
Notes to Financial Statements 29
Financial Highlights 42
</Table>
HIGHLIGHTS
- - Quicker than expected war sparks relief rally
- - Liquidity and positive Q1 earnings support investor sentiment
- - Economic data remains mixed
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 Diversified Fund
PRESIDENT'S LETTER AUGUST 4, 2003
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Diversified
Fund for the six months 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, 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 11.76% year to date, while the S&P Small Cap 600 Index of small company
stocks was up 12.92%.
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.
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
[SIDENOTE]
[PHOTO]
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.
<Page>
JPMorgan Diversified Fund
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 9/10/1993
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $ 589.7
Primary Benchmark DIVERSIFIED
BENCHMARK
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Diversified Fund, which seeks to provide a high total return from a
diversified portfolio of stocks and bonds, returned 8.80% (Institutional
shares) during the six months ended June 30, 2003. This compares to a return
of 9.05% for the Fund's benchmark, the Diversified Benchmark, which is
comprised of the S&P 500 Index (52%), Russell 2000 Index (3%), MSCI EAFE
Index (10%), and the Citigroup BIG Bond Index (35%).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Security selection contributed positively to performance, while asset
allocation did not. Security selection within the large cap equity portion,
in particular, drove the fund's performance. Strong stock selection within
the pharmaceuticals, health services & systems and finance sectors
contributed the most to performance, while positions in the systems hardware
and energy sectors were the primary detractors. On a stock specific level,
overweight positions in Countrywide Financial, Capital One Financial and PG&E
Corp. aided performance, while an underweight position in Hewlett Packard and
an overweight position in Freddie Mac detracted from it.
In fixed income, security selection and our cross sector allocation decisions
contributed positively to performance over the last six months. Our mortgage
position, along with our high-yield and emerging markets debt allocation,
were positive contributors. The contribution from duration positioning was
roughly flat, year-to-date, while our international non-dollar position
detracted from results. Also detracting from performance was our overweight
position, relative to the benchmark, in U.S. Treasury and U.S. Agency
securities.
Q: HOW WAS THE FUND MANAGED?
A: The Fund seeks to provide a high total return from a diversified portfolio of
stocks and bonds. Assets are generally allocated among the various investment
options to conform with the fund's model allocation of 52% large cap equity,
3% small cap equity, 10% international equity, and 35% fixed income. We base
the actual allocation amongst these asset classes on the relative
attractiveness of each asset class.
Overall, our stock versus bond positioning year-to-date through June favored
stocks. Within equities during this time, our models suggested that we be
overweight small caps, which tend to outperform during an economic recovery.
In addition, attractive valuations led us to overweight international
equities over the past six months. Our quantitative model is still favoring
U.S. small caps against U.S. large caps, based on the point we are now at in
the business cycle and on various risk factors. Toward the end of the second
quarter, we decided to reduce our stock vs. bond overweight to neutral, based
on such concerns as the Fed cutting interest rates by a modest 25 basis
points (bps), when the market was expecting a 50 bps cut. We viewed this move
by the Fed as particularly puzzling because of its rhetoric earlier in June
on the need to tackle the threat of deflation.
2
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Options 0.1%
REITs 0.3%
Utilities 1.9%
Health Services & Systems 2.4%
Telecommunications 2.9%
Energy 3.7%
Pharmaceuticals 6.6%
Industrial Products & Services 8.1%
Technology 9.4%
Short-Term Investments 10.8%
Finance & Insurance 12.1%
Consumer Goods & Services 13.4%
Fixed Income 28.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Microsoft Corp. 1.7%
2. Citigroup, Inc. 1.7%
3. General Electric Co. 1.5%
4. Pfizer, Inc. 1.4%
5. Procter & Gamble Co. 1.1%
6. The Coca-Cola Co. 1.1%
7. Wal-Mart Stores, Inc. 1.0%
8. Verizon Communications, Inc. 1.0%
9. Exxon Mobil Corp. 0.9%
10. Cisco Systems, Inc. 0.9%
</Table>
Top 10 equity holdings comprised 12.3% of the Portfolio's market value of
investments ($79,582 in thousands). As of June 30, 2003, the Fund held 540
equity holdings. Portfolio holdings are subject to change at any time.
3
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (9/10/93)
-----------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 2.10% (5.25%) 0.55% 7.13%
With Sales Charge* (3.80%) (7.09%) (0.63%) 6.49%
-----------------------------------------------------------------------
CLASS B SHARES
Without CDSC 1.93% (5.30%) 0.52% 7.11%
With CDSC** (3.07%) (6.09%) 0.21% 7.11%
-----------------------------------------------------------------------
CLASS C SHARES
Without CDSC 1.91% (5.31%) 0.51% 7.11%
With CDSC*** 0.91% (5.31%) 0.51% 7.11%
-----------------------------------------------------------------------
INSTITUTIONAL SHARES 2.45% (4.93%) 0.88% 7.49%
-----------------------------------------------------------------------
SELECT SHARES 2.22% (5.21%) 0.57% 7.14%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (09/10/93 TO 06/30/03)
<Table>
<Caption>
JPMORGAN DIVERSIFIED FUND (INSTITUTIONAL SHARES) DIVERSIFIED BENCHMARK S&P 500 INDEX LIPPER BALANCED FUNDS INDEX
Sep-93 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Sep-93 $ 2,973,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Oct-93 $ 3,023,838 $ 3,047,100 $ 3,062,100 $ 3,030,900
Nov-93 $ 2,976,062 $ 2,993,471 $ 3,033,010 $ 2,982,406
Dec-93 $ 3,025,464 $ 3,042,863 $ 3,069,709 $ 3,032,510
Jan-94 $ 3,127,422 $ 3,139,626 $ 3,174,080 $ 3,111,962
Feb-94 $ 3,061,434 $ 3,075,892 $ 3,088,062 $ 3,050,967
Mar-94 $ 2,953,365 $ 2,961,469 $ 2,953,423 $ 2,940,217
Apr-94 $ 2,986,443 $ 2,986,641 $ 2,991,226 $ 2,946,686
May-94 $ 3,007,348 $ 3,009,340 $ 3,040,282 $ 2,969,375
Jun-94 $ 2,971,260 $ 2,969,917 $ 2,965,796 $ 2,917,708
Jul-94 $ 3,043,164 $ 3,044,759 $ 3,063,074 $ 2,983,648
Aug-94 $ 3,114,679 $ 3,123,010 $ 3,188,660 $ 3,058,239
Sep-94 $ 3,059,549 $ 3,057,426 $ 3,110,537 $ 3,003,191
Oct-94 $ 3,093,204 $ 3,101,759 $ 3,180,525 $ 3,012,501
Nov-94 $ 3,019,895 $ 3,021,424 $ 3,064,753 $ 2,942,310
Dec-94 $ 3,053,416 $ 3,057,076 $ 3,110,112 $ 2,970,556
Jan-95 $ 3,099,828 $ 3,107,518 $ 3,190,664 $ 3,007,391
Feb-95 $ 3,186,623 $ 3,198,879 $ 3,315,100 $ 3,094,906
Mar-95 $ 3,258,003 $ 3,275,972 $ 3,412,895 $ 3,149,686
Apr-95 $ 3,332,286 $ 3,356,233 $ 3,513,575 $ 3,208,900
May-95 $ 3,440,585 $ 3,470,345 $ 3,654,118 $ 3,311,585
Jun-95 $ 3,487,033 $ 3,519,971 $ 3,738,894 $ 3,370,200
Jul-95 $ 3,570,722 $ 3,606,211 $ 3,863,025 $ 3,441,311
Aug-95 $ 3,586,076 $ 3,613,784 $ 3,872,683 $ 3,468,153
Sep-95 $ 3,678,955 $ 3,713,885 $ 4,036,110 $ 3,551,042
Oct-95 $ 3,675,644 $ 3,709,429 $ 4,021,580 $ 3,542,164
Nov-95 $ 3,797,308 $ 3,829,243 $ 4,198,127 $ 3,652,326
Dec-95 $ 3,872,874 $ 3,904,679 $ 4,279,151 $ 3,709,667
Jan-96 $ 3,950,719 $ 3,984,725 $ 4,424,642 $ 3,776,812
Feb-96 $ 3,967,707 $ 3,985,124 $ 4,465,792 $ 3,778,701
Mar-96 $ 3,987,943 $ 4,005,846 $ 4,508,663 $ 3,793,060
Apr-96 $ 4,015,061 $ 4,044,303 $ 4,574,941 $ 3,818,094
May-96 $ 4,052,401 $ 4,095,261 $ 4,692,974 $ 3,857,038
Jun-96 $ 4,076,310 $ 4,119,013 $ 4,710,807 $ 3,869,767
Jul-96 $ 3,978,071 $ 4,005,329 $ 4,502,590 $ 3,770,314
Aug-96 $ 4,018,647 $ 4,054,995 $ 4,597,594 $ 3,829,885
Sep-96 $ 4,162,916 $ 4,213,950 $ 4,856,439 $ 3,971,973
Oct-96 $ 4,244,093 $ 4,301,179 $ 4,990,477 $ 4,056,179
Nov-96 $ 4,452,478 $ 4,517,529 $ 5,367,757 $ 4,245,197
Dec-96 $ 4,402,611 $ 4,454,735 $ 5,261,475 $ 4,194,255
Jan-97 $ 4,512,676 $ 4,592,386 $ 5,590,317 $ 4,323,857
Feb-97 $ 4,538,398 $ 4,617,185 $ 5,633,922 $ 4,339,855
Mar-97 $ 4,424,484 $ 4,497,138 $ 5,402,368 $ 4,213,566
Apr-97 $ 4,556,776 $ 4,662,183 $ 5,724,889 $ 4,340,394
May-97 $ 4,766,388 $ 4,871,049 $ 6,073,535 $ 4,518,350
Jun-97 $ 4,920,819 $ 5,038,126 $ 6,345,629 $ 4,667,908
Jul-97 $ 5,178,178 $ 5,309,681 $ 6,850,741 $ 4,933,978
Aug-97 $ 4,997,977 $ 5,103,134 $ 6,467,100 $ 4,777,571
Sep-97 $ 5,171,407 $ 5,314,404 $ 6,821,497 $ 4,968,196
Oct-97 $ 5,069,530 $ 5,200,676 $ 6,593,659 $ 4,877,775
Nov-97 $ 5,171,428 $ 5,328,092 $ 6,898,945 $ 4,967,526
Dec-97 $ 5,234,519 $ 5,402,153 $ 7,017,607 $ 5,046,013
Jan-98 $ 5,311,467 $ 5,479,944 $ 7,095,502 $ 5,081,840
Feb-98 $ 5,522,332 $ 5,731,473 $ 7,607,088 $ 5,283,589
Mar-98 $ 5,680,271 $ 5,916,600 $ 7,996,571 $ 5,445,267
Apr-98 $ 5,737,641 $ 5,963,933 $ 8,077,336 $ 5,483,383
May-98 $ 5,721,576 $ 5,918,010 $ 7,938,406 $ 5,428,001
Jun-98 $ 5,827,997 $ 6,064,777 $ 8,260,705 $ 5,527,876
Jul-98 $ 5,799,440 $ 6,027,176 $ 8,173,142 $ 5,463,200
Aug-98 $ 5,293,729 $ 5,496,784 $ 6,991,306 $ 4,992,272
Sep-98 $ 5,471,069 $ 5,721,603 $ 7,439,448 $ 5,207,939
Oct-98 $ 5,739,698 $ 6,021,415 $ 8,044,275 $ 5,402,716
Nov-98 $ 5,987,653 $ 6,262,873 $ 8,531,758 $ 5,600,455
Dec-98 $ 6,208,598 $ 6,493,973 $ 9,023,188 $ 5,807,112
Jan-99 $ 6,316,006 $ 6,652,426 $ 9,400,357 $ 5,900,025
Feb-99 $ 6,124,000 $ 6,472,145 $ 9,108,006 $ 5,758,425
Mar-99 $ 6,307,107 $ 6,650,129 $ 9,472,326 $ 5,900,658
Apr-99 $ 6,549,300 $ 6,836,333 $ 9,838,905 $ 6,094,200
May-99 $ 6,415,040 $ 6,698,239 $ 9,606,707 $ 6,000,349
Jun-99 $ 6,631,227 $ 6,918,611 $ 10,139,879 $ 6,165,959
Jul-99 $ 6,545,684 $ 6,811,373 $ 9,823,515 $ 6,050,655
Aug-99 $ 6,522,774 $ 6,786,852 $ 9,774,397 $ 5,987,123
Sep-99 $ 6,468,635 $ 6,725,091 $ 9,506,579 $ 5,910,488
Oct-99 $ 6,672,397 $ 6,979,300 $ 10,108,345 $ 6,081,892
Nov-99 $ 6,803,843 $ 7,089,573 $ 10,313,545 $ 6,147,577
Dec-99 $ 7,093,006 $ 7,383,081 $ 10,921,013 $ 6,329,545
Jan-00 $ 6,866,030 $ 7,132,056 $ 10,372,778 $ 6,170,673
Feb-00 $ 6,951,169 $ 7,145,607 $ 10,176,732 $ 6,155,864
Mar-00 $ 7,282,045 $ 7,555,051 $ 11,172,017 $ 6,518,444
Apr-00 $ 7,035,912 $ 7,375,240 $ 10,835,739 $ 6,399,157
May-00 $ 6,879,714 $ 7,263,137 $ 10,613,606 $ 6,339,004
Jun-00 $ 7,088,170 $ 7,457,063 $ 10,874,701 $ 6,440,429
Jul-00 $ 7,007,364 $ 7,381,746 $ 10,705,056 $ 6,423,039
Aug-00 $ 7,273,644 $ 7,680,707 $ 11,369,840 $ 6,709,507
Sep-00 $ 7,016,885 $ 7,444,141 $ 10,769,512 $ 6,568,607
Oct-00 $ 6,988,115 $ 7,416,598 $ 10,724,280 $ 6,562,696
Nov-00 $ 6,679,241 $ 7,104,359 $ 9,879,207 $ 6,324,470
Dec-00 $ 6,811,490 $ 7,213,056 $ 9,927,615 $ 6,481,949
Jan-01 $ 7,005,617 $ 7,398,431 $ 10,280,045 $ 6,619,366
Feb-01 $ 6,612,602 $ 7,000,396 $ 9,342,505 $ 6,362,535
Mar-01 $ 6,338,840 $ 6,725,980 $ 8,750,190 $ 6,157,025
Apr-01 $ 6,648,810 $ 7,049,500 $ 9,430,080 $ 6,415,620
May-01 $ 6,703,995 $ 7,070,648 $ 9,493,262 $ 6,472,719
Jun-01 $ 6,614,161 $ 6,967,417 $ 9,262,575 $ 6,373,686
Jul-01 $ 6,584,397 $ 6,963,933 $ 9,171,802 $ 6,369,225
Aug-01 $ 6,373,697 $ 6,739,694 $ 8,597,647 $ 6,187,702
Sep-01 $ 5,982,989 $ 6,390,578 $ 7,903,817 $ 5,890,074
Oct-01 $ 6,128,376 $ 6,526,698 $ 8,054,780 $ 5,988,438
Nov-01 $ 6,393,734 $ 6,794,945 $ 8,672,582 $ 6,226,778
Dec-01 $ 6,434,654 $ 6,828,240 $ 8,748,901 $ 6,271,610
Jan-02 $ 6,332,987 $ 6,756,544 $ 8,621,167 $ 6,216,420
Feb-02 $ 6,277,257 $ 6,710,599 $ 8,454,778 $ 6,174,149
Mar-02 $ 6,430,422 $ 6,855,548 $ 8,772,678 $ 6,309,362
Apr-02 $ 6,256,800 $ 6,691,015 $ 8,241,053 $ 6,157,938
May-02 $ 6,241,158 $ 6,684,993 $ 8,180,070 $ 6,154,859
Jun-02 $ 5,944,703 $ 6,418,262 $ 7,597,649 $ 5,892,046
Jul-02 $ 5,620,717 $ 6,092,214 $ 7,005,032 $ 5,589,784
Aug-02 $ 5,682,545 $ 6,148,262 $ 7,051,265 $ 5,647,359
Sep-02 $ 5,293,290 $ 5,756,003 $ 6,284,793 $ 5,310,212
Oct-02 $ 5,552,132 $ 6,046,681 $ 6,837,855 $ 5,531,648
Nov-02 $ 5,774,773 $ 6,275,246 $ 7,240,604 $ 5,756,232
Dec-02 $ 5,598,065 $ 6,097,657 $ 6,815,581 $ 5,600,814
Jan-03 $ 5,488,903 $ 5,985,460 $ 6,637,012 $ 5,592,413
Feb-03 $ 5,447,187 $ 5,949,547 $ 6,537,457 $ 5,550,470
Mar-03 $ 5,458,626 $ 5,967,991 $ 6,600,871 $ 5,573,227
Apr-03 $ 5,782,323 $ 6,317,715 $ 7,144,782 $ 5,874,738
May-03 $ 6,043,683 $ 6,590,008 $ 7,521,312 $ 6,134,402
Jun-03 $ 6,088,540 $ 6,649,318 $ 7,617,585 $ 6,181,023
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 9/10/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional Diversified Fund, which are similar to the expenses of the
Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
Diversified Fund, which are similar to the expenses of the Select Shares. The
returns presented prior to 12/15/93 are based on the historical expenses of the
J.P. Morgan Institutional Diversified Fund, which are lower than the expenses of
the Select Shares.
Returns for the Class A, B, and C Shares prior to 3/24/03 (offering date of the
Class A, B, and C Shares) are calculated using the historical expenses of the
Select Shares, which are lower than the expenses of the Class A, B, and C
Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Diversified Fund, Diversified Benchmark,
S&P 500 Index, and Lipper Balanced Funds Index from September 10, 1993 to June
30, 2003. The performance of the Fund assumes reinvestment of all dividend and
capital gains and does not include a sales charge. The performance of the
indices reflects an initial investment at the end of the month following the
Fund's inception. The performance of the indices does not include a sales charge
and has been adjusted to reflect reinvestment of all dividends and capital gains
of the securities included in the benchmark. The Diversified Benchmark comprises
of 52% of the S&P 500 Index, 3% of the Russell 2000 Index, 35% of the Citigroup
Broad Investment Grade Bond Index, and 10% of the MSCI EAFE Index. The S&P 500
Index is an unmanaged broad-based index that replicates the U.S. stock markets.
The Lipper Balanced Funds Index represents the total returns of the funds in the
indicated category, as defined by Lipper, Inc. Investors cannot invest directly
in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also, all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
4
<Page>
JPMorgan Diversified Fund
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2003
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 89.1%
- -------------------------------------------------------------------------
COMMON STOCKS -- 60.8%
AEROSPACE -- 1.0%
1 Goodrich Corp. $ 17
20 Lockheed Martin Corp. 928
1 Northrop Grumman Corp. 43
44 Raytheon Co. 1,457
20 The Boeing Co. (l) 673
5 Triumph Group, Inc. * 137
46 United Technologies Corp. 3,263
---------------------------------------------------------------
6,518
---------------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.2%
20 Imperial Tobacco Group PLC
(United Kingdom) 362
55 Monsanto Co. 1,188
---------------------------------------------------------------
1,550
---------------------------------------------------------------
AIRLINES -- 0.0% ^
4 Northwest Airlines Corp. * (l) 40
APPAREL -- 0.6%
1 Columbia Sportswear Co. * 76
49 Jones Apparel Group, Inc. * 1,421
44 Nike, Inc., Class B 2,373
1 Quiksilver, Inc. * 19
---------------------------------------------------------------
3,889
---------------------------------------------------------------
AUTOMOTIVE -- 0.9%
2 American Axle & Manufacturing
Holdings, Inc. * 52
12 Bayerische Motoren Werke AG (Germany) 481
5 DaimlerChrysler AG (Germany) 164
1 Dana Corp. 14
16 Ford Motor Co. (l) 174
8 General Motors Corp. 298
16 Harley-Davidson, Inc. 622
31 Honda Motor Co., LTD (Japan) 1,182
18 Johnson Controls, Inc. 1,499
13 Lear Corp. * 612
5 Lithia Motors, Inc., Class A * 87
4 Navistar International Corp. * 120
2 Oshkosh Truck Corp. 111
2 Superior Industries International, Inc. 76
38 TI Automotive LTD (United Kingdom),
Class A (d) (f) * $ 0
10 Wabash National Corp. * 139
---------------------------------------------------------------
5,631
---------------------------------------------------------------
BANKING -- 4.1%
2 Allegiant Bancorp, Inc. 48
1 Astoria Financial Corp. 39
10 Bank of America Corp. 774
3 Bank of Hawaii Corp. 109
3 Banner Corp. 58
77 Barclays PLC (United Kingdom) 570
35 BNP Paribas (France) 1,767
2 City National Corp. 97
44 Commonwealth Bank of Australia (Australia) 864
2 Community Bank System, Inc. 60
2 Cullen/Frost Bankers, Inc. 72
75 DBS Group Holdings LTD (Singapore) 439
8 Deutsche Bank AG (Germany) 516
4 Doral Financial Corp. (Puerto Rico) 162
1 First Niagara Financial Group, Inc. 15
1 First State Bancorporation 30
17 GreenPoint Financial Corp. 886
12 Hibernia Corp., Class A 218
159 HSBC Holdings PLC (United Kingdom) 1,879
6 Irwin Financial Corp. 143
36 Mellon Financial Corp. 1,003
0^^ Mitsubishi Tokyo Financial Group, Inc. (Japan) 344
12 National Commerce Financial Corp. 275
21 NetBank, Inc. 273
19 North Fork Bancorporation, Inc. 644
4 R & G Financial Corp. (Puerto Rico), Class B 118
15 Royal Bank of Scotland Group PLC
(United Kingdom) 422
1 Santander BanCorp (Puerto Rico) 20
2 Silicon Valley Bancshares * 52
17 SouthTrust Corp. 452
1 Southwest Bancorp of Texas, Inc. * 44
4 Sterling Bancshares, Inc. 55
35 SunTrust Banks, Inc. 2,086
1 Taylor Capital Group, Inc. 20
203 U.S. Bancorp 4,974
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
BANKING -- CONTINUED
28 UBS AG (Switzerland) $ 1,532
319 UniCredito Italiano SPA (Italy) 1,521
83 Wachovia Corp. 3,317
2 Waypoint Financial Corp. 30
4 Wells Fargo & Co. 212
5 West Coast Bancorp 86
4 Westamerica Bancorporation 168
---------------------------------------------------------------
26,394
---------------------------------------------------------------
BIOTECHNOLOGY -- 0.7%
49 Amgen, Inc. * 3,269
1 Charles River Laboratories International, Inc. * 38
1 Genentech, Inc. * 76
6 Gilead Sciences, Inc. * 336
23 Human Genome Sciences, Inc. * 298
1 Integra LifeSciences Holdings Corp. * 18
15 MedImmune, Inc. * 534
3 Protein Design Labs, Inc. * 44
3 Telik, Inc. * 54
---------------------------------------------------------------
4,667
---------------------------------------------------------------
BROADCASTING/CABLE -- 0.1%
38 British Sky Broadcasting PLC
(United Kingdom) * 425
BUSINESS SERVICES -- 0.9%
19 Accenture LTD (Bermuda), Class A * 347
6 Alliance Data Systems Corp. * 141
30 Cendant Corp. * 553
6 Cintas Corp. 195
3 Cognizant Technology Solutions Corp. * 73
19 Computer Sciences Corp. * 740
12 Concord EFS, Inc. * 177
76 First Data Corp. 3,146
2 G&K Services, Inc., Class A 71
157 Hays PLC (United Kingdom) 249
13 Spherion Corp. * 92
---------------------------------------------------------------
5,784
---------------------------------------------------------------
CHEMICALS -- 0.8%
23 Air Products & Chemicals, Inc. $ 961
11 Akzo Nobel NV (The Netherlands) 302
4 Cytec Industries, Inc. * 135
28 Eastman Chemical Co. 899
6 Lonza Group AG (Switzerland) 283
8 Millennium Chemicals, Inc. 74
178 Mitsubishi Chemical Corp. (Japan) 363
20 Praxair, Inc. 1,221
82 Reliance Industries LTD (India), GDR, # 1,149
6 Solutia, Inc. 14
5 Symyx Technologies, Inc. * 77
---------------------------------------------------------------
5,478
---------------------------------------------------------------
COMPUTER NETWORKS -- 1.0%
1 Black Box Corp. 40
334 Cisco Systems, Inc. * 5,571
5 Foundry Networks, Inc. * 69
32 Juniper Networks, Inc. * 398
8 McDATA Corp., Class A * 120
3 Secure Computing Corp. * 28
---------------------------------------------------------------
6,226
---------------------------------------------------------------
COMPUTER SOFTWARE -- 2.2%
3 Affiliated Computer Services, Inc., Class A * 119
2 Ascential Software Corp. * 26
11 Borland Software Corp. * 107
1 Business Objects S.A. (France), ADR * 31
1 CACI International, Inc., Class A * 38
1 Cognos, Inc. (Canada) * 38
7 CompuCom Systems, Inc. * 31
2 Computer Programs & Systems, Inc. * 44
3 Documentum, Inc. * 54
10 Electronic Arts, Inc. * 703
1 Hyperion Solutions Corp. * 41
5 Informatica Corp. * 31
3 JDA Software Group, Inc. * 38
6 Legato Systems, Inc. * 52
1 Manhattan Associates, Inc. * 37
3 ManTech International Corp., Class A * 49
436 Microsoft Corp. 11,163
5 NetIQ Corp. * 75
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
COMPUTER SOFTWARE -- CONTINUED
38 Oracle Corp. * $ 454
1 Progress Software Corp. * 27
8 SAP AG (Germany), ADR * 221
2 Serena Software, Inc. * 31
81 Siebel Systems, Inc. * 775
2 Take-Two Interactive Software, Inc. * 54
3 THQ, Inc. * 58
11 TIBCO Software, Inc. * 55
7 Tier Technologies, Inc., Class B * 50
4 webMethods, Inc. * 32
---------------------------------------------------------------
14,434
---------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 2.2%
111 Dell Computer Corp. * 3,535
87 EMC Corp. * 907
226 Fujitsu LTD (Japan) 926
42 Hewlett-Packard Co. 901
1 Hutchinson Technology, Inc. * 39
2 Imation Corp. 78
62 International Business Machines Corp. 5,113
8 LogicaCMG PLC (United Kingdom) 19
33 Maxtor Corp. * 247
20 NCR Corp. * 512
25 Seagate Technology (Cayman Islands) * 440
251 Sun Microsystems, Inc. * 1,153
7 Synaptics, Inc. * 98
14 Western Digital Corp. * 139
2 Zebra Technologies Corp., Class A * 115
---------------------------------------------------------------
14,222
---------------------------------------------------------------
CONSTRUCTION -- 0.1%
9 Champion Enterprises, Inc. * 46
4 EMCOR Group, Inc. * 209
5 Technip-Coflexip SA (France) 416
---------------------------------------------------------------
671
---------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.2%
8 ElkCorp 177
5 Lafarge SA (France) 308
37 Masco Corp. 871
6 Universal Forest Products, Inc. 127
---------------------------------------------------------------
1,483
---------------------------------------------------------------
CONSUMER PRODUCTS -- 2.5%
3 Alberto-Culver Co., Class B $ 163
104 Altria Group, Inc. 4,746
3 Black & Decker Corp. 135
23 British American Tobacco PLC
(United Kingdom) 263
5 Fortune Brands, Inc. 261
81 Procter & Gamble Co. 7,240
50 Reckitt Benckiser PLC (United Kingdom) 921
80 The Gillette Co. 2,560
3 WD-40 Co. 73
---------------------------------------------------------------
16,362
---------------------------------------------------------------
CONSUMER SERVICES -- 0.1%
45 Securitas AB (Sweden), B Shares 460
DISTRIBUTION -- 0.1%
5 Advanced Marketing Services, Inc. 60
71 Mitsubishi Corp. (Japan) 493
---------------------------------------------------------------
553
---------------------------------------------------------------
DIVERSIFIED -- 2.1%
343 General Electric Co. 9,824
170 Tyco International LTD (Bermuda) 3,227
438 Wharf Holdings LTD (Hong Kong) 843
---------------------------------------------------------------
13,894
---------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.5%
4 Coherent, Inc. * 100
10 Encore Wire Corp. * 93
6 Integrated Electrical Services, Inc. * 40
17 Koninklijke Philips Electronics NV
(The Netherlands) 326
12 Kyocera Corp. (Japan) 669
152 Minebea Co., LTD (Japan) 603
4 Rohm Co., LTD (Japan) 458
2 Samsung Electronics Co., LTD (South Korea) 674
18 Sony Corp. (Japan) 507
---------------------------------------------------------------
3,470
---------------------------------------------------------------
ENGINEERING SERVICES -- 0.0% ^
2 Chicago Bridge & Iron Co., NV - New York
Registered Shares (The Netherlands) 49
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.3%
29 Carnival Corp. $ 941
28 Carnival PLC (United Kingdom) 858
2 Macrovision Corp. * 38
4 Penn National Gaming, Inc. * 80
2 WMS Industries, Inc. * (l) 31
---------------------------------------------------------------
1,948
---------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.3%
27 Veolia Environnement (France) 561
1 Waste Connections, Inc. * 21
65 Waste Management, Inc. 1,559
---------------------------------------------------------------
2,141
---------------------------------------------------------------
FINANCIAL SERVICES -- 5.6%
10 Aiful Corp. (Japan) 409
4 American Capital Strategies LTD 106
4 American Home Mortgage Holdings, Inc. 83
69 Capital One Financial Corp. 3,374
36 CIT Group, Inc. 885
256 Citigroup, Inc. 10,947
46 Countrywide Financial Corp. 3,176
151 Daiwa Securities Group, Inc. (Japan) 868
68 E*TRADE Group, Inc. * 579
10 eSpeed, Inc., Class A * 206
33 Fannie Mae 2,239
3 Farmer Mac, Class C * 63
65 Freddie Mac 3,301
7 Friedman, Billings, Ramsey Group, Inc.,
Class A 89
24 Goldman Sachs Group, Inc. 2,040
39 Grupo Financiero BBVA Bancomer
(Mexico), ADR * 659
21 Man Group PLC (United Kingdom) 418
14 MBNA Corp. 292
12 Merrill Lynch & Co., Inc. 555
91 Morgan Stanley 3,889
1 Portfolio Recovery Associates, Inc. * (l) 44
30 Washington Mutual, Inc. 1,218
---------------------------------------------------------------
35,440
---------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.2%
2 Adolph Coors Co., Class B $ 78
22 Archer-Daniels-Midland Co. 286
9 Heineken Holding NV
(The Netherlands), Class A 250
23 Interbrew SA (Belgium) 520
5 Kellogg Co. 186
17 Kraft Foods, Inc., Class A 540
46 PepsiCo, Inc. 2,043
2 Robert Mondavi Corp., Class A * 53
20 Sysco Corp. 601
256 Tesco PLC (United Kingdom) 927
155 The Coca-Cola Co. 7,211
3 The J.M. Smucker Co. 131
196 Unilever PLC (United Kingdom) 1,561
---------------------------------------------------------------
14,387
---------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 2.4%
3 Accredo Health, Inc. * 63
37 Aetna, Inc. 2,221
44 Amersham PLC (United Kingdom) 329
23 Anthem, Inc. * 1,774
15 Baxter International, Inc. 377
2 Becton, Dickinson & Co. 66
3 Boston Scientific Corp. * 171
5 Centene Corp. * 187
53 CIGNA Corp. 2,509
7 Conceptus, Inc. * (l) 105
8 CTI Molecular Imaging, Inc. * (l) 158
83 Guidant Corp. 3,689
3 HCA, Inc. 106
4 Inveresk Research Group, Inc. * 77
2 LifePoint Hospitals, Inc. * 46
23 Medtronic, Inc. 1,087
9 Omnicare, Inc. 317
1 Pediatrix Medical Group, Inc. * 29
18 St. Jude Medical, Inc. * 1,035
4 TECHNE Corp. * 120
6 Tenet Healthcare Corp. * 72
6 Therasense, Inc. * 58
5 United Surgical Partners International, Inc. * 116
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
9 UnitedHealth Group, Inc. $ 462
1 Varian Medical Systems, Inc. * 40
2 WellPoint Health Networks, Inc. * 152
---------------------------------------------------------------
15,366
---------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.0% ^
5 La Quinta Corp. * 23
INDUSTRIAL COMPONENTS -- 0.0% ^
2 SPX Corp. * 66
INSURANCE -- 2.6%
95 Aegon NV (The Netherlands) 949
4 AFLAC, Inc. 129
43 AMBAC Financial Group, Inc. 2,837
36 American International Group, Inc. 1,985
67 AON Corp. 1,618
1 Hartford Financial Services Group, Inc. 65
3 HCC Insurance Holdings, Inc. 101
28 ING Groep NV (The Netherlands) 480
258 Legal & General Group PLC (United Kingdom) 357
28 MBIA, Inc. 1,350
10 Protective Life Corp. 262
147 Prudential PLC (United Kingdom) 890
2 StanCorp Financial Group, Inc. 115
7 Swiss Reinsurance Co. (Switzerland) 386
51 The Allstate Corp. 1,822
15 Torchmark Corp. 562
130 Travelers Property Casualty Corp., Class A 2,074
4 W.R. Berkley Corp. 192
4 Zurich Financial Services AG (Switzerland) 476
---------------------------------------------------------------
16,650
---------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.3%
7 Ameritrade Holding Corp. * 54
11 Ariba, Inc. * 32
19 eBay, Inc. * 2,027
2 Internet Security Systems, Inc. * 24
2 Kana Software, Inc. * 6
1 LendingTree, Inc. * 32
2 Verity, Inc. * 29
---------------------------------------------------------------
2,204
---------------------------------------------------------------
LEASING -- 0.0% ^
3 GATX Corp. $ 49
MACHINERY & ENGINEERING EQUIPMENT -- 0.5%
8 Applied Industrial Technologies, Inc. 173
1 Deere & Co. 23
3 IDEX Corp. 97
29 Ingersoll-Rand Co., LTD (Bermuda), Class A 1,368
5 Kennametal, Inc. 152
323 Kubota Corp. (Japan) 877
3 Nordson Corp. 62
7 Regal-Beloit Corp. 130
18 UNOVA, Inc. * 203
---------------------------------------------------------------
3,085
---------------------------------------------------------------
MANUFACTURING -- 0.6%
6 3M Co. 800
76 Assa Abloy AB (Sweden), Class B 734
69 BBA Group PLC (United Kingdom) 237
0^^ Eaton Corp. 31
62 Honeywell International, Inc. 1,656
4 Joy Global, Inc. * 63
5 Timken Co. 96
3 Wilson Greatbatch Technologies, Inc. * 109
---------------------------------------------------------------
3,726
---------------------------------------------------------------
METALS/MINING -- 0.6%
87 Alcoa, Inc. 2,212
5 Arch Coal, Inc. 104
7 Mueller Industries, Inc. * 194
10 Pechiney SA (France), A Shares 377
6 Precision Castparts Corp. 180
5 Valmont Industries, Inc. 90
249 WMC Resources LTD (Australia) * 587
---------------------------------------------------------------
3,744
---------------------------------------------------------------
MULTI-MEDIA -- 2.4%
150 AOL Time Warner, Inc. * 2,405
31 Comcast Corp., Class A * 922
60 Comcast Corp., Special Class A * 1,741
16 Fox Entertainment Group, Inc., Class A * 458
3 Hearst-Argyle Television, Inc. * 79
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
<Table>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
MULTI-MEDIA -- CONTINUTED
13 Insight Communications Co., Inc. * $ 166
10 Journal Register Co. * 184
23 Liberty Media Corp., Class A * 266
152 News Corp., LTD (Australia) 936
24 Sirius Satellite Radio, Inc. * (l) 40
9 The E.W. Scripps Co., Class A 781
32 The Walt Disney Co. 634
25 Tribune Co. 1,203
123 Viacom, Inc., Class B * 5,389
19 Wolters Kluwer NV (The Netherlands) 229
---------------------------------------------------------------
15,433
---------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.2%
6 Global Imaging Systems, Inc. * 141
6 Herman Miller, Inc. 122
8 Pitney Bowes, Inc. 307
59 Ricoh Co., LTD (Japan) 964
---------------------------------------------------------------
1,534
---------------------------------------------------------------
OIL & GAS -- 3.7%
46 Anadarko Petroleum Corp. 2,033
31 Baker Hughes, Inc. 1,054
30 ChevronTexaco Corp. 2,201
62 ConocoPhillips 3,394
24 Cooper Cameron Corp. * 1,205
16 Devon Energy Corp. 855
7 Diamond Offshore Drilling, Inc. (l) 136
4 Energen Corp. 139
29 ENI-Ente Nazionale Idrocarburi SPA (Italy) 437
1 ENSCO International, Inc. 32
168 Exxon Mobil Corp. 6,039
15 Global Industries LTD * 71
7 Gulf Island Fabrication, Inc. * 119
3 Lone Star Technologies * 57
15 LUKOIL (Russia), ADR 1,170
4 Maverick Tube Corp. * 84
3 ONEOK, Inc. 60
2 Patterson-UTI Energy, Inc. * 52
6 Premcor, Inc. * 125
10 Repsol YPF SA (Spain) 154
48 Rowan Companies, Inc. * 1,064
48 Shell Transport & Trading Co., PLC
(United Kingdom) $ 320
6 Spinnaker Exploration Co. * 151
4 Stone Energy Corp. * 186
13 Total SA (France) 1,966
16 Transocean, Inc. * 347
6 Valero Energy Corp. 222
4 W-H Energy Services, Inc. * 73
1 Westport Resources Corp. * 18
---------------------------------------------------------------
23,764
---------------------------------------------------------------
PACKAGING -- 0.1%
37 Crown Holdings, Inc. * 263
7 Silgan Holdings, Inc. * 217
---------------------------------------------------------------
480
---------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.1%
6 Aracruz Celulose SA (Brazil), ADR (l) 118
11 Bowater, Inc. 419
12 Caraustar Industries, Inc. * 96
2 Domtar, Inc. (Canada) 18
16 Georgia-Pacific Corp. 303
---------------------------------------------------------------
954
---------------------------------------------------------------
PHARMACEUTICALS -- 6.0%
51 Abbott Laboratories 2,249
14 Adolor Corp. * 167
7 Amylin Pharmaceuticals, Inc. * 157
2 Andrx Corp. * 38
31 AstraZeneca PLC (United Kingdom) 1,250
11 AtheroGenics, Inc. * 168
1 Atrix Laboratories, Inc. * (l) 22
99 Bristol-Myers Squibb Co. 2,680
49 Chugai Pharmaceutical Co., LTD (Japan) 558
50 Eli Lilly & Co. 3,447
47 Forest Laboratories, Inc. * 2,591
14 Fujisawa Pharmaceutical Co., LTD (Japan) 262
33 GlaxoSmithKline PLC (United Kingdom) 668
53 Johnson & Johnson 2,759
5 Ligand Pharmaceuticals, Inc., Class B * (l) 61
83 Merck & Co., Inc. 5,049
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
PHARMACEUTICALS -- CONTINUTED
53 Mitsubishi Pharma Corp. (Japan) $ 413
2 NBTY, Inc. * 39
1 Neurocrine Biosciences, Inc. * 65
30 Novartis AG (Switzerland) 1,178
258 Pfizer, Inc. 8,815
17 Ranbaxy Laboratories LTD (India), GDR 291
8 Roche Holding AG (Switzerland) 626
7 SangStat Medical Corp. * 88
13 Sanofi-Synthelabo SA (France) 771
14 Schering AG (Germany) 666
2 Sepracor, Inc. * 34
2 Taro Pharmaceutical Industries LTD (Israel) * 108
58 Wyeth 2,637
---------------------------------------------------------------
37,857
---------------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT -- 0.0% ^
5 Eastman Kodak Co. 134
PIPELINES -- 0.1%
43 Dynegy, Inc., Class A * 181
27 El Paso Corp. 215
---------------------------------------------------------------
396
---------------------------------------------------------------
PRINTING & PUBLISHING -- 0.0% ^
2 The McGraw-Hill Companies, Inc. 143
REAL ESTATE -- 0.0% ^
19 Sun Hung Kai Properties LTD (Hong Kong) 96
REAL ESTATE INVESTMENT TRUST -- 0.3%
3 Annaly Mortgage Management, Inc. 56
8 CarrAmerica Realty Corp. 211
1 Centerpoint Properties Corp. 67
1 Chelsea Property Group, Inc. 51
3 Cousins Properties, Inc. 76
3 Developers Diversified Realty Corp. 87
2 Equity Office Properties Trust 54
1 General Growth Properties, Inc. 90
5 Highwoods Properties, Inc. 106
2 Lexington Corporate Properties Trust 28
4 MFA Mortgage Investments, Inc. 45
2 Post Properties, Inc. $ 46
6 Prentiss Properties Trust 165
13 ProLogis 364
1 Regency Centers Corp. 33
0^^ The Mills Corp. 10
6 The Rouse Co. 233
7 United Dominion Realty Trust, Inc. 119
2 Ventas, Inc. 37
3 Weingarten Realty Investors 130
---------------------------------------------------------------
2,008
---------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.4%
16 Darden Restaurants, Inc. 297
4 Landry's Restaurants, Inc. 88
9 McDonald's Corp. 188
1 O'Charleys, Inc. * 13
2 The Cheesecake Factory, Inc. * 58
7 Wendy's International, Inc. 209
57 Yum! Brands, Inc. * 1,692
---------------------------------------------------------------
2,545
---------------------------------------------------------------
RETAILING -- 3.6%
36 Abercrombie & Fitch Co., Class A * 1,028
3 AnnTaylor Stores Corp. * 88
21 Bed Bath & Beyond, Inc. * 799
6 Big 5 Sporting Goods Corp. * 72
6 BJ's Wholesale Club, Inc. * 90
2 Chico's FAS, Inc. * 38
33 Compagnie Financiere Richemont AG
(Switzerland), Class A 533
6 CSK Auto Corp. * 87
73 CVS Corp. 2,058
149 Dixons Group PLC (United Kingdom) 325
16 Family Dollar Stores 623
10 Fast Retailing Co., LTD (Japan) 312
4 Federated Department Stores, Inc. 136
2 Fred's, Inc. 78
124 Home Depot, Inc. 4,107
1 Kirkland's, Inc. * 21
29 Kohl's Corp. * 1,494
4 Kroger Co. * 68
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
RETAILING -- CONTINUED
5 Linens 'N Things, Inc. * $ 115
31 Lowe's Companies, Inc. 1,327
67 Marks & Spencer Group PLC
(United Kingdom) 350
2 Michaels Stores, Inc. 86
2 Pacific Sunwear of California, Inc. * 51
7 Pier 1 Imports, Inc. 134
3 School Specialty, Inc. * 86
4 Shoe Carnival, Inc. * 56
48 Target Corp. 1,826
33 The Gap, Inc. (l) 615
119 Wal-Mart Stores, Inc. 6,396
14 Walgreen Co. 433
---------------------------------------------------------------
23,432
---------------------------------------------------------------
SEMI-CONDUCTORS -- 1.6%
79 Altera Corp. * 1,294
22 Analog Devices, Inc. * 783
32 Applied Materials, Inc. * 512
5 Applied Micro Circuits Corp. * 30
4 ATMI, Inc. * 109
13 ChipPAC, Inc., Class A * 99
2 Cree, Inc. * (l) 25
2 Integrated Circuit Systems, Inc. * 75
199 Intel Corp. 4,136
7 Intersil Corp., Class A * 181
6 Lam Research Corp. * 109
17 Lattice Semiconductor Corp. * 141
30 Maxim Integrated Products, Inc. 1,022
12 Novellus Systems, Inc. * 436
7 QLogic Corp. * (l) 358
2 Rambus, Inc. * 30
9 Semtech Corp. * 129
8 Skyworks Solutions, Inc. * (l) 56
2 Varian Semiconductor Equipment
Associates, Inc. * 66
31 Xilinx, Inc. * 785
---------------------------------------------------------------
10,376
---------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.6%
17 Burlington Northern Santa Fe Corp. $ 483
8 CSX Corp. 244
30 FedEx Corp. 1,851
6 Norfolk Southern Corp. 121
8 Union Pacific Corp. 476
14 United Parcel Service, Inc., Class B 894
---------------------------------------------------------------
4,069
---------------------------------------------------------------
STEEL -- 0.3%
15 Acerinox SA (Spain) 562
59 JFE Holdings, Inc. (Japan) 890
6 Reliance Steel & Aluminum Co. 129
38 United States Steel Corp. 620
---------------------------------------------------------------
2,201
---------------------------------------------------------------
TELECOMMUNICATIONS -- 2.9%
2 Aeroflex, Inc. * 18
4 American Tower Corp., Class A * 32
4 AT&T Corp. 70
128 AT&T Wireless Services, Inc. * 1,053
31 BellSouth Corp. 820
5 Cincinnati Bell, Inc. * 30
9 Citizens Communications Co. * 116
11 Deutsche Telekom AG (Germany) * 174
14 France Telecom (France) 334
1 IDT Corp., Class B * (l) 18
127 Koninklijke KPN NV (The Netherlands) * 898
0^^ Nippon Telegraph & Telephone
Corp. (Japan) 490
82 Nokia OYJ (Finland) 1,349
37 Qwest Communications International, Inc. * 176
111 SBC Communications, Inc. 2,846
262 Singapore Telecommunications LTD
(Singapore) 225
48 SK Telecom Co., LTD (South Korea), ADR 906
93 Sprint Corp. - PCS Group * 534
162 Verizon Communications, Inc. 6,376
1,063 Vodafone Group PLC (United Kingdom) 2,078
2 Western Wireless Corp., Class A * 20
---------------------------------------------------------------
18,563
---------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.6%
4 Advanced Fibre Communications, Inc. * $ 71
343 BT Group PLC (United Kingdom) 1,152
12 CIENA Corp. * 62
161 Lucent Technologies, Inc. * 328
1 Motorola, Inc. 5
13 Nokia OYJ (Finland), ADR 207
56 QUALCOMM, Inc. 2,004
1 Spirent PLC (United Kingdom) 0^^
5 Sycamore Networks, Inc. * 18
---------------------------------------------------------------
3,847
---------------------------------------------------------------
TOYS & GAMES -- 0.2%
9 JAKKS Pacific, Inc. * 117
2 Marvel Enterprises, Inc. * 38
43 Mattel, Inc. 815
---------------------------------------------------------------
970
---------------------------------------------------------------
TRANSPORTATION -- 0.1%
21 TPG NV (The Netherlands) 360
3 Werner Enterprises, Inc. 73
0^^ West Japan Railway Co. (Japan) 341
---------------------------------------------------------------
774
---------------------------------------------------------------
UTILITIES -- 1.9%
10 American Electric Power Co., Inc. 304
9 Atmos Energy Corp. 234
113 Centrica PLC (United Kingdom) 327
73 CLP Holdings LTD (Hong Kong) 319
5 Dominion Resources, Inc. 289
22 DTE Energy Co. 831
10 E.ON AG (Germany) 535
62 Edison International * 1,024
12 FirstEnergy Corp. 446
3 Great Plains Energy, Inc. 87
78 Iberdrola SA (Spain) 1,349
108 PG&E Corp. * 2,277
42 Pinnacle West Capital Corp. 1,569
13 Public Service Enterprise Group, Inc. 558
5 SCANA Corp. 182
81 Scottish Power PLC (United Kingdom) 489
31 Sierra Pacific Resources * (l) 186
3 UniSource Energy Corp. $ 54
102 Xcel Energy, Inc. 1,531
---------------------------------------------------------------
12,591
---------------------------------------------------------------
WHOLESALING -- 0.0% ^
2 W.W. Grainger, Inc. 112
---------------------------------------------------------------
Total Common Stocks 393,308
(Cost $329,332)
---------------------------------------------------------------
PREFERRED STOCK -- 0.0% ^
ENTERTAINMENT/LEISURE -- 0.0% ^
6 Six Flags, Inc. * 115
(Cost $81)
RIGHT -- 0.0% ^
CONSTRUCTION MATERIALS -- 0.0% ^
5 Lafarge SA (France), expires 07/03/03 * 14
(Cost $0)
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 8.5%
U.S. Treasury Notes & Bonds,
$ 500 6.00%, 08/15/04 @ + 528
6,380 2.00%, 05/15/06 + 6,448
4,700 3.50%, 11/15/06 + 4,954
2,100 3.25%, 08/15/07 + 2,192
22,625 2.63%, 05/15/08 + 22,832
505 5.00%, 08/15/11 + 566
2,796 3.00%, 07/15/12, TIPS 3,081
180 3.88%, 02/15/13 + 185
3,930 3.63%, 05/15/13 + 3,961
1,400 7.25%, 05/15/16 + 1,862
2,175 7.88%, 02/15/21 + 3,105
3,000 6.88%, 08/15/25 + 3,953
595 6.13%, 08/15/29 + 727
345 5.38%, 02/15/31 + 388
---------------------------------------------------------------
Total U.S. Treasury Securities 54,782
(Cost $54,363)
---------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.8%
Federal Home Loan Mortgage Corp.,
$ 295 4.25%, 06/15/05 $ 311
250 6.25%, 07/15/32 294
Federal National Mortgage Association,
1,570 4.38%, 09/15/12 1,643
2,475 7.13%, 01/15/30 3,213
---------------------------------------------------------------
Total U.S. Government Agency Securities 5,461
(Cost $4,767)
---------------------------------------------------------------
FOREIGN GOVERNMENT SECURITIES -- 0.4%
Federal Republic of Brazil (Brazil),
115 10.00%, 01/16/07 118
95 10.25%, 06/17/13 91
105 11.00%, 08/17/40 95
440 Province of Quebec (Canada),
7.50%, 09/15/29 585
140 Region of Lombardy (Italy),
5.80%, 10/25/32 155
187 Republic of Colombia (Colombia),
9.75%, 04/09/11 211
Republic of Costa Rica (Costa Rica),
75 6.91%, 01/31/08, # 80
90 8.05%, 01/31/13, # 97
105 10.00%, 08/01/20, # 122
Russian Federation (Russia),
35 10.00%, 06/26/07 43
45 8.25%, 03/31/10 52
115 5.00%, 03/31/30, SUB 111
United Mexican States (Mexico),
100 7.50%, 01/14/12 115
160 6.38%, 01/16/13, MTN 170
135 11.38%, 09/15/16 197
155 8.13%, 12/30/19 178
175 8.30%, 08/15/31, MTN 202
---------------------------------------------------------------
Total Foreign Government Securities 2,622
(Cost $2,381)
---------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATION -- 0.1%
505 Illinois State, Taxable Pension, GO,
5.10%, 06/01/33 497
(Cost $505)
---------------------------------------------------------------
CORPORATE NOTES & BONDS -- 6.9%
AEROSPACE -- 0.2%
$ 375 General Dynamics Corp., 2.13%,
05/15/06 $ 380
210 Northrop Grumman Corp., 7.75%, 02/15/31 269
220 Raytheon Co., 6.55%, 03/15/10 246
205 The Boeing Co., 5.13%, 02/15/13 216
65 United Technologies Corp., 6.10%, 05/15/12 75
---------------------------------------------------------------
1,186
---------------------------------------------------------------
AUTOMOTIVE -- 0.5%
DaimlerChrysler N.A. Holding Corp.,
175 7.75%, 01/18/11 204
10 8.50%, 01/18/31 12
Ford Motor Credit Co.,
75 6.50%, 01/25/07 79
95 7.38%, 10/28/09 100
1,065 7.88%, 06/15/10 1,140
70 7.25%, 10/25/11 72
935 General Motors Acceptance Corp.,
7.25%, 03/02/11 959
General Motors Corp.,
200 8.25%, 07/15/23 199
525 8.38%, 07/15/33 516
---------------------------------------------------------------
3,281
---------------------------------------------------------------
BANKING -- 1.5%
185 Abbey National Capital Trust I, 8.96%,
12/31/49, FRN 266
565 ABN-Amro North American Holding
Preferred Capital Repackage Trust I, 6.52%,
12/29/49, FRN, # 642
Bank of America Corp.,
520 7.40%, 01/15/11 639
60 4.88%, 09/15/12 63
290 Bank One Corp., 7.88%, 08/01/10 362
Barclays Bank PLC (United Kingdom),
200 6.86%, 12/31/49, FRN, # 233
315 8.55%, 12/31/49, FRN, # 404
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
BANKING -- CONTINUED
$ 395 BNP Paribas Capital Trust, 9.00%,
12/31/49, FRN, # $ 513
125 Den Norske Bank ASA (Norway),
7.73%, 12/31/49, FRN, # 152
200 Deutsche Bank Financial LLC,
5.38%, 03/02/15 213
230 ForeningsSparbanken AB (Sweden),
9.00%, 12/31/49, FRN, # 291
HSBC Capital Funding LP (Channel Islands),
210 4.61%, 12/31/49, FRN, # 206
765 9.55%, 12/31/49, FRN, # 1,009
170 ING Bank NV (The Netherlands),
5.13%, 05/01/15, # 178
280 KBC Bank Fund Trust III, 9.86%,
12/31/49, FRN, # 364
460 KFW International Finance, Inc., 4.75%,
01/24/07 499
40 National City Bank, 6.20%, 12/15/11 46
340 Nordea Bank AB (Sweden), 8.95%,
12/31/49, FRN, # 429
235 Popular North America, Inc., 4.25%,
04/01/08 245
560 RBS Capital Trust I, 4.71%, 12/31/49, FRN 560
Royal Bank of Scotland
Group PLC (United Kingdom),
85 7.65%, 12/31/49, FRN 108
685 7.82%, 12/31/49, Ser. 3 773
240 Scotland International Finance No. 2 BV
(The Netherlands), 4.25%, 05/23/13, # 239
185 Sovereign Bank, 5.13%, 03/15/13 191
210 Standard Chartered Bank (United Kingdom),
8.00%, 05/30/31, # 267
50 U.S. Bank N.A., 6.38%, 08/01/11 58
145 Wells Fargo & Co., 5.00%, 11/15/14 154
40 Wells Fargo Bank N.A., 6.45%, 02/01/11 47
---------------------------------------------------------------
9,151
---------------------------------------------------------------
BROADCASTING/CABLE -- 0.0% ^
$ 75 British Sky Broadcasting PLC
(United Kingdom)
(Yankee), 8.20%, 07/15/09 $ 89
Cox Communications, Inc.,
95 7.75%, 11/01/10 117
15 6.75%, 03/15/11 17
---------------------------------------------------------------
223
---------------------------------------------------------------
BUSINESS SERVICES -- 0.1%
235 Cendant Corp., 7.13%, 03/15/15 272
405 Electronic Data Systems Corp., 6.00%,
08/01/13, # 395
---------------------------------------------------------------
667
---------------------------------------------------------------
CHEMICALS -- 0.0% ^
80 The Dow Chemical Co., 7.38%, 11/01/29 93
COMPUTER SOFTWARE -- 0.0% ^
50 Unisys Corp., 6.88%, 03/15/10 52
CONSTRUCTION -- 0.0% ^
70 D.R. Horton, Inc., 9.75%, 09/15/10 80
Pulte Homes, Inc.,
30 6.25%, 02/15/13 33
15 6.38%, 05/15/33 15
100 Standard-Pacific Corp., 6.88%, 05/15/11, # 105
---------------------------------------------------------------
233
---------------------------------------------------------------
DIVERSIFIED -- 0.3%
General Electric Capital Corp.,
1,265 5.88%, 02/15/12, Ser. A, MTN 1,414
170 5.45%, 01/15/13, Ser. A, MTN 184
80 6.75%, 03/15/32, Ser. A, MTN 94
135 General Electric Co., 5.00%, 02/01/13 143
---------------------------------------------------------------
1,835
---------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.0% ^
70 Allied Waste North America, 10.00%,
08/01/09, Ser. B 74
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.3%
$ 390 American Express Credit Corp., 3.00%,
05/16/08 $ 393
American General Finance Corp.,
315 4.50%, 11/15/07, Ser. H, MTN 335
235 5.38%, 10/01/12, Ser. H, MTN 254
45 Arch Western Finance LLC, 6.75%,
07/01/13, # 46
300 Capital One Bank, 4.88%, 05/15/08 306
CIT Group, Inc.,
80 5.50%, 11/30/07 87
135 7.75%, 04/02/12 161
Citigroup, Inc.,
585 7.25%, 10/01/10 708
55 6.63%, 06/15/32 64
390 Countrywide Home Loans, Inc., 5.63%,
05/15/07, Ser. K, MTN 430
Credit Suisse First Boston USA, Inc.,
245 6.50%, 01/15/12 281
145 7.13%, 07/15/32 175
Goldman Sachs Group, Inc.,
135 6.60%, 01/15/12 157
160 6.13%, 02/15/33 172
Household Finance Corp.,
450 8.00%, 07/15/10 558
15 6.38%, 11/27/12 17
235 ING Capital Funding Trust III, 8.44%,
12/31/49, FRN 293
Morgan Stanley,
95 5.80%, 04/01/07 105
310 6.60%, 04/01/12 358
150 Pemex Project Funding Master Trust
(Mexico), 8.50%, 02/15/08 176
300 Principal Life Global Funding I, 5.25%,
01/15/13, # 318
220 Prudential Holdings LLC, 8.70%,
12/18/23, # 278
Targeted Return Index (TRAINS),
591 5.94%, 01/25/07, Ser. 2002-5, FRN, # 647
1,139 6.96%, 01/15/12, Ser. 2002-10, FRN, # 1,319
180 The Bear Stearns Companies, Inc., 5.70%,
11/15/14 200
$ 435 UBS Preferred Funding Trust I, 8.62%,
12/31/49, FRN $ 556
215 Washington Mutual Bank FA, 6.88%,
06/15/11 257
---------------------------------------------------------------
8,651
---------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 0.1%
105 Archer-Daniels-Midland Co., 5.94%,
10/01/32 112
225 ConAgra Foods, Inc., 6.75%, 09/15/11 263
---------------------------------------------------------------
375
---------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 0.0% ^
115 Tenet Healthcare Corp., 5.00%, 07/01/07 108
INSURANCE -- 0.3%
330 Aegon NV (The Netherlands), 4.75%,
06/01/13 334
325 AXA (France), 8.60%, 12/15/30 419
185 Fund American Companies, Inc., 5.88%,
05/15/13 193
65 Metlife, Inc., 6.13%, 12/01/11 74
Nationwide Financial Services, Inc.,
130 6.25%, 11/15/11 146
110 5.90%, 07/01/12 121
160 New York Life Insurance Co., 5.88%,
05/15/33, # 168
205 QBE Insurance Group LTD (Australia), 5.65%,
07/01/23, SUB, # 200
---------------------------------------------------------------
1,655
---------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.0% ^
135 Deere & Co., 6.95%, 04/25/14 164
MANUFACTURING -- 0.0% ^
130 Bombardier, Inc. (Canada), 6.75%,
05/01/12, # 133
METALS/MINING -- 0.0% ^
65 Peabody Energy Corp., 6.88%, 03/15/13, # 68
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
MULTI-MEDIA -- 0.3%
AOL Time Warner, Inc.,
$ 220 6.88%, 05/01/12 $ 251
470 7.63%, 04/15/31 543
80 Comcast Corp., 7.05%, 03/15/33 89
380 Liberty Media Corp., 5.70%, 05/15/13 386
170 News America Holdings, Inc., 7.75%,
12/01/45 202
55 News America, Inc., 7.28%, 06/30/28 62
85 Walt Disney Co., 6.38%, 03/01/12 97
---------------------------------------------------------------
1,630
---------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.0% ^
Xerox Corp.,
40 7.13%, 06/15/10 40
35 7.63%, 06/15/13 35
---------------------------------------------------------------
75
---------------------------------------------------------------
OIL & GAS -- 0.3%
115 Alberta Energy Co., LTD (Canada) (Yankee),
7.38%, 11/01/31 145
Amerada Hess Corp.,
110 7.88%, 10/01/29 134
120 7.30%, 08/15/31 139
Anadarko Finance Co.,
225 6.75%, 05/01/11, Ser. B 264
40 7.50%, 05/01/31, Ser. B 50
90 Canadian Natural Resources LTD
(Canada) (Yankee), 7.20%, 01/15/32 111
75 Chesapeake Energy Corp., 8.13%, 04/01/11 81
310 Conoco Funding Co. (Canada), 7.25%,
10/15/31 389
320 Devon Financing Corp. ULC, 7.88%,
09/30/31 406
85 Lasmo USA, Inc., 7.30%, 11/15/27 106
75 Occidental Petroleum Corp., 6.75%,
01/15/12 89
150 Transocean, Inc. (Cayman Islands), 6.63%,
04/15/11 174
60 Valero Energy Corp., 6.88%, 04/15/12 68
---------------------------------------------------------------
2,156
---------------------------------------------------------------
PACKAGING -- 0.1%
$ 50 Crown European Holdings SA (France),
9.50%, 03/01/11, # $ 54
Owens-Brockway Glass Container, Inc.,
35 8.88%, 02/15/09 38
65 7.75%, 05/15/11, # 69
300 Sealed Air Corp., 6.88%, 07/15/33, # 306
---------------------------------------------------------------
467
---------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.1%
100 Abitibi-Consolidated, Inc. (Canada)
(Yankee), 6.00%, 06/20/13 95
80 Georgia-Pacific Corp., 7.38%, 07/15/08, # 81
130 International Paper Co., 5.85%, 10/30/12 142
15 MeadWestvaco Corp., 6.85%, 04/01/12 17
Westvaco Corp.,
50 8.20%, 01/15/30 63
125 7.95%, 02/15/31 153
160 Weyerhaeuser Co., 6.75%, 03/15/12 182
---------------------------------------------------------------
733
---------------------------------------------------------------
PIPELINES -- 0.1%
65 Kinder Morgan Energy Partners LP,
7.40%, 03/15/31 79
235 Kinder Morgan, Inc., 6.50%, 09/01/12 269
155 TransCanada Pipelines LTD (Canada)
(Yankee), 8.63%, 05/15/12 202
---------------------------------------------------------------
550
---------------------------------------------------------------
RETAILING -- 0.2%
95 Federated Department Stores, Inc.,
7.00%, 02/15/28 108
Kroger Co.,
35 6.80%, 04/01/11 40
150 8.00%, 09/15/29 187
20 7.50%, 04/01/31 24
255 Safeway, Inc., 6.50%, 03/01/11 285
295 Sears Roebuck Acceptance Corp., 7.00%,
02/01/11 336
50 The May Department Stores Co., 6.90%,
01/15/32 56
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
RETAILING -- CONTINUED
$ 160 Toys R US. Inc., 7.88% 04/15/13 $ 172
110 Wal-Mart Stores, Inc., 8.55%, 08/10/074 116
---------------------------------------------------------------
1,324
---------------------------------------------------------------
SHLPPING/TRANSPORATION -- 0.1%
Burlington Northern Santa Fe Corp.,
135 6.75%, 07/15/11 158
15 7.08%, 05/13/29 18
110 CSX Corp., 6.30%, 03/15/12 125
270 Norfolk Southern Corp., 6.75%, 02/15/11 315
Union Pacific Corp.,
50 6.65%, 01/15/11 58
65 6.50%, 04/15/12 75
---------------------------------------------------------------
749
---------------------------------------------------------------
TELECOMMUNICATIONS -- 0.8%
419 AT&T Broadband Corp., 8.38%, 03/15/13 526
5 AT&T Corp., 6.00%, 03/15/09 5
AT&T Wireless Services, Inc.,
290 7.88%, 03/01/11 342
10 8.13%, 05/01/12 12
40 BellSouth Capital Funding, 7.88%,
02/15/30 52
British Telecom PLC (United Kingdom),
125 8.38%, 12/15/10, SUB 158
75 8.88%, 12/15/30, SUB 102
210 Citizens Communications Co., 9.25%,
05/15/11 272
Deutsche Telekom International
Finance BV (The Netherlands),
265 8.57%, 06/15/10 326
210 8.82%, 06/15/30 268
France Telecom (France),
230 9.25%, 03/01/11 289
130 10.00%, 03/01/31 180
120 Koninklijke KPN NV (The Netherlands),
8.00%, 10/01/10 149
Sprint Capital Corp.,
455 7.63%, 01/30/11 519
220 8.75%, 03/15/32 263
255 TCI Communications, Inc., 7.88%, 02/15/26 303
$ 320 Telefonica Europe BV (The Netherlands),
7.75%, 09/15/10 $ 395
285 Verizon Global Funding Corp., 7.75%,
12/01/30 361
345 Verizon New York, Inc., 6.88%,
04/01/12, Ser. A 406
170 Vodafone Group PLC (United Kingdom),
7.88%, 02/15/30 219
---------------------------------------------------------------
5,147
---------------------------------------------------------------
UTILITIES -- 0.6%
135 AEP Texas Central Co., 5.50%, 02/15/13, # 144
190 Arizona Public Service Co., 4.65%, 05/15/15 189
35 CenterPoint Energy, Inc., 6.85%, 06/01/15, # 35
125 Columbus Southern Power Co., 5.50%,
03/01/13, # 134
65 Consolidated Edison Company of New York,
5.63%, 07/01/12, Ser. 2002-A 72
Constellation Energy Group, Inc.,
120 6.35%, 04/01/07 134
65 7.00%, 04/01/12 76
240 4.55%, 06/15/15 229
435 Dominion Resources, Inc., 8.13%,
06/15/10, Ser. A 540
135 DTE Energy Co., 6.38%, 04/15/33 141
150 Duke Capital Corp., 6.25%, 02/15/13 159
Duke Energy Corp.,
30 3.75%, 03/05/08, # 31
185 6.25%, 01/15/12 207
35 Florida Power & Light Co., 4.85%, 02/01/13 37
220 MidAmerican Energy Co., 6.75%, 12/30/31 258
National Rural Utilities Cooperative
Finance Corp.,
335 3.88%, 02/15/08 350
205 7.25%, 03/01/12, Ser. C, MTN 245
235 Pepco Holdings, Inc., 6.45%, 08/15/12 266
Progress Energy, Inc.,
15 7.10%, 03/01/11 17
100 6.85%, 04/15/12 115
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- -------------------------------------------------------------------------
UTILITIES -- CONTINUED
$ 275 TXU Energy Co., 7.00%, 03/15/13, # $ 304
3,683
---------------------------------------------------------------
Total Corporate Notes & Bonds 44,463
(Cost $40,304)
---------------------------------------------------------------
RESIDENTIAL MORTGAGE BACKED SECURITIES -- 8.3%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.6%
1,000 Countrywide Home Loans, 5.50%,
08/25/33, Ser. 2003-29, Class A1 (f) 1,022
2,500 SACO I, Inc., 7.00%, 08/25/36, Ser.
1997-2, Class 1A5, # 2,585
---------------------------------------------------------------
3,607
---------------------------------------------------------------
MORTGAGE BACKED PASS-THROUGH SECURITIES -- 7.7%
2,000 Federal Home Loan Mortgage Corp., 6.90%,
12/01/10, Gold Pool W10004 2,349
Federal National Mortgage Association,
2,500 4.50%, 08/25/18, TBA 2,542
4,045 7.00%, 08/01/32, Pool 660135 4,260
23,000 5.00%, 08/25/33, TBA 23,273
6,500 5.50%, 08/25/33, TBA 6,697
4,000 5.00%, 09/25/33, TBA 4,031
5,500 Government National Mortgage
Association, 5.50%, 08/15/33, TBA 5,706
1,000 Master Asset Securitization Trust, Ser.
2003-8, Class 1A1, 5.50%, 09/25/33 (f) 1,012
---------------------------------------------------------------
49,870
---------------------------------------------------------------
Total Residential Mortgage Backed
Securities (Cost $53,048) 53,477
---------------------------------------------------------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 0.9%
Bear Stearns Commercial Mortgage Securities,
385 6.48%, 02/15/35, Ser. 2001-TOP2, Class A2 449
4,500 4.74%, 03/13/40, Ser. 2003-T10, Class A2 4,704
Credit Suisse First Boston Mortgage
Securities Corp.,
90 7.29%, 09/15/41, Ser. 1999-C1, Class A2 107
865 4.13%, 05/15/38, Ser. 2003-C3, Class A5 869
---------------------------------------------------------------
Total Commercial Mortgage Backed 6,129
Securities (Cost $5,874)
---------------------------------------------------------------
ASSET BACKED SECURITIES -- 2.4%
$ 250 American Express Credit Account Master Trust,
1.69%, 01/15/09, Ser. 2003-4, Class A $ 248
545 AmeriCredit Automobile Receivables Trust,
5.37%, 06/12/08, Ser. 2001-B, Class A4 567
Bank One Insurance Trust,
1,040 1.23%, 06/16/08, Ser. 2003-A5,
Class A5, FRN 1,040
1,025 2.32%, 12/15/10, Ser. 2003-C2,
Class C2, FRN 1,023
Capital Auto Receivables Asset Trust,
970 1.30%, 02/15/07, Ser. 2003-2,
Class A3B, FRN 970
625 1.96%, 01/15/09, Ser. 2003-2, Class A4A 622
935 Capital One Master Trust, 4.60%, 08/17/09,
Ser. 2001-8A, Class A 997
420 Citibank Credit Card Issuance Trust,
5.00%, 06/10/15, Ser. 2003-C4, Class C4 414
605 Discover Card Master Trust I, 1.23%,
05/16/07, Ser. 2002-5, Class A, FRN 605
504 EQCC Home Equity Loan Trust, 6.41%,
12/15/04, Ser. 1997-3, Class A8 513
1,730 Household Automotive Trust, 4.37%,
12/17/08, Ser. 2001-3, Class A4 1,811
1,200 Long Beach Mortgage Loan Trust, 1.45%,
08/15/33, Ser. 2003-4, Class AV3, FRN (f) 1,200
885 MBNA Credit Card Master Note Trust,
5.75%, 10/15/08, Ser. 2001-A1, Class A1 978
Residential Asset Securities Corp.,
910 1.31%, 07/25/33, Ser. 2003-KS5,
Class AIIB, FRN (f) 910
490 1.28%, 07/25/32, Ser. 2002-KS4,
Class AIIB, FRN 489
1,510 Volkswagen Auto Loan Enhanced Trust,
1.93%, 01/20/10, Ser. 2003-1, Class A4 1,507
Wachovia Asset Securitization, Inc.,
595 1.47%, 12/25/32, Ser. 2002-HE2,
Class A, FRN 596
770 1.38%, 07/25/33, Ser. 2003-HE2,
Class AII1, FRN 770
---------------------------------------------------------------
Total Asset Backed Securities 15,260
(Cost $15,109)
---------------------------------------------------------------
Total Long-Term Investments 576,128
(Cost $505,764)
---------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
<Table>
<Caption>
UNITS ISSUER VALUE
- -------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 10.9%
- -------------------------------------------------------------------------
OPTIONS -- 0.1%
22,000 Call Option on FNMA, 30 Year Fixed, 5.00%,
strike price of 100.77, expiring
10/08/03 $ 177
5,100 Put Option on Interest Rate Swap, expiring
07/07/03. If exercised: JPMorgan pays fixed
(4.32%) and receives 3 month LIBOR. Swap
expires 07/09/13, European Style 0^^
4,000 Put Option on Interest Rate Swap, expiring
09/08/03. If exercised: JPMorgan pays fixed
(3.84%) and receives 3 month LIBOR.
Swap expires 09/10/13, European Style 91
7,000 Put Option on Interest Rate Swap, expiring
09/08/03. If exercised: JPMorgan pays fixed
(3.90%) and receives 3 month LIBOR.
Swap expires 09/10/13, European Style 142
---------------------------------------------------------------
Total Options 410
(Cost $562)
---------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
(USD)
- -------------------------------------------------------------------------
U.S. TREASURY SECURITY-- 0.0% ^
$ 130 U.S. Treasury Bill, 1.10%, 08/28/03 @
(Cost $130) 130
---------------------------------------------------------------
COMMERCIAL PAPER -- 5.1%
ASSET BACKED SECURITIES -- 3.2%
4,100 Asset Securitization Cooperative
Corp., 1.23%, 07/02/03 + 4,100
2,550 Atlantis One Funding Corp., 1.23%,
07/02/03 + 2,550
4,000 Giro Balanced Funding Corp., 0.97%,
08/15/03 + 3,995
4,000 Grampian Funding LLC, 0.95%, 08/28/03 + 3,993
4,000 Jupiter Securitization Corp., 1.18%,
07/11/03 + 3,999
2,200 Montauk Funding Corp., 1.05%, 08/18/03 2,197
---------------------------------------------------------------
20,834
---------------------------------------------------------------
BANKING-- 1.5%
$ 1,850 Macquarie Bank LTD (Australia),
1.06%, 09/05/03 $ 1,846
3,850 Nordea North America, Inc., 1.18%,
08/07/03 3,845
3,850 Westdeutsche Landesbank Girozentrale
(Germany), 1.19%, 08/06/03 3,846
---------------------------------------------------------------
9,537
---------------------------------------------------------------
FINANCIAL SERVICES-- 0.4%
2,550 CXC, Inc., 1.21%, 07/02/03 + 2,550
---------------------------------------------------------------
Total Commercial Paper 32,921
(Cost $32,921)
---------------------------------------------------------------
<Caption>
SHARES
- -------------------------------------------------------------------------
MONEY MARKET FUND -- 5.7%
36,967 JPMorgan Prime Money Market Fund (a) + 36,967
(Cost $36,967)
---------------------------------------------------------------
Total Short-Term Investments 70,428
(Cost $70,580)
---------------------------------------------------------------
Total Investments-- 100.0% $ 646,556
(Cost $576,344)
---------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS
- -------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
1,441 Merrill Lynch Premier Institution Money
Market Fund $ 1,441
1,441 Reserve Primary Money Market Fund 1,441
---------------------------------------------------------------
$ 2,882
---------------------------------------------------------------
</Table>
SUMMARY OF INVESTMENTS BY COUNTRY, JUNE 30, 2003
<Table>
<Caption>
COUNTRY % OF INVESTMENT SECURITIES
- -------------------------------------------------------------------------
United States 86.5%
United Kingdom 3.1
Japan 1.8
France 1.2
Germany 1.0
The Netherlands 0.9
Bermuda 0.8
Switzerland 0.8
Australia 0.7
Other (below 0.5%) 3.2
---------------------------------------------------------------
Total 100.0%
---------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
FUTURE CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 6/30/03 (USD) (DEPRECIATION)(USD)
- ------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
70 2 Year Treasury Notes September, 2003 $ 15,141 $ 21
3 Topix Index September, 2003 226 8
40 Eurodollar March, 2004 9,877 8
8 Eurodollar June, 2004 1,972 (-)^^
SHORT FUTURES OUTSTANDING
(24) DJ Euro Stoxx September, 2003 (669) (5)
(5) FTSE 100 Index September, 2003 (331) (-)^^
(42) 5 Year Treasury Notes September, 2003 (4,835) 2
(174) 10 Year Treasury Notes September, 2003 (20,434) 95
</Table>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO BUY DATE VALUE (USD) 6/30/03 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
420 CHF for
200 GBP 8/21/03 $ 329 $ 311 $ (18)
1,240 EUR for
171,152 JPY 8/21/03 1,428 1,422 (6)
1,366 AUD 8/21/03 890 911 21
723 CHF 8/21/03 555 535 (20)
513 GBP 8/21/03 838 843 5
338,577 JPY 8/21/03 2,888 2,825 (63)
2,044 NOK 8/21/03 298 282 (16)
1,854 SEK 8/21/03 234 231 (3)
- ---------------------------------------------------------------------------------------------------------------
$ 7,460 $ 7,360 $ (100)
- ---------------------------------------------------------------------------------------------------------------
<Caption>
NET UNREALIZED
SETTLEMENT SETTLEMENT VALUE AT APPRECIATION
CONTRACTS TO SELL DATE VALUE (USD) 6/30/03 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------------
531 AUD 8/21/03 $ 348 $ 355 $ (7)
1,923 CHF 8/21/03 1,484 1,421 63
676 EUR 8/21/03 791 775 16
234 GBP 8/21/03 380 385 (5)
6,587 HKD 8/21/03 844 845 (1)
81,884 JPY 8/21/03 700 683 17
1,870 SEK 8/21/03 240 233 7
542 SGD 8/21/03 314 308 6
- ---------------------------------------------------------------------------------------------------------------
$ 5,101 $ 5,005 $ 96
- ---------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
OPTIONS
<Table>
<Caption>
UNITS CALL OPTIONS WRITTEN VALUE
- -------------------------------------------------------------------------
(22,000) Call Option on FNMA, 30 Year Fixed,
5.00%, strike price of 101.77,
expiring 10/08/03,
European Style $ (85)
<Caption>
PUT OPTIONS WRITTEN VALUE
- -------------------------------------------------------------------------
(22,000) Put Option on FNMA, 30 Year Fixed,
5.00%, strike price of 99.20,
expiring 10/08/03,
European Style $ (127)
(12,000) Put Option on FNMA, 30 Year Fixed,
5.50%, strike price of 100.89,
expiring 07/07/03, European Style $ (-)^^
(15,000) Put Option on FNMA, 30 Year Fixed,
5.50%, strike price of 102.78,
expiring 09/08/03, European Style (102)
(20,500) Put Option on FNMA, 30 Year Fixed,
5.50%, strike price of 102.56,
expiring 09/08/03, European Style (104)
Total Put Options Written $ (333)
---------------------------------------------------------------
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------------
Interest Rate Swap with Morgan Stanley Capital Services, swap
price lock on U.S. Treasury Note, 2.63%, 05/15/08, price less
102.72, JPMorgan pays positive, receives negative 07/07/03 $ 6,500 $ 115
Interest Rate Swap with Morgan Stanley Capital Services, swap
rate lock on 5 Year Forward Contract, rate less 2.65, JPMorgan
pays negative, receives positive 07/07/03 10,750 59
Interest Rate Swap with UBS Warburg, swap price lock on 30 Year
FHLMC, 5.50%, price less 103.05, JPMorgan receives positive,
pays negative 07/07/03 5,000 6
Interest Rate Swap with Morgan Stanley Capital Services, swap
price lock on U.S. Treasury Note, 3.00%, 02/15/08, price less 103.93,
JPMorgan receives positive, pays negative 07/09/03 4,740 (46)
Interest Rate Swap with Lehman Brothers Special Financing, swap
price lock on 30 Year FNMA, 5.50%, price less 102.78, JPMorgan
receives positive, pays negative 08/06/03 15,500 31
Interest Rate Swap with Deutsche Bank New York, swap price lock on
U.S. Treasury Note, 2.63%, 05/15/08, price less 101.34, JPMorgan pays
positive, receives negative 07/21/03 7,910 40
Interest Rate Swap with Morgan Stanley Capital Services, swap price
lock on U.S. Treasury Note, 2.63%, 05/15/08, price less 101.39,
JPMorgan pays positive, receives negative 07/21/03 2,600 11
Interest Rate Swap with Deutsche Bank New York, swap price
lock on 30 Year FNMA, 5.50%, price less 103.13, JPMorgan
receives positive, pays negative 08/06/03 8,000 (10)
Interest Rate Swap with Lehman Brothers Special Financing, swap
price lock on 30 Year FNMA, 5.00%, price less 102.20,
JPMorgan receives positive, pays negative 08/06/03 13,500 (138)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------------
Interest Rate Swap with Lehman Brothers Special Financing, swap
price lock on U.S. Treasury Note, 2.63%, 05/15/08, price less 100.54,
JPMorgan pays positive, receives negative 08/14/03 $ 19,025 $ (33)
Forward Rate Swap with Merrill Lynch Capital Services,
JPMorgan receives 1.08%, pays 3 Month LIBOR 12/17/03 201,000 3
Forward Rate Swap with Merrill Lynch Capital Services,
JPMorgan receives 1.05%, pays 3 Month LIBOR 06/16/04 254,000 (117)
Forward Rate Swap with Merrill Lynch Capital Services,
JPMorgan receives 1.23%, pays 3 Month LIBOR 06/16/04 100,525 (1)
</Table>
Abbreviations:
* -- Non-income producing security.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
+ -- All or a portion of this security is segregated with the custodian for
futures contracts, TBA, when issued, delayed delivery securities or
swaps.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Security is fully or partially segregated with 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.
(c) -- Investment of cash collateral for portfolio securities on loan.
(d) -- Defaulted security.
(f) -- Fair valued investment. The following are approximately the market
value and percentage of the investments that are fair valued (amount in
thousands):
<Table>
<Caption>
MARKET VALUE PERCENTAGE
-----------------------
$ 4,144 0.64%
</Table>
(l) -- Security, or a portion of the security, has been delivered to a
counterparty as part of a security lending transaction.
ADR -- American Depositary Receipt.
AUD -- Australian Dollar.
CHF -- Swiss Franc.
EUR -- Euro.
FHLMC -- Federal Home Loan Mortgage Corp.
FNMA -- Federal National Mortgage Association.
FRN -- Floating Rate Note. The interest rate shown is the rate in effect as of
June 30, 2003.
GBP -- Great Britain Pound.
GDR -- Global Depositary Receipt.
GO -- General Obligation Bond.
HKD -- Hong Kong Dollar.
JPY -- Japanese Yen.
LIBOR -- London Interbank Offered Rate.
MTN -- Medium Term Note.
NOK -- Norwegian Krone.
SEK -- Swedish Krona.
Ser. -- Series.
SGD -- Singapore Dollar.
SUB -- Step-Up Bond. The rate shown is the rate in effect as of June 30, 2003.
TBA -- To Be Announced.
TIPS -- Treasury Inflation Protected Security.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
JPMorgan Diversified Fund
STATEMENT OF ASSETS AND LIABILITIES AS OF JUNE 30, 2003
(Amounts in thousands, except per share amounts)
<Table>
ASSETS:
Investment securities, at value $ 646,556
Investments held as collateral for
securities lending program 2,882
Cash 412
Foreign currency, at value 210
Receivables:
Investment securities sold 48,054
Fund shares sold 1,394
Interest and dividends 1,703
Foreign tax reclaim 270
Unrealized appreciation on forward
foreign currency exchange contracts 135
Unrealized appreciation on open
swap contracts 265
Securities lending (net) 1
- -----------------------------------------------------------------------------------
Total Assets 701,882
- -----------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 209
Investment securities purchased 98,225
Collateral for securities
lending program 2,882
Fund shares redeemed 9,459
Variation margin 43
Unrealized depreciation on forward
foreign currency exchange contracts 139
Outstanding options written,
at fair value 418
Unrealized depreciation on open
swap contracts 345
Accrued liabilities:
Investment advisory fees 223
Administration fees 39
Shareholder servicing fees 57
Distribution fees 18
Custodian fees 96
Trustees' fees - deferred
compensation plan 31
Other 30
- -----------------------------------------------------------------------------------
Total Liabilities 112,214
- -----------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
<Table>
NET ASSETS:
Paid in capital $ 642,505
Accumulated undistributed
(overdistributed) net investment income 162
Accumulated net realized gain (loss)
on investments, futures, foreign
exchange transactions, options
and swaps (123,444)
Net unrealized appreciation
(depreciation) of investments, futures,
foreign exchange translations, options
and swaps 70,445
- -----------------------------------------------------------------------------------
Total Net Assets $ 589,668
- -----------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 3,795
Class B 1,111
Class C 59
Institutional 22,996
Select 22,861
Net Asset Value:
Class A (and redemption price) $ 11.60
Class B * $ 11.60
Class C * $ 11.60
Institutional (and redemption price) $ 11.60
Select (and redemption price) $ 11.61
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 12.31
Cost of investments $ 576,344
Cost of foreign currency $ 209
- -----------------------------------------------------------------------------------
Premiums received from options written $ 557
- -----------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
JPMorgan Diversified Fund
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2003
(Amounts in thousands)
<Table>
INVESTMENT INCOME:
Interest $ 3,065
Dividend 3,638
Dividend income from affiliated investments* 246
Securities lending (net) 4
Foreign taxes withheld (133)
- -----------------------------------------------------------------------------------
Total investment income 6,820
- -----------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,501
Administration fees 409
Shareholder servicing fees 488
Distribution fees 56
Custodian fees 198
Printing and postage 33
Professional fees 44
Registration expenses 13
Transfer agent fees 90
Trustees' fees 3
Other 15
- -----------------------------------------------------------------------------------
Total expenses 2,850
- -----------------------------------------------------------------------------------
Less amounts waived 613
Less earnings credits 1
- -----------------------------------------------------------------------------------
Net expenses 2,236
- -----------------------------------------------------------------------------------
Net investment income (loss) 4,584
- -----------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
<Table>
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments $ (7,193)
Futures (1,015)
Foreign exchange contracts 318
Options 235
Swaps (45)
Change in net unrealized appreciation (depreciation) of:
Investments 50,494
Futures 644
Foreign exchange translations 88
Options (15)
Swaps 155
- -----------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments, futures, foreign
exchange transactions, options and swaps 43,666
- -----------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 48,250
- -----------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 35
- -----------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
JPMorgan Diversified Fund
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
1/1/03
THROUGH YEAR ENDED
6/30/03 12/31/02
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) $ 4,584 $ 11,171
Net realized gain (loss) on investments,
futures, foreign exchange transactions,
options and swaps (7,700) (48,600)
Change in net unrealized appreciation
(depreciation) of investments, futures,
foreign exchange translations, options and swaps 51,366 (46,496)
- ---------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 48,250 (83,925)
- ---------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (4,453) (12,137)
- ---------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) from capital share transactions 21,225 (227,717)
- ---------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 65,022 (323,779)
- ---------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 524,646 848,425
- ---------------------------------------------------------------------------------------------------
End of period $ 589,668 $ 524,646
- ---------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed)
net investment income $ 162 $ 31
- ---------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
JPMorgan Diversified Fund
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Institutional Funds ("JPMIF" or the "Trust") was organized on
November 4, 1992 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. JPMorgan Diversified Fund ("DF" or the "Fund") is
a separate series of the Trust. The Fund offers Class A, Class B, Class C,
Institutional and Select shares.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional and Select Class. All classes of
shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing fees and each class has exclusive voting rights with respect to its
distribution plan and shareholder servicing agreements.
2. REORGANIZATION
Prior to the open of business on March 24, 2003, DF (the "Acquiring Fund")
acquired all the net assets of the JPMorgan Balanced Fund (the "Target Fund"),
as shown in the table below, pursuant to the Reorganization Plan approved by the
Target Fund's shareholders on February 13, 2003. The transaction was structured
for tax purposes to qualify as a tax-free reorganization under the Internal
Revenue Code. Under the Reorganization Plan, shareholders of the Target Fund
received shares in the Acquiring Fund with a value equal to their holdings in
the Target Fund.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the reorganization (amounts in thousands, except per share amounts):
JPMORGAN DIVERSIFIED FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan Balanced Fund $ (3,247)
Class A 1,766 $ 41,788 $ 23.67
Class B 527 $ 12,459 $ 23.62
Class C 28 $ 668 $ 23.62
Select 391 $ 9,290 $ 23.76
ACQUIRING FUND
JPMorgan Diversified Fund $ 29,817
Institutional 23,466 $ 252,713 $ 10.77
Select 22,946 $ 247,123 $ 10.77
POST REORGANIZATION
JPMorgan Diversified Fund $ 26,570
Class A 3,881 $ 41,788 $ 10.77
Class B 1,157 $ 12,459 $ 10.77
Class C 62 $ 668 $ 10.77
Institutional 23,466 $ 252,713 $ 10.77
Select 23,809 $ 256,413 $ 10.77
</Table>
29
<Page>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUND:
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, 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.
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 Fund's net assets are
calculated, such securities will be valued at fair value in accordance with
procedures adopted by the Trustees.
B. FUTURES CONTRACTS -- When the 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 Fund 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. The Fund uses debt futures for
managing duration.
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 subjects the Fund
to unlimited risk. The Fund 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, the Fund had outstanding futures contracts as listed on its
Portfolio of Investments.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Fund are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars
30
<Page>
at the prevailing exchange rates, or at the mean of the current bid and asked
prices, of such currencies against the U.S. dollar as quoted by a major bank, on
the following basis:
1. Market value of investment securities and other assets and liabilities: at
the rate of exchange at the valuation date.
2. Purchases and sales of investment securities, income and expenses: at the
rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Fund are presented at the foreign exchange rates
and market values at the close of the periods, the Fund does not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of securities held or sold during the year. Accordingly, such realized
foreign currency gains (losses) are included in the reported net realized gains
(losses) on investment transactions.
Reported realized foreign currency gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Fund's books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies which are held at period end.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Fund may enter into
forward foreign currency contracts (obligations to purchase or sell foreign
currency in the future on a date and price fixed at the time the contracts are
entered into) to manage the Fund's exposure to foreign currency exchange
fluctuations. Each day the forward contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to market".
When the forward contract is closed, or the delivery of the currency is made or
taken, the Fund records a realized gain or loss equal to the difference between
the proceeds from (or cost of) the closing transaction and the Fund's basis in
the contract. The Fund is subject to off-balance sheet risk to the extent of the
value of the contracts for purchases of foreign currency and in an unlimited
amount for sales of foreign currency.
As of June 30, 2003, the Fund had outstanding forward foreign currency contracts
as listed on its Portfolio of Investments.
E. WRITTEN OPTIONS -- When the Fund writes an option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets and
Liabilities as an asset and corresponding liability. The amount of the liability
is adjusted daily to reflect the current market value of the written option and
the change is recorded in a corresponding unrealized gain or loss account. When
a written option expires on its stipulated expiration date, or when a closing
transaction is entered into, the related liability is extinguished and the fund
realizes a gain or loss contingent on whether the cost of the closing
transaction exceeds the premium received when the option was written.
The Fund writes options on securities, futures and interest rate swaps
("swaptions"). These options are settled for cash and subject the Fund to
unlimited risk of loss. The Fund, however, is not subject to credit risk on
written options as the counterparty has already performed its obligation by
paying the premium at the inception of the contract.
As of June 30, 2003, the Fund had written options contracts outstanding as
listed on its Portfolio of Investments.
31
<Page>
Transactions in options written during the period ended June 30, 2003, were as
follows (amounts in thousands):
<Table>
<Caption>
NUMBER OF PREMIUMS
UNITS RECEIVED
Options outstanding at
December 31, 2002 (40,800) $ 432
Options written (251,500) 1,324
Options terminated in closing
purchase transactions 200,800 (1,199)
Options exercised -- --
Options outstanding at
June 30, 2003 (91,500) $ 557
</Table>
F. SWAPS -- The Fund may engage in swap transactions, specifically interest
rate, currency, fixed income, index and total return swaps in order to obtain a
desired return at a lower cost than if the Fund had invested directly in the
asset that yielded the desired return. Unrealized gains are reported as an asset
and unrealized losses are reported as a liability on the Statement of Assets and
Liabilities. The interest to be paid or received on swaps is reported as
unrealized gains or losses in the Statement of Operations. A realized gain or
loss is recorded upon termination of swap agreements. Swap agreements are stated
at fair value. Notional principal amounts are used to express the extent of
involvement in these transactions, but the amounts potentially subject to credit
risk are much smaller.
As of June 30, 2003, the Fund had outstanding swap agreements as listed on its
Portfolio of Investments.
G. COMMITMENTS -- The Fund may enter into commitments to buy and sell
investments to settle on future dates as part of their normal investment
activities. These commitments are reported at market value in the financial
statements. Credit risk exists on these commitments to the extent of any
unrealized gains on the underlying securities purchased and any realized gains
on the underlying securities sold. Market risk exists on commitments to buy to
the same extent as if the securities were owned on a settled basis and gains and
losses are recorded and reported in the same manner. However, during the
commitment period, these investments earn no interest or dividends.
H. DOLLAR ROLLS -- The Fund may enter into dollar rolls (principally using
TBA's) in which the Fund sells mortgage securities for delivery in the current
month and simultaneously contract to repurchase similar, but not identical,
securities at an agreed-upon price on a fixed date. The Fund accounts for such
dollar rolls as purchases and sales and receives compensation as consideration
for entering into the commitment to repurchase. The Fund must maintain liquid
securities having a value not less than the repurchase price (including accrued
interest) for such dollar rolls. The market value of the securities that a Fund
is required to purchase may decline below the agreed upon repurchase price of
those securities.
The Fund had TBA Dollar Rolls outstanding as of June 30, 2003, which are
included in Receivable for Investment securities sold and Payable for Investment
securities purchased on the Statement of Assets and Liabilities. The Fund
segregates assets with a current value at least equal to the amount of its TBA
Dollar Rolls.
In a "fee" roll, the compensation is recorded as deferred income and amortized
to income over the roll period. The counterparty receives all principal and
interest payments, including prepayments, made in respect of a security subject
to such a contract while it is the holder. Mortgage dollar rolls may be renewed
with a new purchase and repurchase price and a cash settlement made on
settlement date without physical delivery of the securities subject to the
contract. The Fund engages in dollar rolls for the purpose of enhancing its
yields, principally by earning a negotiated fee. The Fund had no fee based
dollar rolls outstanding as of June 30, 2003.
I. RESTRICTED AND ILLIQUID SECURITIES -- The Fund is permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid.
32
<Page>
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.
J. SECURITIES ON LOAN -- For the Fund, the Board of Trustees has approved the
lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB", an
affiliate of the Fund) acting as lending agent to certain borrowers. By lending
investment securities, the Fund attempts to increase its net investment income
through the receipt of interest (after rebates and fees) on collateral received
in connection with the loan. The net amount of interest earned, after the rebate
and fee, is included in the Statement of Operations as Securities lending (net).
The loans are secured by collateral at least equal, at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Fund. The Fund also continues to receive interest or dividends on
the securities loaned. The Fund has the right under the lending agreement to
recover the securities from the borrower on demand.
JPMCB invests the cash collateral on behalf of the Fund in accordance with
investment guidelines contained in the securities lending agreement. At June 30,
2003, the market value of securities loaned and the amount of collateral
received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
$ 2,807 $ 2,882
</Table>
JPMCB as lending agent received a fee of $2 (amount in thousands) from the Fund,
which is equal to 0.06% of the average dollar value of loans of U.S. securities
outstanding during a given month and 0.1142% of the average dollar value of
loans on non-U.S. securities outstanding during a given month.
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the securities received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
K. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts. Dividend income is recorded on the ex-dividend date or when the Fund
first learns of the dividend.
Purchases of To Be Announced (TBA), when-issued or delayed delivery securities
may be settled a month or more after the trade date; interest income is not
accrued until settlement date. It is the Fund's policy to segregate assets with
a current value at least equal to the amount of its TBA, when-issued or delayed
delivery purchase commitments.
L. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust 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. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses
33
<Page>
other than class specific expenses are allocated daily to each class of shares
based upon the proportion of net assets of each class at the beginning of each
day.
M. FEDERAL INCOME TAXES -- The 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 Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
N. FOREIGN TAXES -- The Fund may be subject to foreign taxes on income, gains on
investments or currency repatriation, a portion of which may be recoverable. The
Fund will accrue such taxes and recoveries as applicable, based upon its current
interpretation of tax rules and regulations that exist in the markets in which
it invests.
O. 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.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to an Investment Advisory Agreement, J.P.
Morgan Investment Management, Inc. ("JPMIM" or "Advisor") acts as the investment
advisor to the Fund. JPMIM is a wholly owned subsidiary of J.P. Morgan Chase &
Co. ("JPMorgan"). The Advisor supervises the investments of the Fund and for
such services is paid a fee. The fee is accrued daily and paid monthly at an
annual rate equal to 0.55% of the average daily net assets for the Fund.
The Advisor waived fees as outlined in Note 4.F.
The Fund may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Fund in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to the 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 the Fund's shares. JPMFD receives no compensation in
its capacity as the Fund's underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, Class B, and Class C shares of the Fund in accordance with Rule 12b-1
under the 1940 Act. The Distribution Plans provide that the Fund shall pay
distribution fees, including payments to the Distributor, at annual rates of the
average daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
0.25 0.75 0.75
</Table>
In addition, JPMFD receives the contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in Note 4.F.
34
<Page>
C. SHAREHOLDER SERVICING FEE -- The Trust has entered into a Shareholder
Servicing Agreement with JPMCB under which JPMCB provides account administration
and personal account maintenance service to the shareholders. JPMCB may obtain
the services of one or more Shareholder Servicing Agents. For these services
JPMCB or the Shareholder Servicing Agent will receive a fee that is computed
daily and paid monthly equal to a percentage of the average daily net assets as
shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
0.25 0.25 0.25 0.10 0.25
</Table>
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and JPMIF are parties to
separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Fund available to customers of investment advisors
and other financial intermediaries who are Schwab's clients. The Fund is not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationships between Schwab, JPMIF and JPMCB are
terminated, the Fund would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
The Shareholder Servicing Agents waived fees as outlined in Note 4.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and
custody services for the Fund. Compensation for such services is presented in
the Statement of Operations as Custodian fees. The custodian fees may be reduced
by credits earned by the Fund, based on the uninvested cash balances held by the
custodian. Such earning credits are presented separately in the Statement of
Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Fund. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
BISYS Fund Services, L.P. ("BISYS") serves as the Fund's sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Fund to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentage of
its respective average daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
1.25 1.93 1.93 0.65 0.98
</Table>
35
<Page>
The expense limitation percentages in the table above are due to expire as
follows:
<Table>
<Caption>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
4/30/06 4/30/06 4/30/06 4/30/05 4/30/06
</Table>
The Administrator waived fees and reimbursed expenses as outlined in Note 4.F.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2003, the
Fund's vendors waived fees as follows (amounts in thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
---------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
$ 273 $ 102 $ 161 $ -- $ 536
</Table>
In addition, during the period, the Administrator voluntarily waived expenses of
$77 (amount in thousands).
G. OTHER -- Certain officers of the Trust are officers of JPMorgan or of BISYS
or their subsidiaries.
During the period, the Fund purchased securities from an underwriting syndicate
in which the principal underwriter or members of the syndicate were affiliated
with the Advisor.
For the six months ended June 30, 2003, the Fund incurred less than one thousand
dollars as brokerage commissions with brokers/dealers affiliated with JPMCB.
5. CLASS SPECIFIC EXPENSES
The Fund's class specific expenses for the six months ended June 30, 2003 are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
Class A $ 29 $ 29 $ 41
Class B 8 26 12
Class C 1 1 1
Institutional 129 -- 5
Select 321 -- 31
----------------------------------------------
$ 488 $ 56 $ 90
----------------------------------------------
</Table>
36
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Fund's class specific distributions from net investment income and realized
gain on investment transactions for the six months ended June 30, 2003, and the
year ended December 31, 2002, are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 6/30/03 YEAR ENDED 12/31/02
--------------------------------- ---------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
Class A $ 160 $ -- $ -- $ --
Class B 25 -- -- --
Class C 1 -- -- --
Institutional 2,407 -- 6,452 --
Select 1,860 -- 5,685 --
$ 4,453 $ -- $ 12,137 $ --
</Table>
7. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2003, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
$ 163,677 $ 191,720 $ 549,786 $ 574,348
</Table>
8. 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>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
$ 576,344 $ 78,681 $ (8,469) $ 70,212
</Table>
37
<Page>
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Fund may
borrow money for temporary or emergency purposes. The Fund has entered into the
agreement, enabling it to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to the
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Fund also pays a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Fund. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement will expire on April 15, 2004.
Prior to April 17, 2003, the Fund could borrow money for temporary or emergency
purposes. The Fund had entered into an agreement, enabling it to participate
with other JPMorgan Funds in an unsecured line of credit with a syndicate of
banks, which permitted borrowings up to $400 million, collectively. Interest was
charged to the Fund based on its borrowings at an annual rate equal to the sum
of the Federal Funds Rate plus 0.50%. The Fund also paid a commitment fee of
0.09% per annum on the average daily amount of the available commitment, which
was allocated on a pro-rata basis to the Fund. This agreement expired on April
16, 2003.
The Fund had no borrowings outstanding at June 30, 2003, nor at anytime during
the period then ended.
10. CONCENTRATIONS AND INDEMNIFICATIONS
The Fund may have elements of risk not typically associated with investments in
the United States of America due to concentrated investments in a limited number
of countries or regions, which may vary throughout the year. Such concentrations
may subject the Fund to additional risks resulting from political or economic
conditions in such countries or regions and the possible imposition of adverse
governmental laws or currency exchange restrictions could then cause the
securities and their markets to be less liquid and their prices more volatile
than those of comparable U.S. securities.
The ability of the issuers of debt, asset-backed and mortgage-backed securities,
along with counterparties to swap and option agreements, to meet their
obligations may be affected by the economic and political developments in a
specific industry or region. The value of asset-backed and mortgage-backed
securities can be significantly affected by changes in interest rates or rapid
principal payments including prepayments.
From time to time, the Fund 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 Fund.
In the normal course of business, the Fund may enter into contracts that contain
a variety of representations which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund can expect the risk of loss to be remote.
11. SUBSEQUENT EVENTS
On or about September 1, 2003, J.P. Morgan Fleming Asset Management (USA), Inc.
("JPMFAM") and Robert Fleming, Inc. ("RFI") will merge into JPMIM. JPMIM, as the
surviving entity, will assume all the rights and obligations of JPMFAM and RFI.
In addition, on or about October 1, 2003, it is expected that JPMIM will change
from being a wholly owned subsidiary of JPMorgan ("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>
12. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003* DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 1,336 $ --
Shares issued in connection with
Fund Reorganization (Note 2) 41,788 --
Shares issued in reinvestment of distributions 132 --
Shares redeemed (2,427) --
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 40,829 $ --
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 121 --
Shares issued in connection with
Fund Reorganization (Note 2) 3,881 --
Shares issued in reinvestment of distributions 12 --
Shares redeemed (219) --
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 3,795 --
- ----------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 324 $ --
Shares issued in connection with
Fund Reorganization (Note 2) 12,459 --
Shares issued in reinvestment of distributions 22 --
Shares redeemed (846) --
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 11,959 $ --
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 29 --
Shares issued in connection with
Fund Reorganization (Note 2) 1,157 --
Shares issued in reinvestment of distributions 2 --
Shares redeemed (77) --
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 1,111 --
- ----------------------------------------------------------------------------------------------------
</Table>
* From commencement of operations on March 24, 2003.
39
<Page>
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003* DECEMBER 31, 2002
CLASS C SHARES
AMOUNT
Shares sold $ 15 $ --
Shares issued in connection with
Fund Reorganization (Note 2) 668 --
Shares issued in reinvestment of distributions --^ --
Shares redeemed (50) --
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 633 $ --
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 1 --
Shares issued in connection with
Fund Reorganization (Note 2) 62 --
Shares issued in reinvestment of distributions --^ --
Shares redeemed (4) --
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 59 --
- ----------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 23,262 $ 53,015
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment of distributions 2,128 5,710
Shares redeemed (33,850) (258,625)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (8,460) $ (199,900)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,151 4,424
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment of distributions 191 506
Shares redeemed (3,060) (21,182)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (718) (16,252)
- ----------------------------------------------------------------------------------------------------
</Table>
* For Class C, from commencement of operations on March 24, 2003.
^ Amount rounds to less than one thousand.
40
<Page>
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
SELECT SHARES
AMOUNT
Shares sold $ 12,349 $ 107,949
Shares issued in connection with
Fund Reorganization (Note 2) 9,290 --
Shares issued in reinvestment of distributions 1,838 5,611
Shares redeemed (47,213) (141,377)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (23,736) $ (27,817)
- ----------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,130 9,956
Shares issued in connection with
Fund Reorganization (Note 2) 862 --
Shares issued in reinvestment of distributions 165 499
Shares redeemed (4,354) (12,518)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (2,197) (2,063)
- ----------------------------------------------------------------------------------------------------
</Table>
41
<Page>
JPMorgan Diversified Fund
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
3/24/03*
THROUGH
6/30/03
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 10.77
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04@
Net gains or losses on securities
(both realized and unrealized) 0.83
- -----------------------------------------------------------------------------------
Total from investment operations 0.87
- -----------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.04
Distributions from capital gains --
- -----------------------------------------------------------------------------------
Total distributions 0.04
- -----------------------------------------------------------------------------------
Net asset value, end of period $ 11.60
- -----------------------------------------------------------------------------------
TOTAL RETURN(a)(b) 8.10%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 44
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.25%
Net investment income (loss) 1.24%
Expenses without waivers,
reimbursements and earnings credits 1.67%
Net investment income (loss)
without waivers, reimbursements
and earnings credits 0.82%
PORTFOLIO TURNOVER RATE(a) 138%
- -----------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
(b) Total return figures do not include the effect of any front-end sales load.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
CLASS B SHARES
<Table>
<Caption>
3/24/03*
THROUGH
6/30/03
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 10.77
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02@
Net gains or losses on securities
(both realized and unrealized) 0.83
- -----------------------------------------------------------------------------------
Total from investment operations 0.85
- -----------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.02
Distributions from capital gains --
- -----------------------------------------------------------------------------------
Total distributions 0.02
- -----------------------------------------------------------------------------------
Net asset value, end of period $ 11.60
- -----------------------------------------------------------------------------------
TOTAL RETURN(a)(b) 7.91%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 13
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.93%
Net investment income (loss) 0.56%
Expenses without waivers,
reimbursements and earnings credits 2.17%
Net investment income (loss)
without waivers, reimbursements
and earnings credits 0.32%
PORTFOLIO TURNOVER RATE(a) 138%
- -----------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
(b) Total return figures do not include the effect of any deferred sales load.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
CLASS C SHARES
<Table>
<Caption>
3/24/03*
THROUGH
6/30/03
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 10.77
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02@
Net gains or losses on securities
(both realized and unrealized) 0.83
- -----------------------------------------------------------------------------------
Total from investment operations 0.85
- -----------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.02
Distributions from capital gains --
- -----------------------------------------------------------------------------------
Total distributions 0.02
- -----------------------------------------------------------------------------------
Net asset value, end of period $ 11.60
- -----------------------------------------------------------------------------------
TOTAL RETURN(a)(b) 7.90%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 1.93%
Net investment income (loss) 0.56%
Expenses without waivers,
reimbursements and earnings credits 2.17%
Net investment income (loss)
without waivers, reimbursements
and earnings credits 0.32%
PORTFOLIO TURNOVER RATE(a) 138%
- -----------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
(b) Total return figures do not include the effect of any deferred sales load.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
INSTITUTIONAL SHARES
<Table>
<Caption>
1/1/03 YEAR 7/1/01 YEAR YEAR YEAR YEAR
THROUGH ENDED THROUGH ENDED ENDED ENDED ENDED
6/30/03 12/31/02 12/31/01^ 6/30/01 6/30/00 6/30/99 6/30/98
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 10.76 $ 12.65 $ 13.20 $ 14.93 $ 14.69 $ 14.18 $ 13.39
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.10@ 0.25@ 0.14@ 0.39 0.38 0.38 0.39
Net gains or losses on securities
(both realized and unrealized) 0.84 (1.89) (0.50) (1.38) 0.61 1.44 1.89
- ---------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.94 (1.64) (0.36) (0.99) 0.99 1.82 2.28
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.10 0.25 0.19 0.38 0.27 0.39 0.59
Distributions from capital gains -- -- -- 0.36 0.48 0.92 0.90
- ---------------------------------------------------------------------------------------------------------------------
Total distributions 0.10 0.25 0.19 0.74 0.75 1.31 1.49
- ---------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 11.60 $ 10.76 $ 12.65 $ 13.20 $ 14.93 $ 14.69 $ 14.18
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(a) 8.80% (13.00%) (2.71%) (6.69%) 6.88% 13.77% 18.42%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 267 $ 255 $ 505 $ 582 $ 622 $ 609 $ 332
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.65% 0.65% 0.65% 0.65% 0.65% 0.65% 0.65%
Net investment income (loss) 1.85% 1.98% 2.21% 2.75% 2.48% 2.55% 3.12%
Expenses without waivers,
reimbursements and earnings credits 0.91% 0.91% 0.87% 0.83% 0.80% 0.84% 0.88%
Net investment income (loss)
without waivers, reimbursements
and earnings credits 1.59% 1.72% 1.99% 2.57% 2.33% 2.36% 2.89%
PORTFOLIO TURNOVER RATE(a)~ 138% 232% 107% 185% 217% 144% 82%
- ---------------------------------------------------------------------------------------------------------------------
</Table>
^ The Fund changed its fiscal year end from June 30 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, DF invested all of its investable assets in The
Diversified Portfolio ("DP"). The portfolio turnover rate disclosed prior to
September 10, 2001, is the turnover rate of DP.
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
SELECT CLASS SHARES+
<Table>
<Caption>
1/1/03 YEAR 7/1/01 YEAR YEAR YEAR YEAR
THROUGH ENDED THROUGH ENDED ENDED ENDED ENDED
6/30/03 12/31/02 12/31/01^ 6/30/01 6/30/00 6/30/99 6/30/98
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 10.76 $ 12.65 $ 13.36 $ 15.15 $ 14.92 $ 13.74 $ 12.67
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09@ 0.20@ 0.13@ 0.35 0.33 0.31 0.30
Net gains or losses on securities
(both realized and unrealized) 0.84 (1.87) (0.52) (1.41) 0.63 1.47 1.85
- ---------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.93 (1.67) (0.39) (1.06) 0.96 1.78 2.15
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.08 0.22 0.32 0.35 0.24 0.33 0.48
Distributions from capital gains -- -- -- 0.38 0.49 0.27 0.60
- ---------------------------------------------------------------------------------------------------------------------
Total distributions 0.08 0.22 0.32 0.73 0.73 0.60 1.08
- ---------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 11.61 $ 10.76 $ 12.65 $ 13.36 $ 15.15 $ 14.92 $ 13.74
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(a) 8.69% (13.22%) (2.90%) (7.01%) 6.61% 13.35% 18.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 265 $ 270 $ 343 $ 360 $ 359 $ 266 $ 227
RATIOS TO AVERAGE NET ASSETS:#
Net expenses 0.92% 0.91% 0.93% 0.98% 0.96% 0.98% 0.98%
Net investment income (loss) 1.57% 1.72% 1.96% 2.42% 2.19% 2.22% 2.81%
Expenses without waivers,
reimbursements and earnings credits 1.08% 1.08% 1.03% 1.01% 0.98% 1.01% 1.07%
Net investment income (loss)
without waivers, reimbursements
and earnings credits 1.41% 1.55% 1.86% 2.39% 2.17% 2.19% 2.72%
PORTFOLIO TURNOVER RATE(a)~ 138% 232% 107% 185% 217% 144% 82%
- ---------------------------------------------------------------------------------------------------------------------
</Table>
+ Prior to the open of business on September 10, 2001, the class underwent a
split of shares in connection with a prior Fund reorganization. Prior
periods have been restated to reflect the split.
^ The Fund changed its fiscal year end from June 30 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, DF invested all of its investable assets in The
Diversified Portfolio ("DP"). The portfolio turnover rate disclosed prior to
September 10, 2001, is the turnover rate of DP.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
JPMorgan Diversified Fund
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Shareholders of
JPMorgan Diversified Fund
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio 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 Diversified Fund (the
"Fund") at June 30, 2003, and the results of its operations, the changes in its
net assets and the financial highlights for each of the periods presented, 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 Fund's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with 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
audits, 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
47
<Page>
JPMorgan Diversified Fund
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
A Special Meeting of Shareholders was held on February 13, 2003 at 522 Fifth
Avenue, New York, New York 10036 for purposes of approving an Agreement and Plan
of Reorganization (the "Reorganization Plan") between the following series of
J.P. Morgan Institutional Funds and J.P. Morgan Mutual Fund Group:
<Table>
<Caption>
ACQUIRING FUND TARGET FUND
JPMorgan Diversified Fund JPMorgan Balanced Fund ("BF")
</Table>
Under the Reorganization Plan, the Target Fund transferred all of its assets and
liabilities to the Acquiring Fund in a tax-free reorganization. In exchange,
shareholders of the Target Fund received shares of the Acquiring Fund with a
value equal to their respective holdings in the Target Fund. A majority of
shareholders approved the Reorganization Plan by the following votes:
<Table>
<Caption>
FOR AGAINST ABSTAIN
BF 1,495,033 78,442 92,806
</Table>
48
<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.
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Fleming Asset Management is a premier global wealth manager that has
been working with affluent investors for over a hundred years. We have a keen
understanding of the unique needs of the affluent investor's financial needs.
The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the
foundation from which our investment products have been built. Our investment
professionals are based in 44 countries across the globe. This local insight
provides us with a global view of every investment decision we make which we
believe is crucial in light of the ever-increasing rise of globalization in our
market place. JPMorgan Fleming Asset Management is dedicated to working as an
EXPERIENCED PARTNER with your financial advisor to help provide you with the
WEALTH SOLUTIONS your portfolio needs.
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.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
393 Manley Street U.S. POSTAGE
West Bridgewater, MA 02379-1039 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2003 All rights reserved, August 2003.
SAN-DF-603
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI-ANNUAL REPORT JUNE 30, 2003 (UNAUDITED)
U.S. EQUITY MID/SMALL CAP FUNDS
DYNAMIC SMALL CAP 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. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Fleming Asset Management is a premier global wealth manager that has
been working with affluent investors for over a hundred years. We have a keen
understanding of the unique needs of the affluent investor's financial needs.
The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the
foundation from which our investment products have been built. Our investment
professionals are based in 44 countries across the globe. This local insight
provides us with a global view of every investment decision we make which we
believe is crucial in light of the ever-increasing rise of globalization in our
market place. JPMorgan Fleming Asset Management is dedicated to working as an
EXPERIENCED PARTNER with your financial advisor to help provide you with the
WEALTH SOLUTIONS your portfolio needs.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries: 3
Dynamic Small Cap Fund 3
Mid Cap Equity Fund 6
Mid Cap Growth Fund 9
Mid Cap Value Fund 12
Small Cap Equity Fund 15
Small Cap Growth Fund 18
Trust Small Cap Equity 21
U.S. Small Company Fund 24
U.S. Small Company Opportunities Fund 27
Portfolios of Investments 30
Financial Statements 62
Notes to Financial Statements 79
Financial Highlights 100
</Table>
HIGHLIGHTS
- - Quicker than expected war sparks relief rally
- - Liquidity and positive Q1 earnings support investor sentiment
- - Economic data remains mixed
- - Small stocks attractive versus large
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 U.S. MID AND SMALL CAP EQUITY FUNDS
PRESIDENT'S LETTER AUGUST 4, 2003
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan U.S. Mid- and
Small-Cap Equity Funds for the six months 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, 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. Small Cap
had risen 11.77% year to date, while the S&P 600 Index of small company stocks
was up 12.92%.
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.
[SIDENOTE]
[PHOTO OF GEORGE C.W. GATCH]
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.
<Page>
FUND FAMILY NEWS
Effective July 31, 2003, JPMorgan U.S. Small Company Opportunities Fund's
portfolio management team is led by Eytan Shapiro and Timothy Parton. Your
Fund's investment objective will remain the same. In managing the Fund,
J.P. Morgan Investment Management Inc. (JPMIM), the adviser, employs a
philosophy that emphasizes long-term investments in growth companies with
leading competitive positions, run by highly motivated and talented management
that can sustain growth over a period of many years. The adviser uses a "bottom
up" approach to construct the Fund's portfolio, basing its stock selection on a
combination of proprietary company research complemented by research derived
from third-party sources. The research process is designed to identify companies
with predictable and durable business models deemed capable of achieving
sustainable growth. Potential investments are subjected to rigorous financial
analysis and a disciplined approach to valuation.
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
JPMORGAN FUNDS
2
<Page>
JPMORGAN DYNAMIC SMALL CAP FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 5/19/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $150.3
Primary Benchmark S&P SMALL CAP 600
BARRA GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Dynamic Small Cap Fund, which seeks capital growth over the long
term, rose 12.60% (A shares, net of fees) in the six months ended June 30,
2003. This compares with a rise of 12.73% for the S&P SmallCap 600 Barra
Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the rise in small capitalization U.S. growth stocks,
although it trailed the S&P SmallCap 600 Barra Growth Index by a small
margin.
Stock selection in the consumer cyclical, Pharmaceutical and Energy sectors
had the largest positive impact on relative performance. In consumer
cyclical, two post-secondary education companies, Career Education Corp, and
Education Management Corp, benefited from strong enrollment and tuition
growth. Additionally, Coach Inc , which is among America's leading luxury
accessory brands, reported strong third quarter sales and operating margins.
Within pharmaceuticals, biotechnology companies, Scios and Celgene, were
leading performers. Scios was acquired by Johnson & Johnson in February at a
premium to the market price. Celgene, which makes drugs to treat cancer and
immunological diseases, reported 45% 2002 revenue growth and forecast 40-50%
2003 revenue growth for its cancer treatment, Thalomid. In energy, Pride
International, an oil & gas drilling contractor, benefited as drilling
activity picked up in the Gulf of Mexico.
Semiconductors and retail were the weakest sectors compared with the
benchmark. In semiconductors, the Fund suffered from being less exposed to
the lower quality, non-earning stocks that outperformed. Semiconductor
capital equipment holding, Rudolph Technologies, underperformed due to
concerns regarding increased competition in the market for semiconductor
copper connection measurement and testing. Within retail, Too Inc and
California Pizza Kitchen performed poorly. Too Inc, the girls' fashion
retailer, reported a drop in first quarter profits after it misjudged spring
fashion trends. California Pizza Kitchen experienced decelerating average
weekly restaurant sales.
Q: HOW WAS THE FUND MANAGED?
A: In the absence of any clear, sustainable industry leadership coming out of
the recession, the Fund has maintained broad diversification across the
small-cap growth universe. The largest overweights were in the energy and
pharmaceutical sectors. The largest underweights have been in finance and
basic materials. We continue to look for ideas in the healthcare technology,
pharmaceutical, software, and industrial cyclical areas that should deliver
upside during the recovery.
3
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 26.8%
Technology 21.1%
Industrial Products & Services 13.6%
Health Services & Systems 12.8%
Energy 9.0%
Finance & Insurance 7.7%
Pharmaceuticals 6.9%
Utilities 0.7%
Short-Term Investments 0.7%
REITs 0.5%
Telecommunications 0.2%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Career Education Corp. 2.1%
2. Odyssey Healthcare, Inc. 2.0%
3. Mid Atlantic Medical Servives 1.9%
4. Fair Isaac Corp. 1.6%
5. Ansys, Inc. 1.6%
6. P.F. Chang's China Bistro, Inc. 1.6%
7. Advanced Neuromodulation Systems 1.5%
8. Heartland Express, Inc. 1.5%
9. Education Management Corp. 1.4%
10. Cabot Microelectronics Corp. 1.4%
</Table>
Top 10 equity holdings comprised 16.6% of the Portfolio's market value of
investments ($25,354 in thousands). As of June 30, 2003 the Fund held 106 equity
holdings. Portfolio holdings are subject to change at any time.
4
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (5/19/97)
----------------------------------------------
CLASS A SHARES
Without Sales Charge (5.53%) (12.78%) 1.47% 8.41%
With Sales Charge* (10.94%) (14.48%) 0.28% 7.36%
----------------------------------------------
CLASS B SHARES
Without CDSC (6.11%) (13.32%) 0.80% 7.69%
With CDSC** (10.81%) (14.05%) 0.46% 7.69%
----------------------------------------------
CLASS C SHARES
Without CDSC (6.12%) (13.32%) 0.80% 7.68%
With CDSC*** (7.06%) (13.32%) 0.80% 7.68%
----------------------------------------------
SELECT SHARES (5.18%) (12.40%) 1.79% 8.69%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (05/19/97 TO 06/30/03)
<Table>
<Caption>
JPMORGAN DYNAMIC SMALL CAP FUND S&P SMALLCAP 600/BARRA LIPPER SMALL-CAP
(CLASS A SHARES) GROWTH INDEX GROWTH FUNDS INDEX
May-1997 $ 9,425 $ 10,000 $ 10,000
May-1997 $ 9,925 $ 10,000 $ 10,000
Jun-1997 $ 10,962 $ 10,357 $ 10,535
Jul-1997 $ 12,083 $ 10,977 $ 11,169
Aug-1997 $ 12,497 $ 11,317 $ 11,347
Sep-1997 $ 13,384 $ 12,036 $ 12,302
Oct-1997 $ 13,054 $ 11,372 $ 11,674
Nov-1997 $ 12,545 $ 11,157 $ 11,410
Dec-1997 $ 12,602 $ 11,289 $ 11,258
Jan-1998 $ 12,442 $ 11,083 $ 11,091
Feb-1998 $ 13,676 $ 12,177 $ 11,988
Mar-1998 $ 14,778 $ 12,500 $ 12,529
Apr-1998 $ 14,938 $ 12,565 $ 12,621
May-1998 $ 13,892 $ 11,779 $ 11,727
Jun-1998 $ 14,353 $ 11,856 $ 12,071
Jul-1998 $ 13,468 $ 11,132 $ 11,163
Aug-1998 $ 10,490 $ 8,847 $ 8,725
Sep-1998 $ 11,630 $ 9,463 $ 9,192
Oct-1998 $ 12,055 $ 9,929 $ 9,554
Nov-1998 $ 12,950 $ 10,621 $ 10,331
Dec-1998 $ 14,299 $ 11,546 $ 11,366
Jan-1999 $ 14,148 $ 11,389 $ 11,641
Feb-1999 $ 12,905 $ 10,269 $ 10,521
Mar-1999 $ 13,216 $ 10,565 $ 10,997
Apr-1999 $ 13,706 $ 11,049 $ 11,426
May-1999 $ 13,640 $ 11,146 $ 11,488
Jun-1999 $ 15,082 $ 11,739 $ 12,564
Jul-1999 $ 15,102 $ 11,711 $ 12,520
Aug-1999 $ 14,828 $ 11,174 $ 12,345
Sep-1999 $ 15,008 $ 11,438 $ 12,793
Oct-1999 $ 15,065 $ 11,611 $ 13,538
Nov-1999 $ 16,366 $ 12,281 $ 15,247
Dec-1999 $ 18,610 $ 13,806 $ 18,321
Jan-2000 $ 18,327 $ 13,616 $ 18,130
Feb-2000 $ 22,673 $ 16,456 $ 23,442
Mar-2000 $ 22,144 $ 14,955 $ 21,602
Apr-2000 $ 22,249 $ 14,385 $ 18,932
May-2000 $ 20,411 $ 13,770 $ 17,383
Jun-2000 $ 23,276 $ 15,021 $ 20,445
Jul-2000 $ 21,919 $ 13,994 $ 19,114
Aug-2000 $ 25,021 $ 15,680 $ 21,169
Sep-2000 $ 23,757 $ 14,846 $ 20,121
Oct-2000 $ 23,135 $ 14,962 $ 18,612
Nov-2000 $ 19,637 $ 12,718 $ 15,442
Dec-2000 $ 20,735 $ 13,886 $ 16,807
Jan-2001 $ 20,679 $ 13,897 $ 17,320
Feb-2001 $ 18,148 $ 12,718 $ 15,103
Mar-2001 $ 16,418 $ 12,061 $ 13,636
Apr-2001 $ 17,751 $ 13,231 $ 15,109
May-2001 $ 18,350 $ 13,382 $ 15,519
Jun-2001 $ 18,689 $ 13,812 $ 15,910
Jul-2001 $ 18,136 $ 13,477 $ 15,023
Aug-2001 $ 17,311 $ 13,076 $ 14,134
Sep-2001 $ 15,242 $ 11,416 $ 11,928
Oct-2001 $ 16,056 $ 12,111 $ 12,802
Nov-2001 $ 16,778 $ 12,910 $ 13,794
Dec-2001 $ 17,762 $ 13,722 $ 14,630
Jan-2002 $ 17,479 $ 13,703 $ 14,188
Feb-2002 $ 17,186 $ 13,279 $ 13,330
Mar-2002 $ 18,169 $ 14,214 $ 14,420
Apr-2002 $ 18,338 $ 14,419 $ 14,040
May-2002 $ 17,604 $ 13,761 $ 13,477
Jun-2002 $ 16,351 $ 12,943 $ 12,475
Jul-2002 $ 14,328 $ 11,395 $ 10,706
Aug-2002 $ 14,294 $ 11,622 $ 10,690
Sep-2002 $ 13,423 $ 11,048 $ 10,042
Oct-2002 $ 13,955 $ 11,528 $ 10,471
Nov-2002 $ 14,452 $ 12,107 $ 11,349
Dec-2002 $ 13,717 $ 11,615 $ 10,591
Jan-2003 $ 13,266 $ 11,297 $ 10,311
Feb-2003 $ 12,984 $ 10,991 $ 9,989
Mar-2003 $ 13,198 $ 11,201 $ 10,195
Apr-2003 $ 14,147 $ 12,001 $ 11,037
May-2003 $ 15,085 $ 12,813 $ 12,163
Jun-2003 $ 15,443 $ 13,093 $ 12,575
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 5/19/97.
Class A and Class B Shares were introduced on 5/19/97.
Returns for the Select Shares prior to 4/5/99 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class C Shares prior to 1/7/98 (offering date of the Class C
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Dynamic Small Cap Fund, S&P SmallCap 600/BARRA Growth
Index, and Lipper Small-Cap Growth Funds Index from May 19, 1997 to June 30,
2003.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and includes a sales charge. The performance of the indices reflects an
initial investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The S&P SmallCap 600/BARRA Growth Index is a
capitalization-weighted index of all the stocks in the S&P SmallCap 600 Index
with higher price-to-book ratios. The Lipper Small-Cap Growth Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMORGAN MID CAP EQUITY FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $158.7
Primary Benchmark RUSSELL MID
CAP INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Mid Cap Equity Fund (formerly JPMorgan Select Mid Cap Equity Fund),
which seeks to provide long term capital growth from a portfolio of mid cap
stocks, rose 13.65% (Select Shares) during the six-months ended June 30,
2003. This compares with a gain of 15.47% for the Russell Mid Cap Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Though the Fund participated in the market's climb, results trailed the
benchmark. In a period where all sectors of the Fund and benchmark registered
gains, it was the more aggressive, high beta stocks that led the benchmark
higher. Stock selection, combined with a relative underweight in the
technology sector, hindered performance relative to the index. Additionally,
the Fund's healthcare holdings, which rose sharply during the period,
under-performed their benchmark peer group.
The portfolio's top detractors were Jones Apparel, a leading manufacturer of
brand name clothing and accessories, and Brinker International, operator of
Chili's Grill & Bar and other restaurant chains. Shares of Jones Apparel
declined after management announced in January that they were in discussions
regarding a possible restructuring of its license agreements with Polo Ralph
Lauren. We sold our position in the company due to the uncertainty over how
the issue will be resolved, and the potential financial impact of the
resolution. Shares of Brinker International declined as investor sentiment
turned negative due to rising industry costs and adverse weather conditions
earlier in the year.
The portfolio's top contributor was T. Rowe Price Group, a leading provider
of no-load mutual funds. Investors overlooked disappointing 1Q 03 operating
results as equity mutual fund inflows turned strongly positive, reversing a
trend in which investors had pulled money out of equity funds for the last
three-quarters. Increased fund inflows, plus the appreciation of existing
fund assets, will have a direct, positive impact on T. Rowe's revenues, which
are tied to the overall level of assets under management.
Q: HOW WAS THE FUND MANAGED?
A: Despite the Fund's solid gains for the period, performance relative to the
market was somewhat muted by lack of exposure to the highly cyclical and/or
highly leveraged segments of the market that have been the driving force
behind the recent rally. However, our focus on quality companies works to
smooth out portfolio performance at sharp inflection points in the market
such as the one just experienced.
6
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.2%
Technology 17.1%
Finance & Insurance 16.0%
Health Services & Systems 9.2%
Industrial Products & Services 8.7%
Energy 6.6%
Utilities 5.0%
REITs 4.9%
Pharmaceuticals 3.7%
Telecommunications 3.1%
Short-Term Investments 2.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Deluxe Corp. 1.7%
2. T. Rowe Price Group, Inc. 1.6%
3. Outback Steakhouse, Inc. 1.6%
4. The E.W Scripps Co. 1.5%
5. Devon Energy Corp. 1.5%
6. Republic Services, Inc. 1.2%
7. Gannett Co., Inc. 1.2%
8. Florida Rock Industries, Inc. 1.2%
9. Kinder Morgan, Inc. 1.1%
10. Golden West Financial Corp. 1.1%
</Table>
Top 10 equity holdings comprised 13.7% of the Portfolio's market value of
investments ($21,851 in thousands). As of June 30, 2003 the Fund held 187 equity
holdings. Portfolio holdings are subject to change at any time.
7
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- ------------------------------------------------------------
SELECT SHARES 4.54% 0.55% 5.99% 9.98%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
<Table>
<Caption>
JPMORGAN MID CAP EQUITY FUND RUSSELL MID-CAP INDEX LIPPER MID-CAP CORE FUNDS INDEX
Jun-1993 $ 5,000,000 $ 5,000,000 $ 5,000,000
Jul-1993 $ 5,028,000 $ 5,024,000 $ 5,034,500
Aug-1993 $ 5,306,048 $ 5,247,568 $ 5,270,618
Sep-1993 $ 5,392,537 $ 5,267,509 $ 5,460,887
Oct-1993 $ 5,422,196 $ 5,271,723 $ 5,566,829
Nov-1993 $ 5,222,117 $ 5,149,419 $ 5,372,546
Dec-1993 $ 5,434,135 $ 5,335,828 $ 5,616,997
Jan-1994 $ 5,625,960 $ 5,483,097 $ 5,772,026
Feb-1994 $ 5,635,524 $ 5,408,526 $ 5,731,045
Mar-1994 $ 5,364,455 $ 5,178,123 $ 5,431,884
Apr-1994 $ 5,345,680 $ 5,213,852 $ 5,459,044
May-1994 $ 5,271,375 $ 5,221,152 $ 5,388,076
Jun-1994 $ 5,126,412 $ 5,066,606 $ 5,171,476
Jul-1994 $ 5,232,529 $ 5,240,390 $ 5,290,419
Aug-1994 $ 5,467,469 $ 5,488,785 $ 5,594,619
Sep-1994 $ 5,496,994 $ 5,354,858 $ 5,601,332
Oct-1994 $ 5,477,754 $ 5,395,555 $ 5,664,067
Nov-1994 $ 5,280,007 $ 5,157,611 $ 5,455,063
Dec-1994 $ 5,330,167 $ 5,224,660 $ 5,578,893
Jan-1995 $ 5,261,408 $ 5,331,766 $ 5,505,809
Feb-1995 $ 5,475,021 $ 5,607,951 $ 5,718,884
Mar-1995 $ 5,723,040 $ 5,768,339 $ 5,837,265
Apr-1995 $ 5,746,504 $ 5,855,441 $ 5,833,763
May-1995 $ 5,915,451 $ 6,048,085 $ 5,917,186
Jun-1995 $ 6,085,816 $ 6,251,300 $ 6,281,684
Jul-1995 $ 6,497,826 $ 6,554,488 $ 6,681,827
Aug-1995 $ 6,560,205 $ 6,654,772 $ 6,771,364
Sep-1995 $ 6,705,842 $ 6,805,170 $ 6,934,554
Oct-1995 $ 6,385,973 $ 6,652,734 $ 6,711,261
Nov-1995 $ 6,605,651 $ 6,983,375 $ 6,915,284
Dec-1995 $ 6,643,963 $ 7,023,878 $ 6,994,118
Jan-1996 $ 6,653,929 $ 7,172,082 $ 7,070,354
Feb-1996 $ 6,778,358 $ 7,340,626 $ 7,348,926
Mar-1996 $ 6,833,940 $ 7,447,065 $ 7,433,438
Apr-1996 $ 7,046,476 $ 7,657,817 $ 7,843,021
May-1996 $ 7,188,815 $ 7,773,450 $ 8,043,802
Jun-1996 $ 6,983,215 $ 7,656,848 $ 7,764,682
Jul-1996 $ 6,342,155 $ 7,182,890 $ 7,180,778
Aug-1996 $ 6,852,699 $ 7,524,795 $ 7,568,540
Sep-1996 $ 7,445,457 $ 7,896,520 $ 7,965,131
Oct-1996 $ 7,121,580 $ 7,959,692 $ 7,881,498
Nov-1996 $ 7,189,235 $ 8,444,437 $ 8,226,707
Dec-1996 $ 7,135,316 $ 8,358,304 $ 8,246,451
Jan-1997 $ 7,327,256 $ 8,670,905 $ 8,507,864
Feb-1997 $ 7,018,046 $ 8,657,898 $ 8,274,748
Mar-1997 $ 6,473,445 $ 8,289,938 $ 7,883,353
Apr-1997 $ 6,507,755 $ 8,496,357 $ 7,934,595
May-1997 $ 7,258,749 $ 9,116,591 $ 8,753,445
Jun-1997 $ 7,621,687 $ 9,414,704 $ 9,070,319
Jul-1997 $ 8,088,134 $ 10,199,890 $ 9,707,056
Aug-1997 $ 7,924,754 $ 10,088,711 $ 9,732,294
Sep-1997 $ 8,479,487 $ 10,664,777 $ 10,392,144
Oct-1997 $ 8,127,588 $ 10,249,917 $ 9,974,380
Nov-1997 $ 8,055,252 $ 10,493,865 $ 9,961,413
Dec-1997 $ 8,205,886 $ 10,782,446 $ 10,078,957
Jan-1998 $ 8,235,427 $ 10,579,736 $ 9,901,568
Feb-1998 $ 9,091,911 $ 11,407,071 $ 10,745,181
Mar-1998 $ 9,616,514 $ 11,947,767 $ 11,268,472
Apr-1998 $ 9,855,966 $ 11,977,636 $ 11,398,059
May-1998 $ 9,213,357 $ 11,607,527 $ 10,811,059
Jun-1998 $ 9,668,496 $ 11,767,711 $ 10,934,305
Jul-1998 $ 9,078,718 $ 11,206,391 $ 10,312,143
Aug-1998 $ 7,075,045 $ 9,414,489 $ 8,210,528
Sep-1998 $ 7,786,087 $ 10,023,607 $ 8,926,487
Oct-1998 $ 8,071,058 $ 10,707,217 $ 9,434,404
Nov-1998 $ 8,590,027 $ 11,214,739 $ 9,908,011
Dec-1998 $ 9,538,366 $ 11,873,044 $ 10,861,161
Jan-1999 $ 9,693,841 $ 11,852,860 $ 10,810,114
Feb-1999 $ 8,912,518 $ 11,458,159 $ 10,048,001
Mar-1999 $ 9,277,040 $ 11,816,800 $ 10,340,398
Apr-1999 $ 9,669,458 $ 12,690,061 $ 10,933,936
May-1999 $ 9,566,962 $ 12,653,260 $ 11,064,050
Jun-1999 $ 10,370,587 $ 13,099,920 $ 11,667,041
Jul-1999 $ 10,119,619 $ 12,740,982 $ 11,439,534
Aug-1999 $ 9,952,645 $ 12,410,991 $ 11,123,803
Sep-1999 $ 10,088,001 $ 11,974,124 $ 10,915,788
Oct-1999 $ 10,464,283 $ 12,541,698 $ 11,457,211
Nov-1999 $ 11,015,751 $ 12,902,899 $ 12,317,647
Dec-1999 $ 11,928,957 $ 14,038,354 $ 13,925,100
Jan-2000 $ 11,401,697 $ 13,573,684 $ 13,777,494
Feb-2000 $ 12,195,255 $ 14,617,500 $ 16,067,313
Mar-2000 $ 13,068,435 $ 15,455,083 $ 15,943,595
Apr-2000 $ 12,931,217 $ 14,724,058 $ 14,859,431
May-2000 $ 12,389,399 $ 14,333,870 $ 14,248,708
Jun-2000 $ 12,725,152 $ 14,758,153 $ 15,408,553
Jul-2000 $ 12,685,704 $ 14,592,861 $ 14,966,327
Aug-2000 $ 14,098,891 $ 15,990,858 $ 16,427,041
Sep-2000 $ 13,814,093 $ 15,762,188 $ 15,990,082
Oct-2000 $ 13,702,199 $ 15,519,451 $ 15,422,434
Nov-2000 $ 12,601,913 $ 14,122,700 $ 13,716,713
Dec-2000 $ 13,684,417 $ 15,197,438 $ 14,794,846
Jan-2001 $ 13,785,682 $ 15,442,116 $ 15,231,294
Feb-2001 $ 13,096,398 $ 14,501,691 $ 14,035,638
Mar-2001 $ 12,135,122 $ 13,602,587 $ 13,099,461
Apr-2001 $ 13,136,270 $ 14,765,608 $ 14,366,178
May-2001 $ 13,384,545 $ 15,040,248 $ 14,706,657
Jun-2001 $ 13,277,469 $ 14,898,870 $ 14,744,894
Jul-2001 $ 13,059,718 $ 14,472,762 $ 14,280,430
Aug-2001 $ 12,647,031 $ 13,915,561 $ 13,664,943
Sep-2001 $ 11,233,093 $ 12,237,344 $ 11,918,564
Oct-2001 $ 11,610,525 $ 12,721,943 $ 12,514,492
Nov-2001 $ 12,360,565 $ 13,788,042 $ 13,460,587
Dec-2001 $ 13,144,225 $ 14,342,321 $ 14,067,660
Jan-2002 $ 12,890,541 $ 14,256,267 $ 13,907,289
Feb-2002 $ 12,649,488 $ 14,105,151 $ 13,666,693
Mar-2002 $ 13,361,654 $ 14,951,460 $ 14,589,194
Apr-2002 $ 13,344,284 $ 14,661,401 $ 14,348,473
May-2002 $ 13,237,530 $ 14,495,727 $ 14,057,199
Jun-2002 $ 12,375,767 $ 13,524,514 $ 13,040,863
Jul-2002 $ 11,381,993 $ 12,204,521 $ 11,718,520
Aug-2002 $ 11,485,569 $ 12,271,646 $ 11,852,111
Sep-2002 $ 10,709,144 $ 11,138,973 $ 10,906,312
Oct-2002 $ 11,256,381 $ 11,701,491 $ 11,418,909
Nov-2002 $ 11,731,401 $ 12,513,575 $ 12,195,395
Dec-2002 $ 11,384,151 $ 12,020,540 $ 11,624,650
Jan-2003 $ 11,225,912 $ 11,777,725 $ 11,394,482
Feb-2003 $ 11,020,477 $ 11,622,259 $ 11,154,059
Mar-2003 $ 11,223,254 $ 11,737,319 $ 11,181,944
Apr-2003 $ 11,910,117 $ 12,589,449 $ 12,026,181
May-2003 $ 12,816,477 $ 13,741,383 $ 13,036,380
Jun-2003 $ 12,942,231 $ 13,880,171 $ 13,265,820
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $5,000,000 invested in the
JPMorgan Mid Cap Equity Fund, Russell MidCap Index, and Lipper Mid-Cap Core
Funds Index from June 30, 1993 to June 30, 2003. The performance of the Fund
assumes reinvestment of all dividends and capital gains. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell MidCap Index measures the performance of the smallest
800 companies of the Russell 1000 Index, which represents approximately 25% of
the total market capitalization of the Russell 1000 Index. The Lipper Mid-Cap
Core Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
Index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
8
<Page>
JPMORGAN MID CAP GROWTH FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 10/29/1999
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $58.8
Primary Benchmark RUSSELL MID CAP
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Mid Cap Growth Fund, which seeks to provide long-term growth through
a portfolio of mid-capitalization stocks, rose 16.25% (A shares, without
sales charge) during the six months ended June 30, 2003. This compares with a
gain of 18.74% for the Russell Mid Cap Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund posted a solid gain for the period, but modestly trailed its market
benchmark. All sectors posted positive returns in the period, with
particularly strong stock selection in the producer durable and auto &
transportation sectors. Weaker stock selection in the consumer discretionary
and technology sectors, however, offset the stronger results in other sectors
and led to the Fund's underperformance.
The portfolio's top detractors were Pepsi Cola Bottling, a manufacturer and
distributor of Pepsi-Cola beverages, and Brinker International, operator of
Chili's Grill & Bar and other restaurant chains. Shares of Pepsi Cola
Bottling declined after management cut its 2003 earnings forecast, as severe
weather earlier in the year negatively impacted sales. Following this
announcement we eliminated our position in the company. Shares of Brinker
International declined as investor sentiment turned negative due to rising
industry costs and adverse weather conditions earlier in the year.
The portfolio's top contributor for the period was Expedia, the provider of
online travel services. USA Interactive announced in March that it would buy
the remaining stake in Expedia. The deal comes five months after USA
Interactive dropped an earlier effort to take full control of the company.
Q: HOW WAS THE FUND MANAGED?
A: Given the range of events the market has encountered so far in 2003, the
portfolio manager has sought to maintain significant sector diversification
in the portfolio and to avoid any large bets contingent on macroeconomic or
sector trends. The portfolio manager's focus remains on stock selection,
believing that quality growth companies -- regardless of their economic
sector -- will perform well even in a challenging economic environment.
During the period we did increase the Fund's weighting in the technology
sector, where we added names such as Lucent Technologies, Corning and Juniper
Networks. To fund these new names we reduced the portfolio's exposure in the
consumer discretionary sector, by eliminating retail stocks that had
disappointed such as TJX, Circuit City, Office Depot and Costco Wholesale.
9
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 33.8%
Consumer Goods & Services 23.9%
Health Services & Systems 18.2%
Pharmaceuticals 9.8%
Finance & Insurance 5.3%
Energy 3.8%
Industrial Products & Services 3.3%
Short-Term Investments 1.0%
Telecommunications 0.9%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Omnicare, Inc. 2.6%
2. CBRL Group, Inc. 1.8%
3. Anthem, Inc. 1.8%
4. T.Rowe Price Group, Inc. 1.8%
5. Staples, Inc. 1.7%
6. Caremark Rx, Inc. 1.7%
7. MedImmune, Inc. 1.6%
8. CDW Corp. 1.6%
9. Electronic Arts, Inc. 1.5%
10. KLA - Tencor Corp. 1.4%
</Table>
Top 10 equity holdings comprised 17.5% of the Portfolio's market value of
investments ($10,318 in thousands). As of June 30, 2003 the Fund held 105 equity
holdings. Portfolio holdings are subject to change at any time.
10
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS (10/29/99)
-----------------------------------------
CLASS A SHARES
Without Sales Charge 0.97% (31.77%) (20.81%)
With Sales Charge* (4.82%) (33.12%) (22.08%)
-----------------------------------------
CLASS B SHARES
Without CDSC 0.25% (32.23%) (21.34%)
With CDSC** (4.75%) (32.90%) (21.98%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 3% CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (10/29/99 TO 06/30/03)
<Table>
<Caption>
JPMORGAN MID CAP GROWTH FUND RUSSELL MIDCAP LIPPER MID-CAP
(CLASS A SHARES) GROWTH INDEX GROWTH FUNDS INDEX
Oct-1999 $ 9,425 $ 10,000 $ 10,000
Oct-1999 $ 9,434 $ 10,000 $ 10,000
Nov-1999 $ 11,669 $ 11,036 $ 11,254
Dec-1999 $ 13,367 $ 12,947 $ 13,602
Jan-2000 $ 13,631 $ 12,945 $ 13,368
Feb-2000 $ 18,344 $ 15,666 $ 16,718
Mar-2000 $ 15,206 $ 15,682 $ 15,541
Apr-2000 $ 11,284 $ 14,159 $ 13,491
May-2000 $ 9,502 $ 13,127 $ 12,278
Jun-2000 $ 12,594 $ 14,519 $ 14,186
Jul-2000 $ 11,746 $ 13,600 $ 13,597
Aug-2000 $ 12,952 $ 15,651 $ 15,376
Sep-2000 $ 11,793 $ 14,886 $ 14,636
Oct-2000 $ 9,493 $ 13,868 $ 13,452
Nov-2000 $ 6,430 $ 10,854 $ 10,639
Dec-2000 $ 6,802 $ 11,426 $ 11,406
Jan-2001 $ 7,103 $ 12,079 $ 11,562
Feb-2001 $ 5,609 $ 9,989 $ 9,827
Mar-2001 $ 5,098 $ 8,560 $ 8,785
Apr-2001 $ 5,667 $ 9,987 $ 9,942
May-2001 $ 5,782 $ 9,940 $ 10,024
Jun-2001 $ 5,522 $ 9,945 $ 9,985
Jul-2001 $ 5,117 $ 9,274 $ 9,460
Aug-2001 $ 4,771 $ 8,602 $ 8,826
Sep-2001 $ 4,115 $ 7,180 $ 7,553
Oct-2001 $ 4,385 $ 7,935 $ 7,974
Nov-2001 $ 4,693 $ 8,789 $ 8,629
Dec-2001 $ 4,876 $ 9,123 $ 9,003
Jan-2002 $ 4,732 $ 8,827 $ 8,659
Feb-2002 $ 4,395 $ 8,326 $ 8,229
Mar-2002 $ 4,703 $ 8,962 $ 8,747
Apr-2002 $ 4,530 $ 8,487 $ 8,457
May-2002 $ 4,366 $ 8,235 $ 8,174
Jun-2002 $ 3,961 $ 7,325 $ 7,440
Jul-2002 $ 3,575 $ 6,613 $ 6,638
Aug-2002 $ 3,498 $ 6,590 $ 6,559
Sep-2002 $ 3,267 $ 6,066 $ 6,152
Oct-2002 $ 3,469 $ 6,536 $ 6,462
Nov-2002 $ 3,633 $ 7,048 $ 6,846
Dec-2002 $ 3,440 $ 6,623 $ 6,441
Jan-2003 $ 3,392 $ 6,558 $ 6,346
Feb-2003 $ 3,315 $ 6,501 $ 6,248
Mar-2003 $ 3,411 $ 6,622 $ 6,337
Apr-2003 $ 3,604 $ 7,072 $ 6,782
May-2003 $ 3,922 $ 7,753 $ 7,343
Jun-2003 $ 4,000 $ 7,864 $ 7,458
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The JPMorgan MidCap Growth Fund (formerly J.P. Morgan H&Q IPO & Emerging Company
Fund) commenced operations on 10/29/99.
All Share Classes were introduced on 10/29/99.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Mid Cap Growth Fund, Russell MidCap Growth Index, and
Lipper Mid-Cap Growth Funds Index from October 29, 1999 to June 30, 2003. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and assumes a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Russell MidCap Growth Index measures the
performance of those Russell MidCap companies with higher price-to-book ratios
and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN MID CAP VALUE FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/13/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $313.2
Primary Benchmark RUSSELL MID CAP
VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Mid Cap Value Fund, which seeks growth from capital appreciation,
rose 12.12% (A shares, without sales charge) during the six months ended June
30, 2003. This compares with a gain of 13.10% for the Russell Mid Cap Value
Index.
Q: WHY DID THE FUND PERFORM IN THIS WAY?
A: Though the Fund participated in the market's climb, results trailed the
benchmark. In a period where all sectors of the Fund and benchmark registered
gains, it was the more aggressive, high beta stocks that led the benchmark
higher. The Fund's underweight position in the technology sector was a drag
on performance. Additionally, the Fund's utility holdings, which rose sharply
during the period, under-performed their benchmark peer group.
The top detractor in the Fund was VF Corp, which sagged after the world's
largest apparel supplier, with a stable of brands including Lee, Wrangler,
and North Face, warned it would miss previously disclosed earnings
expectations due to difficult retail conditions. The company saw a drop in
year-over-year EPS after previously forecasting a flat to down 5% performance
in the June quarter. The company also said it was still pursuing options for
its Playwear children's clothing division and that a decision could come
shortly. VF left its outlook for the second half of 2003 intact. In early
July, VF announced its acquisition of designer Nautica, in order to expand
its apparel brands.
Natural gas pipeline operator Kinder Morgan, was the top contributor during
the period. The company announced it was nearly doubling its dividend to take
advantage of the recently enacted tax cut that reduced the double taxation of
corporate dividends.
Q: HOW WAS THE FUND MANAGED?
A: Despite the Fund's solid gains for the period, performance relative to the
market was somewhat muted by lack of exposure to the highly cyclical and/or
highly leveraged segments of the market that have been the driving force
behind the recent rally. As is often the case, our overriding focus on
quality and value -- which generally avoids investments in highly cyclical
and leveraged companies -- works to smooth out portfolio performance at sharp
inflection points in the market such as the one just experienced.
During the period we increased our financial and consumer staple exposure
while we reduced our consumer discretionary and utilities weights.
Going forward, we will remain steadfast to the disciplined investment process
and philosophy that has guided the portfolio since its inception.
12
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 25.0%
Finance & Insurance 23.5%
Industrial Products & Services 9.9%
Short-Term Investments 9.8%
Energy 8.1%
Technology 6.3%
Telecommunications 5.3%
REITs 4.6%
Health Services & Systems 3.9%
Utilities 3.6%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Outback Steakhouse, Inc. 2.6%
2. North Fork Bancorporation, Inc. 2.5%
3. Devon Energy Corp. 2.4%
4. VF Corp. 2.3%
5. Kinder Morgan 2.3%
6. AutoZone, Inc. 2.2%
7. Deluxe Corp. 2.1%
8. Gannett Co., Inc. 2.0%
9. TCF Financial Corp. 2.0%
10. MGIC Investment Corp. 1.8%
</Table>
Top 10 equity holdings comprised 22.2% of the Portfolio's market value of
investments ($70,099 in thousands). As of June 30, 2003 the Fund held 88 equity
holdings. Portfolio holdings are subject to change at any time.
13
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/13/97)
-----------------------------------------
CLASS A SHARES
Without Sales Charge 10.28% 15.92% 15.30% 17.17%
With Sales Charge* 3.93% 13.64% 13.94% 15.95%
-----------------------------------------
CLASS B SHARES
Without CDSC 9.47% 15.31% 14.93% 16.84%
With CDSC** 4.47% 14.55% 14.70% 16.75%
-----------------------------------------
CLASS C SHARES
Without CDSC 9.52% 15.39% 14.98% 16.89%
With CDSC*** 8.52% 15.39% 14.98% 16.89%
-----------------------------------------
INSTITUTIONAL SHARES 10.85% 16.37% 15.56% 17.41%
-----------------------------------------
SELECT SHARES 10.62% 16.20% 15.46% 17.32%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 1%
CDSC for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (11/13/97 TO 06/30/03)
<Table>
<Caption>
JPMORGAN MID CAP VALUE FUND RUSSELL MID CAP S&P MIDCAP 400/BARRA LIPPER MID-CAP
(INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX VALUE FUNDS INDEX
Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-1997 $ 3,060,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-1997 $ 3,146,904 $ 3,114,900 $ 3,180,000 $ 3,031,200
Jan-1998 $ 3,170,820 $ 3,054,471 $ 3,107,178 $ 2,992,098
Feb-1998 $ 3,321,117 $ 3,258,510 $ 3,337,109 $ 3,200,048
Mar-1998 $ 3,579,832 $ 3,426,323 $ 3,493,286 $ 3,333,810
Apr-1998 $ 3,597,732 $ 3,407,135 $ 3,515,643 $ 3,372,149
May-1998 $ 3,555,638 $ 3,327,408 $ 3,373,611 $ 3,240,973
Jun-1998 $ 3,591,906 $ 3,338,056 $ 3,348,646 $ 3,228,009
Jul-1998 $ 3,408,359 $ 3,168,817 $ 3,202,980 $ 3,045,949
Aug-1998 $ 3,050,482 $ 2,723,281 $ 2,678,332 $ 2,536,057
Sep-1998 $ 3,194,769 $ 2,882,048 $ 2,886,706 $ 2,608,588
Oct-1998 $ 3,423,515 $ 3,068,805 $ 3,114,467 $ 2,764,843
Nov-1998 $ 3,637,142 $ 3,176,520 $ 3,187,034 $ 2,866,865
Dec-1998 $ 3,768,807 $ 3,273,086 $ 3,329,176 $ 2,978,673
Jan-1999 $ 3,699,084 $ 3,196,823 $ 3,155,060 $ 2,958,716
Feb-1999 $ 3,683,917 $ 3,126,493 $ 3,004,564 $ 2,804,567
Mar-1999 $ 3,701,969 $ 3,171,202 $ 3,061,050 $ 2,860,378
Apr-1999 $ 4,002,198 $ 3,471,515 $ 3,357,359 $ 3,081,199
May-1999 $ 4,226,722 $ 3,486,095 $ 3,412,084 $ 3,107,389
Jun-1999 $ 4,366,203 $ 3,525,837 $ 3,518,200 $ 3,227,334
Jul-1999 $ 4,461,387 $ 3,437,691 $ 3,471,408 $ 3,167,952
Aug-1999 $ 4,243,225 $ 3,318,747 $ 3,339,842 $ 3,060,241
Sep-1999 $ 4,166,423 $ 3,150,818 $ 3,175,521 $ 2,990,162
Oct-1999 $ 4,316,830 $ 3,243,767 $ 3,239,032 $ 3,018,867
Nov-1999 $ 4,299,131 $ 3,184,406 $ 3,304,136 $ 3,127,245
Dec-1999 $ 4,291,393 $ 3,269,749 $ 3,406,565 $ 3,333,330
Jan-2000 $ 4,204,707 $ 3,074,218 $ 3,259,401 $ 3,158,997
Feb-2000 $ 3,944,015 $ 2,945,715 $ 3,139,781 $ 3,247,133
Mar-2000 $ 4,540,350 $ 3,302,736 $ 3,620,167 $ 3,470,536
Apr-2000 $ 4,500,849 $ 3,315,947 $ 3,587,224 $ 3,415,701
May-2000 $ 4,737,594 $ 3,372,981 $ 3,690,536 $ 3,390,766
Jun-2000 $ 4,698,272 $ 3,247,169 $ 3,523,724 $ 3,398,904
Jul-2000 $ 4,844,388 $ 3,323,153 $ 3,663,263 $ 3,422,697
Aug-2000 $ 5,010,066 $ 3,526,862 $ 3,925,187 $ 3,642,434
Sep-2000 $ 5,156,360 $ 3,560,720 $ 3,983,279 $ 3,610,745
Oct-2000 $ 5,377,568 $ 3,628,374 $ 3,945,438 $ 3,584,386
Nov-2000 $ 5,389,398 $ 3,581,205 $ 3,950,567 $ 3,391,188
Dec-2000 $ 5,805,999 $ 3,897,067 $ 4,354,315 $ 3,686,560
Jan-2001 $ 5,878,574 $ 3,883,038 $ 4,548,518 $ 3,815,590
Feb-2001 $ 5,925,602 $ 3,866,729 $ 4,397,962 $ 3,683,570
Mar-2001 $ 5,755,538 $ 3,759,620 $ 4,204,451 $ 3,544,331
Apr-2001 $ 6,049,070 $ 3,966,400 $ 4,584,954 $ 3,776,840
May-2001 $ 6,214,815 $ 4,079,045 $ 4,675,736 $ 3,882,213
Jun-2001 $ 6,299,958 $ 4,024,794 $ 4,683,218 $ 3,914,048
Jul-2001 $ 6,385,007 $ 4,008,695 $ 4,683,686 $ 3,900,348
Aug-2001 $ 6,231,767 $ 3,935,336 $ 4,588,607 $ 3,809,860
Sep-2001 $ 5,733,849 $ 3,559,905 $ 4,073,765 $ 3,433,065
Oct-2001 $ 5,737,862 $ 3,578,772 $ 4,137,723 $ 3,499,323
Nov-2001 $ 6,061,478 $ 3,829,286 $ 4,389,297 $ 3,762,122
Dec-2001 $ 6,381,524 $ 3,988,202 $ 4,665,823 $ 3,934,804
Jan-2002 $ 6,385,991 $ 4,028,482 $ 4,664,890 $ 3,918,671
Feb-2002 $ 6,566,714 $ 4,093,744 $ 4,775,447 $ 3,933,170
Mar-2002 $ 6,841,860 $ 4,302,934 $ 5,128,831 $ 4,180,173
Apr-2002 $ 6,963,645 $ 4,299,922 $ 5,205,763 $ 4,168,887
May-2002 $ 7,045,119 $ 4,293,472 $ 5,115,183 $ 4,107,604
Jun-2002 $ 6,679,478 $ 4,101,983 $ 4,827,709 $ 3,817,197
Jul-2002 $ 6,278,709 $ 3,700,399 $ 4,327,076 $ 3,443,111
Aug-2002 $ 6,455,141 $ 3,743,324 $ 4,365,154 $ 3,452,752
Sep-2002 $ 6,089,134 $ 3,365,248 $ 3,935,623 $ 3,150,982
Oct-2002 $ 6,459,354 $ 3,472,263 $ 4,093,048 $ 3,257,800
Nov-2002 $ 6,703,517 $ 3,691,016 $ 4,355,822 $ 3,520,378
Dec-2002 $ 6,587,546 $ 3,603,169 $ 4,194,221 $ 3,358,441
Jan-2003 $ 6,492,027 $ 3,503,362 $ 4,049,101 $ 3,276,831
Feb-2003 $ 6,414,772 $ 3,445,206 $ 3,963,665 $ 3,203,758
Mar-2003 $ 6,510,352 $ 3,456,920 $ 3,950,981 $ 3,216,573
Apr-2003 $ 6,923,108 $ 3,719,645 $ 4,271,801 $ 3,463,284
May-2003 $ 7,367,572 $ 4,046,974 $ 4,689,156 $ 3,774,633
Jun-2003 $ 7,404,217 $ 4,075,303 $ 4,708,850 $ 3,833,140
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 11/13/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 4/30/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the Institutional Shares, which are lower than the
expenses of the Class A Shares, Class B and C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Mid Cap Value Fund, Russell MidCap Value
Index, S&P MidCap 400/BARRA Value Index, and Lipper Mid-Cap Value Funds Index
from November 13, 1997 to June 30, 2003. The performance of the Fund assumes
reinvestment of all dividends and capital gains and does not include a sales
charge. The performance of the indices reflects an initial investment at the end
of the month following the Fund's inception. The performance of the indices does
not include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell MidCap Value Index is an unmanaged, capitalization weighted, price only
index that measures the performance of those companies included in the Russell
MidCap Index that have lower price-to-book ratios and lower forecasted growth
rates. The S&P MidCap 400/BARRA Value Index is an unmanaged, capitalization
weighted, price only index of 400 stocks that measure performance of the
mid-sized company segment of the U.S. market. The S&P MidCap 400/BARRA Value
Index is a subset of the MidCap 400 Index, which contains companies with lower
price-to-book ratios. The Lipper Mid-Cap Value Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
14
<Page>
JPMORGAN SMALL CAP EQUITY FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 12/20/1994
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $624.1
Primary Benchmark S&P SMALL CAP
600 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Small Cap Equity Fund, which seeks capital growth over the long
term, rose 10.80% (A shares, without sales charge) in the six months ended
June 30, 2003. This compares with a rise of 12.92% for the S&P Small Cap 600
Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund captured the majority of the rise in small capitalization U.S.
equities, although it trailed its benchmark, the S&P Small Cap 600 Index.
While delivering strong absolute returns for the period, the portfolio's bias
toward owning high quality, profitable, and relatively larger small cap
companies with longer track records hurt relative performance. The Fund was
less exposed to the non-earning, low quality, low market cap, and low
absolute stock price companies that rallied during April and May.
Stock selection in the Finance and Retail sectors had the largest negative
impact on relative performance. In Finance, mid-Atlantic based regional bank
holding company, Commerce Bancorp, declined on concerns regarding slow
balance sheet growth and deteriorating balance sheet quality. Some of the
Fund's regional bank stocks underperformed the index. Additionally, it
suffered from being underweight the Finance sector.
Within Retail, the greatest detractor from performance was AFC Enterprises,
the franchiser and operator of quick-service restaurant brands such as
Popeye's Chicken & Biscuits, where financial control issues forced management
to restate earnings. In addition, casual-dining chain, Cheesecake Factory,
negatively impacted Fund performance during the period, due to weak bakery
sales and falling same store sales. We have sold both stocks.
The Fund's best performing sectors relative to the benchmark were Health
Services & Systems and Pharmaceuticals. In Health Services & Systems, managed
care provider, Coventry Health Care, has delivered better than expected EPS
results, driven by double-digit membership and pricing growth, continued
acquisitions, and margin expansion. In addition, contact lens maker, Cooper
Companies, is benefiting from better than expected contact lens sales and a
new contact lens product launch in Japan.
In Pharmaceuticals, biotechnology company, Scios, significantly added to
performance after Johnson & Johnson agreed in February to acquire Scios for
$45 per share, a 29% premium to the market price.
Q: HOW WAS THE FUND MANAGED?
A: In the absence of any clear, sustainable industry leadership coming out of
the recession, the Fund has maintained broad diversification across the
small-cap universe, with the exception of two sector underweights, Finance
and Basic Materials. We continue to look for ideas in the healthcare
technology, pharmaceutical, software, and industrial cyclical areas that
should deliver upside during the recovery.
15
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 29.7%
Industrial Products & Services 18.1%
Technology 15.1%
Finance & Insurance 11.6%
Health Services & Systems 11.3%
Energy 6.7%
Utilities 3.3%
REITs 1.6%
Pharmaceuticals 1.3%
Telecommunications 1.3%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Cooper Companies, Inc. 1.8%
2. Integrated Circuit Systems, Inc. 1.7%
3. Alliant Techsystems, Inc. 1.5%
4. Pride International, Inc. 1.5%
5. UCBH Holdings Inc. 1.5%
6. East-West Bancorp., Inc. 1.5%
7. Markel Corp. 1.5%
8. CACI International, Inc., Class A 1.5%
9. Harman International Industries, Inc. 1.4%
10. Coventry Health Care, Inc. 1.3%
</Table>
Top 10 equity holdings comprised 15.2% of the Portfolio's market value of
investments ($95,408 in thousands). As of June 30, 2003 the Fund held 110 equity
holdings. Portfolio holdings are subject to change at any time.
16
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/20/94)
--------------------------------------------
CLASS A SHARES
Without Sales Charge (6.01%) (4.65%) 1.00% 12.83%
With Sales Charge* (11.41%) (6.51%) (0.19%) 12.05%
--------------------------------------------
CLASS B SHARES
Without CDSC (6.67%) (5.38%) 0.25% 12.05%
With CDSC** (11.30%) (6.18%) (0.05%) 12.05%
--------------------------------------------
SELECT SHARES (5.52%) (4.14%) 1.54% 13.28%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
CDSC for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (12/20/94 TO 06/30/03)
<Table>
<Caption>
JPMORGAN SMALL CAP EQUITY FUND S&P SMALCAP LIPPER SMALL-CAP CORE
(CLASS A SHARES) 600 INDEX FUNDS INDEX
Dec-1994 $ 9,425 $ 10,000 $ 10,000
Dec-1994 $ 9,791 $ 10,000 $ 10,000
Jan-1995 $ 9,489 $ 9,858 $ 10,103
Feb-1995 $ 10,045 $ 10,264 $ 10,505
Mar-1995 $ 10,838 $ 10,471 $ 10,728
Apr-1995 $ 11,225 $ 10,705 $ 10,908
May-1995 $ 11,583 $ 10,872 $ 11,040
Jun-1995 $ 12,449 $ 11,469 $ 11,479
Jul-1995 $ 13,424 $ 12,346 $ 12,114
Aug-1995 $ 13,906 $ 12,614 $ 12,518
Sep-1995 $ 14,322 $ 12,936 $ 12,732
Oct-1995 $ 14,256 $ 12,297 $ 12,281
Nov-1995 $ 14,653 $ 12,739 $ 12,648
Dec-1995 $ 15,081 $ 12,950 $ 13,073
Jan-1996 $ 15,149 $ 12,978 $ 13,169
Feb-1996 $ 15,714 $ 13,403 $ 13,635
Mar-1996 $ 16,165 $ 13,689 $ 13,976
Apr-1996 $ 17,699 $ 14,475 $ 14,940
May-1996 $ 18,466 $ 14,989 $ 15,614
Jun-1996 $ 18,283 $ 14,401 $ 14,905
Jul-1996 $ 16,692 $ 13,411 $ 13,695
Aug-1996 $ 17,909 $ 14,239 $ 14,393
Sep-1996 $ 18,733 $ 14,864 $ 14,998
Oct-1996 $ 18,398 $ 14,762 $ 14,717
Nov-1996 $ 18,867 $ 15,528 $ 15,248
Dec-1996 $ 19,423 $ 15,710 $ 15,518
Jan-1997 $ 20,035 $ 15,971 $ 15,864
Feb-1997 $ 19,228 $ 15,627 $ 15,449
Mar-1997 $ 18,061 $ 14,794 $ 14,670
Apr-1997 $ 17,526 $ 14,975 $ 14,674
May-1997 $ 19,647 $ 16,734 $ 16,239
Jun-1997 $ 20,873 $ 17,474 $ 17,156
Jul-1997 $ 22,087 $ 18,573 $ 18,189
Aug-1997 $ 22,456 $ 19,041 $ 18,635
Sep-1997 $ 23,887 $ 20,300 $ 20,032
Oct-1997 $ 22,924 $ 19,423 $ 19,235
Nov-1997 $ 22,729 $ 19,281 $ 18,989
Dec-1997 $ 22,870 $ 19,670 $ 18,968
Jan-1998 $ 22,690 $ 19,287 $ 18,691
Feb-1998 $ 24,691 $ 21,044 $ 20,087
Mar-1998 $ 26,352 $ 21,848 $ 21,033
Apr-1998 $ 26,052 $ 21,977 $ 21,235
May-1998 $ 24,580 $ 20,814 $ 20,133
Jun-1998 $ 25,101 $ 20,874 $ 20,061
Jul-1998 $ 23,540 $ 19,278 $ 18,614
Aug-1998 $ 18,396 $ 15,557 $ 15,016
Sep-1998 $ 19,798 $ 16,511 $ 15,648
Oct-1998 $ 20,418 $ 17,277 $ 16,290
Nov-1998 $ 21,708 $ 18,249 $ 17,199
Dec-1998 $ 23,634 $ 19,416 $ 18,279
Jan-1999 $ 22,979 $ 19,171 $ 18,142
Feb-1999 $ 20,831 $ 17,444 $ 16,660
Mar-1999 $ 21,143 $ 17,669 $ 16,735
Apr-1999 $ 22,232 $ 18,837 $ 17,864
May-1999 $ 22,132 $ 19,294 $ 18,234
Jun-1999 $ 23,717 $ 20,392 $ 19,288
Jul-1999 $ 23,747 $ 20,213 $ 19,182
Aug-1999 $ 23,232 $ 19,323 $ 18,478
Sep-1999 $ 23,232 $ 19,404 $ 18,463
Oct-1999 $ 22,970 $ 19,356 $ 18,624
Nov-1999 $ 24,210 $ 20,165 $ 19,825
Dec-1999 $ 26,885 $ 21,823 $ 21,964
Jan-2000 $ 26,162 $ 21,146 $ 21,542
Feb-2000 $ 29,673 $ 23,978 $ 24,580
Mar-2000 $ 29,661 $ 23,090 $ 24,231
Apr-2000 $ 29,955 $ 22,696 $ 22,884
May-2000 $ 28,181 $ 22,024 $ 21,911
Jun-2000 $ 30,427 $ 23,325 $ 23,844
Jul-2000 $ 29,445 $ 22,752 $ 23,102
Aug-2000 $ 32,436 $ 24,767 $ 25,160
Sep-2000 $ 31,622 $ 24,094 $ 24,514
Oct-2000 $ 31,486 $ 24,245 $ 23,776
Nov-2000 $ 28,098 $ 21,721 $ 21,408
Dec-2000 $ 30,692 $ 24,398 $ 23,487
Jan-2001 $ 29,568 $ 25,444 $ 24,323
Feb-2001 $ 27,469 $ 23,892 $ 22,778
Mar-2001 $ 26,214 $ 22,795 $ 21,701
Apr-2001 $ 28,326 $ 24,533 $ 23,430
May-2001 $ 28,740 $ 25,001 $ 24,283
Jun-2001 $ 29,062 $ 25,916 $ 25,034
Jul-2001 $ 29,262 $ 25,483 $ 24,453
Aug-2001 $ 28,393 $ 24,902 $ 23,768
Sep-2001 $ 25,333 $ 21,536 $ 20,654
Oct-2001 $ 26,255 $ 22,683 $ 21,881
Nov-2001 $ 27,391 $ 24,342 $ 23,507
Dec-2001 $ 28,783 $ 25,989 $ 25,157
Jan-2002 $ 28,970 $ 26,216 $ 24,860
Feb-2002 $ 28,689 $ 25,765 $ 24,197
Mar-2002 $ 29,986 $ 27,800 $ 26,055
Apr-2002 $ 30,493 $ 28,587 $ 26,183
May-2002 $ 29,825 $ 27,403 $ 25,206
Jun-2002 $ 28,068 $ 25,987 $ 23,795
Jul-2002 $ 24,719 $ 22,317 $ 20,561
Aug-2002 $ 24,916 $ 22,529 $ 20,670
Sep-2002 $ 23,617 $ 21,150 $ 19,206
Oct-2002 $ 23,963 $ 21,827 $ 19,888
Nov-2002 $ 24,700 $ 22,962 $ 21,356
Dec-2002 $ 23,850 $ 22,188 $ 20,318
Jan-2003 $ 23,068 $ 21,425 $ 19,725
Feb-2003 $ 22,770 $ 20,740 $ 19,109
Mar-2003 $ 22,757 $ 20,903 $ 19,270
Apr-2003 $ 24,388 $ 22,599 $ 20,875
May-2003 $ 25,966 $ 24,420 $ 22,708
Jun-2003 $ 26,381 $ 25,055 $ 23,203
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 12/20/94.
Returns for the Select Shares prior to 5/7/96 (offering date of the Select
Shares) are calculated using the historical expenses of the Class A Shares,
which are higher than the expenses of the Select Shares.
Returns for the Class B Shares prior to 3/28/95 (offering date of the Class B
Shares) are calculated using the historical expenses of the Class A Shares,
which are lower than the expenses of the Class B Shares.
The graph illustrates comparative performance for $10,000 invested in Class A
Shares of the JPMorgan Small Cap Equity Fund, S&P SmallCap 600 Index and Lipper
Small-Cap Core Funds Index from December 20, 1994 to June 30, 2003. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and includes a sales charge. The performance of the indices reflects an initial
investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The S&P SmallCap 600 Index includes 600 stocks of
small U.S. Companies chosen for market size, liquidity and industry group
representation. The Lipper Small-Cap Core Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investors cannot invest directly in an index.
Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
17
<Page>
JPMORGAN SMALL CAP GROWTH FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/14/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $2.2
Primary Benchmark RUSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Small Cap Growth Fund, which seeks growth from capital appreciation,
rose 15.92% (Institutional shares) during the six months ended June 30, 2003.
This compares with a gain of 19.32% for the Russell 2000 Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund participated in the market's rapid ascent, although results trailed
the benchmark index. All sectors posted positive returns in the period, with
particularly strong stock selection in the technology sector. Weaker stock
selection in the healthcare sector, however, offset the stronger results in
the sector and led to the Fund's underperformance.
Medcath was the portfolio's top detractor in the period, disappointing
investors with lacklustre results for its first fiscal year quarter. The
company, which develops hospitals focused on providing cardiovascular care,
reported earnings that met expectations but reflected moderate deterioration
in several important operating trends. The lower-quality earnings raised the
possibility that it may become increasingly difficult for the company to
achieve ongoing operational efficiencies. Additionally Daisytek
International, the leading wholesale distributor of consumable computer and
non-paper office supplies, also detracted from the portfolio's performance.
The company reported lower than expected profits for its fiscal third
quarter, citing a heavy cost burden associated with the company's growth
initiatives and a looming shortfall in working capital. As a result of these
announcements, both positions were sold from the portfolio.
Staar Surgical, which develops products for minimally invasive ophthalmic
surgery, was the portfolio's top contributor for the period. Shares rose
strongly after a recent study found that its implantable contact lenses are
safer and more effective for vision correction than Lasik surgery. Another
top contributor was Packeteer, the provider of bandwidth management software.
The sluggish economy has been a key driver of growth for the bandwidth
management industry as customers seek low-cost solutions to improve network
capacity in a time when expensive network upgrades are not possible. As a
result, the company reported its sixth consecutive quarter of sequential
revenue growth and seventh consecutive quarter in which it generated positive
operating cash flow.
Q: HOW WAS THE FUND MANAGED?
A: We focused on maintaining our longstanding philosophy of making long-term
investments in small cap growth companies with leading competitive positions
and strong management. Although recent market volatility presents challenges
to investors, such as us, with a longer-term view, we fully believe our
investment approach to be prudent over time.
18
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 29.3%
Consumer Goods & Services 27.3%
Health Services & Systems 12.5%
Finance & Insurance 8.8%
Industrial Products & Services 6.9%
Telecommunications 4.2%
Energy 4.1%
Pharmaceuticals 3.5%
REITs 2.0%
Short-Term Investments 1.4%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Global Imaging Systems, Inc. 2.4%
2. National Instruments Corp. 2.2%
3. Gray Television, Inc. 2.1%
4. Ruby Tuesday, Inc. 2.0%
5. Hilb, Rogal & Hamilton Co. 2.0%
6. Interactive Data Corp. 1.9%
7. Tech Data Corp. 1.9%
8. Serena Software, Inc. 1.9%
9. Pegasus Solutions, Inc. 1.9%
10. Wright Medical Group, Inc. 1.7%
</Table>
Top 10 equity holdings comprised 20.0% of the Portfolio's market value of
investments ($428 in thousands). As of June 30, 2003 the Fund held 80 equity
holdings. Portfolio holdings are subject to change at any time.
19
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (11/14/97)
----------------------------------------------
CLASS A SHARES
Without Sales Charge (3.05%) (20.53%) (3.70%) (0.69%)
With Sales Charge* (8.63%) (22.08%) (4.83%) (1.73%)
----------------------------------------------
CLASS B SHARES
Without CDSC (3.53%) (20.78%) (3.88%) (0.86%)
With CDSC** (8.35%) (21.44%) (4.13%) (0.98%)
----------------------------------------------
CLASS C SHARES
Without CDSC (3.69%) (20.86%) (3.94%) (0.92%)
With CDSC*** (4.65%) (20.86%) (3.94%) (0.92%)
----------------------------------------------
INSTITUTIONAL SHARES (2.11%) (19.99%) (3.30%) (0.34%)
----------------------------------------------
SELECT SHARES (2.42%) (20.16%) (3.42%) (0.45%)
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 1%
CDSC for the period since inception.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
LIFE OF FUND PERFORMANCE (11/14/97 TO 6/30/03)
<Table>
<Caption>
JPMORGAN SMALL CAP GROWTH FUND RUSSELL 2000 RUSSELL 2000 LIPPER SMALL-CAP
(INSTITUTIONAL SHARES) INDEX GROWTH INDEX GROWTH FUNDS INDEX
Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Nov-1997 $ 2,991,000 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-1997 $ 3,061,887 $ 3,052,500 $ 3,001,800 $ 2,960,100
Jan-1998 $ 3,116,082 $ 3,004,271 $ 2,961,876 $ 2,916,291
Feb-1998 $ 3,278,430 $ 3,226,286 $ 3,223,410 $ 3,151,927
Mar-1998 $ 3,485,627 $ 3,359,209 $ 3,358,471 $ 3,294,394
Apr-1998 $ 3,524,666 $ 3,377,685 $ 3,378,957 $ 3,318,443
May-1998 $ 3,389,319 $ 3,195,628 $ 3,133,645 $ 3,083,497
Jun-1998 $ 3,482,525 $ 3,202,338 $ 3,165,608 $ 3,173,844
Jul-1998 $ 3,233,176 $ 2,942,949 $ 2,901,280 $ 2,935,171
Aug-1998 $ 2,599,150 $ 2,371,428 $ 2,231,664 $ 2,294,129
Sep-1998 $ 2,845,550 $ 2,557,111 $ 2,457,955 $ 2,416,865
Oct-1998 $ 3,019,697 $ 2,661,441 $ 2,586,261 $ 2,512,090
Nov-1998 $ 3,193,934 $ 2,800,901 $ 2,786,954 $ 2,716,323
Dec-1998 $ 3,516,521 $ 2,974,276 $ 3,039,174 $ 2,988,498
Jan-1999 $ 3,590,016 $ 3,013,834 $ 3,175,937 $ 3,060,820
Feb-1999 $ 3,427,748 $ 2,769,714 $ 2,885,338 $ 2,766,369
Mar-1999 $ 3,461,340 $ 2,812,921 $ 2,988,056 $ 2,891,409
Apr-1999 $ 3,819,588 $ 3,064,959 $ 3,251,902 $ 3,004,174
May-1999 $ 3,969,698 $ 3,109,707 $ 3,257,105 $ 3,020,697
Jun-1999 $ 4,118,562 $ 3,250,266 $ 3,428,754 $ 3,303,434
Jul-1999 $ 4,338,905 $ 3,161,209 $ 3,322,806 $ 3,291,872
Aug-1999 $ 4,090,720 $ 3,044,244 $ 3,198,533 $ 3,245,786
Sep-1999 $ 4,171,307 $ 3,044,853 $ 3,260,264 $ 3,363,608
Oct-1999 $ 4,286,018 $ 3,057,032 $ 3,343,727 $ 3,559,706
Nov-1999 $ 4,599,754 $ 3,239,537 $ 3,697,159 $ 4,008,941
Dec-1999 $ 5,152,645 $ 3,606,253 $ 4,348,968 $ 4,817,144
Jan-2000 $ 4,814,116 $ 3,548,192 $ 4,308,523 $ 4,767,045
Feb-2000 $ 5,118,849 $ 4,133,999 $ 5,311,116 $ 6,163,790
Mar-2000 $ 5,393,220 $ 3,861,568 $ 4,752,918 $ 5,679,932
Apr-2000 $ 5,272,951 $ 3,629,102 $ 4,272,873 $ 4,977,892
May-2000 $ 5,020,904 $ 3,417,525 $ 3,898,570 $ 4,570,701
Jun-2000 $ 5,746,927 $ 3,715,533 $ 4,402,265 $ 5,375,601
Jul-2000 $ 5,468,775 $ 3,595,893 $ 4,024,991 $ 5,025,650
Aug-2000 $ 5,991,590 $ 3,870,260 $ 4,448,420 $ 5,565,907
Sep-2000 $ 5,687,217 $ 3,756,474 $ 4,227,333 $ 5,290,395
Oct-2000 $ 5,367,596 $ 3,588,936 $ 3,884,074 $ 4,893,615
Nov-2000 $ 4,524,883 $ 3,220,711 $ 3,178,726 $ 4,060,232
Dec-2000 $ 4,751,580 $ 3,497,370 $ 3,373,264 $ 4,419,157
Jan-2001 $ 5,014,817 $ 3,679,583 $ 3,646,161 $ 4,553,941
Feb-2001 $ 4,283,657 $ 3,438,202 $ 3,146,272 $ 3,971,037
Mar-2001 $ 3,683,945 $ 3,270,074 $ 2,860,276 $ 3,585,449
Apr-2001 $ 4,265,272 $ 3,525,794 $ 3,210,374 $ 3,972,678
May-2001 $ 4,460,621 $ 3,612,528 $ 3,284,855 $ 4,080,337
Jun-2001 $ 4,705,955 $ 3,737,161 $ 3,374,531 $ 4,183,162
Jul-2001 $ 4,228,771 $ 3,534,980 $ 3,086,684 $ 3,950,159
Aug-2001 $ 3,915,419 $ 3,420,800 $ 2,893,766 $ 3,716,310
Sep-2001 $ 3,102,187 $ 2,960,361 $ 2,426,712 $ 3,136,194
Oct-2001 $ 3,529,048 $ 3,133,542 $ 2,660,162 $ 3,366,077
Nov-2001 $ 3,951,475 $ 3,376,078 $ 2,882,285 $ 3,626,948
Dec-2001 $ 4,233,215 $ 3,584,382 $ 3,061,852 $ 3,846,741
Jan-2002 $ 4,165,060 $ 3,547,104 $ 2,952,850 $ 3,730,570
Feb-2002 $ 3,688,161 $ 3,449,914 $ 2,761,800 $ 3,504,870
Mar-2002 $ 3,947,070 $ 3,727,287 $ 3,001,801 $ 3,791,568
Apr-2002 $ 3,674,722 $ 3,761,205 $ 2,936,962 $ 3,691,471
May-2002 $ 3,356,858 $ 3,594,207 $ 2,765,150 $ 3,543,443
Jun-2002 $ 3,007,074 $ 3,415,935 $ 2,530,665 $ 3,280,165
Jul-2002 $ 2,534,662 $ 2,900,129 $ 2,141,702 $ 2,815,038
Aug-2002 $ 2,548,350 $ 2,892,588 $ 2,140,631 $ 2,810,815
Sep-2002 $ 2,298,611 $ 2,684,900 $ 1,986,077 $ 2,640,480
Oct-2002 $ 2,471,237 $ 2,771,086 $ 2,086,573 $ 2,753,228
Nov-2002 $ 2,721,079 $ 3,018,267 $ 2,293,352 $ 2,983,949
Dec-2002 $ 2,539,311 $ 2,850,149 $ 2,135,111 $ 2,784,621
Jan-2003 $ 2,475,828 $ 2,771,200 $ 2,077,036 $ 2,711,107
Feb-2003 $ 2,380,509 $ 2,687,510 $ 2,021,579 $ 2,626,521
Mar-2003 $ 2,421,454 $ 2,722,179 $ 2,052,105 $ 2,680,627
Apr-2003 $ 2,621,466 $ 2,980,241 $ 2,246,234 $ 2,902,047
May-2003 $ 2,884,923 $ 3,300,021 $ 2,499,385 $ 3,198,055
Jun-2003 $ 2,943,838 $ 3,359,751 $ 2,547,623 $ 3,306,469
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 11/14/97.
Returns for the Select Shares prior to 10/31/01 (offering date of the Select
Shares) are calculated using the historical expenses of the Institutional
Shares, which are lower than the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 4/30/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the Institutional Shares, which are lower than the
expenses of the Class A, Class B, and Class C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Small Cap Growth Fund, Russell 2000 Index,
Russell 2000 Growth Index and Lipper Small-Cap Growth Funds Index from November
14, 1997 to June 30, 2003. The performance of the Fund assumes reinvestment of
all dividends and capital gains and does not include a sales charge. The
performance of the indices reflects an initial investment at the end of the
month following the Fund's inception. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell 2000 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Russell 2000 Growth Index
measures the performance of those Russell 2000 companies with higher
price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap
Growth Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
20
<Page>
JPMORGAN TRUST SMALL CAP EQUITY FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $299.2
Primary Benchmark S&P SMALL
CAP 600 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Trust Small Cap Equity Fund (formerly JPMorgan Select Small Cap
Equity Fund), which seeks capital growth over the long term, rose 10.59%
(Select Class) in the six months ended June 30, 2003. This compares with a
rise of 12.92% for the S&P Small Cap 600 Index, the Fund's index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund captured the majority of the rise in small capitalization U.S.
equities, although it trailed its benchmark, the S&P Small Cap 600 Index.
While delivering strong absolute returns for the period, the portfolio's bias
toward owning high quality, profitable, and relatively larger small cap
companies with longer track records hurt relative performance. The Fund was
less exposed to the non-earning, low quality, low market cap, and low
absolute stock price companies that rallied during April and May.
Stock selection in the Finance and Retail sectors had the largest negative
impact on relative performance. In Finance, mid-Atlantic based regional bank
holding company, Commerce Bancorp, declined on concerns regarding slow
balance sheet growth and deteriorating balance sheet quality. Some of the
Fund's regional bank stocks underperformed the index. Additionally, it
suffered from being underweight in the Finance sector.
Within Retail, the greatest detractor from performance was AFC Enterprises,
the franchiser and operator of quick-service restaurant brands such as
Popeye's Chicken & Biscuits, where financial control issues forced management
to restate earnings. In addition, casual-dining chain, Cheesecake Factory,
negatively impacted Fund performance during the period, due to weak bakery
sales and falling same store sales. We have sold both stocks.
The Fund's best performing sectors relative to the benchmark were Health
Services & Systems and Pharmaceuticals. In Health Services & Systems, managed
care provider, Coventry Health Care, has delivered better than expected EPS
results, driven by double-digit membership and pricing growth, continued
acquisitions, and margin expansion. In addition, contact lens maker, Cooper
Companies, is benefiting from better than expected contact lens sales and a
new contact lens product launch in Japan.
In Pharmaceuticals, biotechnology company, Scios, significantly added to
performance after Johnson & Johnson agreed in February to acquire Scios for
$45 per share, a 29% premium to the market price.
Q: HOW WAS THE FUND MANAGED?
A: In the absence of any clear, sustainable industry leadership coming out of
the recession, the Fund has maintained broad diversification across the
small-cap universe, with the exception of two sector underweights, Finance
and Basic Materials. We continue to look for ideas in the healthcare
technology, pharmaceutical, software, and industrial cyclical areas that
should deliver upside during the recovery.
21
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 29.2%
Industrial Products & Services 17.3%
Technology 15.7%
Finance & Insurance 11.4%
Health Services & Systems 11.0%
Energy 6.5%
Utilities 3.3%
Short-Term Investments 2.2%
REITs 1.6%
Pharmaceuticals 1.3%
Telecommunications 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Cooper Companies, Inc. 1.9%
2. Integrated Circuit Systems, Inc. 1.6%
3. Henry Schein, Inc. 1.5%
4. Pride International, Inc. 1.5%
5. UCBH Holdings, Inc. 1.4%
6. East-West Bancorp, Inc. 1.4%
7. Alliant Techsystems, Inc. 1.4%
8. Markel Corp. 1.4%
9. Chico's FAS, Inc. 1.3%
10. Church & Dwight Co., Inc. 1.3%
</Table>
Top 10 equity holdings comprised 14.7% of the Portfolio's market value of
investments ($44,031 in thousands). As of June 30, 2003 the Fund held 110 equity
holdings. Portfolio holdings are subject to change at any time.
22
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------
SELECT SHARES (6.63%) (3.94%) (1.49%) 6.22%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
<Table>
<Caption>
JPMORGAN TRUST SMALL CAP EQUITY S&P SMALLCAP 600 INDEX LIPPER SMALL-CAP CORE FUNDS INDEX
Jun-1993 $ 5,000,000 $ 5,000,000 $ 5,000,000
Jul-1993 $ 5,103,000 $ 5,051,500 $ 5,046,500
Aug-1993 $ 5,349,475 $ 5,318,219 $ 5,197,895
Sep-1993 $ 5,502,470 $ 5,511,271 $ 5,282,101
Oct-1993 $ 5,630,127 $ 5,617,087 $ 5,394,081
Nov-1993 $ 5,514,147 $ 5,415,995 $ 5,260,848
Dec-1993 $ 5,816,322 $ 5,612,054 $ 5,413,412
Jan-1994 $ 5,857,618 $ 5,744,499 $ 5,556,326
Feb-1994 $ 5,858,789 $ 5,727,840 $ 5,545,769
Mar-1994 $ 5,567,022 $ 5,317,154 $ 5,330,039
Apr-1994 $ 5,418,939 $ 5,396,911 $ 5,320,978
May-1994 $ 5,509,977 $ 5,290,052 $ 5,334,280
Jun-1994 $ 5,552,955 $ 5,093,791 $ 5,160,916
Jul-1994 $ 5,564,061 $ 5,156,954 $ 5,235,233
Aug-1994 $ 5,797,195 $ 5,508,143 $ 5,476,578
Sep-1994 $ 5,807,050 $ 5,479,500 $ 5,486,435
Oct-1994 $ 5,890,091 $ 5,424,705 $ 5,514,965
Nov-1994 $ 5,652,720 $ 5,217,482 $ 5,375,436
Dec-1994 $ 5,714,900 $ 5,344,266 $ 5,422,203
Jan-1995 $ 5,792,623 $ 5,268,378 $ 5,478,051
Feb-1995 $ 5,940,914 $ 5,485,435 $ 5,696,078
Mar-1995 $ 5,989,629 $ 5,596,241 $ 5,816,835
Apr-1995 $ 6,032,755 $ 5,721,037 $ 5,914,557
May-1995 $ 6,131,692 $ 5,810,285 $ 5,986,123
Jun-1995 $ 6,411,297 $ 6,129,270 $ 6,224,371
Jul-1995 $ 6,669,031 $ 6,598,159 $ 6,568,579
Aug-1995 $ 6,796,410 $ 6,741,339 $ 6,787,313
Sep-1995 $ 6,952,727 $ 6,913,243 $ 6,903,376
Oct-1995 $ 6,703,124 $ 6,571,729 $ 6,658,996
Nov-1995 $ 6,913,602 $ 6,808,311 $ 6,858,100
Dec-1995 $ 6,849,306 $ 6,920,648 $ 7,088,532
Jan-1996 $ 6,847,936 $ 6,935,874 $ 7,140,279
Feb-1996 $ 6,993,112 $ 7,162,677 $ 7,393,044
Mar-1996 $ 7,252,557 $ 7,315,958 $ 7,577,871
Apr-1996 $ 7,583,273 $ 7,735,894 $ 8,100,744
May-1996 $ 7,652,281 $ 8,010,518 $ 8,466,087
Jun-1996 $ 7,558,923 $ 7,696,506 $ 8,081,727
Jul-1996 $ 7,230,110 $ 7,166,986 $ 7,425,491
Aug-1996 $ 7,554,019 $ 7,609,906 $ 7,804,191
Sep-1996 $ 7,805,568 $ 7,943,981 $ 8,131,967
Oct-1996 $ 7,640,870 $ 7,889,168 $ 7,979,899
Nov-1996 $ 7,955,674 $ 8,298,615 $ 8,267,973
Dec-1996 $ 7,935,785 $ 8,395,709 $ 8,414,316
Jan-1997 $ 7,804,051 $ 8,535,078 $ 8,601,956
Feb-1997 $ 7,791,564 $ 8,351,574 $ 8,376,584
Mar-1997 $ 7,493,927 $ 7,906,435 $ 7,954,404
Apr-1997 $ 7,543,387 $ 8,002,893 $ 7,956,791
May-1997 $ 8,296,971 $ 8,943,233 $ 8,804,985
Jun-1997 $ 8,784,003 $ 9,338,524 $ 9,302,466
Jul-1997 $ 9,244,285 $ 9,925,917 $ 9,862,475
Aug-1997 $ 9,230,418 $ 10,176,051 $ 10,104,105
Sep-1997 $ 9,638,403 $ 10,848,687 $ 10,861,913
Oct-1997 $ 9,349,251 $ 10,380,024 $ 10,429,609
Nov-1997 $ 9,145,437 $ 10,304,250 $ 10,296,110
Dec-1997 $ 9,338,406 $ 10,512,396 $ 10,284,784
Jan-1998 $ 9,146,035 $ 10,307,404 $ 10,134,627
Feb-1998 $ 9,844,792 $ 11,246,409 $ 10,891,683
Mar-1998 $ 10,341,954 $ 11,676,021 $ 11,404,682
Apr-1998 $ 10,325,407 $ 11,744,910 $ 11,514,166
May-1998 $ 9,932,009 $ 11,123,604 $ 10,916,581
Jun-1998 $ 9,855,532 $ 11,155,863 $ 10,877,282
Jul-1998 $ 9,456,383 $ 10,302,439 $ 10,093,030
Aug-1998 $ 8,049,273 $ 8,314,068 $ 8,142,047
Sep-1998 $ 8,286,727 $ 8,823,721 $ 8,484,827
Oct-1998 $ 8,552,731 $ 9,233,141 $ 8,832,705
Nov-1998 $ 9,104,382 $ 9,752,967 $ 9,325,570
Dec-1998 $ 9,657,928 $ 10,376,182 $ 9,911,216
Jan-1999 $ 9,591,289 $ 10,245,442 $ 9,836,882
Feb-1999 $ 8,862,351 $ 9,322,328 $ 9,033,208
Mar-1999 $ 8,722,326 $ 9,442,586 $ 9,073,858
Apr-1999 $ 9,407,900 $ 10,066,741 $ 9,686,343
May-1999 $ 9,759,756 $ 10,311,362 $ 9,886,851
Jun-1999 $ 10,043,765 $ 10,898,079 $ 10,458,311
Jul-1999 $ 9,861,973 $ 10,802,176 $ 10,400,790
Aug-1999 $ 9,186,427 $ 10,326,880 $ 10,019,081
Sep-1999 $ 8,640,754 $ 10,370,253 $ 10,011,066
Oct-1999 $ 8,194,027 $ 10,344,327 $ 10,098,162
Nov-1999 $ 8,690,585 $ 10,776,720 $ 10,749,493
Dec-1999 $ 9,314,569 $ 11,662,567 $ 11,909,364
Jan-2000 $ 8,861,881 $ 11,301,027 $ 11,680,704
Feb-2000 $ 9,670,970 $ 12,814,235 $ 13,327,683
Mar-2000 $ 9,825,706 $ 12,340,108 $ 13,138,430
Apr-2000 $ 9,969,161 $ 12,129,092 $ 12,407,933
May-2000 $ 9,531,515 $ 11,770,071 $ 11,880,596
Jun-2000 $ 10,314,052 $ 12,465,682 $ 12,928,465
Jul-2000 $ 9,979,877 $ 12,159,026 $ 12,526,389
Aug-2000 $ 11,020,778 $ 13,236,316 $ 13,642,491
Sep-2000 $ 10,686,849 $ 12,876,288 $ 13,291,879
Oct-2000 $ 10,664,406 $ 12,957,409 $ 12,891,793
Nov-2000 $ 9,508,385 $ 11,608,543 $ 11,607,771
Dec-2000 $ 10,407,878 $ 13,038,715 $ 12,734,885
Jan-2001 $ 10,078,989 $ 13,598,076 $ 13,188,247
Feb-2001 $ 9,384,547 $ 12,768,593 $ 12,350,793
Mar-2001 $ 8,987,580 $ 12,182,515 $ 11,766,601
Apr-2001 $ 9,670,636 $ 13,110,823 $ 12,704,399
May-2001 $ 9,806,025 $ 13,361,239 $ 13,166,839
Jun-2001 $ 9,917,814 $ 13,850,261 $ 13,573,694
Jul-2001 $ 9,976,329 $ 13,618,961 $ 13,258,785
Aug-2001 $ 9,691,006 $ 13,308,449 $ 12,887,539
Sep-2001 $ 8,677,327 $ 11,509,147 $ 11,199,271
Oct-2001 $ 9,014,007 $ 12,122,584 $ 11,864,508
Nov-2001 $ 9,456,595 $ 13,008,745 $ 12,746,041
Dec-2001 $ 9,953,066 $ 13,889,437 $ 13,640,813
Jan-2002 $ 10,056,578 $ 14,010,275 $ 13,479,851
Feb-2002 $ 9,963,052 $ 13,769,299 $ 13,119,939
Mar-2002 $ 10,434,304 $ 14,857,073 $ 14,127,550
Apr-2002 $ 10,624,209 $ 15,277,528 $ 14,196,775
May-2002 $ 10,397,913 $ 14,645,039 $ 13,667,236
Jun-2002 $ 9,791,715 $ 13,887,890 $ 12,901,871
Jul-2002 $ 8,630,417 $ 11,926,920 $ 11,148,506
Aug-2002 $ 8,702,050 $ 12,040,226 $ 11,207,593
Sep-2002 $ 8,217,346 $ 11,303,364 $ 10,414,096
Oct-2002 $ 8,319,241 $ 11,665,072 $ 10,783,796
Nov-2002 $ 8,562,162 $ 12,271,655 $ 11,579,640
Dec-2002 $ 8,266,768 $ 11,858,101 $ 11,016,870
Jan-2003 $ 7,989,004 $ 11,450,182 $ 10,695,177
Feb-2003 $ 7,894,734 $ 11,083,776 $ 10,361,488
Mar-2003 $ 7,886,050 $ 11,171,338 $ 10,448,524
Apr-2003 $ 8,443,594 $ 12,077,333 $ 11,318,886
May-2003 $ 8,981,451 $ 13,050,767 $ 12,312,684
Jun-2003 $ 9,142,655 $ 13,390,086 $ 12,595,876
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The fund commenced operations on 1/1/97.
Returns for the Fund prior to 1/1/97 (offering date of the Shares) are
calculated using the historical expenses at the level indicated (absent
reimbursements) in the Expense Summary for the Fund as disclosed in the
Prospectus. The account was not registered with the SEC and was not subject to
investment restrictions of registered mutual funds. If the account had been
registered, performance may have been adversely affected.
The graph illustrates comparative performance for $5,000,000 invested in the
JPMorgan Trust Small Cap Equity Fund, S&P SmallCap 600 Index, and Lipper
Small-Cap Core Funds Index from June 30, 1993 to June 30, 2003. The performance
of the Fund assumes reinvestment of all dividends and capital gains. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The S&P SmallCap 600 Index includes 600 stocks of
small U.S. Companies chosen for market size, liquidity and industry group
representation. The Lipper Small-Cap Core Funds Index represents the total
returns of the funds in the indicated category, as defined by Lipper, Inc.
Investor's cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
23
<Page>
JPMORGAN U.S. SMALL COMPANY FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 11/4/1993
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $347.2
Primary Benchmark RUSSELL 2000 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Small Company Fund, which seeks to provide a high total return
from a portfolio of small company stocks, returned 12.66% (Institutional
shares) during the six months ended June 30, 2003. This compares with a gain
of 17.88% for the Russell 2000 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Although we made up significant absolute performance and delivered numbers
that were more competitive in the second quarter, our year-to-date relative
performance was still negatively affected by our disappointing first quarter
results. With war worries behind us and with the perception that the economy
is improving, investors shrugged off mixed earnings results and added risk
across their portfolios. Although we would have certainly benefited from
owning lesser-quality and less-liquid stocks that drove much of the absolute
performance of the Russell 2000 index, we have since the beginning of the
year consciously focused on overlooked and mis-priced companies with real
earnings potential. Many of the names that we were in a bit early have
finally begun to pay-off.
One way to explain the outperformance of the index is to look at the Fund's
biotech and pharmaceutical holdings. Looking at the biotech area, this
performance was significantly less than that of the more risky, stage-one
testing biotech companies held in the benchmark.
The portfolio underperformed mainly due to stock selection, which detracted
from performance in the first half of this year. Stock picks within the
software, pharmaceutical and media sectors were the primary drivers that
negatively affected performance. The main detractors on a stock specific
level were pharmaceutical companies First Horizon Pharmaceuticals and Adolor
Corp. First Horizon fell because it failed to gain market share in a
competitive calcium channel market. Also pressuring the stock were
inventory-related issues and management's failure to properly recognize the
challenges to the company's business. Adolor was hit by the Street's
avoidance of risk, in advance of data from the company's Phase III trial
results, which are expected shortly.
Stock selection within the finance, industrial cyclicals and energy sectors
added to performance. Top contributors included financial companies Doral
Financial Corp. and Lendingtree Inc., which benefited from continuing
strength in mortgage refinancing. In the industrial cyclical sector, the fund
benefited from owning truck trailer producer, Wabash National Corp., and
special situation stock, Unova Inc.
Q: HOW WAS THE FUND MANAGED?
A: The Fund utilizes active stock selection, within a systematic valuation
process. This strategy invests in a diversified portfolio of 200-250 U.S.
small capitalization stocks, with the aim of limiting the style or theme
volatility that characterizes many small-cap competitors. As such, it is
managed to maintain risk characteristics similar to those of the Russell 2000
index. The portfolio focuses on the bottom-up selection of attractively
valued small-cap companies with strong fundamentals. Investment decisions are
made based on market conditions, analysts' input and the portfolio manager's
own quantitative and qualitative analysis. The portfolio managers work
closely with research analysts to understand the relevant risk/reward
trade-off between securities within the same industry.
24
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 19.5%
Consumer Goods & Services 19.1%
Industrial Products & Services 17.7%
Finance & Insurance 14.5%
Health Services & Systems 5.6%
Pharmaceuticals 5.6%
REITs 5.4%
Energy 5.0%
Short-Term Investments 3.6%
Utilities 2.9%
Telecommunications 1.1%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Crown Holdings, Inc. 1.5%
2. Maxtor Corp. 1.3%
3. Prentiss Properties Trust 1.2%
4. NetBank, Inc. 1.2%
5. Sierra Pacific Resources 1.2%
6. UNOVA, Inc. 1.1%
7. Precision Castparts Corp. 1.1%
8. Silgan Holdings, Inc. 1.1%
9. Atmos Energy Corp. 1.0%
10. EMCOR Group, Inc. 1.0%
</Table>
Top 10 equity holdings comprised 11.7% of the Portfolio's market value of
investments ($41,192 in thousands). As of June 30, 2003 the Fund held 230 equity
holdings. Portfolio holdings are subject to change at any time.
25
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------
INSTITUTIONAL SHARES (3.84%) (9.74%) (0.60%) 7.18%
-------------------------------------------
SELECT SHARES (4.02%) (9.90%) (0.78%) 7.05%
</Table>
[CHART]
TEN-YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
<Table>
<Caption>
JPMORGAN U.S. SMALL COMPANY FUND LIPPER SMALL-CAP CORE
(INSTITUTIONAL SHARES) RUSSELL 2000 INDEX FUNDS INDEX
Jun-1993 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jul-1993 $ 2,997,600 $ 3,041,400 $ 3,027,900
Aug-1993 $ 3,099,518 $ 3,172,788 $ 3,118,737
Sep-1993 $ 3,163,059 $ 3,262,261 $ 3,169,261
Oct-1993 $ 3,201,648 $ 3,346,427 $ 3,236,449
Nov-1993 $ 3,126,089 $ 3,237,334 $ 3,156,509
Dec-1993 $ 3,222,998 $ 3,348,051 $ 3,248,047
Jan-1994 $ 3,310,341 $ 3,452,845 $ 3,333,796
Feb-1994 $ 3,264,989 $ 3,440,414 $ 3,327,462
Mar-1994 $ 3,123,289 $ 3,259,105 $ 3,198,023
Apr-1994 $ 3,099,239 $ 3,278,333 $ 3,192,587
May-1994 $ 3,023,928 $ 3,241,616 $ 3,200,568
Jun-1994 $ 2,912,345 $ 3,132,374 $ 3,096,550
Jul-1994 $ 2,972,048 $ 3,183,744 $ 3,141,140
Aug-1994 $ 3,114,112 $ 3,361,079 $ 3,285,947
Sep-1994 $ 3,087,019 $ 3,349,651 $ 3,291,861
Oct-1994 $ 3,108,320 $ 3,336,253 $ 3,308,979
Nov-1994 $ 2,972,175 $ 3,201,468 $ 3,225,262
Dec-1994 $ 3,035,780 $ 3,287,268 $ 3,253,322
Jan-1995 $ 3,029,708 $ 3,245,848 $ 3,286,831
Feb-1995 $ 3,172,710 $ 3,380,875 $ 3,417,647
Mar-1995 $ 3,272,968 $ 3,438,688 $ 3,490,101
Apr-1995 $ 3,352,174 $ 3,515,027 $ 3,548,734
May-1995 $ 3,394,746 $ 3,575,486 $ 3,591,674
Jun-1995 $ 3,571,273 $ 3,761,053 $ 3,734,623
Jul-1995 $ 3,753,765 $ 3,977,690 $ 3,941,147
Aug-1995 $ 3,829,967 $ 4,060,028 $ 4,072,388
Sep-1995 $ 3,895,459 $ 4,132,703 $ 4,142,025
Oct-1995 $ 3,767,299 $ 3,947,971 $ 3,995,398
Nov-1995 $ 3,923,642 $ 4,113,786 $ 4,114,860
Dec-1995 $ 4,003,684 $ 4,222,389 $ 4,253,119
Jan-1996 $ 4,030,108 $ 4,217,745 $ 4,284,167
Feb-1996 $ 4,175,192 $ 4,349,339 $ 4,435,827
Mar-1996 $ 4,234,480 $ 4,438,065 $ 4,546,722
Apr-1996 $ 4,452,132 $ 4,675,501 $ 4,860,446
May-1996 $ 4,603,504 $ 4,859,716 $ 5,079,652
Jun-1996 $ 4,415,682 $ 4,659,982 $ 4,849,036
Jul-1996 $ 4,109,233 $ 4,253,165 $ 4,455,294
Aug-1996 $ 4,325,790 $ 4,500,274 $ 4,682,514
Sep-1996 $ 4,500,119 $ 4,676,235 $ 4,879,180
Oct-1996 $ 4,524,420 $ 4,604,221 $ 4,787,939
Nov-1996 $ 4,691,823 $ 4,793,915 $ 4,960,784
Dec-1996 $ 4,837,739 $ 4,919,516 $ 5,048,590
Jan-1997 $ 4,941,267 $ 5,017,906 $ 5,161,173
Feb-1997 $ 4,834,041 $ 4,895,971 $ 5,025,951
Mar-1997 $ 4,598,140 $ 4,664,881 $ 4,772,643
Apr-1997 $ 4,569,631 $ 4,677,943 $ 4,774,074
May-1997 $ 5,038,019 $ 5,198,598 $ 5,282,991
Jun-1997 $ 5,273,798 $ 5,421,617 $ 5,581,480
Jul-1997 $ 5,613,431 $ 5,673,723 $ 5,917,485
Aug-1997 $ 5,725,699 $ 5,803,651 $ 6,062,463
Sep-1997 $ 6,082,983 $ 6,228,478 $ 6,517,148
Oct-1997 $ 5,827,498 $ 5,955,048 $ 6,257,766
Nov-1997 $ 5,853,721 $ 5,916,340 $ 6,177,666
Dec-1997 $ 5,935,673 $ 6,019,876 $ 6,170,871
Jan-1998 $ 5,760,571 $ 5,924,762 $ 6,080,776
Feb-1998 $ 6,301,489 $ 6,362,602 $ 6,535,010
Mar-1998 $ 6,631,056 $ 6,624,741 $ 6,842,809
Apr-1998 $ 6,578,008 $ 6,661,177 $ 6,908,500
May-1998 $ 6,224,111 $ 6,302,140 $ 6,549,949
Jun-1998 $ 6,183,654 $ 6,315,374 $ 6,526,369
Jul-1998 $ 5,646,913 $ 5,803,829 $ 6,055,818
Aug-1998 $ 4,537,859 $ 4,676,725 $ 4,885,228
Sep-1998 $ 4,847,795 $ 5,042,913 $ 5,090,896
Oct-1998 $ 4,994,683 $ 5,248,664 $ 5,299,623
Nov-1998 $ 5,239,423 $ 5,523,694 $ 5,595,342
Dec-1998 $ 5,622,425 $ 5,865,611 $ 5,946,729
Jan-1999 $ 5,631,421 $ 5,943,623 $ 5,902,129
Feb-1999 $ 5,144,866 $ 5,462,190 $ 5,419,925
Mar-1999 $ 5,348,603 $ 5,547,400 $ 5,444,315
Apr-1999 $ 5,635,823 $ 6,044,447 $ 5,811,806
May-1999 $ 5,552,412 $ 6,132,696 $ 5,932,110
Jun-1999 $ 5,969,399 $ 6,409,894 $ 6,274,986
Jul-1999 $ 5,941,342 $ 6,234,263 $ 6,240,474
Aug-1999 $ 5,853,411 $ 6,003,595 $ 6,011,448
Sep-1999 $ 6,020,233 $ 6,004,796 $ 6,006,639
Oct-1999 $ 6,294,153 $ 6,028,815 $ 6,058,897
Nov-1999 $ 7,092,252 $ 6,388,735 $ 6,449,696
Dec-1999 $ 8,112,827 $ 7,111,940 $ 7,145,618
Jan-2000 $ 8,071,452 $ 6,997,438 $ 7,008,422
Feb-2000 $ 9,658,299 $ 8,152,714 $ 7,996,610
Mar-2000 $ 8,786,155 $ 7,615,451 $ 7,883,058
Apr-2000 $ 7,533,249 $ 7,157,000 $ 7,444,760
May-2000 $ 7,008,935 $ 6,739,747 $ 7,128,358
Jun-2000 $ 8,159,101 $ 7,327,453 $ 7,757,079
Jul-2000 $ 7,746,251 $ 7,091,509 $ 7,515,834
Aug-2000 $ 8,633,196 $ 7,632,591 $ 8,185,494
Sep-2000 $ 8,396,647 $ 7,408,193 $ 7,975,127
Oct-2000 $ 7,792,928 $ 7,077,788 $ 7,735,076
Nov-2000 $ 6,599,051 $ 6,351,607 $ 6,964,662
Dec-2000 $ 7,335,505 $ 6,897,210 $ 7,640,931
Jan-2001 $ 7,436,002 $ 7,256,554 $ 7,912,948
Feb-2001 $ 6,661,914 $ 6,780,525 $ 7,410,476
Mar-2001 $ 6,178,925 $ 6,448,957 $ 7,059,960
Apr-2001 $ 6,809,793 $ 6,953,265 $ 7,622,639
May-2001 $ 7,074,694 $ 7,124,316 $ 7,900,103
Jun-2001 $ 7,207,699 $ 7,370,104 $ 8,144,217
Jul-2001 $ 6,814,879 $ 6,971,382 $ 7,955,271
Aug-2001 $ 6,506,847 $ 6,746,206 $ 7,732,523
Sep-2001 $ 5,578,320 $ 5,838,167 $ 6,719,563
Oct-2001 $ 5,880,664 $ 6,179,700 $ 7,118,705
Nov-2001 $ 6,289,371 $ 6,658,008 $ 7,647,624
Dec-2001 $ 6,685,601 $ 7,068,807 $ 8,184,488
Jan-2002 $ 6,547,209 $ 6,995,292 $ 8,087,911
Feb-2002 $ 6,424,776 $ 6,803,621 $ 7,871,963
Mar-2002 $ 6,919,484 $ 7,350,632 $ 8,476,530
Apr-2002 $ 6,860,668 $ 7,417,523 $ 8,518,065
May-2002 $ 6,573,206 $ 7,088,185 $ 8,200,341
Jun-2002 $ 6,237,973 $ 6,736,611 $ 7,741,122
Jul-2002 $ 5,370,271 $ 5,719,383 $ 6,689,104
Aug-2002 $ 5,423,437 $ 5,704,512 $ 6,724,556
Sep-2002 $ 5,093,149 $ 5,294,928 $ 6,248,457
Oct-2002 $ 5,173,112 $ 5,464,895 $ 6,470,278
Nov-2002 $ 5,514,020 $ 5,952,364 $ 6,947,784
Dec-2002 $ 5,323,786 $ 5,620,817 $ 6,610,122
Jan-2003 $ 5,088,475 $ 5,465,121 $ 6,417,106
Feb-2003 $ 4,852,878 $ 5,300,074 $ 6,216,893
Mar-2003 $ 4,874,231 $ 5,368,445 $ 6,269,115
Apr-2003 $ 5,296,827 $ 5,877,374 $ 6,791,332
May-2003 $ 5,853,523 $ 6,508,016 $ 7,387,611
Jun-2003 $ 5,999,230 $ 6,625,811 $ 7,557,526
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 11/4/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional U.S. Small Company Fund, which are similar to the expenses
of the Institutional Shares. The returns presented prior to 11/4/93 are based on
historical expenses of the J.P. Morgan U.S. Small Company Fund, which are higher
than the expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Fund, which are similar to the expenses of the Select Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan U.S. Small Company Fund, Russell 2000
Index, and Lipper Small-Cap Core Funds Index from June 30, 1993 to June 30,
2003.
The performance of the Fund assumes reinvestment of all dividends and capital
gains and does not include a sales charge. The performance of the indices does
not include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell 2000 Index is an unmanaged, capitalization weighted price only index,
which is comprised of 2000 of the smallest stocks (on the basis of
capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
26
<Page>
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 6/16/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $18.7
Primary Benchmark RUSSELL 2000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Small Company Opportunities Fund, which seeks long-term growth
from small-cap stocks, rose 8.24% (Select Shares) during the six months ended
June 30, 2003. This compares with a gain of 19.32% for the Russell 2000
Growth Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Although we made up significant absolute performance during the second
quarter, we still trailed the benchmark during this period. However, a
disappointing first quarter was the primary reason for our underperformance
year-to-date, relative to the Russell 2000 Growth Index.
Focusing on the second quarter bull market in equities, investors shrugged
off mixed earnings results and added risk across their portfolios. This was
due, in large part, to their relief that the war with Iraq was officially
over and the aligned perception that the economy was improving, or soon would
be. Both growth and value stocks did well, with the Russell 2000 Growth index
returning 19.32% and the Russell 2000 Value index returning 16.49%, during
the first half of this year. Although the growth side of the Russell 2000 has
outperformed over the last three, six and twelve months, the spread is not
that significant when compared to the 1998-2001 period, when the performance
of each style varied considerably.
Although we certainly would have benefited from owning the lesser quality and
less liquid stocks (micro cap & non-earners) that drove much of the absolute
performance of the Russell 2000 Index during this period, we instead
consciously focused on overlooked and mis-priced companies with real earnings
potential, as we had since the beginning of the year.
Stock selection was the primary reason the portfolio underperformed the index
over the first half. Stock decisions within the basic materials, energy and
insurance sectors added to performance. However, stock picks within the
software, pharmaceutical and consumer cyclical sectors had a significant
negative impact on the portfolio.
On a stock specific level, the main contributors to performance were
Atherogenics Inc., Netbank Inc. and WR Berkley Corp. Atherogenics
outperformed as its lead drug for treating heart inflammation, which has
significant commercialization potential, entered phase III trials on a
promising note. Netbank continued to execute well, as mortgage origination
volume remained strong in the face of low interest rates. WR Berkley, a
property casualty insurer, outperformed on the strength of its insurance
premiums.
The main detractors to performance included First Horizon Pharmaceuticals,
Alloy Online Inc. and Monolithic Systems Technologies. First Horizon
significantly underperformed, as the company was unable to grow its lead
product, Sular, a hypertension product. Alloy Online, a catalog retailer and
advertising company, missed earnings due to higher expenses in its retail
business. The shares of the semiconductor company Monolithic Systems'
declined when its major customer, Nintendo, slashed the sales forecast for
its Gamecube.
Q: HOW WAS THE FUND MANAGED?
A: We have been managing the portfolio for an upturn in the economy all year.
Although we have been a bit early, we are starting to see positive signs of a
recovery. We still hold names in cyclical stocks as valuations remain cheap.
We aggressively trimmed companies and sectors where we have seen outsized
returns and mixed earnings picture such as pharmaceuticals (biotech) and
software. Also, we've been gradually reducing our holdings in companies with
mortgage exposure and redeploying money slowly into asset sensitive banks.
27
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 24.4%
Consumer Goods & Services 17.8%
Finance & Insurance 11.4%
Short-Term Investments 9.9%
Industrial Products & Services 9.9%
Health Services & Systems 9.7%
Pharmaceuticals 8.7%
Energy 6.3%
Utilities 0.8%
Telecommunications 0.6%
REITs 0.5%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. eSpeed, Inc., Class A 2.0%
2. W.R. Berkley Corp. 1.9%
3. Crown Holdings, Inc. 1.8%
4. NetBank, Inc. 1.6%
5. AtheroGenics, Inc. 1.5%
6. Global Imaging Systems, Inc. 1.5%
7. Omnicare, Inc. 1.5%
8. Serena Software, Inc. 1.5%
9. EMCOR Group, Inc. 1.5%
10. Maxtor Corp. 1.4%
</Table>
Top 10 equity holdings comprised 16.2% of the Portfolio's market value of
investments ($3,037 in thousands). As of June 30, 2003 the Fund held 148 equity
holdings. Portfolio holdings are subject to change at any time.
28
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (6/16/97)
-------------------------------------------
SELECT SHARES (7.52%) (24.95%) (7.40%) (2.41%)
</Table>
[CHART]
LIFE OF FUND FUND PERFORMANCE (06/16/97 TO 06/30/03)
<Table>
<Caption>
JPMORGAN U.S. SMALL COMPANY LIPPER SMALL-CAP
OPPORTUNITIES FUND (SELECT SHARES) RUSSELL 2000 GROWTH INDEX GROWTH FUNDS INDEX
Jun-1997 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jun-1997 $ 1,028,000 $ 1,000,000 $ 1,000,000
Jul-1997 $ 1,092,970 $ 1,051,200 $ 1,060,200
Aug-1997 $ 1,114,938 $ 1,082,736 $ 1,077,057
Sep-1997 $ 1,222,976 $ 1,169,138 $ 1,167,745
Oct-1997 $ 1,151,921 $ 1,098,873 $ 1,108,074
Nov-1997 $ 1,136,946 $ 1,072,720 $ 1,083,031
Dec-1997 $ 1,183,902 $ 1,073,364 $ 1,068,627
Jan-1998 $ 1,182,955 $ 1,059,088 $ 1,052,811
Feb-1998 $ 1,288,947 $ 1,152,605 $ 1,137,878
Mar-1998 $ 1,363,964 $ 1,200,899 $ 1,189,310
Apr-1998 $ 1,360,963 $ 1,208,225 $ 1,197,992
May-1998 $ 1,256,986 $ 1,120,508 $ 1,113,175
Jun-1998 $ 1,268,047 $ 1,131,937 $ 1,145,791
Jul-1998 $ 1,186,005 $ 1,037,420 $ 1,059,627
Aug-1998 $ 905,040 $ 797,984 $ 828,205
Sep-1998 $ 1,012,016 $ 878,899 $ 872,513
Oct-1998 $ 1,045,008 $ 924,778 $ 906,890
Nov-1998 $ 1,131,012 $ 996,540 $ 980,621
Dec-1998 $ 1,245,696 $ 1,086,727 $ 1,078,879
Jan-1999 $ 1,303,248 $ 1,135,630 $ 1,104,988
Feb-1999 $ 1,189,213 $ 1,031,720 $ 998,688
Mar-1999 $ 1,229,290 $ 1,068,449 $ 1,043,829
Apr-1999 $ 1,274,528 $ 1,162,793 $ 1,084,538
May-1999 $ 1,250,949 $ 1,164,654 $ 1,090,503
Jun-1999 $ 1,389,679 $ 1,226,031 $ 1,192,574
Jul-1999 $ 1,384,537 $ 1,188,147 $ 1,188,400
Aug-1999 $ 1,361,969 $ 1,143,710 $ 1,171,762
Sep-1999 $ 1,412,362 $ 1,165,784 $ 1,214,297
Oct-1999 $ 1,485,381 $ 1,195,628 $ 1,285,091
Nov-1999 $ 1,688,879 $ 1,322,005 $ 1,447,269
Dec-1999 $ 2,013,650 $ 1,555,075 $ 1,739,039
Jan-2000 $ 2,083,524 $ 1,540,613 $ 1,720,953
Feb-2000 $ 2,616,906 $ 1,899,113 $ 2,225,192
Mar-2000 $ 2,220,183 $ 1,699,517 $ 2,050,514
Apr-2000 $ 1,849,190 $ 1,527,865 $ 1,797,071
May-2000 $ 1,634,314 $ 1,394,024 $ 1,650,070
Jun-2000 $ 2,042,403 $ 1,574,132 $ 1,940,648
Jul-2000 $ 1,863,488 $ 1,439,229 $ 1,814,312
Aug-2000 $ 2,193,512 $ 1,590,636 $ 2,009,350
Sep-2000 $ 2,084,494 $ 1,511,582 $ 1,909,887
Oct-2000 $ 1,851,239 $ 1,388,841 $ 1,766,646
Nov-2000 $ 1,401,018 $ 1,136,628 $ 1,465,786
Dec-2000 $ 1,577,967 $ 1,206,189 $ 1,595,362
Jan-2001 $ 1,607,475 $ 1,303,770 $ 1,644,020
Feb-2001 $ 1,341,277 $ 1,125,023 $ 1,433,585
Mar-2001 $ 1,155,510 $ 1,022,758 $ 1,294,384
Apr-2001 $ 1,349,173 $ 1,147,944 $ 1,434,178
May-2001 $ 1,380,879 $ 1,174,576 $ 1,473,044
Jun-2001 $ 1,385,436 $ 1,206,642 $ 1,510,165
Jul-2001 $ 1,261,994 $ 1,103,716 $ 1,426,049
Aug-2001 $ 1,179,333 $ 1,034,733 $ 1,341,627
Sep-2001 $ 940,282 $ 867,727 $ 1,132,199
Oct-2001 $ 1,021,805 $ 951,203 $ 1,215,189
Nov-2001 $ 1,123,781 $ 1,030,628 $ 1,309,366
Dec-2001 $ 1,187,274 $ 1,094,836 $ 1,388,713
Jan-2002 $ 1,119,244 $ 1,055,860 $ 1,346,774
Feb-2002 $ 1,040,001 $ 987,546 $ 1,265,294
Mar-2002 $ 1,138,593 $ 1,073,364 $ 1,368,796
Apr-2002 $ 1,085,307 $ 1,050,179 $ 1,332,659
May-2002 $ 1,011,723 $ 988,744 $ 1,279,220
Jun-2002 $ 933,517 $ 904,898 $ 1,184,174
Jul-2002 $ 796,477 $ 765,815 $ 1,016,258
Aug-2002 $ 808,902 $ 765,433 $ 1,014,733
Sep-2002 $ 761,338 $ 710,168 $ 953,241
Oct-2002 $ 780,600 $ 746,103 $ 993,944
Nov-2002 $ 836,101 $ 820,042 $ 1,077,237
Dec-2002 $ 797,557 $ 763,459 $ 1,005,277
Jan-2003 $ 752,255 $ 742,693 $ 978,738
Feb-2003 $ 703,509 $ 722,863 $ 948,201
Mar-2003 $ 722,785 $ 733,778 $ 967,734
Apr-2003 $ 768,104 $ 803,193 $ 1,047,669
May-2003 $ 850,829 $ 893,713 $ 1,154,531
Jun-2003 $ 863,104 $ 910,962 $ 1,193,670
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 6/16/97.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Small Company Opportunities Fund, which are similar to the expenses of the
Select Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan U.S. Small Company Opportunities Fund, Russell 2000
Growth Index, and Lipper Small-Cap Growth Funds Index from June 16, 1997 to June
30, 2003. The performance of the Fund assumes reinvestment of all dividends and
capital gains and does not include a sales charge. The performance of the
indices does not include a sales charge and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in
the benchmark. The Russell 2000 Growth measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
rates. The Lipper Small-Cap Growth Funds Index represents the total returns of
the funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
29
<Page>
JPMORGAN DYNAMIC SMALL CAP FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
(Amounts in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.3%
COMMON STOCKS -- 99.3%
AEROSPACE -- 2.6%
40 Alliant Techsystems, Inc.* $ 2,074
46 Engineered Support Systems, Inc. 1,919
---------------------------------------------------------------------
3,993
---------------------------------------------------------------------
AIRLINES -- 0.6%
71 Atlantic Coast Airlines Holdings, Inc.* 958
APPAREL -- 1.1%
34 Coach, Inc.* 1,691
AUTOMOTIVE -- 3.2%
44 Gentex Corp.* 1,358
30 Lithia Motors, Inc., Class A* 479
59 O'Reilly Automotive, Inc.* 1,976
28 Winnebago Industries, Inc. (l) 1,065
---------------------------------------------------------------------
4,878
---------------------------------------------------------------------
BANKING -- 6.7%
46 CVB Financial Corp. 894
55 East-West Bancorp, Inc. 1,977
50 FNB Corp. 1,521
49 Pacific Northwest Bancorp. 1,696
40 Texas Regional Bancshares, Class A 1,387
53 UCBH Holdings, Inc. 1,526
62 Umpqua Holdings Corp. 1,179
---------------------------------------------------------------------
10,180
---------------------------------------------------------------------
BIOTECHNOLOGY -- 1.4%
31 InterMune, Inc.* 501
38 Martek Biosciences Corp.* 1,640
---------------------------------------------------------------------
2,141
---------------------------------------------------------------------
BROADCASTING/CABLE -- 0.9%
115 Entravision Communications Corp., Class A* 1,310
BUSINESS SERVICES -- 2.7%
49 Fair Isaac Corp. 2,511
44 Iron Mountain, Inc.* 1,645
---------------------------------------------------------------------
4,156
---------------------------------------------------------------------
CHEMICALS -- 1.4%
43 Cabot Microelectronics Corp.* (l) $ 2,163
COMPUTER NETWORKS -- 2.0%
70 Avocent Corp.* 2,081
40 Cerner Corp.* (l) 916
---------------------------------------------------------------------
2,997
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 8.5%
80 Ansys, Inc.* (l) 2,484
24 BARRA, Inc.* 864
17 Kronos, Inc.* 874
52 Manhattan Associates, Inc.* (l) 1,344
37 National Instruments Corp.* 1,398
99 Pinnacle Systems, Inc.* 1,060
41 Progress Software Corp.* 844
156 RSA Security, Inc.,* 1,681
71 Serena Software, Inc.* 1,482
50 THQ, Inc.* (l) 905
---------------------------------------------------------------------
12,936
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.1%
22 Zebra Technologies Corp., Class A* 1,669
CONSTRUCTION -- 1.3%
3 NVR, Inc.* 1,027
34 Toll Brothers, Inc.* 963
---------------------------------------------------------------------
1,990
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 2.4%
21 Ethan Allen Interiors, Inc. (l) 731
49 Fossil, Inc.* 1,150
22 Harman International Industries, Inc. 1,757
---------------------------------------------------------------------
3,638
---------------------------------------------------------------------
CONSUMER SERVICES -- 4.8%
46 Career Education Corp.* 3,133
41 Education Management Corp.* 2,202
70 Regis Corp. 2,019
---------------------------------------------------------------------
7,354
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
SEMI-ANNUAL REPORT JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.5%
16 Amphenol Corp., Class A* (l) $ 763
73 Itron, Inc.* 1,564
41 Varian, Inc.* 1,435
---------------------------------------------------------------------
3,762
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.0%
77 Penn National Gaming, Inc.* 1,580
ENVIRONMENTAL SERVICES -- 1.5%
34 Stericycle, Inc.* 1,308
30 Waste Connections, Inc.* 1,036
---------------------------------------------------------------------
2,344
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.6%
41 Performance Food Group Co.* 1,532
34 United Natural Foods, Inc.* 957
---------------------------------------------------------------------
2,489
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 12.7%
44 Advanced Neuromodulation Systems, Inc.* 2,298
39 ICU Medical, Inc.* (l) 1,199
49 Idexx Laboratories, Inc.* 1,644
55 Mid Atlantic Medical Services* 2,860
83 Odyssey Healthcare, Inc.* 3,063
50 Pediatrix Medical Group, Inc.* (l) 1,791
30 Respironics, Inc.* 1,111
19 SurModics, Inc.* (l) 586
25 TECHNE Corp.* 763
28 Varian Medical Systems, Inc.* 1,618
93 VCA Antech, Inc.* (l) 1,824
40 Wright Medical Group, Inc.* 766
---------------------------------------------------------------------
19,523
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.6%
64 Extended Stay America, Inc.* 858
INSURANCE -- 1.0%
56 ProAssurance Corp.* 1,506
MACHINERY & ENGINEERING EQUIPMENT -- 1.9%
53 Graco, Inc. 1,702
51 Lindsay Manufacturing Co. 1,173
---------------------------------------------------------------------
2,875
---------------------------------------------------------------------
MANUFACTURING -- 1.0%
40 Clarcor, Inc. $ 1,538
MULTI-MEDIA -- 2.1%
65 Lin TV Corp., Class A* 1,540
90 Radio One, Inc.* (l) 1,603
---------------------------------------------------------------------
3,143
---------------------------------------------------------------------
OIL & GAS -- 9.0%
33 Evergreen Resources, Inc.* 1,766
62 Hydril Co.* 1,679
144 Key Energy Services, Inc.* 1,538
33 Pogo Producing Co. 1,389
92 Pride International, Inc.* 1,739
62 Spinnaker Exploration Co.* 1,627
44 Varco International, Inc.* 870
82 W-H Energy Services, Inc.* 1,597
68 Westport Resources Corp.* 1,549
---------------------------------------------------------------------
13,754
---------------------------------------------------------------------
PHARMACEUTICALS -- 5.4%
61 Celgene Corp.* 1,844
40 Medicines Co.* 780
24 Medicis Pharmaceutical Corp., Class A 1,344
80 NBTY, Inc.* 1,683
17 Neurocrine Biosciences, Inc.* 824
38 Pharmaceutical Resources, Inc. 1,848
---------------------------------------------------------------------
8,323
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.5%
19 Pan Pacific Retail Properties, Inc. 756
RESTAURANTS/FOOD SERVICES -- 3.8%
49 P.F. Chang's China Bistro, Inc.* (l) 2,401
49 Panera Bread Co., Class A* (l) 1,952
58 Sonic Corp.* 1,467
---------------------------------------------------------------------
5,820
---------------------------------------------------------------------
RETAILING -- 4.4%
47 Aeropostale, Inc.* 1,016
59 Hot Topic, Inc.* 1,593
83 Pier 1 Imports, Inc. 1,689
61 The J. Jill Group, Inc.* 1,021
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
- --------------------------------------------------------------------------------
RETAILING -- CONTINUED
68 Too, Inc.* $ 1,377
---------------------------------------------------------------------
6,696
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.4%
34 Cymer, Inc.* (l) 1,088
66 Power Integrations, Inc.* 1,599
74 Rudolph Technologies, Inc.* (l) 1,180
86 Semtech Corp.* 1,222
24 Silicon Laboratories, Inc.* 631
33 Varian Semiconductor Equipment
Associates, Inc.* 967
---------------------------------------------------------------------
6,687
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.0%
44 C.H. Robinson Worldwide, Inc. 1,550
TELECOMMUNICATIONS EQUIPMENT -- 0.2%
77 C-COR.net Corp.* 377
TOYS & GAMES -- 0.4%
36 RC2 Corp.* 604
TRANSPORTATION -- 2.9%
101 Heartland Express, Inc.* 2,237
39 Knight Transportation, Inc.* 959
64 Pacer International, Inc.* 1,213
---------------------------------------------------------------------
4,409
---------------------------------------------------------------------
UTILITIES -- 0.7%
38 American States Water Co. 1,050
Total Common Stocks 151,698
(Cost $126,977)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.7%
MONEY MARKET FUND -- 0.7%
1,038 JPMorgan Prime Money Market Fund (a) $ 1,038
(Cost $1,038)
---------------------------------------------------------------------
Total Investments -- 100.0% $ 152,736
(Cost $128,015)
---------------------------------------------------------------------
</Table>
<Table>
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
6,516 Merrill Lynch Premier Institution
Money Market Fund $ 6,516
6,516 Reserve Primary
Money Market Fund 6,516
Cash 965
---------------------------------------------------------------------
$ 13,997
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
JPMORGAN MID CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
(Amounts in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.5%
COMMON STOCKS -- 97.5%
AGRICULTURAL PRODUCTION/SERVICES -- 0.4%
20 UST, Inc. $ 701
AIRLINES -- 0.4%
33 SkyWest, Inc. 620
APPAREL -- 1.9%
28 Columbia Sportswear Co.* 1,414
48 VF Corp. 1,620
---------------------------------------------------------------------
3,034
---------------------------------------------------------------------
AUTOMOTIVE -- 1.0%
30 Genuine Parts Co. 961
11 Polaris Industries, Inc. (l) 675
---------------------------------------------------------------------
1,636
---------------------------------------------------------------------
BANKING -- 7.8%
38 Banknorth Group, Inc. 970
26 BB&T Corp. 902
5 BOK Financial Corp.* 185
30 Compass Bancshares, Inc. 1,048
30 Cullen/Frost Bankers, Inc. 969
18 M&T Bank Corp. 1,482
20 New York Community Bancorp, Inc. 582
50 North Fork Bancorporation, Inc. 1,704
37 TCF Financial Corp. 1,468
39 Washington Federal, Inc. 900
19 Webster Financial Corp. 699
52 Wilmington Trust Corp. 1,529
---------------------------------------------------------------------
12,438
---------------------------------------------------------------------
BIOTECHNOLOGY -- 2.4%
12 Biogen, Inc.* 448
15 Gilead Sciences, Inc.* (l) 848
15 ICOS Corp.* (l) 566
28 MedImmune, Inc.* 1,018
17 Myriad Genetics, Inc.* 234
23 Pharmaceutical Product Development, Inc.* 648
---------------------------------------------------------------------
3,762
---------------------------------------------------------------------
BROADCASTING/CABLE -- 1.0%
8 EchoStar Communications Corp., Class A* 287
57 Mediacom Communications Corp.* 567
24 Univision Communications, Inc., Class A* (l) 744
---------------------------------------------------------------------
1,598
---------------------------------------------------------------------
BUSINESS SERVICES -- 5.6%
12 ChoicePoint, Inc.* (l) $ 419
10 Cintas Corp. 347
14 CSG Systems International, Inc.* 198
62 Deluxe Corp. 2,769
48 Equifax, Inc. 1,257
14 Fair Isaac Corp. 715
18 Hewitt Associates, Inc., Class A* 426
59 IMS Health, Inc. 1,052
14 Iron Mountain, Inc.* 512
18 Moody's Corp. 936
12 SunGard Data Systems, Inc.* 321
---------------------------------------------------------------------
8,952
---------------------------------------------------------------------
CHEMICALS -- 0.6%
9 Sigma-Aldrich Corp. 471
12 Valspar Corp. 499
---------------------------------------------------------------------
970
---------------------------------------------------------------------
COMPUTER NETWORKS -- 0.8%
39 Juniper Networks, Inc.* 487
50 Network Appliance, Inc.* 809
---------------------------------------------------------------------
1,296
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 3.8%
17 Adobe Systems, Inc. 542
16 Affiliated Computer Services, Inc., Class A* 732
32 BEA Systems, Inc.* 349
21 BMC Software, Inc.* 344
37 Computer Associates International, Inc. 820
13 Electronic Arts, Inc.* 962
8 Intuit, Inc.* 356
27 Macromedia, Inc.* 563
12 Mercury Interactive Corp.* 448
16 National Instruments Corp.* 587
14 VERITAS Software Corp.* 388
---------------------------------------------------------------------
6,091
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.7%
28 Apple Computer, Inc.* 542
14 Emulex Corp.* 314
9 Lexmark International, Inc.* 616
17 Tech Data Corp.* 450
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- CONTINUED
10 Zebra Technologies Corp., Class A* $ 745
---------------------------------------------------------------------
2,667
---------------------------------------------------------------------
CONSTRUCTION -- 1.5%
111 Clayton Homes, Inc. 1,390
1 Lennar Corp., B Shares 85
12 Lennar Corp., Class A 883
---------------------------------------------------------------------
2,358
---------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.6%
45 Florida Rock Industries, Inc. 1,870
19 Vulcan Materials Co. 701
---------------------------------------------------------------------
2,571
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.4%
12 Fortune Brands, Inc. 637
CONSUMER SERVICES -- 0.7%
41 Interactive Data Corp.* 698
10 Weight Watchers International, Inc.* 462
---------------------------------------------------------------------
1,160
---------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.2%
15 Amphenol Corp., Class A* (l) 698
22 Jabil Circuit, Inc.* 495
60 Vishay Intertechnology, Inc.* 793
---------------------------------------------------------------------
1,986
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.4%
6 International Game Technology* 655
ENVIRONMENTAL SERVICES -- 1.2%
85 Republic Services, Inc.* 1,927
FINANCIAL SERVICES -- 4.2%
13 A.G. Edwards, Inc. 450
25 Charter One Financial, Inc. 780
22 Golden West Financial Corp. 1,728
11 H & R Block, Inc. 484
10 Legg Mason, Inc. 650
67 T. Rowe Price Group, Inc. 2,525
---------------------------------------------------------------------
6,617
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.4%
6 Brown-Forman Corp., Class B $ 455
29 Dean Foods Co.* 926
48 Del Monte Foods Co.* 426
45 Hormel Foods Corp. 1,066
19 McCormick & Co., Inc. 517
12 The J.M. Smucker Co. 472
---------------------------------------------------------------------
3,862
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 9.3%
12 Aetna, Inc. 728
15 Anthem, Inc.* 1,130
41 Caremark Rx, Inc.* 1,058
36 Dentsply International, Inc. 1,487
33 Health Management Associates, Inc.,
Class A 609
28 Laboratory Corp. of America Holdings* 841
34 Lincare Holdings, Inc.* 1,078
13 Manor Care, Inc.* (l) 327
49 Omnicare, Inc. 1,661
13 Renal Care Group, Inc.* 458
18 Steris Corp.* 420
14 Stryker Corp. 964
25 Triad Hospitals, Inc.* 613
12 Varian Medical Systems, Inc.* 668
19 WellPoint Health Networks, Inc.* 1,635
20 Zimmer Holdings, Inc.* 915
---------------------------------------------------------------------
14,592
---------------------------------------------------------------------
INSURANCE -- 4.0%
12 Cincinnati Financial Corp. 452
19 HCC Insurance Holdings, Inc. 571
45 IPC Holdings LTD (Bermuda) 1,508
11 John Hancock Financial Services, Inc. 350
32 MGIC Investment Corp. 1,492
13 Principal Financial Group, Inc. 410
44 SAFECO Corp. 1,549
---------------------------------------------------------------------
6,332
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.9%
12 CheckFree Corp.* 329
9 Expedia, Inc.* (l) 649
11 Symantec Corp.* 469
---------------------------------------------------------------------
1,447
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MACHINERY & ENGINEERING EQUIPMENT -- 0.4%
18 IDEX Corp. $ 660
MANUFACTURING -- 1.7%
7 Carlisle Companies, Inc. 295
25 Cooper Industries LTD, Class A 1,032
43 Crane Co. 973
13 Harsco Corp. 469
---------------------------------------------------------------------
2,769
---------------------------------------------------------------------
MULTI-MEDIA -- 3.6%
25 Cox Radio, Inc., Class A* 567
25 Gannett Co., Inc. 1,920
11 Knight Ridder, Inc. 751
27 The E.W. Scripps Co., Class A 2,405
---------------------------------------------------------------------
5,643
---------------------------------------------------------------------
OIL & GAS -- 5.5%
28 Burlington Resources, Inc. 1,525
45 Devon Energy Corp. 2,402
18 Equitable Resources, Inc. 750
24 FMC Technologies, Inc.* 500
20 Murphy Oil Corp. 1,052
12 Nabors Industries LTD (Barbados)* 469
12 Patterson-UTI Energy, Inc.* 395
17 Pioneer Natural Resources Co.* 453
25 Premcor, Inc.* 528
14 Talisman Energy, Inc. (Canada) 644
---------------------------------------------------------------------
8,718
---------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 0.8%
18 Plum Creek Timber Co., Inc. 477
22 Rayonier, Inc. 733
---------------------------------------------------------------------
1,210
---------------------------------------------------------------------
PHARMACEUTICALS -- 1.3%
8 AmerisourceBergen Corp. (l) 565
25 Andrx Corp.* 499
12 Medicis Pharmaceutical Corp., Class A 698
25 Vertex Pharmaceuticals, Inc.* 362
---------------------------------------------------------------------
2,124
---------------------------------------------------------------------
PIPELINES -- 1.1%
33 Kinder Morgan, Inc. $ 1,793
PRINTING & PUBLISHING -- 0.5%
1 Washington Post Co., Class B 733
REAL ESTATE -- 1.1%
35 Brookfield Properties Corp. (Canada) 748
25 LNR Property Corp. 924
---------------------------------------------------------------------
1,672
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 3.8%
25 AMB Property Corp. 704
28 Equity Residential 727
29 Kimco Realty Corp. 1,080
20 Manufactured Home Communities, Inc. 702
37 PS Business Parks, Inc. 1,296
21 Public Storage, Inc. 694
20 Vornado Realty Trust 872
---------------------------------------------------------------------
6,075
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 3.9%
35 Applebee's International, Inc. 1,100
29 CBRL Group, Inc. (l) 1,119
29 Darden Restaurants, Inc. 552
64 Outback Steakhouse, Inc. 2,512
16 Ruby Tuesday, Inc. 396
18 Yum! Brands, Inc.* 517
---------------------------------------------------------------------
6,196
---------------------------------------------------------------------
RETAILING -- 6.2%
23 Abercrombie & Fitch Co., Class A* 648
10 Amazon.com, Inc.* 378
17 AutoZone, Inc.* 1,314
21 Bed Bath & Beyond, Inc.* 806
26 CarMax, Inc.* 785
22 CDW Corp.* 1,001
19 Family Dollar Stores 727
20 Fastenal Co. (l) 662
35 Foot Locker, Inc. 469
29 PETsMART, Inc.* 488
9 Ross Stores, Inc. 376
57 Staples, Inc.* 1,045
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RETAILING -- CONTINUED
38 The TJX Companies, Inc. $ 716
8 Whole Foods Market, Inc.* 377
---------------------------------------------------------------------
9,792
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 2.7%
41 Altera Corp.* 674
20 Intersil Corp., Class A* 531
21 KLA-Tencor Corp.* 993
28 MEMC Electronics Materials* 275
34 Microchip Technology, Inc. 841
25 Novellus Systems, Inc.* 912
---------------------------------------------------------------------
4,226
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.4%
19 C.H. Robinson Worldwide, Inc. 688
TELECOMMUNICATIONS -- 3.1%
35 Alltel Corp. 1,696
40 CenturyTel, Inc. 1,394
30 Nextel Communications, Inc., Class A* (l) 541
25 Telephone & Data Systems, Inc. 1,243
---------------------------------------------------------------------
4,874
---------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.4%
51 Corning, Inc.* (l) 376
119 Lucent Technologies, Inc.* (l) 242
---------------------------------------------------------------------
618
---------------------------------------------------------------------
TEXTILES -- 0.8%
23 Mohawk Industries, Inc.* 1,277
UTILITIES -- 5.0%
20 Dominion Resources, Inc. 1,253
41 Energy East Corp. 857
38 FirstEnergy Corp. 1,453
28 Nicor, Inc. 1,039
43 Pepco Holdings, Inc. 820
14 Pinnacle West Capital Corp. 513
44 SCANA Corp. 1,509
18 Sempra Energy 508
7,952
---------------------------------------------------------------------
Total Common Stocks 154,929
(Cost $133,373)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 2.5%
MONEY MARKET FUND -- 2.5%
4,012 JPMorgan Prime Money Market Fund (a) $ 4,012
(Cost $4,012)
---------------------------------------------------------------------
Total Investments-- 100.0% $ 158,941
(Cost $137,385)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
3,866 Merrill Lynch Premier Institution
Money Market Fund $ 3,866
3,866 Reserve Primary Money Market Fund 3,866
---------------------------------------------------------------------
$ 7,732
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
JPMORGAN MID CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
(Amounts in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.0%
COMMON STOCKS -- 99.0%
AIRLINES -- 1.0%
30 SkyWest, Inc. $ 578
AUTOMOTIVE -- 1.1%
10 Polaris Industries, Inc. (l) 626
BANKING -- 2.0%
4 BOK Financial Corp.* 170
7 M&T Bank Corp. 592
10 TCF Financial Corp. 398
---------------------------------------------------------------------
1,160
---------------------------------------------------------------------
BIOTECHNOLOGY -- 5.9%
11 Biogen, Inc.* 418
14 Gilead Sciences, Inc.* 795
14 ICOS Corp.* (l) 531
26 MedImmune, Inc.* 947
14 Myriad Genetics, Inc.* 184
21 Pharmaceutical Product Development, Inc.* 603
---------------------------------------------------------------------
3,478
---------------------------------------------------------------------
BROADCASTING/CABLE -- 2.1%
56 Mediacom Communications Corp.* 549
23 Univision Communications, Inc., Class A* (l) 705
---------------------------------------------------------------------
1,254
---------------------------------------------------------------------
BUSINESS SERVICES -- 7.3%
11 ChoicePoint, Inc.* 394
9 Cintas Corp. 310
24 CSG Systems International, Inc.* 338
22 Equifax, Inc. 576
13 Fair Isaac Corp. 669
17 Hewitt Associates, Inc., Class A* 399
13 Iron Mountain, Inc.* 464
16 Moody's Corp. 840
12 SunGard Data Systems, Inc.* 298
---------------------------------------------------------------------
4,288
---------------------------------------------------------------------
COMPUTER NETWORKS -- 2.0%
37 Juniper Networks, Inc.* 456
45 Network Appliance, Inc.* 728
---------------------------------------------------------------------
1,184
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 8.2%
15 Adobe Systems, Inc. $ 486
14 Affiliated Computer
Services, Inc., Class A* 661
30 BEA Systems, Inc.* 324
19 BMC Software, Inc.* 310
12 Electronic Arts, Inc.* 910
8 Intuit, Inc.* 334
25 Macromedia, Inc.* 527
11 Mercury Interactive Corp.* 405
14 National Instruments Corp.* 527
12 VERITAS Software Corp.* 351
---------------------------------------------------------------------
4,835
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.3%
25 Apple Computer, Inc.* 487
13 Emulex Corp.* 287
15 Tech Data Corp.* 412
10 Zebra Technologies Corp., Class A* 733
---------------------------------------------------------------------
1,919
---------------------------------------------------------------------
CONSTRUCTION -- 1.6%
1 Lennar Corp., B Shares 81
12 Lennar Corp., Class A 847
---------------------------------------------------------------------
928
---------------------------------------------------------------------
CONSUMER SERVICES -- 0.7%
9 Weight Watchers International, Inc.* 430
ELECTRONICS/ELECTRICAL EQUIPMENT -- 3.1%
13 Amphenol Corp., Class A* 627
21 Jabil Circuit, Inc.* 465
58 Vishay Intertechnology, Inc.* 762
---------------------------------------------------------------------
1,854
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 1.1%
6 International Game Technology* 650
FINANCIAL SERVICES -- 2.5%
12 A.G. Edwards, Inc. 404
28 T. Rowe Price Group, Inc. 1,043
---------------------------------------------------------------------
1,447
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOOD/BEVERAGE PRODUCTS -- 0.7%
43 Del Monte Foods Co.* $ 383
HEALTH CARE/HEALTH CARE SERVICES -- 18.1%
11 Aetna, Inc. 674
14 Anthem, Inc.* 1,045
38 Caremark Rx, Inc.* 976
14 Dentsply International, Inc. 552
31 Health Management
Associates, Inc., Class A 569
26 Laboratory Corp. of America Holdings* 784
12 Manor Care, Inc.* 309
46 Omnicare, Inc. 1,549
12 Renal Care Group, Inc.* 430
17 Steris Corp.* 391
13 Stryker Corp. 871
22 Triad Hospitals, Inc.* 552
11 Varian Medical Systems, Inc.* 610
7 WellPoint Health Networks, Inc.* 611
18 Zimmer Holdings, Inc.* 820
---------------------------------------------------------------------
10,743
---------------------------------------------------------------------
INSURANCE -- 0.9%
18 HCC Insurance Holdings, Inc. 526
INTERNET SERVICES/SOFTWARE -- 2.3%
11 CheckFree Corp.* 306
8 Expedia, Inc.* (l) 608
10 Symantec Corp.* 456
---------------------------------------------------------------------
1,370
---------------------------------------------------------------------
MANUFACTURING -- 0.7%
12 Harsco Corp. 436
MULTI-MEDIA -- 1.7%
23 Cox Radio, Inc., Class A* 531
5 The E.W. Scripps Co., Class A 452
---------------------------------------------------------------------
983
---------------------------------------------------------------------
OIL & GAS -- 3.8%
22 FMC Technologies, Inc.* 453
11 Nabors Industries LTD (Barbados)* 425
11 Patterson-UTI Energy, Inc.* 363
16 Pioneer Natural Resources Co.* $ 405
13 Talisman Energy, Inc. (Canada) 600
---------------------------------------------------------------------
2,246
---------------------------------------------------------------------
PHARMACEUTICALS -- 3.9%
8 AmerisourceBergen Corp. (l) 527
24 Andrx Corp.* 470
11 Medicis Pharmaceutical Corp., Class A 649
22 Millennium Pharmaceuticals, Inc.* (l) 343
23 Vertex Pharmaceuticals, Inc.* 331
---------------------------------------------------------------------
2,320
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 4.2%
27 CBRL Group, Inc. (l) 1,048
27 Darden Restaurants, Inc. 515
14 Outback Steakhouse, Inc. 527
15 Ruby Tuesday, Inc. 368
---------------------------------------------------------------------
2,458
---------------------------------------------------------------------
RETAILING -- 11.4%
20 Abercrombie & Fitch Co., Class A* 578
10 Amazon.com, Inc.* 352
19 Bed Bath & Beyond, Inc.* 725
24 CarMax, Inc.* 722
20 CDW Corp.* 927
17 Family Dollar Stores 654
19 Fastenal Co. (l) 628
27 PETsMART, Inc.* 454
8 Ross Stores, Inc. 350
53 Staples, Inc.* 982
7 Whole Foods Market, Inc.* 348
---------------------------------------------------------------------
6,720
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 6.6%
39 Altera Corp.* 633
19 Intersil Corp., Class A* 499
19 KLA-Tencor Corp.* 891
26 MEMC Electronics Materials* 257
31 Microchip Technology, Inc. 768
22 Novellus Systems, Inc.* (l) 822
---------------------------------------------------------------------
3,870
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SHIPPING/TRANSPORTATION -- 0.9%
16 C.H. Robinson Worldwide, Inc. $ 555
TELECOMMUNICATIONS -- 0.9%
28 Nextel Communications, Inc., Class A* (l) 506
TELECOMMUNICATIONS EQUIPMENT -- 1.0%
48 Corning, Inc.* (l) 352
112 Lucent Technologies, Inc.* (l) 227
---------------------------------------------------------------------
579
---------------------------------------------------------------------
Total Common Stocks 58,326
(Cost $54,755)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.0%
MONEY MARKET FUND -- 1.0%
581 JPMorgan Prime Money Market Fund (a) $ 581
(Cost $581)
---------------------------------------------------------------------
Total Investments -- 100.0% $ 58,907
(Cost $55,336)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
2,734 Merrill Lynch Premier Institution
Money Market Fund $ 2,734
2,735 Reserve Primary Money Market Fund 2,735
---------------------------------------------------------------------
$ 5,469
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
JPMORGAN MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
(Amounts in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 90.2%
COMMON STOCKS -- 90.2%
APPAREL -- 3.4%
69 Columbia Sportswear Co.* $ 3,522
215 VF Corp. 7,303
---------------------------------------------------------------------
10,825
---------------------------------------------------------------------
AUTOMOTIVE -- 1.2%
120 Genuine Parts Co. 3,841
BANKING -- 11.5%
92 Banknorth Group, Inc. 2,355
122 BB&T Corp. 4,178
15 BOK Financial Corp.* 575
56 Cullen/Frost Bankers, Inc. 1,807
27 M&T Bank Corp. 2,274
230 North Fork Bancorporation, Inc. 7,835
160 TCF Financial Corp. 6,374
104 Washington Federal, Inc. 2,401
93 Webster Financial Corp. 3,519
166 Wilmington Trust Corp. 4,872
---------------------------------------------------------------------
36,190
---------------------------------------------------------------------
BROADCASTING/CABLE -- 0.3%
23 EchoStar Communications Corp., Class A* 789
BUSINESS SERVICES -- 4.0%
148 Deluxe Corp. 6,635
77 Equifax, Inc. 1,992
218 IMS Health, Inc. 3,927
---------------------------------------------------------------------
12,554
---------------------------------------------------------------------
CHEMICALS -- 1.2%
41 Sigma-Aldrich Corp. 2,243
33 Valspar Corp. 1,393
---------------------------------------------------------------------
3,636
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 0.7%
104 Computer Associates International, Inc. 2,310
COMPUTERS/COMPUTER HARDWARE -- 0.6%
25 Lexmark International, Inc.* 1,769
CONSTRUCTION -- 1.0%
247 Clayton Homes, Inc. $ 3,095
CONSTRUCTION MATERIALS -- 2.4%
110 Florida Rock Industries, Inc. 4,557
80 Vulcan Materials Co. 2,966
---------------------------------------------------------------------
7,523
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.6%
33 Fortune Brands, Inc. 1,743
CONSUMER SERVICES -- 0.8%
147 Interactive Data Corp.* 2,483
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.0%
60 Energizer Holdings, Inc.* 1,884
32 Mettler-Toledo International, Inc.
(Switzerland)* 1,169
---------------------------------------------------------------------
3,053
---------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.4%
200 Republic Services, Inc.* 4,534
FINANCIAL SERVICES -- 5.6%
67 Charter One Financial, Inc. 2,098
60 Golden West Financial Corp. 4,801
80 H & R Block, Inc. 3,460
45 Legg Mason, Inc. 2,923
115 T. Rowe Price Group, Inc. 4,341
---------------------------------------------------------------------
17,623
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 4.4%
21 Brown-Forman Corp., Class B 1,672
120 Dean Foods Co.* 3,789
200 Hormel Foods Corp. 4,740
68 McCormick & Co., Inc. 1,841
47 The J.M. Smucker Co. 1,893
---------------------------------------------------------------------
13,935
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.9%
47 Dentsply International, Inc. 1,920
30 Hillenbrand Industries, Inc. 1,508
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
146 Lincare Holdings, Inc.* $ 4,600
29 Patterson Dental Co.* 1,307
36 Renal Care Group, Inc.* 1,282
21 WellPoint Health Networks, Inc.* 1,796
---------------------------------------------------------------------
12,413
---------------------------------------------------------------------
INSURANCE -- 6.5%
48 Cincinnati Financial Corp. 1,765
150 IPC Holdings LTD (Bermuda) 5,026
30 John Hancock Financial Services, Inc. 913
123 MGIC Investment Corp. 5,728
62 Principal Financial Group, Inc. 2,012
140 SAFECO Corp. 4,925
---------------------------------------------------------------------
20,369
---------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 0.5%
48 IDEX Corp. 1,732
MANUFACTURING -- 2.2%
25 Carlisle Companies, Inc. 1,054
64 Cooper Industries LTD, Class A 2,643
137 Crane Co. 3,107
---------------------------------------------------------------------
6,804
---------------------------------------------------------------------
MULTI-MEDIA -- 4.5%
84 Gannett Co., Inc. 6,452
52 Knight Ridder, Inc. 3,550
48 The E.W. Scripps Co., Class A 4,267
---------------------------------------------------------------------
14,269
---------------------------------------------------------------------
OIL & GAS -- 5.8%
70 Burlington Resources, Inc. 3,785
143 Devon Energy Corp. 7,641
38 Equitable Resources, Inc. (l) 1,528
55 Murphy Oil Corp. 2,893
120 Premcor, Inc.* 2,586
---------------------------------------------------------------------
18,433
---------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.2%
58 Plum Creek Timber Co., Inc. 1,503
70 Rayonier, Inc. 2,316
---------------------------------------------------------------------
3,819
---------------------------------------------------------------------
PIPELINES -- 2.3%
130 Kinder Morgan, Inc. $ 7,105
PRINTING & PUBLISHING -- 1.2%
5 Washington Post Co., Class B 3,665
REAL ESTATE -- 2.2%
98 Brookfield Properties Corp. (Canada) 2,076
133 LNR Property Corp. 4,978
---------------------------------------------------------------------
7,054
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 2.4%
70 Kimco Realty Corp. 2,653
78 PS Business Parks, Inc. 2,754
60 Public Storage, Inc. 2,032
---------------------------------------------------------------------
7,439
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 3.4%
40 Applebee's International, Inc. 1,257
210 Outback Steakhouse, Inc. 8,190
44 Yum! Brands, Inc.* 1,298
---------------------------------------------------------------------
10,745
---------------------------------------------------------------------
RETAILING -- 3.8%
90 AutoZone, Inc.* 6,837
35 CDW Corp.* 1,603
92 Foot Locker, Inc. 1,215
130 The TJX Companies, Inc. 2,440
---------------------------------------------------------------------
12,095
---------------------------------------------------------------------
TELECOMMUNICATIONS -- 5.2%
115 Alltel Corp. 5,531
154 CenturyTel, Inc. 5,370
114 Telephone & Data Systems, Inc. 5,646
---------------------------------------------------------------------
16,547
---------------------------------------------------------------------
TEXTILES -- 1.4%
80 Mohawk Industries, Inc.* 4,442
UTILITIES -- 3.6%
31 Dominion Resources, Inc. 1,999
109 Energy East Corp. 2,259
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UTILITIES -- CONTINUED
130 Pepco Holdings, Inc. $ 2,491
100 SCANA Corp. 3,428
45 Sempra Energy 1,295
---------------------------------------------------------------------
11,472
---------------------------------------------------------------------
Total Common Stocks 284,306
(Cost $255,883)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 9.8%
MONEY MARKET FUND -- 9.8%
31,029 JPMorgan Prime Money Market Fund (a) $ 31,029
(Cost $31,029)
---------------------------------------------------------------------
Total Investments -- 100.0% $ 315,335
(Cost $286,912)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
98 Merrill Lynch Premier Institution
Money Market Fund $ 98
97 Reserve Primary Money Market Fund 97
---------------------------------------------------------------------
$ 195
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
JPMORGAN SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS
(Amount in Thousands)
AS OF JUNE 30, 2003 (Unaudited)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 100.0%
COMMON STOCKS -- 100.0%
AEROSPACE -- 1.5%
187 Alliant Techsystems, Inc.* $ 9,690
APPAREL -- 2.2%
392 Quiksilver, Inc.* 6,471
135 Timberland Co., Class A* 7,141
---------------------------------------------------------------------
13,612
---------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.5%
127 Furniture Brands International, Inc.* 3,325
AUTOMOTIVE -- 5.3%
104 BorgWarner, Inc. 6,697
166 Lithia Motors, Inc., Class A* 2,687
183 O'Reilly Automotive, Inc.* 6,107
96 Oshkosh Truck Corp. 5,707
107 Polaris Industries, Inc. (l) 6,558
151 Winnebago Industries, Inc. (l) 5,727
---------------------------------------------------------------------
33,483
---------------------------------------------------------------------
BANKING -- 6.7%
46 Commerce Bancorp, Inc. (l) 1,703
77 CVB Financial Corp. 1,504
71 Downey Financial Corp. 2,912
256 East-West Bancorp, Inc. 9,263
109 Hancock Holding Co. 5,130
323 UCBH Holdings, Inc. 9,274
249 United Bankshares, Inc. 7,145
158 Wintrust Financial Corp. 4,683
---------------------------------------------------------------------
41,614
---------------------------------------------------------------------
BROADCASTING/CABLE -- 0.8%
415 Sinclair Broadcast Group, Inc.* 4,823
BUSINESS SERVICES -- 2.3%
154 Banta Corp. 4,985
70 Fair Isaac Corp. 3,614
155 Iron Mountain, Inc.* 5,743
---------------------------------------------------------------------
14,342
---------------------------------------------------------------------
CHEMICALS -- 3.3%
237 Albemarle Corp. $ 6,628
86 Cabot Microelectronics Corp.* (l) 4,351
248 Georgia Gulf Corp. 4,901
225 Spartech Corp. 4,763
---------------------------------------------------------------------
20,643
---------------------------------------------------------------------
COMPUTER NETWORKS -- 0.8%
172 Avocent Corp.* 5,133
COMPUTER SOFTWARE -- 3.6%
266 CACI International, Inc., Class A* 9,131
141 Hyperion Solutions Corp.* 4,743
229 JDA Software Group, Inc.* 2,560
306 Macromedia, Inc.* 6,432
---------------------------------------------------------------------
22,866
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.6%
91 Imation Corp. 3,445
91 Zebra Technologies Corp., Class A* 6,805
---------------------------------------------------------------------
10,250
---------------------------------------------------------------------
CONSTRUCTION -- 2.4%
150 EMCOR Group, Inc.* 7,414
19 NVR, Inc.* 7,706
---------------------------------------------------------------------
15,120
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 6.1%
259 Church & Dwight Co., Inc. 8,474
215 Fossil, Inc.* 5,060
112 Harman International Industries, Inc. 8,832
213 Helen of Troy LTD* 3,235
119 The Scotts Co., Class A* 5,866
175 Toro Co. 6,940
---------------------------------------------------------------------
38,407
---------------------------------------------------------------------
CONSUMER SERVICES -- 1.6%
115 Education Management Corp.* 6,089
145 Regis Corp. 4,204
---------------------------------------------------------------------
10,293
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.1%
192 Ametek, Inc. $ 7,037
183 Varian, Inc.* 6,332
---------------------------------------------------------------------
13,369
---------------------------------------------------------------------
ENGINEERING SERVICES -- 1.2%
179 Jacobs Engineering Group, Inc.* 7,532
ENTERTAINMENT/LEISURE -- 1.2%
424 Boyd Gaming Corp.* 7,323
ENVIRONMENTAL SERVICES -- 1.1%
195 Waste Connections, Inc.* 6,826
FINANCIAL SERVICES -- 2.4%
114 Affiliated Managers Group, Inc.* 6,945
238 Raymond James Financial, Inc. 7,876
---------------------------------------------------------------------
14,821
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.7%
140 American Italian Pasta Co., Class A* (l) 5,818
346 Hain Celestial Group, Inc* 5,534
152 Performance Food Group Co.* (l) 5,628
---------------------------------------------------------------------
16,980
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 11.4%
93 AMERIGROUP Corp.* 3,463
247 Community Health Systems, Inc.* 4,757
329 Cooper Companies, Inc. 11,423
189 Coventry Health Care, Inc.* 8,724
105 Datascope Corp. 3,101
166 Henry Schein, Inc.* (l) 8,668
85 Idexx Laboratories, Inc.* 2,849
139 Inamed Corp.* 7,463
144 Ocular Sciences, Inc.* 2,850
201 Owens & Minor, Inc. 4,501
79 Respironics, Inc.* 2,979
282 Steris Corp.* 6,511
156 Sybron Dental Specialties, Inc.* 3,672
---------------------------------------------------------------------
70,961
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.0%
453 Extended Stay America, Inc.* $ 6,108
INSURANCE -- 2.6%
247 HCC Insurance Holdings, Inc. 7,298
36 Markel Corp.* 9,190
---------------------------------------------------------------------
16,488
---------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 2.7%
191 IDEX Corp. 6,933
173 Kennametal, Inc. 5,861
228 Regal-Beloit Corp. 4,355
---------------------------------------------------------------------
17,149
---------------------------------------------------------------------
MANUFACTURING -- 1.8%
110 Actuant Corp., Class A* 5,191
176 AptarGroup, Inc. 6,329
---------------------------------------------------------------------
11,520
---------------------------------------------------------------------
METALS/MINING -- 0.1%
133 Century Aluminum Co. 933
MULTI-MEDIA -- 1.1%
298 Emmis Communications Corp., Class A* 6,830
OIL & GAS -- 6.8%
187 Newfield Exploration Co.* 7,007
226 Oceaneering International, Inc.* 5,764
219 Patina Oil & Gas Corp. 7,049
500 Pride International, Inc.* (l) 9,402
232 St. Mary Land & Exploration Co. 6,331
292 Swift Energy Co.* 3,207
185 Varco International, Inc.* 3,622
---------------------------------------------------------------------
42,382
---------------------------------------------------------------------
PHARMACEUTICALS -- 1.3%
248 Medicines Co.* 4,877
67 Neurocrine Biosciences, Inc.* 3,341
---------------------------------------------------------------------
8,218
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
SEMI-ANNUAL REPORT JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE INVESTMENT TRUST -- 1.6%
111 Alexandria Real Estate Equities, Inc. $ 4,973
124 Chelsea Property Group, Inc. 5,014
---------------------------------------------------------------------
9,987
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.7%
191 Applebee's International, Inc. 5,993
196 Sonic Corp.* 4,984
---------------------------------------------------------------------
10,977
---------------------------------------------------------------------
RETAILING -- 5.4%
256 AnnTaylor Stores Corp.* 7,420
393 Chico's FAS, Inc.* 8,277
170 Genesco, Inc.* (l) 3,013
193 Luby's, Inc.* 433
388 Pier 1 Imports, Inc. 7,907
253 School Specialty, Inc.* (l) 7,202
---------------------------------------------------------------------
34,252
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.1%
91 Cymer, Inc.* (l) 2,926
333 Integrated Circuit Systems, Inc.* 10,478
256 International Rectifier Corp.* 6,866
192 Varian Semiconductor Equipment
Associates, Inc.* 5,708
---------------------------------------------------------------------
25,978
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.8%
169 UTI Worldwide, Inc. (Virgin Islands) 5,259
TELECOMMUNICATIONS -- 0.5%
259 Tekelec* $ 2,921
TELECOMMUNICATIONS EQUIPMENT -- 1.3%
492 CommScope, Inc.* 4,669
167 Inter-Tel, Inc. 3,544
---------------------------------------------------------------------
8,213
---------------------------------------------------------------------
TRANSPORTATION -- 3.1%
206 Arkansas Best Corp. 4,903
108 Landstar System, Inc.* 6,769
357 Werner Enterprises, Inc. 7,573
---------------------------------------------------------------------
19,245
---------------------------------------------------------------------
UTILITIES -- 3.3%
198 American States Water Co. 5,397
134 New Jersey Resources Corp. 4,750
235 Philadelphia Suburban Corp. 5,732
151 UGI Corp. 4,798
---------------------------------------------------------------------
20,677
---------------------------------------------------------------------
Total Investments -- 100.0% $ 628,550
(Cost $544,663)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
22,575 Merrill Lynch Premier Institution
Money Market Fund $ 22,575
22,575 Reserve Primary Money Market Fund 22,575
---------------------------------------------------------------------
$ 45,150
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
JPMORGAN SMALL CAP GROWTH FUND (Unaudited)
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.6%
COMMON STOCKS -- 98.6%
BANKING -- 3.9%
1 CVB Financial Corp. $ 20
1 East-West Bancorp, Inc. 22
1 Southwest Bancorp of Texas, Inc.* 21
1 Texas Regional Bancshares, Class A 20
---------------------------------------------------------------------
83
---------------------------------------------------------------------
BIOTECHNOLOGY -- 2.2%
2 Abgenix, Inc.* 20
2 Myriad Genetics, Inc.* 26
---------------------------------------------------------------------
46
---------------------------------------------------------------------
BROADCASTING/CABLE -- 2.9%
3 Mediacom Communications Corp.* 28
2 Salem Communications Corp., Class A* 33
---------------------------------------------------------------------
61
---------------------------------------------------------------------
BUSINESS SERVICES -- 6.9%
1 Alliance Data Systems Corp.* 32
3 CSG Systems International, Inc.* 36
0^^ Fair Isaac Corp. 19
1 Iron Mountain, Inc.* 28
1 Sylvan Learning Systems, Inc.* 33
---------------------------------------------------------------------
148
---------------------------------------------------------------------
COMPUTER NETWORKS -- 1.0%
7 Enterasys Networks, Inc.* 21
COMPUTER SOFTWARE -- 8.6%
5 Lawson Software, Inc.* 35
1 National Instruments Corp.* 46
1 Packeteer, Inc.* 15
2 Pinnacle Systems, Inc.* 26
2 Serena Software, Inc.* 41
4 Witness Systems, Inc.* 22
---------------------------------------------------------------------
185
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.5%
2 Electronics for Imaging, Inc.* 37
3 Maxtor Corp.* 19
2 Tech Data Corp.* 40
---------------------------------------------------------------------
96
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.9%
1 Ethan Allen Interiors, Inc. $ 19
CONSUMER SERVICES -- 3.9%
1 Fidelity National Information
Solutions, Inc.* 16
2 Interactive Data Corp.* 41
1 Ritchie Bros. Auctioneers, Inc.* 27
---------------------------------------------------------------------
84
---------------------------------------------------------------------
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.2%
1 Mettler-Toledo International, Inc.
(Switzerland)* 34
1 Technitrol, Inc. 13
---------------------------------------------------------------------
47
---------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 3.7%
2 Alliance Gaming Corp.* 39
2 Pegasus Solutions, Inc.* 40
---------------------------------------------------------------------
79
---------------------------------------------------------------------
FINANCIAL SERVICES -- 1.1%
0^^ Affiliated Managers Group, Inc.* 24
FOOD/BEVERAGE PRODUCTS -- 1.5%
1 Performance Food Group Co.* 33
HEALTH CARE/HEALTH CARE SERVICES -- 12.4%
1 Cobalt Corp.* 18
1 Cooper Companies, Inc. 19
2 Covance, Inc.* 31
2 NDCHealth Corp. 31
2 STAAR Surgical Co.* 21
2 United Surgical Partners International, Inc.* 38
2 VCA Antech, Inc.* (l) 39
1 Ventana Medical Systems, Inc.* (l) 30
2 Wright Medical Group, Inc.* 40
---------------------------------------------------------------------
267
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INSURANCE -- 3.8%
1 Hilb, Rogal & Hamilton Co. $ 42
1 ProAssurance Corp.* 39
---------------------------------------------------------------------
81
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 3.5%
1 CheckFree Corp.* 22
1 DoubleClick, Inc.* 12
14 Hollywood Media Corp.* (l) 18
1 United Online, Inc.* 22
---------------------------------------------------------------------
74
---------------------------------------------------------------------
MANUFACTURING -- 1.0%
1 Applied Films Corp.* 21
METALS/MINING -- 0.5%
0^^ Arch Coal, Inc. 10
MULTI-MEDIA -- 2.1%
4 Gray Television, Inc. 44
OFFICE/BUSINESS EQUIPMENT -- 2.7%
1 Falcon Products, Inc.* 6
2 Global Imaging Systems, Inc.* 52
---------------------------------------------------------------------
58
---------------------------------------------------------------------
OIL & GAS -- 4.1%
2 Key Energy Services, Inc.* 19
1 Newfield Exploration Co.* 21
1 Unit Corp.* 21
1 Universal Compression Holding, Inc.* 27
---------------------------------------------------------------------
88
---------------------------------------------------------------------
PHARMACEUTICALS -- 1.4%
2 Vertex Pharmaceuticals, Inc.* 29
PRINTING & PUBLISHING -- 1.7%
2 Information Holdings, Inc.* 36
REAL ESTATE INVESTMENT TRUST -- 2.0%
2 American Financial Realty Trust$ 26
0^^ Chelsea Property Group, Inc. 17
---------------------------------------------------------------------
43
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.0%
2 Ruby Tuesday, Inc. 42
RETAILING -- 8.6%
1 AnnTaylor Stores Corp.* 17
1 CDW Corp.* 35
1 Finish Line, Inc., Class A* 14
1 Guitar Center, Inc.* 25
1 Men's Wearhouse, Inc.* 17
1 PETCO Animal Supplies, Inc.* 32
1 Tuesday Morning Corp.* 28
1 Urban Outfitters, Inc.* 19
---------------------------------------------------------------------
187
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 2.6%
0^^ Formfactor, Inc.* 4
2 GlobespanVirata, Inc.* 16
0^^ Omnivision Technologies, Inc. (l) 9
1 Photronics, Inc.* 26
---------------------------------------------------------------------
55
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.5%
1 UTI Worldwide, Inc. (Virgin Islands) 33
TELECOMMUNICATIONS -- 4.2%
6 LCC International, Inc.* 16
3 Nextel Partners, Inc., Class A* 24
2 Tekelec* 21
1 West Corp.* 28
---------------------------------------------------------------------
89
---------------------------------------------------------------------
TRANSPORTATION -- 1.2%
1 Knight Transportation, Inc.* 25
---------------------------------------------------------------------
Total Common Stocks 2,108
(Cost $1,885)
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 1.4%
MONEY MARKET FUND -- 1.4%
30 JPMorgan Prime Money Market Fund (a) $ 30
(Cost $30)
---------------------------------------------------------------------
Total Investments-- 100.0% $ 2,138
(Cost $1,915)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
17 Merrill Lynch Premier Institution
Money Market Fund $ 17
18 Reserve Primary Money Market Fund 18
---------------------------------------------------------------------
$ 35
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
JPMORGAN TRUST SMALL CAP EQUITY FUND (Unaudited)
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.8%
COMMON STOCKS -- 97.8%
AEROSPACE -- 1.4%
82 Alliant Techsystems, Inc.* $ 4,281
APPAREL -- 2.1%
182 Quiksilver, Inc.* 3,001
63 Timberland Co., Class A* 3,315
---------------------------------------------------------------------
6,316
---------------------------------------------------------------------
APPLIANCES & HOUSEHOLD DURABLES -- 0.7%
77 Furniture Brands International, Inc.* 2,007
AUTOMOTIVE -- 5.3%
50 BorgWarner, Inc. 3,205
91 Lithia Motors, Inc., Class A* 1,471
85 O'Reilly Automotive, Inc.* 2,831
44 Oshkosh Truck Corp. 2,634
50 Polaris Industries, Inc. (l) 3,039
67 Winnebago Industries, Inc. (l) 2,543
---------------------------------------------------------------------
15,723
---------------------------------------------------------------------
BANKING -- 6.4%
26 Commerce Bancorp, Inc. (l) 958
36 CVB Financial Corp. 700
33 Downey Financial Corp. 1,355
119 East-West Bancorp, Inc. 4,308
51 Hancock Holding Co. 2,386
150 UCBH Holdings, Inc. 4,313
116 United Bankshares, Inc. 3,323
74 Wintrust Financial Corp. (l) 2,179
---------------------------------------------------------------------
19,522
---------------------------------------------------------------------
BROADCASTING/CABLE -- 0.7%
190 Sinclair Broadcast Group, Inc.* 2,201
BUSINESS SERVICES -- 2.3%
60 Banta Corp. 1,942
33 Fair Isaac Corp. 1,681
86 Iron Mountain, Inc.* (l) 3,194
---------------------------------------------------------------------
6,817
---------------------------------------------------------------------
CHEMICALS -- 3.0%
109 Albemarle Corp. $ 3,048
40 Cabot Microelectronics Corp.* (l) 2,009
114 Georgia Gulf Corp. 2,255
75 Spartech Corp. 1,591
---------------------------------------------------------------------
8,903
---------------------------------------------------------------------
COMPUTER NETWORKS -- 0.6%
65 Avocent Corp.* (l) 1,936
COMPUTER SOFTWARE -- 3.9%
112 CACI International, Inc., Class A* 3,845
108 Hyperion Solutions Corp.* 3,646
97 JDA Software Group, Inc.* 1,087
142 Macromedia, Inc.* 2,983
---------------------------------------------------------------------
11,561
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 1.7%
42 Imation Corp. 1,600
45 Zebra Technologies Corp., Class A* 3,383
---------------------------------------------------------------------
4,983
---------------------------------------------------------------------
CONSTRUCTION -- 2.3%
70 EMCOR Group, Inc.* 3,448
9 NVR, Inc.* 3,534
---------------------------------------------------------------------
6,982
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.8%
121 Church & Dwight Co., Inc. 3,943
98 Fossil, Inc.* 2,309
45 Harman International Industries, Inc. 3,561
99 Helen of Troy LTD* 1,501
55 The Scotts Co., Class A* 2,723
81 Toro Co. 3,220
---------------------------------------------------------------------
17,257
---------------------------------------------------------------------
CONSUMER SERVICES -- 1.6%
55 Education Management Corp.* 2,933
67 Regis Corp. 1,949
---------------------------------------------------------------------
4,882
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.0%
86 Ametek, Inc. $ 3,134
85 Varian, Inc.* 2,945
---------------------------------------------------------------------
6,079
---------------------------------------------------------------------
ENGINEERING SERVICES -- 1.2%
83 Jacobs Engineering Group, Inc.* 3,503
ENTERTAINMENT/LEISURE -- 1.1%
197 Boyd Gaming Corp.* 3,397
ENVIRONMENTAL SERVICES -- 1.1%
90 Waste Connections, Inc.* (l) 3,165
FINANCIAL SERVICES -- 2.3%
53 Affiliated Managers Group, Inc.* (l) 3,230
113 Raymond James Financial, Inc. 3,718
---------------------------------------------------------------------
6,948
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.8%
65 American Italian Pasta Co., Class A* (l) 2,707
161 Hain Celestial Group inc* 2,566
82 Performance Food Group Co.* (l) 3,049
---------------------------------------------------------------------
8,322
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 10.9%
47 AMERIGROUP Corp.* 1,760
115 Community Health Systems, Inc.* 2,213
153 Cooper Companies, Inc. 5,314
82 Coventry Health Care, Inc.* 3,785
52 Datascope Corp. 1,521
85 Henry Schein, Inc.* (l) 4,454
39 Idexx Laboratories, Inc.* 1,320
65 Inamed Corp.* 3,484
67 Ocular Sciences, Inc.* 1,326
91 Owens & Minor, Inc. 2,027
37 Respironics, Inc.* 1,381
116 Steris Corp.* 2,678
74 Sybron Dental Specialties, Inc.* 1,742
---------------------------------------------------------------------
33,005
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 1.0%
211 Extended Stay America, Inc.* $ 2,841
INSURANCE -- 2.6%
115 HCC Insurance Holdings, Inc. 3,395
17 Markel Corp.* (l) 4,275
---------------------------------------------------------------------
7,670
---------------------------------------------------------------------
MACHINERY & ENGINEERING EQUIPMENT -- 2.7%
89 IDEX Corp. 3,214
81 Kennametal, Inc. 2,724
106 Regal-Beloit Corp. 2,021
---------------------------------------------------------------------
7,959
---------------------------------------------------------------------
MANUFACTURING -- 1.8%
49 Actuant Corp., Class A* 2,314
85 AptarGroup, Inc. 3,049
---------------------------------------------------------------------
5,363
---------------------------------------------------------------------
METALS/MINING -- 0.1%
62 Century Aluminum Co. 434
MULTI-MEDIA -- 1.1%
138 Emmis Communications Corp., Class A* 3,167
OIL & GAS -- 6.5%
87 Newfield Exploration Co.* 3,259
100 Oceaneering International, Inc.* 2,545
98 Patina Oil & Gas Corp. 3,143
232 Pride International, Inc.* (l) 4,362
137 St. Mary Land & Exploration Co. (l) 3,748
65 Swift Energy Co.* 715
86 Varco International, Inc.* 1,680
---------------------------------------------------------------------
19,452
---------------------------------------------------------------------
PHARMACEUTICALS -- 1.3%
115 Medicines Co.* (l) 2,268
31 Neurocrine Biosciences, Inc.* 1,553
---------------------------------------------------------------------
3,821
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE INVESTMENT TRUST -- 1.6%
52 Alexandria Real Estate Equities, Inc. $ 2,322
58 Chelsea Property Group, Inc. 2,326
---------------------------------------------------------------------
4,648
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.7%
89 Applebee's International, Inc. 2,782
91 Sonic Corp.* 2,312
---------------------------------------------------------------------
5,094
---------------------------------------------------------------------
RETAILING -- 5.4%
119 AnnTaylor Stores Corp.* 3,451
188 Chico's FAS, Inc.* 3,960
79 Genesco, Inc.* (l) 1,398
113 Luby's, Inc.* 254
180 Pier 1 Imports, Inc. 3,678
117 School Specialty, Inc.* (l) 3,341
---------------------------------------------------------------------
16,082
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.0%
42 Cymer, Inc.* (l) 1,357
153 Integrated Circuit Systems, Inc.* (l) 4,821
118 International Rectifier Corp.* 3,157
89 Varian Semiconductor Equipment
Associates, Inc.* 2,649
---------------------------------------------------------------------
11,984
---------------------------------------------------------------------
SHIPPING/TRANSPORTATION -- 0.8%
78 UTI Worldwide, Inc. (Virgin Islands) 2,439
TELECOMMUNICATIONS -- 0.5%
120 Tekelec* (l) 1,355
TELECOMMUNICATIONS EQUIPMENT -- 1.2%
228 CommScope, Inc.* 2,166
71 Inter-Tel, Inc. 1,500
---------------------------------------------------------------------
3,666
---------------------------------------------------------------------
TRANSPORTATION -- 3.0%
96 Arkansas Best Corp. $ 2,274
50 Landstar System, Inc.* 3,143
166 Werner Enterprises, Inc. 3,522
---------------------------------------------------------------------
8,939
---------------------------------------------------------------------
UTILITIES -- 3.3%
92 American States Water Co. 2,510
64 New Jersey Resources Corp. 2,286
112 Philadelphia Suburban Corp. 2,725
70 UGI Corp. 2,232
---------------------------------------------------------------------
9,753
---------------------------------------------------------------------
Total Common Stocks 292,457
(Cost $250,768)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 2.2%
MONEY MARKET FUND -- 2.2%
6,517 JPMorgan Prime Money Market Fund (a) 6,517
(Cost $6,517)
---------------------------------------------------------------------
Total Investments -- 100.0% $ 298,974
(Cost $257,285)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
13,487 Merrill Lynch Premier Institution
Money Market Fund $ 13,487
13,487 Reserve Primary Money Market Fund 13,487
---------------------------------------------------------------------
$ 26,974
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
JPMORGAN U.S. SMALL COMPANY FUND (Unaudited)
PORTFOLIO OF INVESTMENTS
(Amounts in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.4%
COMMON STOCKS -- 95.8%
AEROSPACE -- 0.7%
86 Triumph Group, Inc.* $ 2,417
AIRLINES -- 0.2%
67 Northwest Airlines Corp.* (l) 757
APPAREL -- 0.5%
26 Columbia Sportswear Co.* 1,352
21 Quiksilver, Inc.* 345
---------------------------------------------------------------------
1,697
---------------------------------------------------------------------
AUTOMOTIVE -- 3.0%
41 American Axle & Manufacturing
Holdings, Inc.* 984
100 Lithia Motors, Inc., Class A* 1,610
74 Navistar International Corp.* (l) 2,415
29 Oshkosh Truck Corp. 1,739
28 Superior Industries International, Inc. 1,184
187 Wabash National Corp.* 2,621
---------------------------------------------------------------------
10,553
---------------------------------------------------------------------
BANKING -- 8.4%
49 Allegiant Bancorp, Inc. 990
55 Bank of Hawaii Corp. 1,808
41 Banner Corp. 845
41 City National Corp. 1,808
41 Community Bank System, Inc. 1,577
41 Cullen/Frost Bankers, Inc. 1,305
71 Doral Financial Corp. (Puerto Rico) 3,154
24 First Niagara Financial Group, Inc. 334
24 First State Bancorporation 661
75 Irwin Financial Corp. 1,933
326 NetBank, Inc. 4,295
70 R & G Financial Corp.
(Puerto Rico), Class B 2,074
24 Santander BanCorp (Puerto Rico) 387
38 Silicon Valley Bancshares* (l) 915
25 Southwest Bancorp of Texas, Inc.* 810
65 Sterling Bancshares, Inc. 848
25 Taylor Capital Group, Inc. 508
BANKING -- CONTINUED
38 Waypoint Financial Corp. $ 694
93 West Coast Bancorp 1,689
78 Westamerica Bancorporation 3,363
---------------------------------------------------------------------
29,998
---------------------------------------------------------------------
BIOTECHNOLOGY -- 0.7%
21 Charles River Laboratories
International, Inc.* 666
56 Protein Design Labs, Inc.* 779
57 Telik, Inc.* (l) 914
---------------------------------------------------------------------
2,359
---------------------------------------------------------------------
BUSINESS SERVICES -- 2.1%
119 Alliance Data Systems Corp.* 2,778
55 Cognizant Technology Solutions Corp.* 1,337
51 G&K Services, Inc., Class A 1,496
243 Spherion Corp.* 1,692
---------------------------------------------------------------------
7,303
---------------------------------------------------------------------
CHEMICALS -- 1.5%
62 Cytec Industries, Inc.* 2,105
137 Millennium Chemicals, Inc. 1,301
122 Solutia, Inc. 267
101 Symyx Technologies, Inc.* 1,648
---------------------------------------------------------------------
5,321
---------------------------------------------------------------------
COMPUTER NETWORKS -- 1.4%
22 Black Box Corp. 796
85 Foundry Networks, Inc.* 1,224
155 McDATA Corp., Class A* 2,267
58 Secure Computing Corp.* 510
---------------------------------------------------------------------
4,797
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 5.0%
32 Ascential Software Corp.* 529
195 Borland Software Corp.* 1,906
24 Business Objects S.A. (France), ADR* (l) 527
19 CACI International, Inc., Class A* 661
26 Cognos, Inc. (Canada)* 705
98 CompuCom Systems, Inc.* 441
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
SEMI-ANNUAL REPORT JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTER SOFTWARE -- CONTINUED
35 Computer Programs & Systems, Inc.* $ 698
48 Documentum, Inc.* (l) 952
22 Hyperion Solutions Corp.* 753
80 Informatica Corp.* 554
60 JDA Software Group, Inc.* 667
113 Legato Systems, Inc.* 944
26 Manhattan Associates, Inc.* (l) 663
43 ManTech International Corp., Class A* 823
79 NetIQ Corp.* 1,217
24 Progress Software Corp.* 498
30 Serena Software, Inc.* 621
36 Take-Two Interactive Software, Inc.* (l) 1,009
59 THQ, Inc.* 1,066
193 TIBCO Software, Inc.* 980
119 Tier Technologies, Inc., Class B* 918
67 webMethods, Inc.* 546
---------------------------------------------------------------------
17,678
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.6%
25 Hutchinson Technology, Inc.* (l) 835
37 Imation Corp. 1,413
609 Maxtor Corp.* 4,574
101 Synaptics, Inc.* 1,364
239 Western Digital Corp.* 2,461
27 Zebra Technologies Corp., Class A* 1,996
---------------------------------------------------------------------
12,643
---------------------------------------------------------------------
CONSTRUCTION -- 1.3%
158 Champion Enterprises, Inc.* 820
73 EMCOR Group, Inc.* 3,627
---------------------------------------------------------------------
4,447
---------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 1.6%
156 ElkCorp 3,504
99 Universal Forest Products, Inc. 2,081
---------------------------------------------------------------------
5,585
---------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.2%
56 Alberto-Culver Co., Class B 2,860
44 WD-40 Co. 1,255
---------------------------------------------------------------------
4,115
---------------------------------------------------------------------
DISTRIBUTION -- 0.3%
84 Advanced Marketing Services, Inc. $ 1,090
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.2%
72 Coherent, Inc.* 1,715
180 Encore Wire Corp.* 1,714
100 Integrated Electrical Services, Inc.* 726
---------------------------------------------------------------------
4,155
---------------------------------------------------------------------
ENGINEERING SERVICES -- 0.2%
38 Chicago Bridge & Iron Co., NV - New York
Registered Shares (The Netherlands) 866
ENTERTAINMENT/LEISURE -- 0.7%
34 Macrovision Corp.* 676
69 Penn National Gaming, Inc.* 1,423
34 WMS Industries, Inc.* (l) 530
---------------------------------------------------------------------
2,629
---------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.1%
10 Waste Connections, Inc.* 366
FINANCIAL SERVICES -- 3.0%
62 American Capital Strategies LTD 1,539
105 American Home Mortgage Holdings, Inc. 2,053
167 eSpeed, Inc., Class A* 3,303
50 Farmer Mac, Class C* 1,110
118 Friedman, Billings, Ramsey Group, Inc.,
Class A 1,579
26 Portfolio Recovery Associates, Inc.* (l) 805
---------------------------------------------------------------------
10,389
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 1.2%
31 Adolph Coors Co., Class B 1,523
33 Robert Mondavi Corp., Class A* (l) 827
44 The J.M. Smucker Co. 1,771
---------------------------------------------------------------------
4,121
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 5.5%
54 Accredo Health, Inc.* 1,176
85 Centene Corp.* 3,288
129 Conceptus, Inc.* (l) 1,818
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
JPMORGAN U.S. SMALL COMPANY FUND
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED
153 CTI Molecular Imaging, Inc.* (l) $ 2,897
81 Inveresk Research Group, Inc.* 1,464
40 LifePoint Hospitals, Inc.* (l) 833
83 Omnicare, Inc. 2,815
15 Pediatrix Medical Group, Inc.* (l) 524
63 TECHNE Corp.* 1,914
104 Therasense, Inc.* 1,037
76 United Surgical Partners
International, Inc.* (l) 1,723
6 Varian Medical Systems, Inc.* 355
---------------------------------------------------------------------
19,844
---------------------------------------------------------------------
HOTELS/OTHER LODGING -- 0.1%
102 La Quinta Corp.* 438
INSURANCE -- 2.8%
67 HCC Insurance Holdings, Inc. 1,975
93 Protective Life Corp. 2,490
47 StanCorp Financial Group, Inc. 2,478
53 W.R. Berkley Corp. 2,784
---------------------------------------------------------------------
9,727
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.9%
128 Ameritrade Holding Corp.* 947
193 Ariba, Inc.* (l) 573
30 Internet Security Systems, Inc.* 434
37 Kana Software, Inc.* 111
23 LendingTree, Inc.* 567
41 Verity, Inc.* 515
---------------------------------------------------------------------
3,147
---------------------------------------------------------------------
LEASING -- 0.2%
51 GATX Corp. (l) 842
MACHINERY & ENGINEERING EQUIPMENT -- 4.3%
152 Applied Industrial Technologies, Inc. 3,216
44 IDEX Corp. 1,581
92 Kennametal, Inc. 3,126
54 Nordson Corp. 1,280
121 Regal-Beloit Corp. 2,315
338 UNOVA, Inc.* 3,753
---------------------------------------------------------------------
15,271
---------------------------------------------------------------------
MANUFACTURING -- 1.5%
79 Joy Global, Inc.* $ 1,166
120 Timken Co. 2,093
57 Wilson Greatbatch Technologies, Inc.* 2,046
---------------------------------------------------------------------
5,305
---------------------------------------------------------------------
METALS/MINING -- 2.9%
85 Arch Coal, Inc. 1,949
98 Mueller Industries, Inc.* 2,669
120 Precision Castparts Corp. 3,746
87 Valmont Industries, Inc. 1,686
---------------------------------------------------------------------
10,050
---------------------------------------------------------------------
MULTI-MEDIA -- 1.9%
47 Hearst-Argyle Television, Inc.* 1,210
198 Insight Communications Co., Inc.* (l) 2,604
129 Journal Register Co.* 2,335
423 Sirius Satellite Radio, Inc.* (l) 714
---------------------------------------------------------------------
6,863
---------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 1.3%
116 Global Imaging Systems, Inc.* 2,681
101 Herman Miller, Inc. 2,032
---------------------------------------------------------------------
4,713
---------------------------------------------------------------------
OIL & GAS -- 5.0%
64 Energen Corp. 2,136
171 Global Industries LTD* 826
64 Gulf Island Fabrication, Inc.* 1,084
101 Lone Star Technologies* 2,148
93 Maverick Tube Corp.* 1,776
62 ONEOK, Inc. 1,214
25 Patterson-UTI Energy, Inc.* 805
79 Premcor, Inc.* 1,710
94 Spinnaker Exploration Co.* 2,457
50 Stone Energy Corp.* 2,092
45 W-H Energy Services, Inc.* 868
19 Westport Resources Corp.* 427
---------------------------------------------------------------------
17,543
---------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
SEMI-ANNUAL REPORT JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PACKAGING -- 2.6%
743 Crown Holdings, Inc.* $ 5,308
119 Silgan Holdings, Inc.* 3,722
---------------------------------------------------------------------
9,030
---------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.2%
97 Aracruz Celulose SA (Brazil), ADR (l) 2,051
206 Caraustar Industries, Inc.* 1,647
55 Domtar, Inc. (Canada) 605
---------------------------------------------------------------------
4,303
---------------------------------------------------------------------
PHARMACEUTICALS -- 5.0%
251 Adolor Corp.* (l) 3,077
128 Amylin Pharmaceuticals, Inc.* 2,808
40 Andrx Corp.* 793
207 AtheroGenics, Inc.* 3,088
19 Atrix Laboratories, Inc.* (l) 411
83 Ligand Pharmaceuticals, Inc., Class B* (l) 1,131
32 NBTY, Inc.* 670
23 Neurocrine Biosciences, Inc.* 1,136
142 SangStat Medical Corp.* 1,854
33 Sepracor, Inc.* 602
35 Taro Pharmaceutical Industries LTD (Israel)* 1,900
---------------------------------------------------------------------
17,470
---------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 5.4%
55 Annaly Mortgage Management, Inc. 1,104
19 Centerpoint Properties Corp. 1,143
24 Chelsea Property Group, Inc. 948
47 Cousins Properties, Inc. 1,306
25 Developers Diversified Realty Corp. 699
23 General Growth Properties, Inc. 1,412
32 Highwoods Properties, Inc. 724
31 Lexington Corporate Properties Trust 540
86 MFA Mortgage Investments, Inc. 863
49 Post Properties, Inc. 1,287
146 Prentiss Properties Trust 4,365
17 Regency Centers Corp. 590
87 United Dominion Realty Trust, Inc. 1,495
62 Ventas, Inc. 939
36 Weingarten Realty Investors 1,509
---------------------------------------------------------------------
18,924
---------------------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.7%
42 Landry's Restaurants, Inc. $ 985
10 O'Charleys, Inc.* 213
32 The Cheesecake Factory, Inc.* 1,135
---------------------------------------------------------------------
2,333
---------------------------------------------------------------------
RETAILING -- 5.3%
54 AnnTaylor Stores Corp.* 1,550
102 Big 5 Sporting Goods Corp.* 1,278
123 BJ's Wholesale Club, Inc.* 1,849
31 Chico's FAS, Inc.* 661
108 CSK Auto Corp.* 1,566
37 Fred's, Inc. 1,379
23 Kirkland's, Inc.* 376
87 Linens `N Things, Inc.* 2,062
46 Michaels Stores, Inc.* (l) 1,765
37 Pacific Sunwear of California, Inc.* 896
126 Pier 1 Imports, Inc. 2,568
54 School Specialty, Inc.* (l) 1,536
68 Shoe Carnival, Inc.* 999
---------------------------------------------------------------------
18,485
---------------------------------------------------------------------
SEMI-CONDUCTORS -- 4.7%
89 Applied Micro Circuits Corp.* 536
76 ATMI, Inc.* (l) 1,895
238 ChipPAC, Inc., Class A* (l) 1,824
23 Cree, Inc.* (l) 369
44 Integrated Circuit Systems, Inc.* 1,368
57 Intersil Corp., Class A* 1,521
113 Lam Research Corp.* 2,058
290 Lattice Semiconductor Corp.* (l) 2,383
30 Rambus, Inc.* 504
164 Semtech Corp.* 2,330
134 Skyworks Solutions, Inc.* (l) 909
33 Varian Semiconductor Equipment
Associates, Inc.* 970
---------------------------------------------------------------------
16,667
---------------------------------------------------------------------
STEEL -- 0.6%
102 Reliance Steel & Aluminum Co. 2,106
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TELECOMMUNICATIONS -- 1.1%
39 Aeroflex, Inc.* $ 303
68 American Tower Corp., Class A* (l) 605
80 Cincinnati Bell, Inc.* 536
147 Citizens Communications Co.* (l) 1,896
19 IDT Corp., Class B* (l) 326
29 Western Wireless Corp., Class A* 338
---------------------------------------------------------------------
4,004
---------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.7%
57 Advanced Fibre Communications, Inc.* 934
208 CIENA Corp.* 1,082
81 Sycamore Networks, Inc.* 311
---------------------------------------------------------------------
2,327
---------------------------------------------------------------------
TOYS & GAMES -- 0.9%
184 JAKKS Pacific, Inc.* (l) 2,449
37 Marvel Enterprises, Inc.* 714
---------------------------------------------------------------------
3,163
---------------------------------------------------------------------
TRANSPORTATION -- 0.4%
64 Werner Enterprises, Inc. 1,359
UTILITIES -- 2.9%
148 Atmos Energy Corp. 3,671
49 Great Plains Energy, Inc. 1,404
696 Sierra Pacific Resources* (l) 4,133
56 UniSource Energy Corp. 1,056
---------------------------------------------------------------------
10,264
---------------------------------------------------------------------
Total Common Stocks 337,464
(Cost $259,395)
---------------------------------------------------------------------
PREFERRED STOCKS -- 0.6%
ENTERTAINMENT/LEISURE -- 0.6%
100 Six Flags, Inc.* $ 1,975
(Cost $1,313)
---------------------------------------------------------------------
Total Long-Term Investments 339,439
(Cost $260,708)
---------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.6%
U.S. TREASURY SECURITY -- 0.1%
300 U.S. Treasury Note, 2.75%, 10/31/03 @ 302
(Cost $302)
MONEY MARKET FUND -- 3.5%
12,295 JPMorgan Prime Money Market Fund (a) + 12,295
(Cost $12,295)
---------------------------------------------------------------------
Total Short-Term Investments 12,597
(Cost $12,597)
---------------------------------------------------------------------
Total Investments -- 100.0% $ 352,036
(Cost $273,305)
---------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
17,101 Merrill Lynch Premier Institution
Money Market Fund $ 17,101
17,058 Reserve Primary Money Market Fund 17,058
---------------------------------------------------------------------
$ 34,159
---------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION
CONTRACTS DESCRIPTION EXPIRATION DATE 6/30/03 (USD) (DEPRECIATION) (USD)
- --------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
21 Russell 2000 September, 2003 $ 4,708 $ (44)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
(Amount in thousands)
AS OF JUNE 30, 2003
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 90.0%
COMMON STOCKS -- 90.0%
ADVERTISING -- 0.4%
4 Catalina Marketing Corp.* $ 77
AEROSPACE -- 0.9%
6 Triumph Group, Inc.* 164
AIRLINES -- 0.2%
3 Northwest Airlines Corp.* (l) 35
APPAREL -- 0.3%
1 Columbia Sportswear Co.* 63
AUTOMOTIVE -- 0.8%
2 Oshkosh Truck Corp. 144
BANKING -- 5.2%
3 City National Corp. 137
3 Cullen/Frost Bankers, Inc. 84
5 Doral Financial Corp. (Puerto Rico) 229
23 NetBank, Inc. 298
4 Southwest Bancorp of Texas, Inc.* 133
2 Westamerica Bancorporation 86
---------------------------------------------------------------------
967
---------------------------------------------------------------------
BIOTECHNOLOGY -- 0.9%
1 Abgenix, Inc.* 5
2 Charles River Laboratories
International, Inc.* 61
6 Telik, Inc.* (l) 99
---------------------------------------------------------------------
165
---------------------------------------------------------------------
BROADCASTING/CABLE -- 0.8%
7 Salem Communications Corp., Class A* 149
BUSINESS SERVICES -- 0.2%
2 Cognizant Technology Solutions Corp.* 37
CHEMICALS -- 0.6%
7 Symyx Technologies, Inc.* 111
COMPUTER NETWORKS -- 1.0%
1 Black Box Corp. $ 40
4 Foundry Networks, Inc.* 63
6 McDATA Corp., Class A* 87
---------------------------------------------------------------------
190
---------------------------------------------------------------------
COMPUTER SOFTWARE -- 8.2%
2 Ascential Software Corp.* 38
13 Borland Software Corp.* 127
1 Business Objects S.A. (France), ADR* 20
1 CACI International, Inc., Class A* 33
2 Cognos, Inc. (Canada)* 43
18 CompuCom Systems, Inc.* 80
6 Computer Programs & Systems, Inc.* 123
3 Documentum, Inc.* (l) 58
1 Hyperion Solutions Corp.* 48
5 Informatica Corp.* 31
3 JDA Software Group, Inc.* 32
1 Kronos, Inc.* 62
1 Manhattan Associates, Inc.* 30
1 ManTech International Corp., Class A* 28
5 National Instruments Corp.* 184
8 NetIQ Corp.* 121
13 Serena Software, Inc.* 279
24 TIBCO Software, Inc.* 121
4 Tier Technologies, Inc., Class B* 28
4 webMethods, Inc.* 32
---------------------------------------------------------------------
1,518
---------------------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 6.5%
6 Extreme Networks, Inc.* 30
1 Hutchinson Technology, Inc.* 39
2 Imation Corp. 78
36 Maxtor Corp.* 271
11 Synaptics, Inc.* 142
7 Tech Data Corp.* 196
22 Western Digital Corp.* 228
3 Zebra Technologies Corp., Class A* 233
---------------------------------------------------------------------
1,217
---------------------------------------------------------------------
CONSTRUCTION -- 1.5%
6 EMCOR Group, Inc.* 273
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONSTRUCTION MATERIALS -- 0.4%
4 ElkCorp $ 81
CONSUMER PRODUCTS -- 1.8%
3 Alberto-Culver Co., Class B 128
7 WD-40 Co. 211
---------------------------------------------------------------------
339
---------------------------------------------------------------------
CONSUMER SERVICES -- 1.0%
11 Interactive Data Corp.* 189
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.8%
6 Coherent, Inc.* 154
ENTERTAINMENT/LEISURE -- 0.3%
2 Macrovision Corp.* 30
1 WMS Industries, Inc.* 23
---------------------------------------------------------------------
53
---------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 2.7%
6 Stericycle, Inc.* (l) 240
8 Waste Connections, Inc.* 270
---------------------------------------------------------------------
510
---------------------------------------------------------------------
FINANCIAL SERVICES -- 3.0%
2 Affiliated Managers Group, Inc.* 123
19 eSpeed, Inc., Class A* 375
3 Farmer Mac, Class C* 62
---------------------------------------------------------------------
560
---------------------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.1%
2 Adolph Coors Co., Class B 105
9 Del Monte Foods Co.* 77
5 The J.M. Smucker Co. 215
---------------------------------------------------------------------
397
---------------------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 9.8%
1 Accredo Health, Inc.* 22
13 AMN Healthcare Services, Inc.* (l) 164
5 Centene Corp.* (l) 203
10 Conceptus, Inc.* (l) 136
2 Cooper Companies, Inc. $ 86
10 CTI Molecular Imaging, Inc.* (l) 184
6 Inveresk Research Group, Inc.* 114
8 Omnicare, Inc. 283
1 Pediatrix Medical Group, Inc.* (l) 21
0^^ SurModics, Inc.* (l) 9
5 TECHNE Corp.* 154
6 Therasense, Inc.* 57
4 United Surgical Partners International, Inc.* 86
2 Varian Medical Systems, Inc.* 105
9 VCA Antech, Inc.* (l) 182
---------------------------------------------------------------------
1,806
---------------------------------------------------------------------
INSURANCE -- 3.2%
9 Protective Life Corp. 251
7 W.R. Berkley Corp. 349
---------------------------------------------------------------------
600
---------------------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.4%
1 Internet Security Systems, Inc.* 20
2 LendingTree, Inc.* 49
1 Verity, Inc.* 13
---------------------------------------------------------------------
82
---------------------------------------------------------------------
MANUFACTURING -- 1.4%
3 Roper Industries, Inc. 125
4 Wilson Greatbatch Technologies, Inc.* 130
---------------------------------------------------------------------
255
---------------------------------------------------------------------
MULTI-MEDIA -- 1.7%
14 Gray Television, Inc. 179
8 Journal Register Co.* 142
---------------------------------------------------------------------
321
---------------------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 1.5%
12 Global Imaging Systems, Inc.* 288
OIL & GAS -- 6.3%
30 Global Industries LTD* 143
4 Gulf Island Fabrication, Inc.* 67
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- CONTINUED
8 Lone Star Technologies* $ 175
5 Maverick Tube Corp.* 103
3 ONEOK, Inc. 67
4 Patterson-UTI Energy, Inc.* 123
5 Spinnaker Exploration Co.* 139
4 Stone Energy Corp.* 168
10 W-H Energy Services, Inc.* 190
0^^ XTO Energy, Inc. 0^^
-------------------------------------------------------------------------
1,175
-------------------------------------------------------------------------
PACKAGING -- 2.4%
47 Crown Holdings, Inc.* 335
4 Silgan Holdings, Inc.* 111
-------------------------------------------------------------------------
446
-------------------------------------------------------------------------
PHARMACEUTICALS -- 7.8%
11 Adolor Corp.* 140
9 Amylin Pharmaceuticals, Inc.* 186
19 AtheroGenics, Inc.* 290
4 Atrix Laboratories, Inc.* (l) 79
4 Ligand Pharmaceuticals, Inc., Class B* (l) 60
2 NBTY, Inc.* 41
2 Neurocrine Biosciences, Inc.* 112
6 SangStat Medical Corp.* 76
4 Sepracor, Inc.* 64
3 Taro Pharmaceutical Industries LTD (Israel)* 158
6 Trimeris, Inc.* (l) 259
-------------------------------------------------------------------------
1,465
-------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.5%
3 Prentiss Properties Trust 101
RESTAURANTS/FOOD SERVICES -- 0.6%
3 Landry's Restaurants, Inc. 68
1 The Cheesecake Factory, Inc.* 48
-------------------------------------------------------------------------
116
-------------------------------------------------------------------------
RETAILING -- 4.7%
3 AnnTaylor Stores Corp.* 96
3 Big 5 Sporting Goods Corp.* 44
5 BJ's Wholesale Club, Inc.* $ 70
1 Chico's FAS, Inc.* 29
3 CSK Auto Corp.* 49
4 Fred's, Inc. 153
4 Linens `N Things, Inc.* 99
2 Michaels Stores, Inc.* 58
1 Pacific Sunwear of California, Inc.* 24
7 Pier 1 Imports, Inc. 133
4 School Specialty, Inc.* (l) 107
2 Shoe Carnival, Inc.* 26
-------------------------------------------------------------------------
888
-------------------------------------------------------------------------
SEMI-CONDUCTORS -- 5.7%
5 Applied Micro Circuits Corp.* 30
6 ATMI, Inc.* (l) 148
13 ChipPAC, Inc., Class A* 97
3 Cree, Inc.* (l) 47
2 Integrated Circuit Systems, Inc.* (l) 58
4 Intersil Corp., Class A* 95
6 Lam Research Corp.* 116
15 Lattice Semiconductor Corp.* (l) 126
4 Rambus, Inc.* 63
10 Semtech Corp.* 141
10 Skyworks Solutions, Inc.* (l) 70
3 Varian Semiconductor Equipment
Associates, Inc.* 77
-------------------------------------------------------------------------
1,068
-------------------------------------------------------------------------
STEEL -- 0.9%
8 Reliance Steel & Aluminum Co. 172
TELECOMMUNICATIONS -- 0.6%
9 Citizens Communications Co.* (l) 113
TELECOMMUNICATIONS EQUIPMENT -- 1.6%
2 Advanced Fibre Communications, Inc.* 40
42 CIENA Corp.* 215
9 Sycamore Networks, Inc.* 36
-------------------------------------------------------------------------
291
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TOYS & GAMES -- 0.5%
7 JAKKS Pacific, Inc.* $ 92
UTILITIES -- 0.8%
15 Sierra Pacific Resources* (l) 87
4 UniSource Energy Corp. 66
-------------------------------------------------------------------------
153
-------------------------------------------------------------------------
Total Common Stocks
(Cost $13,662) 16,825
-------------------------------------------------------------------------
PREFERRED STOCKS -- 0.1%
-------------------------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.1%
1 Six Flags, Inc.*
(Cost $15) 23
-------------------------------------------------------------------------
Total Long-Term Investments
(Cost $13,677) 16,848
-------------------------------------------------------------------------
<Caption>
SHARES ISSUER VALUE
- ----------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 9.9%
MONEY MARKET FUND -- 9.9%
1,861 JPMorgan Prime Money Market Fund (a)
(Cost $1,861) $ 1,861
-------------------------------------------------------------------------
Total Investments-- 100.0% $ 18,709
(Cost $15,538)
-------------------------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- ----------------------------------------------------------------------------------
MONEY MARKET FUNDS (c)
800 Merrill Lynch Premier Institution Money Market Fund $ 800
800 Reserve Primary Money Market Fund 800
REPURCHASE AGREEMENT (c)
506 Lehman Brothers, 1.35%, due 07/01/03,
dated 06/30/03, proceeds $506, secured
by U.S. Government Agency Securities 506
-------------------------------------------------------------------------
$ 2,106
-------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<Page>
ABBREVIATIONS:
* -- Non-income producing security.
^^ -- Amount rounds to less than one thousand.
@ -- Security is fully or partially segregated with brokers as initial
margin for futures contracts
+ -- All or portion of this security is segregated with the custodian for
futures contracts, TBA, when issued, delayed delivery securities or
swaps
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Fleming Asset
Management, Inc.
(c) -- Investment of cash collateral for portfolio securities on loan.
(l) -- Security, or portion of a security, has been delivered to counterparty
as part of security lending transaction.
ADR -- American Depository Receipt.
USD -- United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS.
61
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
(Amounts in thousands, except per share amounts)
AS OF JUNE 30, 2003
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
- -----------------------------------------------------------------------------------------------
ASSETS
Investment securities, at value $ 152,736 $ 158,941 $ 58,907
Investments held as collateral for
securities lending program 13,997 7,732 5,469
Cash -- 52 2
Receivables:
Fund shares sold 180 85 4
Interest and dividends 35 141 16
Securities lending (net) 1 1 --^
- -----------------------------------------------------------------------------------------------
Total Assets 166,949 166,952 64,398
- -----------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Distributions -- 168 --
Investment securities purchased 205 173 --
Collateral for securities
lending program 13,997 7,732 5,469
Fund shares redeemed 2,120 -- 81
Accrued liabilities:
Investment advisory fees 78 85 24
Administration fees 7 13 --
Shareholder servicing fees 10 7 3
Distribution fees 56 -- 13
Custodian fees 11 7 8
Trustees' fees - deferred
compensation plan 23 21 1
Other 99 35 45
- -----------------------------------------------------------------------------------------------
Total Liabilities 16,606 8,241 5,644
- -----------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
62
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
- -----------------------------------------------------------------------------------------------
NET ASSETS
Paid in capital 181,360 136,585 320,978
Accumulated undistributed
(overdistributed) net investment income (1,009) (20) (302)
Accumulated net realized gain (loss)
on investments (54,729) 590 (265,493)
Net unrealized appreciation
(depreciation) of investments 24,721 21,556 3,571
- -----------------------------------------------------------------------------------------------
Total Net Assets $ 150,343 $ 158,711 $ 58,754
- -----------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 5,502 -- 13,438
Class B 3,866 -- 732
Class C 1,025 -- --
Select 812 5,741 --
Net Asset Value:
Class A (and redemption price) $ 13.67 $ -- $ 4.15
Class B* $ 13.06 $ -- $ 4.05
Class C* $ 13.04 $ -- $ --
Select (and redemption price) $ 13.90 $ 27.65 $ --
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 14.50 $ -- $ 4.40
- -----------------------------------------------------------------------------------------------
Cost of investments $ 128,015 $ 137,385 $ 55,336
- -----------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
63
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
- -----------------------------------------------------------------------------------------------
ASSETS
Investment securities, at value $ 315,335 $ 628,550 $ 2,138
Investments held as collateral
for securities lending program 195 45,150 35
Cash 104 -- --^
Receivables:
Investment securities sold 871 3,517 9
Fund shares sold 4,236 931 --
Interest and dividends 233 431 1
Securities lending (net) --^ 5 --^
Expense reimbursements -- -- 66
- -----------------------------------------------------------------------------------------------
Total Assets 320,974 678,584 2,249
- -----------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Due to custodian -- 135 --
Investment securities purchased 7,264 2,486 28
Collateral for securities
lending program 195 45,150 35
Fund shares redeemed 56 6,084 --
Accrued liabilities:
Investment advisory fees 62 338 --
Administration fees 24 16 --
Shareholder servicing fees 19 46 --^
Distribution fees 53 25 --^
Custodian fees 22 20 13
Trustees' fees - deferred
compensation plan --^ 95 --^
Other 43 57 14
- -----------------------------------------------------------------------------------------------
Total Liabilities 7,738 54,452 90
- -----------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
- -----------------------------------------------------------------------------------------------
NET ASSETS
Paid in capital 284,683 572,974 3,504
Accumulated undistributed
(overdistributed) net investment income 564 (1,004) (8)
Accumulated net realized gain (loss)
on investments (434) (31,725) (1,560)
Net unrealized appreciation
(depreciation) of investments 28,423 83,887 223
- -----------------------------------------------------------------------------------------------
Total Net Assets $ 313,236 $ 624,132 $ 2,159
- -----------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 4,703 3,787 76
Class B 2,120 1,032 24
Class C 1,991 -- 9
Institutional 8,585 -- 222
Select 1,919 26,026 5
Net Asset Value:
Class A (and redemption price) $ 16.19 $ 19.59 $ 6.35
Class B* $ 15.99 $ 18.23 $ 6.29
Class C* $ 16.03 $ -- $ 6.27
Institutional (and redemption price) $ 16.32 $ -- $ 6.48
Select (and redemption price) $ 16.26 $ 20.41 $ 6.44
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 17.18 $ 20.79 $ 6.74
- -----------------------------------------------------------------------------------------------
Cost of investments $ 286,912 $ 544,663 $ 1,915
- -----------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
- -----------------------------------------------------------------------------------------------
ASSETS
Investment securities, at value $ 298,974 $ 352,036 $ 18,709
Investments held as collateral
for securities lending program 26,974 34,159 2,106
Cash 19 52 --^
Receivables:
Investment securities sold 875 953 8
Fund shares sold 591 306 1
Interest and dividends 199 295 4
Variation margin -- 17 --
Securities lending (net) 2 9 1
- -----------------------------------------------------------------------------------------------
Total Assets 327,634 387,827 20,829
- -----------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends 40 -- --
Investment securities purchased 1,139 2,150 --
Collateral for securities
lending program 26,974 34,159 2,106
Fund shares redeemed 10 4,035 4
Accrued liabilities:
Investment advisory fees 107 173 2
Administration fees 25 35 --
Shareholder servicing fees -- 25 --
Custodian fees 12 21 12
Trustees' fees - deferred
compensation plan 67 1 1
Other 44 34 18
- -----------------------------------------------------------------------------------------------
Total Liabilities 28,418 40,633 2,143
- -----------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
SEMI - ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
NET ASSETS
Paid in capital 267,058 385,452 178,561
Accumulated undistributed (overdistributed) net investment
income (69) 823 (81)
Accumulated net realized gain (loss) on investments and futures (9,462) (117,768) (162,965)
Net unrealized appreciation (depreciation) of investments and
futures 41,689 78,687 3,171
- -----------------------------------------------------------------------------------------------------------------
Total Net Assets $ 299,216 $ 347,194 $ 18,686
- -----------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of shares authorized):
Institutional -- 14,391 --
Select 8,116 16,563 2,452
Net Asset Value:
Institutional (and redemption price) $ -- $ 11.21 $ --
Select (and redemption price) $ 36.87 $ 11.22 $ 7.62
- -----------------------------------------------------------------------------------------------------------------
Cost of investments $ 257,285 $ 273,305 $ 15,538
- -----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<Page>
JPMORGAN FUNDS
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED
JUNE 30, 2003 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
INVESTMENT INCOME
Dividend $ 231 $ 979 $ 66
Dividend income from affiliated investments* 15 28 7
Securities lending (net) 26 5 5
Foreign taxes withheld -- (1) --^
- -----------------------------------------------------------------------------------------------------------------
Total investment income 272 1,011 78
- -----------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 476 464 178
Administration fees 110 107 41
Shareholder servicing fees 183 179 24
Distribution fees 311 -- 86
Custodian fees 34 24 24
Printing and postage 26 3 14
Professional fees 30 24 28
Registration expenses 29 11 13
Transfer agent fees 265 11 66
Trustees' fees 1 1 --^
Other 28 4 5
- -----------------------------------------------------------------------------------------------------------------
Total expenses 1,493 828 479
- -----------------------------------------------------------------------------------------------------------------
Less amounts waived 239 185 100
Less earnings credits --^ --^ --
- -----------------------------------------------------------------------------------------------------------------
Net expenses 1,254 643 379
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss) (982) 368 (301)
- -----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
SEMI - ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
DYNAMIC MID CAP MID CAP
SMALL CAP EQUITY GROWTH
FUND FUND FUND
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments (6,917) 1,255 (3,882)
Change in net unrealized
appreciation/depreciation of:
Investments 24,895 17,568 12,610
Net realized and unrealized gain (loss)
on investments 17,978 18,823 8,728
Net increase (decrease) in net assets
from operations $ 16,996 $ 19,191 $ 8,427
- -----------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 2 $ 4 $ 1
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
INVESTMENT INCOME
Dividend $ 1,557 $ 1,808 $ 2
Dividend income from affiliated investments* 122 60 1
Securities lending (net) 7 50 --^
Foreign taxes withheld (1) -- --
- -----------------------------------------------------------------------------------------------------------------
Total investment income 1,685 1,918 3
- -----------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 700 1,907 7
Administration fees 122 440 1
Shareholder servicing fees 81 682 --^
Distribution fees 221 165 1
Custodian fees 51 55 42
Printing and postage 4 27 --
Professional fees 27 36 26
Registration expenses 73 37 45
Transfer agent fees 156 200 32
Trustees' fees 1 3 --^
Other 13 21 13
- -----------------------------------------------------------------------------------------------------------------
Total expenses 1,449 3,573 167
- -----------------------------------------------------------------------------------------------------------------
Less amounts waived 328 761 9
Less earnings credits --^ --^ --
Less expense reimbursements -- -- 147
- -----------------------------------------------------------------------------------------------------------------
Net expenses 1,121 2,812 11
- -----------------------------------------------------------------------------------------------------------------
Net investment income (loss) 564 (894) (8)
- -----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
SEMI - ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
MID CAP SMALL CAP SMALL CAP
VALUE EQUITY GROWTH
FUND FUND FUND
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 991 (9,832) (450)
Change in net unrealized appreciation/depreciation of:
Investments 25,475 73,011 726
Net realized and unrealized gain (loss)
on investments 26,466 63,179 276
Net increase (decrease) in net assets from operations $ 27,030 $ 62,285 $ 268
- -----------------------------------------------------------------------------------------------------------------
* Includes reimbursements of investment advisory,
administration and shareholder servicing fees : $ 17 $ 8 $ --^
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
71
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
INVESTMENT INCOME
Interest $ -- $ 1 $ --
Dividend 789 2,383 44
Dividend income from affiliated investments* 47 53 11
Securities lending (net) 34 54 7
Foreign taxes withheld -- (6) --^
- -----------------------------------------------------------------------------------------------------------------
Total investment income 870 2,485 62
- -----------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 854 1,084 84
Administration fees 197 271 21
Shareholder servicing fees 329 315 35
Custodian fees 24 50 18
Printing and postage 7 22 2
Professional fees 25 33 24
Registration expenses 3 7 5
Transfer agent fees 10 61 20
Trustees' fees 1 2 --^
Other 8 11 4
- -----------------------------------------------------------------------------------------------------------------
Total expenses 1,458 1,856 213
- -----------------------------------------------------------------------------------------------------------------
Less amounts waived 670 195 67
- -----------------------------------------------------------------------------------------------------------------
Less earnings credits --^ --^ 4
- -----------------------------------------------------------------------------------------------------------------
Net expenses 788 1,661 142
- -----------------------------------------------------------------------------------------------------------------
Net investment income 82 824 (80)
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
72
<Page>
<Table>
<Caption>
U.S. SMALL
TRUST SMALL U.S. SMALL COMPANY
CAP EQUITY COMPANY OPPORTUNITIES
FUND FUND FUND
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on transactions from:
Investments (2,691) (52,559) (7,719)
Futures -- 317 --
Change in net unrealized appreciation/depreciation of:
Investments 30,647 87,688 5,328
Futures -- (44) --
Net realized and unrealized gain (loss) on investments and
futures 27,956 35,402 (2,391)
Net increase (decrease) in net assets from operations $ 28,038 $ 36,226 $ (2,471)
- -----------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 7 $ 8 $ 1
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
73
<Page>
JPMORGAN FUNDS
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
(Amounts in thousands)
FOR THE PERIODS INDICATED
<Table>
<Caption>
DYNAMIC SMALL CAP FUND MID CAP EQUITY FUND
------------------------ ------------------------
1/1/03 YEAR 1/1/03 YEAR
THROUGH ENDED THROUGH ENDED
6/30/03 12/31/02 6/30/03 12/31/02
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ (982) $ (2,560) $ 368 $ 752
Net realized gain (loss) on investments (6,917) (21,721) 1,255 4,503
Change in net unrealized appreciation (depreciation) of
investments 24,895 (21,184) 17,568 (27,236)
- -------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 16,996 (45,465) 19,191 (21,981)
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income -- -- (369) (747)
Net realized gain on investment transactions -- -- -- (5,775)
- -------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (369) (6,522)
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions (18,997) (17,744) 1,258 12,071
- -------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (2,001) (63,209) 20,080 (16,432)
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 152,344 215,553 138,631 155,063
- -------------------------------------------------------------------------------------------------------------------
End of period $ 150,343 $ 152,344 $ 158,711 $ 138,631
- -------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment
income $ (1,009) $ (27) $ (20) $ (19)
- -------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
74
<Page>
SEMI - ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
MID CAP GROWTH FUND MID CAP VALUE FUND
------------------------ ------------------------
1/1/03 YEAR 1/1/03 YEAR
THROUGH ENDED THROUGH ENDED
6/30/03 12/31/02 6/30/03 12/31/02
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ (301) $ (916) $ 564 $ 323
Net realized gain (loss) on investments (3,882) (15,898) 991 (1,295)
Change in net unrealized appreciation (depreciation) of
investments 12,610 (11,548) 25,475 1,704
- -------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 8,427 (28,362) 27,030 732
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income -- -- -- (337)
Net realized gain on investment transactions -- -- -- (50)
- -------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- -- (387)
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions (5,829) (21,856) 164,313 106,270
- -------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 2,598 (50,218) 191,343 106,615
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 56,156 106,374 121,893 15,278
- -------------------------------------------------------------------------------------------------------------------
End of period $ 58,754 $ 56,156 $ 313,236 $ 121,893
- -------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment
income $ (302) $ (1) $ 564 $ --
- -------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
75
<Page>
<Table>
<Caption>
SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND
------------------------ ------------------------
1/1/03 YEAR 1/1/03 YEAR
THROUGH ENDED THROUGH ENDED
6/30/03 12/31/02 6/30/03 12/31/02
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ (894) $ (2,218) $ (8) $ (19)
Net realized gain (loss) on investments (9,832) (21,869) (450) (761)
Change in net unrealized appreciation (depreciation) of
investments 73,011 (97,620) 726 (394)
- -------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 62,285 (121,707) 268 (1,174)
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net realized gain on investment transactions -- (4,099) -- --
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions (40,542) 82,821 91 441
- -------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 21,743 (42,985) 359 (733)
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 602,389 645,374 1,800 2,533
- -------------------------------------------------------------------------------------------------------------------
End of period $ 624,132 $ 602,389 $ 2,159 $ 1,800
- -------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment
income $ (1,004) $ (110) $ (8) $ --
- -------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
76
<Page>
SEMI - ANNUAL REPORT JUNE 30 2003
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND U.S. SMALL COMPANY FUND
--------------------------- ------------------------
1/1/03 YEAR 1/1/03 YEAR
THROUGH ENDED THROUGH ENDED
6/30/03 12/31/02 6/30/03 12/31/02
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ 82 $ 286 $ 824 $ 1,655
Net realized gain (loss) on investments and futures (2,691) (6,774) (52,242) (62,722)
Change in net unrealized appreciation (depreciation) of
investments and futures 30,647 (49,269) 87,644 (57,422)
- -------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 28,038 (55,757) 36,226 (118,489)
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (80) (268) -- (1,956)
Net realized gain on investment transactions -- (2,129) -- --
- -------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (80) (2,397) -- (1,956)
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions 12,195 (109) (102,507) (21,015)
- -------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 40,153 (58,263) (66,281) (141,460)
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 259,063 317,326 413,475 554,935
- -------------------------------------------------------------------------------------------------------------------
End of period $ 299,216 $ 259,063 $ 347,194 $ 413,475
- -------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment
income $ (69) $ (71) $ 823 $ (1)
- -------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
77
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY OPPORTUNITIES FUND
-------------------------------------
1/1/03 YEAR
THROUGH ENDED
6/30/03 12/31/02
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ (80) $ (693)
Net realized gain (loss) on investments (7,719) (53,436)
Change in net unrealized appreciation (depreciation) of investments 5,328 8,085
- --------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations (2,471) (46,044)
- --------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions (33,693) (93,714)
- --------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (36,164) (139,758)
- --------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 54,850 194,608
- --------------------------------------------------------------------------------------------------------------
End of period $ 18,686 $ 54,850
- --------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment income $ (81) $ (1)
- --------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
78
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. ORGANIZATION
J.P. Morgan Funds ("JPMF"), J.P. Morgan Institutional Funds ("JPMIF"), J.P.
Morgan Mutual Fund Group ("JPMMFG"), J.P. Morgan Mutual Fund Select Group
("JPMMFSG") and the J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") were
organized as Massachusetts business trusts and J.P. Morgan Fleming Mutual Fund
Group, Inc. ("JPMFMFG") was organized as a Maryland corporation (collectively
the "Trusts"). The Trusts are registered under the Investment Company Act of
1940 (the "1940 Act"), as amended, as open-end management investment companies.
The Trusts were organized on the following dates: -
<Table>
<Caption>
TRUST DATE
JPMF November 4, 1992
JPMIF November 4, 1992
JPMMFG May 11, 1987
JPMMFSG October 1, 1996
JPMMFIT September 23, 1997
JPMFMFG August 19, 1997
</Table>
The following are nine separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Dynamic Small Cap Fund ("DSCF") Class A, Class B, Class C and Select
JPMorgan Mid Cap Equity Fund ("MCEF") Select
JPMorgan Mid Cap Growth Fund ("MCGF") Class A and Class B
JPMorgan Mid Cap Value Fund ("MCVF") Class A, Class B, Class C, Institutional and Select
JPMorgan Small Cap Equity Fund ("SCEF") Class A, Class B and Select
JPMorgan Small Cap Growth Fund ("SCGF") Class A, Class B, Class C, Institutional and Select
JPMorgan Trust Small Cap Equity Fund ("TSCEF") Select
JPMorgan U.S. Small Company Fund ("USSCF") Institutional and Select
JPMorgan U.S. Small Company Opportunities Fund ("USSCOF") Select
</Table>
JPMMFG, JPMMFSG, JPMMFIT and JPMFMFG were formerly named Mutual Fund Group,
Mutual Fund Select Group, Mutual Fund Investment Trust and The Fleming Mutual
Fund Group, Inc., respectively. The name change went into effect on May 1, 2003.
MCEF and TSCEF were formerly named JPMorgan Select Mid Cap Equity Fund and
JPMorgan Select Small Cap Equity Fund, respectively. The name change went into
effect on April 30, 2003.
USSCOF is a separate series of JPMF. USSCF is a separate series of JPMIF. SCEF
and DSCF are separate series of JPMMFG. MCEF and TSCEF are separate series of
JPMMFSG. MCGF is a separate series of JPMMFIT. MCVF and SCGF are separate series
of JPMFMFG.
Beginning July 18, 2003, SCGF Classes B and C will no longer be offered for
sale.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years.
79
<Page>
No sales charges are assessed with respect to the Institutional Class shares and
Select Class shares. All classes of shares have equal rights as to earnings,
assets and voting privileges except that each class may bear different transfer
agent, distribution and shareholder servicing fees and each class has exclusive
voting rights with respect to its distribution plan and shareholder servicing
agreements.
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 Markets Systems equity securities quotes
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.
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 subjects the Fund
to unlimited risk.
The Funds may enter into futures contracts only on exchanges or boards of trade.
The exchange or board of
80
<Page>
SEMI - ANNUAL REPORT JUNE 30 2003
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, the Funds had outstanding futures contracts as listed on
the Fund's Portfolio of Investments.
C. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund may invest in securities that
are subject to legal or contractual restrictions on resale or are illiquid.
Restricted securities generally may be resold in transactions exempt from
registration. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Disposal of these securities may involve time-consuming negotiations and
expense, and prompt sale at the current valuation may be difficult.
D. SECURITIES ON LOAN -- For all the Funds, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB",
an affiliate of the Funds) acting as lending agent to certain borrowers. By
lending investment securities, the Funds attempt to increase their net
investment income through the receipt of interest (after rebates and fees) on
collateral received in connection with the loan. The net amount of interest
earned, after the rebate and fee, is included in the Statement of Operations as
Securities lending (net).
The loans are secured by collateral at least equal, at all times, to the value
of the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Fund. The Fund also continues to receive interest or dividends on
the securities loaned. The Fund has the right under the lending agreement to
recover the securities from the borrower on demand.
JPMCB invests the cash collateral on behalf of the Funds in accordance with
investment guidelines contained in the securities lending agreement. At June 30,
2003, the market value of securities loaned and the amount of collateral
received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
DSCF $ 13,749 $ 13,997
MCEF 7,534 7,732
MCGF 5,315 5,469
MCVF 189 195
SCEF 44,336 45,150
SCGF 35 35
TSCEF 26,369 26,974
USSCF 33,070 34,159
USSCOF 2,048 2,106
</Table>
JPMCB as lending agent receives a fee equal to 0.06% of the average dollar value
of loans of U.S. securities outstanding during a given month and 0.1142% of the
average dollar value of loans on non-U.S. securities outstanding during a given
month from the Funds as detailed below (amounts in thousands):
<Table>
DSCF $ 8
MCEF 3
MCGF 3
MCVF 3
SCEF 19
SCGF --^
TSCEF 13
USSCF 13
USSCOF 2
</Table>
^ Amount rounds to less than one thousand.
81
<Page>
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the securities received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
E. 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.
F. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
G. 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.
H. 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.
82
<Page>
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to separate Investment Advisory
Agreements, J.P. Morgan Fleming Asset Management (USA), Inc. ("JPMFAM"), J.P.
Morgan Investment Management, Inc. ("JPMIM") and Robert Fleming, Inc.
("Fleming") (collectively, the "Advisors") act as the investment advisors to the
Funds. JPMFAM, a direct wholly owned subsidiary of JPMorgan Chase Bank ("JPMCB")
and an indirect wholly owned subsidiary of J.P. Morgan Chase & Co. ("JPMorgan"),
is the Advisor for DSCF, MCEF, MCGF, SCEF, and TSCEF. JPMIM, a wholly owned
subsidiary of JPMorgan, is the Advisor for USSCF and USSCOF. Fleming, a wholly
owned subsidiary of JPMorgan, is the Advisor for MCVF and SCGF. The Advisors
supervise the investments of each respective Fund and for such services are paid
a fee. The fee is accrued daily and paid monthly based on each Fund's respective
average daily net assets. The annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
DSCF 0.65%
MCEF 0.65%
MCGF 0.65%
MCVF 0.70%
SCEF 0.65%
SCGF 0.80%
TSCEF 0.65%
USSCF 0.60%
USSCOF 0.60%
</Table>
The Advisors waived fees as outlined in Note 3.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to reimburse its advisory fee from the Funds in an
amount sufficient to offset any doubling up of investment advisory,
administration and shareholder servicing fees related to each Fund's investment
in an affiliated money market fund.
83
<Page>
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 Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
DSCF 0.25 0.75 0.75
MCEF n/a n/a n/a
MCGF 0.25 0.75 n/a
MCVF 0.25 0.75 0.75
SCEF 0.25 0.75 n/a
SCGF 0.25 0.75 0.75
TSCEF n/a n/a n/a
USSCF n/a n/a n/a
USSCOF n/a n/a n/a
</Table>
Prior to May 1, 2003, MCGF Class B, MCVF Class B & C and SCGF Class B & C paid
the Distributor a fee computed daily and paid monthly at an annual rate equal to
1.00% of the respective Fund Class' average daily net assets. MCGF Class A paid
0.30%.
In addition, JPMFD receives the contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in 3.F.
C. SHAREHOLDER SERVICING FEE -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMCB under which JPMCB
provides account administration and personal account maintenance service to the
shareholders. JPMCB may obtain the services of one or more Shareholder Servicing
Agents. For these services JPMCB or the Shareholder Servicing Agent will receive
a fee that is computed daily and paid monthly equal to a percentage of the
average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
DSCF 0.25 0.25 0.25 n/a 0.25
MCEF n/a n/a n/a n/a 0.25
MCGF 0.25 0.25 n/a n/a n/a
MCVF 0.25 0.25 0.25 0.10 0.25
SCEF 0.25 0.25 n/a n/a 0.25
SCGF 0.25 0.25 0.25 0.10 0.25
TSCEF n/a n/a n/a n/a 0.25
USSCF n/a n/a n/a 0.10 0.25
USSCOF n/a n/a n/a n/a 0.25
</Table>
84
<Page>
Effective May 1, 2003, a shareholder servicing fee of 0.25% of average daily net
assets was implemented for Class A and Class B Shares of the MCGF and Class A,
Class B and Class C Shares of the MCVF and SCGF. Also effective May 1, 2003, a
shareholder servicing fee of 0.10% of average daily net assets was implemented
for the Institutional Class of MCVF and SCGF. In addition, the shareholder
servicing fee for Class A shares of the SCEF changed from 0.01% to 0.25%.
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and JPMF, and JPMIF are
parties to separate servicing and operating agreements (the "Schwab Agreements")
whereby Schwab makes shares of the Funds available to customers of investment
advisers and other financial intermediaries who are Schwab's clients. The Funds
are not responsible for payments to Schwab under the Schwab Agreements; however,
in the event the servicing agreement with Schwab is terminated for reasons other
than a breach by Schwab and the relationships between Schwab, JPMF and JPMIF are
terminated, the Funds would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody services
for all 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 FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
Effective May 1, 2003, MCVF and SCGF pay Administrator fees as stated above.
Prior to May 1, 2003, MCVF and SCGF paid the Administrator a fee computed daily
and paid monthly at an annual rate equal to 0.10% of the respective Fund's
average daily net assets.
BISYS Fund Services, LP ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Funds to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
DSCF 1.50 2.12 2.12 n/a 1.10
MCEF n/a n/a n/a n/a 1.00^
MCGF 1.35 2.05 n/a n/a n/a
MCVF 1.25 2.00 2.00 0.75 1.00
SCEF 1.38 2.12 n/a n/a 0.85
SCGF 1.60 2.35 2.35 0.85 1.10
USSCF n/a n/a n/a 0.83 1.01
USSCOF n/a n/a n/a n/a 1.02
</Table>
^ Effective May 1, 2003, the contractual cap for MCEF was established at 1.00%.
85
<Page>
The expense limitation percentages in the table on the previous page are due to
expire as follows:
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
DSCF 4/30/04 4/30/04 4/30/04 n/a 4/30/04
MCEF n/a n/a n/a n/a 4/30/04
MCGF 4/30/04 4/30/04 n/a n/a n/a
MCVF 4/30/04 4/30/04 4/30/04 4/30/04 4/30/04
SCEF 4/30/04 4/30/04 n/a n/a 4/30/04
SCGF 4/30/04 4/30/04 4/30/04 4/30/04 4/30/04
USSCF n/a n/a n/a 4/30/05 4/30/05
USSCOF n/a n/a n/a n/a 4/30/05
</Table>
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2003, the
Funds' vendors waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
-------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
DSCF $ 37 $ 73 $ 129 $ -- $ 239 $ --
MCEF -- 36 149 -- 185 --
MCGF 41 41 18 -- 100 --
MCVF 259 22 47 -- 328 --
SCEF -- 328 422 11 761 --
SCGF 7 1 1 -- 9 147
TSCEF 278 64 328 -- 670 --
USSCF -- 24 171 -- 195 --
USSCOF 33 13 21 -- 67 --
- -----------------------------------------------------------------------------------------------------------
$ 655 $ 602 $ 1,286 $ 11 $ 2,554 $ 147
- -----------------------------------------------------------------------------------------------------------
</Table>
G. OTHER-- Certain officers of the Trusts 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 Advisors.
For the six months ended June 30, 2003, MCEF, USSCF and USSCOF incurred
approximately (in thousands) $3, $2 and $1, respectively, as brokerage
commissions with brokers/dealers affiliated with JPMCB.
86
<Page>
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the six months ended June 30, 2003 are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
DSCF
Class A $ 99 $ 99 $ 155
Class B 57 172 89
Class C 14 40 21
Select 13 -- --
- ---------------------------------------------------------------------------------------------------------------
$ 183 $ 311 $ 265
MCEF
Select $ 179 $ -- $ 11
- ----------------------------------------------------------------------------------------------------------------
MCGF
Class A $ 23 $ 74 $ 63
Class B 1 12 3
- ----------------------------------------------------------------------------------------------------------------
$ 24 $ 86 $ 66
MCVF
Class A $ 26 $ 54 $ 62
Class B 12 94 31
Class C 11 73 24
Institutional 20 -- 21
Select 12 -- 18
- ----------------------------------------------------------------------------------------------------------------
$ 81 $ 221 $ 156
SCEF
Class A $ 42 $ 93 $ 138
Class B 24 72 36
Select 616 -- 26
$ 682 $ 165 $ 200
SCGF
Class A $ --^ $ --^ $ 13
Class B --^ 1 7
Class C --^ --^ 2
Institutional --^ -- 6
Select --^ -- 4
- ----------------------------------------------------------------------------------------------------------------
$ --^ $ 1 $ 32
- ----------------------------------------------------------------------------------------------------------------
</Table>
87
<Page>
<Table>
<Caption>
SHAREHOLDER
FUND SERVICING DISTRIBUTION TRANSFER AGENT
TSCEF
Select $ 329 $ -- $ 10
- ---------------------------------------------------------------------------------------------------------------
USSCF
Institutional $ 91 $ -- $ 19
Select 224 -- 42
$ 315 $ -- $ 61
- ---------------------------------------------------------------------------------------------------------------
USSCOF
Select $ 35 $ -- $ 20
- ---------------------------------------------------------------------------------------------------------------
</Table>
^ Amounts round to less than one thousand.
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the six months ended June 30, 2003 and the
year ended December 31, 2002 are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 6/30/03 YEAR ENDED 12/31/02
------------------------------------ ---------------------------------
Net Net
Investment Income Realized Gain Investment Income Realized Gain
MCEF
Select $ 369 $ -- $ 747 $ 5,775
- -----------------------------------------------------------------------------------------------------------
MCVF
Class A $ -- $ -- $ 39 $ 11
Class B -- -- -- 10
Class C -- -- -- 5
Institutional -- -- 247 21
Select -- -- 51 3
- -----------------------------------------------------------------------------------------------------------
$ -- $ -- $ 337 $ 50
SCEF
Class A $ -- $ -- $ -- $ 487
Class B -- -- -- 220
Select -- -- -- 3,392
- -----------------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ 4,099
TSCEF
Select $ 80 $ -- $ 268 $ 2,129
- -----------------------------------------------------------------------------------------------------------
USSCF
Institutional $ -- $ -- $ 1,414 $ --
Select -- -- 542 --
- -----------------------------------------------------------------------------------------------------------
$ -- $ -- $ 1,956 --
- -----------------------------------------------------------------------------------------------------------
</Table>
88
<Page>
6. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2003, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
FUND
DSCF $ 33,616 $ 50,939 $ -- $ --
MCEF 54,767 54,888 -- --
MCGF 15,337 21,418 -- --
MCVF 190,370 41,174 -- --
SCEF 97,197 116,733 -- --
SCGF 1,373 1,260 -- --
TSCEF 54,323 46,670 -- --
USSCF 117,587 216,932 -- --
USSCOF 21,545 55,523 -- --
</Table>
7. 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>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
DSCF $ 128,015 $ 34,276 $ (9,555) $ 24,721
MCEF 137,385 24,633 (3,077) 21,556
MCGF 55,336 7,972 (4,401) 3,571
MCVF 286,912 29,175 (752) 28,423
SCEF 544,663 115,075 (31,188) 83,887
SCGF 1,915 359 (136) 223
TSCEF 257,285 53,491 (11,802) 41,689
USSCF 273,305 108,907 (30,176) 78,731
USSCOF 15,538 3,293 (122) 3,171
</Table>
89
<Page>
8. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds had entered into the
agreement, enabling them to participate with other JPMorgan Funds in a line of
credit with JPMCB, as administrative agent, and with a syndicate of banks, which
permits borrowings up to $250 million, collectively. Interest is charged to each
Fund based on its borrowings at an annual rate equal to the sum of the Federal
Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on
the average daily amount of the available commitment, which is allocated on a
pro-rata basis to the Funds. The commitment fee is included in Other expenses on
the Statement of Operations. This agreement will expire on April 15, 2004.
Prior to April 17, 2003, the Funds could borrow money for temporary or emergency
purposes. The Funds had entered into an agreement, enabling it to participate
with other JPMorgan Funds in an unsecured line of credit with a syndicate of
banks, which permitted borrowings up to $400 million, collectively. Interest was
charged to each Fund based on its borrowings at an annual rate equal to the sum
of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of
0.09% per annum on the average daily amount of the available commitment, which
was allocated on a pro-rata basis to the Funds. This agreement expired on
April 16, 2003.
The Funds had no borrowings outstanding at June 30, 2003, nor at anytime during
the period then ended.
9. 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.
10. SUBSEQUENT EVENTS
On or about September 1, 2003, Robert Fleming ("Fleming") and J.P. Morgan
Fleming Asset Management (USA), Inc. ("JPMFAM") will merge into J.P. Morgan
Investment Management, Inc. ("JPMIM"). JPMIM, as the surviving entity, will
assume all the rights and obligations of Fleming and JPMFAM.
In addition, on or about October 1, 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.
USSCOF will undergo changes to its investment strategy, process and portfolio
manager effective July 31, 2003.
90
<Page>
SEMI - ANNUAL REPORT JUNE 30 2003
11. CAPITAL SHARE TRANSACTIONS
<Table>
<Caption>
DYNAMIC SMALL CAP FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 10,052 $ 90,038
Shares redeemed (26,629) (108,289)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (16,577) $ (18,251)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 817 6,338
Shares redeemed (2,093) (7,485)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (1,276) (1,147)
CLASS B
AMOUNT
Shares sold $ 3,712 $ 6,717
Shares redeemed (6,199) (15,379)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (2,487) $ (8,662)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 315 498
Shares redeemed (536) (1,173)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (221) (675)
- ----------------------------------------------------------------------------------------------------------------------
CLASS C
AMOUNT
Shares sold $ 3,052 $ 5,293
Shares redeemed (1,179) (2,731)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 1,873 $ 2,562
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 253 392
Shares redeemed (102) (207)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 151 185
- ----------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 6,150 $ 9,610
Shares redeemed (7,956) (3,003)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (1,806) $ 6,607
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 494 691
Shares redeemed (690) (210)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (196) 481
- ----------------------------------------------------------------------------------------------------------------------
</Table>
91
<Page>
<Table>
<Caption>
MID CAP EQUITY FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
SELECT
AMOUNT
Shares sold $ 12,084 $ 25,152
Shares issued in reinvestment of distributions 10 5,252
Shares redeemed (10,836) (18,333)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 1,258 $ 12,071
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 491 902
Shares issued in reinvestment of distributions 1 210
Shares redeemed (434) (684)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 58 428
- ----------------------------------------------------------------------------------------------------------------------
<Caption>
MID CAP GROWTH FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 332 $ 583
Shares redeemed (5,962) (21,296)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (5,630) $ (20,713)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 84 131
Shares redeemed (1,610) (5,120)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (1,526) (4,989)
- ----------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 116 $ 79
Shares redeemed (315) (1,222)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (199) $ (1,143)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 32 20
Shares redeemed (88) (300)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (56) (280)
- ----------------------------------------------------------------------------------------------------------------------
</Table>
92
<Page>
2003
SEMI - ANNUAL REPORT JUNE 30
<Table>
<Caption>
MID CAP VALUE FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 59,971 $ 26,683
Shares issued in reinvestment of distributions -- 39
Shares redeemed (15,582) (5,570)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 44,389 $ 21,152
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 3,936 1,848
Shares issued in reinvestment of distributions -- 3
Shares redeemed (1,050) (389)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 2,886 1,462
- ----------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 18,116 $ 14,094
Shares issued in reinvestment of distributions -- 9
Shares redeemed (1,364) (2,597)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 16,752 $ 11,506
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,209 967
Shares issued in reinvestment of distributions -- 1
Shares redeemed (93) (188)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 1,116 780
- ----------------------------------------------------------------------------------------------------------------------
CLASS C
AMOUNT
Shares sold $ 21,677 $ 6,343
Shares issued in reinvestment of distributions -- 2
Shares redeemed (1,103) (502)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 20,574 $ 5,843
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,445 439
Shares issued in reinvestment of distributions -- --^
Shares redeemed (76) (37)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 1,369 402
- ----------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
93
<Page>
<Table>
<Caption>
MID CAP VALUE FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
INSTITUTIONAL
AMOUNT
Shares sold $ 102,643 $ 64,698
Shares issued in reinvestment of distributions -- 234
Shares redeemed (34,748) (11,126)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 67,895 $ 53,806
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 6,844 4,507
Shares issued in reinvestment of distributions -- 16
Shares redeemed (2,297) (769)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 4,547 3,754
- ----------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 17,127 $ 16,044
Shares issued in reinvestment of distributions -- 48
Shares redeemed (2,424) (2,129)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 14,703 $ 13,963
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,138 1,092
Shares issued in reinvestment of distributions -- 3
Shares redeemed (166) (149)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 972 946
- ----------------------------------------------------------------------------------------------------------------------
</Table>
94
<Page>
2003
SEMI - ANNUAL REPORT JUNE 30
<Table>
<Caption>
SMALL CAP EQUITY FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 9,048 $ 56,894
Shares issued in reinvestment of distributions -- 424
Shares redeemed (19,589) (36,553)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (10,541) $ 20,765
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 513 2,807
Shares issued in reinvestment of distributions -- 23
Shares redeemed (1,067) (1,790)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (554) 1,040
- ----------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 1,186 $ 2,257
Shares issued in reinvestment of distributions -- 200
Shares redeemed (6,743) (14,892)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (5,557) $ (12,435)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 71 122
Shares issued in reinvestment of distributions -- 12
Shares redeemed (412) (815)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (341) (681)
- ----------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 52,840 $ 179,771
Shares issued in reinvestment of distributions -- 3,005
Shares redeemed (77,284) (108,285)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (24,444) $ 74,491
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,867 8,666
Shares issued in reinvestment of distributions -- 158
Shares redeemed (4,228) (5,380)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (1,361) 3,444
- ----------------------------------------------------------------------------------------------------------------------
</Table>
95
<Page>
<Table>
<Caption>
SMALL CAP GROWTH FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS A
AMOUNT
Shares sold $ 179 $ 328
Shares redeemed (18) (138)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 161 $ 190
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 29 41
Shares redeemed (3) (22)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 26 19
- ----------------------------------------------------------------------------------------------------------------------
CLASS B
AMOUNT
Shares sold $ 26 $ 137
Shares redeemed (55) (34)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (29) $ 103
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 4 22
Shares redeemed (10) (6)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (6) 16
- ----------------------------------------------------------------------------------------------------------------------
CLASS C
AMOUNT
Shares sold $ 41 $ 27
Shares redeemed (21) (5)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 20 $ 22
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 7 4
Shares redeemed (4) (1)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 3 3
- ----------------------------------------------------------------------------------------------------------------------
</Table>
96
<Page>
2003
SEMI - ANNUAL REPORT JUNE 30
<Table>
<Caption>
SMALL CAP GROWTH FUND (continued)
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
INSTITUTIONAL
AMOUNT
Shares sold $ -- $ 16
Shares redeemed --^ (21)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ --^ $ (5)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold -- 2
Shares redeemed -- (3)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding -- (1)
- ----------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ --^ $ 133
Shares redeemed (61) (2)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (61) $ 131
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1 15
Shares redeemed (12) --
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (11) 15
- ----------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
<Table>
<Caption>
TRUST SMALL CAP EQUITY FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
SELECT
AMOUNT
Shares sold $ 27,681 $ 62,285
Shares issued in reinvestment of distributions 1 1,864
Shares redeemed (15,487) (64,258)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 12,195 $ (109)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 812 1,634
Shares issued in reinvestment of distributions --^ 47
Shares redeemed (465) (1,754)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding 347 (73)
- ----------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
97
<Page>
<Table>
<Caption>
U.S. SMALL COMPANY FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
INSTITUTIONAL
AMOUNT
Shares sold $ 17,932 $ 175,305
Shares issued in reinvestment of distributions -- 641
Shares redeemed (87,657) (168,386)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (69,725) $ 7,560
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,820 14,949
Shares issued in reinvestment of distributions -- 64
Shares redeemed (9,000) (14,859)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (7,180) 154
- ----------------------------------------------------------------------------------------------------------------------
SELECT
AMOUNT
Shares sold $ 15,859 $ 95,072
Shares issued in reinvestment of distributions -- 469
Shares redeemed (48,641) (124,116)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (32,782) $ (28,575)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,591 8,028
Shares issued in reinvestment of distributions -- 47
Shares redeemed (4,981) (10,851)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (3,390) (2,776)
- ----------------------------------------------------------------------------------------------------------------------
</Table>
98
<Page>
2003
SEMI - ANNUAL REPORT JUNE 30
<Table>
<Caption>
U.S. SMALL COMPANY OPPORTUNITIES FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
SELECT
AMOUNT
Shares sold $ 9,423 $ 97,467
Shares redeemed (43,116) (191,181)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (33,693) $ (93,714)
- ----------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,327 10,913
Shares redeemed (6,663) (21,694)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding (5,336) (10,781)
- ----------------------------------------------------------------------------------------------------------------------
</Table>
99
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS (Unaudited)
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 12.14 (0.07)@ 1.60 1.53
Year Ended 12/31/02 $ 15.72 (0.18) (3.40) (3.58)
11/1/01 Through 12/31/01^ $ 14.21 (0.03) 1.54 1.51
Year Ended 10/31/01 $ 24.54 (0.24) (6.71) (6.95)
Year Ended 10/31/00 $ 15.98 (0.22)@ 8.78 8.56
Year Ended 10/31/99 $ 12.79 (0.15) 3.34 3.19
Year Ended 10/31/98 $ 13.85 (0.09) (0.97) (1.06)
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 3.57 (0.02)@ 0.60 0.58
Year Ended 12/31/02 $ 5.06 (0.05)@ (1.44) (1.49)
10/1/01 Through 12/31/01^^ $ 4.27 (0.01) 0.80 0.79
Year Ended 9/30/01 $ 12.51 (0.02)@ (8.06) (8.08)
10/29/99* Through 9/30/00 $ 10.00 (0.09) 2.60 2.51
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 14.44 0.03@ 1.72 1.75
Year Ended 12/31/02 $ 14.10 0.07@ 0.31 0.38
10/1/01 Through 12/31/01^^ $ 13.43 0.02@ 1.48 1.50
4/30/01** Through 9/30/01 $ 14.24 0.04@ (0.85) (0.81)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.38 3.38
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
Year Ended 10/31/98 -- -- --
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
Year Ended 9/30/01 -- 0.16 0.16
10/29/99* Through 9/30/00 -- -- --
MID CAP VALUE FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 0.03 0.01 0.04
10/1/01 Through 12/31/01^^ 0.08 0.75 0.83
4/30/01** Through 9/30/01 -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
* Commencement of operations.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
100
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 13.67 12.60%
Year Ended 12/31/02 $ 12.14 (22.77%)
11/1/01 Through 12/31/01^ $ 15.72 10.63%
Year Ended 10/31/01 $ 14.21 (30.60%)
Year Ended 10/31/00 $ 24.54 53.57%
Year Ended 10/31/99 $ 15.98 24.94%
Year Ended 10/31/98 $ 12.79 (7.65%)
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 4.15 16.25%
Year Ended 12/31/02 $ 3.57 (29.45%)
10/1/01 Through 12/31/01^^ $ 5.06 18.50%
Year Ended 9/30/01 $ 4.27 (65.10%)
10/29/99* Through 9/30/00 $ 12.51 25.12%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 16.19 12.12%
Year Ended 12/31/02 $ 14.44 2.68%
10/1/01 Through 12/31/01^^ $ 14.10 11.20%
4/30/01** Through 9/30/01 $ 13.43 (5.69%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
---------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 76 1.50% (1.13%) 1.89% (1.52%) 23%
Year Ended 12/31/02 $ 82 1.50% (1.20%) 1.82% (1.52%) 52%
11/1/01 Through 12/31/01^ $ 125 1.50% (1.21%) 1.63% (1.34%) 8%
Year Ended 10/31/01 $ 120 1.50% (1.13%) 1.64% (1.27%) 57%
Year Ended 10/31/00 $ 154 1.50% (0.99%) 1.76% (1.25%) 87%
Year Ended 10/31/99 $ 78 1.49% (0.95%) 1.89% (1.35%) 92%
Year Ended 10/31/98 $ 62 1.50% (0.91%) 1.83% (1.24%) 68%
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 56 1.35% (1.06%) 1.72% (1.43%) 28%
Year Ended 12/31/02 $ 53 1.35% (1.15%) 1.62% (1.42%) 39%
10/1/01 Through 12/31/01^^ $ 101 1.35% (0.84%) 1.35% (0.84%) 135%
Year Ended 9/30/01 $ 94 1.30% (0.54%) 1.30% (0.54%) 159%
10/29/99* Through 9/30/00 $ 33 1.16% (0.68%) 1.20% (0.72%) 147%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 76 1.25% 0.42% 1.65% 0.02% 22%
Year Ended 12/31/02 $ 26 1.25% 0.50% 1.70% 0.05% 51%
10/1/01 Through 12/31/01^^ $ 5 1.25% 0.47% 3.72%!! (2.00%) 15%
4/30/01** Through 9/30/01 $ 2 1.30% 0.71% 15.30%!! (13.29%)!! 98%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
101
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 17.68 (0.06)@ 1.97 1.91
Year Ended 12/31/02 $ 21.53 (0.15)@ (3.57) (3.72)
11/1/01 Through 12/31/01^ $ 19.64 (0.03)@ 1.92 1.89
Year Ended 10/31/01 $ 27.89 (0.10) (4.26) (4.36)
Year Ended 10/31/00 $ 22.77 (0.20)@ 7.97 7.77
Year Ended 10/31/99 $ 20.40 (0.13)@ 2.67 2.54
Year Ended 10/31/98 $ 23.57 (0.11) (2.42) (2.53)
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 5.50 (0.04)@ 0.89 0.85
Year Ended 12/31/02 $ 9.25 (0.09)@ (3.66) (3.75)
10/1/01 Through 12/31/01^^ $ 6.80 (0.01) 2.46 2.45
4/30/01** Through 9/30/01 $ 9.20 (0.05)@ (2.35) (2.40)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- 0.13 0.13
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.89 3.89
Year Ended 10/31/00 -- 2.65 2.65
Year Ended 10/31/99 -- 0.17 0.17
Year Ended 10/31/98 -- 0.64 0.64
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
4/30/01** Through 9/30/01 -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
+ Amount rounds to less than one million.
SEE NOTES TO FINANCIAL STATEMENTS.
102
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 19.59 10.80%
Year Ended 12/31/02 $ 17.68 (17.30%)
11/1/01 Through 12/31/01^ $ 21.53 9.62%
Year Ended 10/31/01 $ 19.64 (16.62%)
Year Ended 10/31/00 $ 27.89 37.10%
Year Ended 10/31/99 $ 22.77 12.49%
Year Ended 10/31/98 $ 20.40 (10.93%)
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 6.35 15.45%
Year Ended 12/31/02 $ 5.50 (40.54%)
10/1/01 Through 12/31/01^^ $ 9.25 36.03%
4/30/01** Through 9/30/01 $ 6.80 (26.09%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 74 1.38% (0.73%) 1.59% (0.94%) 17%
Year Ended 12/31/02 $ 77 1.38% (0.74%) 1.40% (0.76%) 51%
11/1/01 Through 12/31/01^ $ 71 1.38% (0.81%) 1.38% (0.81%) 6%
Year Ended 10/31/01 $ 67 1.39% (0.80%) 1.40% (0.81%) 47%
Year Ended 10/31/00 $ 93 1.44% (0.77%) 1.44% (0.77%) 75%
Year Ended 10/31/99 $ 98 1.40% (0.59%) 1.40% (0.59%) 92%
Year Ended 10/31/98 $ 133 1.38% (0.43%) 1.38% (0.43%) 74%
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 1 1.60% (1.30%) 23.81%!! (23.51%)!! 71%
Year Ended 12/31/02 $ 1 1.60% (1.39%) 21.25%!! (21.04%)!! 76%
10/1/01 Through 12/31/01^^ $ --+ 1.54% (1.27%) 12.17%!! (11.90%)!! 25%
4/30/01** Through 9/30/01 $ --+ 1.60% (1.37%) 11.04%!! (10.81%)!! 71%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
103
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 11.63 (0.10)@ 1.53 1.43
Year Ended 12/31/02 $ 15.16 (0.27) (3.26) (3.53)
11/1/01 Through 12/31/01^ $ 13.72 (0.04) 1.48 1.44
Year Ended 10/31/01 $ 23.96 (0.23) (6.63) (6.86)
Year Ended 10/31/00 $ 15.71 (0.40)@ 8.65 8.25
Year Ended 10/31/99 $ 12.67 (0.27) 3.31 3.04
Year Ended 10/31/98 $ 13.81 (0.17) (0.97) (1.14)
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 3.49 (0.03)@ 0.59 0.56
Year Ended 12/31/02 $ 4.99 (0.08)@ (1.42) (1.50)
10/1/01 Through 12/31/01^^ $ 4.22 (0.02) 0.79 0.77
Year Ended 9/30/01 $ 12.43 (0.07)@ (7.98) (8.05)
10/29/99* Through 9/30/00 $ 10.00 (0.17) 2.60 2.43
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 14.32 (0.02)@ 1.69 1.67
Year Ended 12/31/02 $ 14.06 (0.04)@ 0.31 0.27
10/1/01 Through 12/31/01^^ $ 13.40 (0.01)@ 1.47 1.46
4/30/01** Through 9/30/01 $ 14.24 --@ (0.84) (0.84)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.38 3.38
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
Year Ended 10/31/98 -- -- --
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
Year Ended 9/30/01 -- 0.16 0.16
10/29/99* Through 9/30/00 -- -- --
MID CAP VALUE FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- 0.01 0.01
10/1/01 Through 12/31/01^^ 0.05 0.75 0.80
4/30/01** Through 9/30/01 -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
* Commencement of operations.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
SEE NOTES TO FINANCIAL STATEMENTS.
104
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 13.06 12.30%
Year Ended 12/31/02 $ 11.63 (23.28%)
11/1/01 Through 12/31/01^ $ 15.16 10.50%
Year Ended 10/31/01 $ 13.72 (31.02%)
Year Ended 10/31/00 $ 23.96 52.51%
Year Ended 10/31/99 $ 15.71 23.99%
Year Ended 10/31/98 $ 12.67 (8.25%)
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 4.05 16.05%
Year Ended 12/31/02 $ 3.49 (30.06%)
10/1/01 Through 12/31/01^^ $ 4.99 18.25%
Year Ended 9/30/01 $ 4.22 (65.30%)
10/29/99* Through 9/30/00 $ 12.43 24.31%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 15.99 11.66%
Year Ended 12/31/02 $ 14.32 1.94%
10/1/01 Through 12/31/01^^ $ 14.06 10.94%
4/30/01** Through 9/30/01 $ 13.40 (5.90%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
---------------------------------------------------------
NET ASSETS, NET EXPENSES
END OF INVESTMENT WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 50 2.12% (1.75%) 2.39%
Year Ended 12/31/02 $ 48 2.12% (1.82%) 2.32%
11/1/01 Through 12/31/01^ $ 72 2.12% (1.83%) 2.12%
Year Ended 10/31/01 $ 67 2.13% (1.75%) 2.14%
Year Ended 10/31/00 $ 110 2.20% (1.69%) 2.26%
Year Ended 10/31/99 $ 66 2.23% (1.69%) 2.39%
Year Ended 10/31/98 $ 57 2.24% (1.65%) 2.33%
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 3 2.05% (1.76%) 2.35%
Year Ended 12/31/02 $ 3 2.05% (1.85%) 2.32%
10/1/01 Through 12/31/01^^ $ 5 2.05% (1.53%) 2.05%
Year Ended 9/30/01 $ 6 2.00% (1.22%) 2.00%
10/29/99* Through 9/30/00 $ 25 1.86% (1.38%) 1.91%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 34 2.00% (0.32%) 2.28%
Year Ended 12/31/02 $ 14 2.00% (0.27%) 2.49%
10/1/01 Through 12/31/01^^ $ 3 1.99% (0.27%) 4.47%!!
4/30/01** Through 9/30/01 $ 1 2.03% 0.01% 16.00%!!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 (2.02%) 23%
Year Ended 12/31/02 (2.02%) 52%
11/1/01 Through 12/31/01^ (1.83%) 8%
Year Ended 10/31/01 (1.76%) 57%
Year Ended 10/31/00 (1.75%) 87%
Year Ended 10/31/99 (1.85%) 92%
Year Ended 10/31/98 (1.74%) 68%
MID CAP GROWTH FUND
1/1/03 Through 6/30/03 (2.06%) 28%
Year Ended 12/31/02 (2.12%) 39%
10/1/01 Through 12/31/01^^ (1.53%) 135%
Year Ended 9/30/01 (1.22%) 159%
10/29/99* Through 9/30/00 (1.43%) 147%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 (0.60%) 22%
Year Ended 12/31/02 (0.76%) 51%
10/1/01 Through 12/31/01^^ (2.75%) 15%
4/30/01** Through 9/30/01 (13.96%)!! 98%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
105
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 16.50 (0.12)@ 1.85 1.73
Year Ended 12/31/02 $ 20.26 (0.29)@ (3.34) (3.63)
11/1/01 Through 12/31/01^ $ 18.50 (0.05)@ 1.81 1.76
Year Ended 10/31/01 $ 26.73 (0.09) (4.25) (4.34)
Year Ended 10/31/00 $ 22.06 (0.37)@ 7.69 7.32
Year Ended 10/31/99 $ 19.91 (0.28)@ 2.60 2.32
Year Ended 10/31/98 $ 23.19 (0.31) (2.33) (2.64)
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 5.47 (0.06)@ 0.88 0.82
Year Ended 12/31/02 $ 9.25 (0.14)@ (3.64) (3.78)
10/1/01 Through 12/31/01^^ $ 6.80 (0.02) 2.47 2.45
4/30/01** Through 9/30/01 $ 9.20 (0.08)@ (2.32) (2.40)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- 0.13 0.13
11/1/01 Through 12/31/01^ -- -- --
Year Ended 10/31/01 -- 3.89 3.89
Year Ended 10/31/00 -- 2.65 2.65
Year Ended 10/31/99 -- 0.17 0.17
Year Ended 10/31/98 -- 0.64 0.64
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
4/30/01** Through 9/30/01 -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
+ Amount rounds to less than one million.
SEE NOTES TO FINANCIAL STATEMENTS.
106
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-----------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 18.23 10.48%
Year Ended 12/31/02 $ 16.50 (17.94%)
11/1/01 Through 12/31/01^ $ 20.26 9.51%
Year Ended 10/31/01 $ 18.50 (17.37%)
Year Ended 10/31/00 $ 26.73 36.17%
Year Ended 10/31/99 $ 22.06 11.69%
Year Ended 10/31/98 $ 19.91 (11.60%)
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 6.29 14.99%
Year Ended 12/31/02 $ 5.47 (40.86%)
10/1/01 Through 12/31/01^^ $ 9.25 36.03%
4/30/01** Through 9/30/01 $ 6.80 (26.09%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------------
NET ASSETS, NET EXPENSES
END OF INVESTMENT WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 19 2.12% (1.47%) 2.23%
Year Ended 12/31/02 $ 23 2.12% (1.50%) 2.16%
11/1/01 Through 12/31/01^ $ 42 2.12% (1.55%) 2.12%
Year Ended 10/31/01 $ 39 2.13% (1.54%) 2.14%
Year Ended 10/31/00 $ 57 2.17% (1.50%) 2.17%
Year Ended 10/31/99 $ 57 2.12% (1.31%) 2.12%
Year Ended 10/31/98 $ 80 2.10% (1.15%) 2.10%
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ --+ 2.35% (2.05%) 24.15%!!
Year Ended 12/31/02 $ --+ 2.35% (2.14%) 21.81%!!
10/1/01 Through 12/31/01^^ $ --+ 2.35% (2.09%) 12.97%!!
4/30/01** Through 9/30/01 $ --+ 2.38% (2.11%) 12.16%!!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 (1.58%) 17%
Year Ended 12/31/02 (1.54%) 51%
11/1/01 Through 12/31/01^ (1.55%) 6%
Year Ended 10/31/01 (1.55%) 47%
Year Ended 10/31/00 (1.50%) 75%
Year Ended 10/31/99 (1.31%) 92%
Year Ended 10/31/98 (1.15%) 74%
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 (23.85%)!! 71%
Year Ended 12/31/02 (21.60%)!! 76%
10/1/01 Through 12/31/01^^ (12.71%)!! 25%
4/30/01** Through 9/30/01 (11.89%)!! 71%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
107
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 11.61 (0.10)@ 1.53 1.43
Year Ended 12/31/02 $ 15.13 (0.21) (3.31) (3.52)
11/1/01 Through 12/31/01 ^ $ 13.70 (0.04) 1.47 1.43
Year Ended 10/31/01 $ 23.93 (0.23) (6.62) (6.85)
Year Ended 10/31/00 $ 15.69 (0.35)@ 8.59 8.24
Year Ended 10/31/99 $ 12.66 (0.26) 3.29 3.03
1/7/98** Through 10/31/98 $ 13.17 (0.08) (0.43) (0.51)
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 14.35 (0.03)@ 1.71 1.68
Year Ended 12/31/02 $ 14.09 (0.04)@ 0.31 0.27
10/1/01 Through 12/31/01^^ $ 13.41 (0.01)@ 1.48 1.47
4/30/01** Through 9/30/01 $ 14.24 --@ (0.83) (0.83)
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 5.46 (0.06)@ 0.87 0.81
Year Ended 12/31/02 $ 9.23 (0.14)@ (3.63) (3.77)
10/1/01 Through 12/31/01^^ $ 6.79 (0.01) 2.45 2.44
4/30/01** Through 9/30/01 $ 9.20 (0.08)@ (2.33) (2.41)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
11/1/01 Through 12/31/01 ^ -- -- --
Year Ended 10/31/01 -- 3.38 3.38
Year Ended 10/31/00 -- -- --
Year Ended 10/31/99 -- -- --
1/7/98** Through 10/31/98 -- -- --
MID CAP VALUE FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- 0.01 0.01
10/1/01 Through 12/31/01^^ 0.04 0.75 0.79
4/30/01** Through 9/30/01 -- -- --
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
4/30/01** Through 9/30/01 -- -- --
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ The Fund changed its fiscal year end from September 30 to December 31.
** Commencement of offering of class of shares..
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any deferred sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
+ Amounts round to less than one million.
SEE NOTES TO FINANCIAL STATEMENTS.
108
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (1)(a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 13.04 12.32%
Year Ended 12/31/02 $ 11.61 (23.26%)
11/1/01 Through 12/31/01 ^ $ 15.13 10.44%
Year Ended 10/31/01 $ 13.70 (31.02%)
Year Ended 10/31/00 $ 23.93 52.52%
Year Ended 10/31/99 $ 15.69 23.93%
1/7/98** Through 10/31/98 $ 12.66 (3.87%)
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 16.03 11.71%
Year Ended 12/31/02 $ 14.35 1.94%
10/1/01 Through 12/31/01^^ $ 14.09 11.05%
4/30/01** Through 9/30/01 $ 13.41 (5.83%)
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 6.27 14.84%
Year Ended 12/31/02 $ 5.46 (40.85%)
10/1/01 Through 12/31/01^^ $ 9.23 35.94%
4/30/01** Through 9/30/01 $ 6.79 (26.20%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------------------
NET ASSETS, NET EXPENSES
END OF INVESTMENT WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 13 2.12% (1.75%) 2.39%
Year Ended 12/31/02 $ 10 2.12% (1.82%) 2.32%
11/1/01 Through 12/31/01 ^ $ 11 2.12% (1.83%) 2.12%
Year Ended 10/31/01 $ 10 2.13% (1.76%) 2.14%
Year Ended 10/31/00 $ 14 2.20% (1.69%) 2.26%
Year Ended 10/31/99 $ 6 2.23% (1.69%) 2.39%
1/7/98** Through 10/31/98 $ 5 2.24% (1.55%) 2.29%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 32 2.00% (0.34%) 2.28%
Year Ended 12/31/02 $ 9 2.00% (0.28%) 2.51%
10/1/01 Through 12/31/01^^ $ 3 1.99% (0.30%) 4.48%!!
4/30/01** Through 9/30/01 $ 2 2.04% 0.03% 15.95%!!
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ --+ 2.35% (2.05%) 24.45%!!
Year Ended 12/31/02 $ --+ 2.35% (2.14%) 20.89%!!
10/1/01 Through 12/31/01^^ $ --+ 2.35% (2.11%) 12.97%!!
4/30/01** Through 9/30/01 $ --+ 2.35% (2.11%) 10.97%!!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 (2.02%) 23%
Year Ended 12/31/02 (2.02%) 52%
11/1/01 Through 12/31/01 ^ (1.83%) 8%
Year Ended 10/31/01 (1.77%) 57%
Year Ended 10/31/00 (1.75%) 87%
Year Ended 10/31/99 (1.85%) 92%
1/7/98** Through 10/31/98 (1.60%) 68%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 (0.62%) 22%
Year Ended 12/31/02 (0.79%) 51%
10/1/01 Through 12/31/01^^ (2.79%) 15%
4/30/01** Through 9/30/01 (13.88%)!! 98%
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 (24.15%)!! 71%
Year Ended 12/31/02 (20.68%)!! 76%
10/1/01 Through 12/31/01^^ (12.73%)!! 25%
4/30/01** Through 9/30/01 (10.73%)!! 71%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
109
<Page>
INSTITUTIONAL SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
-------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 14.52 0.07@ 1.73 1.80
Year Ended 12/31/02 $ 14.14 0.15@ 0.30 0.45
10/1/01 Through 12/31/01^^ $ 13.47 0.03@ 1.48 1.51
Year Ended 9/30/01 $ 13.06 0.15@ 1.28 1.43
Year Ended 9/30/00 $ 13.56 0.11 2.59 2.70
Year Ended 9/30/99 $ 10.62 0.02 3.20 3.22
11/13/97* Through 9/30/98 $ 10.00 0.11 0.54 0.65
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 5.59 (0.02)@ 0.91 0.89
Year Ended 12/31/02 $ 9.32 (0.04)@ (3.69) (3.73)
10/1/01 Through 12/31/01^^ $ 6.83 -- 2.49 2.49
Year Ended 9/30/01 $ 15.12 (0.07)@ (6.07) (6.14)
Year Ended 9/30/00 $ 13.45 (0.08) 4.34 4.26
Year Ended 9/30/99 $ 9.47 0.08 4.28 4.36
11/14/97* Through 9/30/98 $ 10.00 0.08 (0.59) (0.51)
U.S. SMALL COMPANY FUND
1/1/03 Through 6/30/03 $ 9.95 0.03@ 1.23 1.26
Year Ended 12/31/02 $ 12.57 0.05 (2.61) (2.56)
6/1/01 Through 12/31/01^ $ 13.34 0.05@ (0.78) (0.73)
Year Ended 5/31/01 $ 15.11 0.08 0.03 0.11
Year Ended 5/31/00 $ 11.98 0.04 3.10 3.14
Year Ended 5/31/99 $ 15.30 0.08 (1.83) (1.75)
Year Ended 5/31/98 $ 14.09 0.09 3.04 3.13
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
MID CAP VALUE FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 0.06 0.01 0.07
10/1/01 Through 12/31/01^^ 0.09 0.75 0.84
Year Ended 9/30/01 0.15 0.87 1.02
Year Ended 9/30/00 0.09 3.11 3.20
Year Ended 9/30/99 0.10 0.18 0.28
11/13/97* Through 9/30/98 0.03 -- 0.03
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 -- -- --
10/1/01 Through 12/31/01^^ -- -- --
Year Ended 9/30/01 -- 2.15 2.15
Year Ended 9/30/00 0.04 2.55 2.59
Year Ended 9/30/99 0.09 0.29 0.38
11/14/97* Through 9/30/98 0.02 -- 0.02
U.S. SMALL COMPANY FUND
1/1/03 Through 6/30/03 -- -- --
Year Ended 12/31/02 0.06 -- 0.06
6/1/01 Through 12/31/01^ 0.04 -- 0.04
Year Ended 5/31/01 0.09 1.79 1.88
Year Ended 5/31/00 0.01 -- 0.01
Year Ended 5/31/99 0.08 1.49 1.57
Year Ended 5/31/98 0.08 1.84 1.92
</Table>
^^ The Fund changed its fiscal year end from September 30 to December 31.
^ The fund changed its fiscal year end from May 31 to December 31.
* Commencement of operations.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of USSCP.
SEE NOTES TO FINANCIAL STATEMENTS.
110
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
---------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 16.32 12.40%
Year Ended 12/31/02 $ 14.52 3.23%
10/1/01 Through 12/31/01^^ $ 14.14 11.30%
Year Ended 9/30/01 $ 13.47 11.19%
Year Ended 9/30/00 $ 13.06 23.76%
Year Ended 9/30/99 $ 13.56 30.41%
11/13/97* Through 9/30/98 $ 10.62 6.50%
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 6.48 15.92%
Year Ended 12/31/02 $ 5.59 (40.02%)
10/1/01 Through 12/31/01^^ $ 9.32 36.46%
Year Ended 9/30/01 $ 6.83 (45.44%)
Year Ended 9/30/00 $ 15.12 36.33%
Year Ended 9/30/99 $ 13.45 46.61%
11/14/97* Through 9/30/98 $ 9.47 (5.15%)
U.S. SMALL COMPANY FUND
1/1/03 Through 6/30/03 $ 11.21 12.66%
Year Ended 12/31/02 $ 9.95 (20.36%)
6/1/01 Through 12/31/01^ $ 12.57 (5.50%)
Year Ended 5/31/01 $ 13.34 0.94%
Year Ended 5/31/00 $ 15.11 26.23%
Year Ended 5/31/99 $ 11.98 (10.79%)
Year Ended 5/31/98 $ 15.30 23.55%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------
NET ASSETS, NET EXPENSES
END OF INVESTMENT WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 140 0.75% 0.94% 1.07%
Year Ended 12/31/02 $ 59 0.75% 1.01% 1.22%
10/1/01 Through 12/31/01^^ $ 4 0.75% 0.94% 3.30%!!
Year Ended 9/30/01 $ 4 0.75% 1.07% 3.25%!!
Year Ended 9/30/00 $ 5 0.97% 0.84% 4.24%!!
Year Ended 9/30/99 $ 4 1.25% 0.06% 5.11%!!
11/13/97* Through 9/30/98 $ 3 1.25% 0.73% 7.72%!!
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 1 0.85% (0.56%) 15.65%!!
Year Ended 12/31/02 $ 1 0.85% (0.64%) 8.07%!!
10/1/01 Through 12/31/01^^ $ 2 0.85% (0.62%) 6.66%!!
Year Ended 9/30/01 $ 2 0.85% (0.53%) 5.82%!!
Year Ended 9/30/00 $ 4 1.05% (0.61%) 5.47%!!
Year Ended 9/30/99 $ 2 1.35% (0.68%) 10.19%!!
11/14/97* Through 9/30/98 $ 1 1.35% (0.30%) 13.84%!!
U.S. SMALL COMPANY FUND
1/1/03 Through 6/30/03 $ 186 0.83% 0.54% 0.94%
Year Ended 12/31/02 $ 214 0.83% 0.41% 0.93%
6/1/01 Through 12/31/01^ $ 269 0.82% 0.57% 0.86%
Year Ended 5/31/01 $ 410 0.82% 0.54% 0.82%
Year Ended 5/31/00 $ 358 0.80% 0.26% 0.82%
Year Ended 5/31/99 $ 345 0.80% 0.55% 0.85%
Year Ended 5/31/98 $ 420 0.80% 0.55% 0.85%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE ~ (a)
MID CAP VALUE FUND
1/1/03 Through 6/30/03 0.62% 22%
Year Ended 12/31/02 0.54% 51%
10/1/01 Through 12/31/01^^ (1.61%) 15%
Year Ended 9/30/01 (1.43%) 98%
Year Ended 9/30/00 (2.43%) 99%
Year Ended 9/30/99 (3.80%)!! 109%
11/13/97* Through 9/30/98 (5.74%)!! 73%
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 (15.36%)!! 71%
Year Ended 12/31/02 (7.86%)!! 76%
10/1/01 Through 12/31/01^^ (6.43%)!! 25%
Year Ended 9/30/01 (5.50%)!! 71%
Year Ended 9/30/00 (5.03%)!! 88%
Year Ended 9/30/99 (9.52%)!! 71%
11/14/97* Through 9/30/98 (12.79%)!! 35%
U.S. SMALL COMPANY FUND
1/1/03 Through 6/30/03 0.43% 33%
Year Ended 12/31/02 0.31% 90%
6/1/01 Through 12/31/01^ 0.53% 48%
Year Ended 5/31/01 0.54% 110%
Year Ended 5/31/00 0.24% 104%
Year Ended 5/31/99 0.50% 104%
Year Ended 5/31/98 0.50% 96%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
111
<Page>
SELECT SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ---------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 12.32 (0.04)@ 1.62 1.58 -- -- --
Year Ended 12/31/02 $ 15.89 (0.08) (3.49) (3.57) -- -- --
11/1/01 Through 12/31/01^ $ 14.37 (0.02) 1.54 1.52 -- -- --
Year Ended 10/31/01 $ 24.65 (0.21) (6.69) (6.90) -- 3.38 3.38
Year Ended 10/31/00 $ 15.98 (0.13)@ 8.80 8.67 -- -- --
4/15/99** Through 10/31/99 $ 14.11 (0.05) 1.92 1.87 -- -- --
MID CAP EQUITY FUND^^
1/1/03 Through 6/30/03 $ 24.39 0.06 3.26 3.32 0.06 -- 0.06
Year Ended 12/31/02 $ 29.51 0.13 (4.07) (3.94) 0.13 1.05 1.18
11/1/01 Through 12/31/01^ $ 26.17 0.02 3.43 3.45 0.02 0.09 0.11
Year Ended 10/31/01 $ 37.85 0.12 (5.30) (5.18) 0.12 6.38 6.50
Year Ended 10/31/00 $ 37.55 0.17 9.34 9.51 0.20 9.01 9.21
Year Ended 10/31/99 $ 29.63 0.15 8.52 8.67 0.14 0.61 0.75
Year Ended 10/31/98 $ 32.39 0.14 (0.42) (0.28) 0.13 2.35 2.48
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 14.48 0.05@ 1.73 1.78 -- -- --
Year Ended 12/31/02 $ 14.14 0.14@ 0.27 0.41 0.06 0.01 0.07
10/31/01** Through 12/31/01^ $ 13.48 0.01@ 1.49 1.50 0.09 0.75 0.84
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
^^ On November 20, 1998, the fund underwent a split of shares. Prior periods
have been restated to reflect the split.
** Commencement of offering of class of shares..
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
+ Amounts round to less than one million.
SEE NOTES TO FINANCIAL STATEMENTS.
112
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 13.90 12.82%
Year Ended 12/31/02 $ 12.32 (22.47%)
11/1/01 Through 12/31/01^ $ 15.89 10.58%
Year Ended 10/31/01 $ 14.37 (30.20%)
Year Ended 10/31/00 $ 24.65 54.26%
4/15/99** Through 10/31/99 $ 15.98 13.25%
MID CAP EQUITY FUND^^
1/1/03 Through 6/30/03 $ 27.65 13.65%
Year Ended 12/31/02 $ 24.39 (13.39%)
11/1/01 Through 12/31/01^ $ 29.51 13.20%
Year Ended 10/31/01 $ 26.17 (15.27%)
Year Ended 10/31/00 $ 37.85 30.94%
Year Ended 10/31/99 $ 37.55 29.65%
Year Ended 10/31/98 $ 29.63 (0.70%)
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 16.26 12.29%
Year Ended 12/31/02 $ 14.48 2.90%
10/31/01** Through 12/31/01^ $ 14.14 11.18%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET ASSETS, EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
DYNAMIC SMALL CAP FUND
1/1/03 Through 6/30/03 $ 11 1.10% (0.73%) 1.25% (0.88%) 23%
Year Ended 12/31/02 $ 12 1.10% (0.79%) 1.22% (0.91%) 52%
11/1/01 Through 12/31/01^ $ 8 1.10% (0.82%) 10.33%!! (10.05%)!! 8%
Year Ended 10/31/01 $ --+ 1.12% (0.76%) 12.21%!! (11.86%)!! 57%
Year Ended 10/31/00 $ --+ 1.10% (0.59%) 15.48%!! (14.97%)!! 87%
4/15/99** Through 10/31/99 $ --+ 1.91% (0.96%) 34.70%!! (33.75%)!! 92%
MID CAP EQUITY FUND^^
1/1/03 Through 6/30/03 $ 159 0.90% 0.52% 1.16% 0.26% 39%
Year Ended 12/31/02 $ 139 0.77% 0.51% 1.14% 0.14% 84%
11/1/01 Through 12/31/01^ $ 155 0.60% 0.38% 1.15% (0.17%) 2%
Year Ended 10/31/01 $ 133 0.55% 0.38% 1.15% (0.22%) 55%
Year Ended 10/31/00 $ 164 0.41% 0.52% 1.14% (0.21%) 84%
Year Ended 10/31/99 $ 129 0.07% 0.44% 0.93% (0.42%) 101%
Year Ended 10/31/98 $ 112 0.08% 0.43% 0.94% (0.43%) 67%
MID CAP VALUE FUND
1/1/03 Through 6/30/03 $ 31 1.00% 0.69% 1.28% 0.41% 22%
Year Ended 12/31/02 $ 14 1.00% 0.96% 1.71% 0.25% 51%
10/31/01** Through 12/31/01^ $ --+ 0.99% 0.58% 3.68%!! (2.11%) 15%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
113
<Page>
JPMORGAN FUNDS
SELECT SHARES (continued)
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ----------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 18.37 (0.02)@ 2.06 2.04 -- -- --
Year Ended 12/31/02 $ 22.25 (0.04)@ (3.71) (3.75) -- 0.13 0.13
11/1/01 Through 12/31/01^ $ 20.27 (0.01)@ 1.99 1.98 -- -- --
Year Ended 10/31/01 $ 28.52 (0.10) (4.26) (4.36) -- 3.89 3.89
Year Ended 10/31/00 $ 23.10 (0.05)@ 8.12 8.07 -- 2.65 2.65
Year Ended 10/31/99 $ 20.59 (0.02)@ 2.70 2.68 -- 0.17 0.17
Year Ended 10/31/98 $ 23.71 (0.02) (2.46) (2.48) -- 0.64 0.64
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 5.56 (0.02)@ 0.90 0.88 -- -- --
Year Ended 12/31/02 $ 9.30 (0.06)@ (3.68) (3.74) -- -- --
10/31/01** Through 12/31/01 $ 7.77 (0.01) 1.54 1.53 -- -- --
TRUST SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 33.35 0.01 3.52 3.53 0.01 -- 0.01
Year Ended 12/31/02 $ 40.46 0.04 (6.86) (6.82) 0.03 0.26 0.29
11/1/01 Through 12/31/01^ $ 36.65 0.01 3.81 3.82 0.01 -- 0.01
Year Ended 10/31/01 $ 51.12 0.10 (7.61) (7.51) 0.14 6.82 6.96
Year Ended 10/31/00 $ 47.66 0.08 12.44 12.52 0.08 8.98 9.06
Year Ended 10/31/99 $ 52.73 0.64 (2.50) (1.86) 0.64 2.57 3.21
Year Ended 10/31/98 $ 60.54 0.74 (5.72) (4.98) 0.75 2.08 2.83
</Table>
^ The Fund changed its fiscal year end from October 31 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
+ Amount rounds to less than one million.
SEE NOTES TO FINANCIAL STATEMENTS.
114
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 20.41 11.11%
Year Ended 12/31/02 $ 18.37 (16.87%)
11/1/01 Through 12/31/01^ $ 22.25 9.77%
Year Ended 10/31/01 $ 20.27 (16.19%)
Year Ended 10/31/00 $ 28.52 37.94%
Year Ended 10/31/99 $ 23.10 13.06%
Year Ended 10/31/98 $ 20.59 (10.64%)
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ 6.44 15.83%
Year Ended 12/31/02 $ 5.56 (40.22%)
10/31/01** Through 12/31/01 $ 9.30 19.69%
TRUST SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 36.87 10.59%
Year Ended 12/31/02 $ 33.35 (16.94%)
11/1/01 Through 12/31/01^ $ 40.46 10.42%
Year Ended 10/31/01 $ 36.65 (15.47%)
Year Ended 10/31/00 $ 51.12 30.16%
Year Ended 10/31/99 $ 47.66 (4.20%)
Year Ended 10/31/98 $ 52.73 (8.53%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET ASSETS, EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 531 0.85% (0.20%) 1.12% (0.47%) 17%
Year Ended 12/31/02 $ 502 0.85% (0.22%) 1.09% (0.46%) 51%
11/1/01 Through 12/31/01^ $ 532 0.88% (0.31%) 1.10% (0.53%) 6%
Year Ended 10/31/01 $ 390 0.88% (0.30%) 1.12% (0.54%) 47%
Year Ended 10/31/00 $ 383 0.88% (0.20%) 1.13% (0.45%) 75%
Year Ended 10/31/99 $ 269 0.88% (0.07%) 1.13% (0.32%) 92%
Year Ended 10/31/98 $ 254 1.04% (0.09%) 1.13% (0.18%) 74%
SMALL CAP GROWTH FUND
1/1/03 Through 6/30/03 $ --+ 1.10% (0.88%) 33.07%!! (32.85%)!! 71%
Year Ended 12/31/02 $ --+ 1.10% (0.89%) 24.20%!! (23.99%)!! 76%
10/31/01** Through 12/31/01 $ --+ 1.10% (0.88%) 9.40%!! (9.18%)!! 25%
TRUST SMALL CAP EQUITY FUND
1/1/03 Through 6/30/03 $ 299 0.60% 0.06% 1.11% (0.45%) 18%
Year Ended 12/31/02 $ 259 0.51% 0.10% 1.11% (0.50%) 52%
11/1/01 Through 12/31/01^ $ 317 0.40% 0.09% 1.12% (0.63%) 7%
Year Ended 10/31/01 $ 299 0.34% 0.28% 1.13% (0.51%) 50%
Year Ended 10/31/00 $ 380 0.50% 0.19% 1.07% (0.38%) 76%
Year Ended 10/31/99 $ 339 0.04% 1.16% 0.86% 0.34% 55%
Year Ended 10/31/98 $ 418 0.02% 1.28% 0.85% 0.45% 6%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
115
<Page>
SELECT SHARES (continued)
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ----------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
U.S. SMALL COMPANY FUND+
1/1/03 Through 6/30/03 $ 9.97 0.02@ 1.23 1.25 -- -- --
Year Ended 12/31/02 $ 12.57 0.03 (2.60) (2.57) 0.03 -- 0.03
6/1/01 Through 12/31/01^ $ 13.43 0.04@ (0.79) (0.75) 0.05 0.06 0.11
Year Ended 5/31/01 $ 14.45 0.05 0.04 0.09 0.03 1.08 1.11
Year Ended 5/31/00 $ 11.49 -- 2.97 2.97 0.01 -- 0.01
Year Ended 5/31/99 $ 14.76 0.04 (1.76) (1.72) 0.04 1.51 1.55
Year Ended 5/31/98 $ 13.89 0.06 2.97 3.03 0.07 2.09 2.16
U.S. SMALL COMPANY
OPPORTUNITIES FUND
1/1/03 Through 6/30/03 $ 7.04 (0.03) 0.61 0.58 -- -- --
Year Ended 12/31/02 $ 10.48 (0.09) (3.35) (3.44) -- -- --
6/1/01 Through 12/31/01^ $ 12.19 (0.04) (1.67) (1.71) -- -- --
Year Ended 5/31/01 $ 15.90 (0.07) (2.29) (2.36) -- 1.35 1.35
Year Ended 5/31/00 $ 12.17 -- 3.73 3.73 -- -- --
Year Ended 5/31/99 $ 12.57 (0.01) (0.08) (0.09) -- 0.31 0.31
6/16/97* Through 5/31/98 $ 10.00 (0.02) 2.59 2.57 -- -- --
</Table>
+ On September 10, 2001, the class underwent a split of shares. Prior periods
have been restated to reflect the split
^ The fund changed its fiscal year end from May 31 to December 31.
* Commencement of operations.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, USSCF invested all of its investable assets in
The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate
disclosed prior to September 10, 2001 is the turnover rate of USSCP.
SEE NOTES TO FINANCIAL STATEMENTS
116
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN (a)
U.S. SMALL COMPANY FUND+
1/1/03 Through 6/30/03 $ 11.22 12.54%
Year Ended 12/31/02 $ 9.97 (20.48%)
6/1/01 Through 12/31/01^ $ 12.57 (5.56%)
Year Ended 5/31/01 $ 13.43 0.75%
Year Ended 5/31/00 $ 14.45 25.90%
Year Ended 5/31/99 $ 11.49 (10.95%)
Year Ended 5/31/98 $ 14.76 23.37%
U.S. SMALL COMPANY
OPPORTUNITIES FUND
1/1/03 Through 6/30/03 $ 7.62 8.24%
Year Ended 12/31/02 $ 7.04 (32.82%)
6/1/01 Through 12/31/01^ $ 10.48 (14.03%)
Year Ended 5/31/01 $ 12.19 (15.51%)
Year Ended 5/31/00 $ 15.90 30.65%
Year Ended 5/31/99 $ 12.17 (0.49%)
6/16/97* Through 5/31/98 $ 12.57 25.70%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME (LOSS)
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
(MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE ~ (a)
U.S. SMALL COMPANY FUND+
1/1/03 Through 6/30/03 $ 161 1.01% 0.37% 1.11% 0.27% 33%
Year Ended 12/31/02 $ 199 1.01% 0.23% 1.10% 0.14% 90%
6/1/01 Through 12/31/01^ $ 286 1.01% 0.39% 1.04% 0.36% 48%
Year Ended 5/31/01 $ 296 1.01% 0.35% 1.01% 0.35% 110%
Year Ended 5/31/00 $ 285 1.00% 0.05% 1.00% 0.05% 104%
Year Ended 5/31/99 $ 187 1.02% 0.34% 1.02% 0.34% 104%
Year Ended 5/31/98 $ 262 0.97% 0.39% 1.03% 0.33% 96%
U.S. SMALL COMPANY
OPPORTUNITIES FUND
1/1/03 Through 6/30/03 $ 19 1.02% (0.57%) 1.53% (1.08%) 88%
Year Ended 12/31/02 $ 55 1.02% (0.66%) 1.17% (0.81%) 100%
6/1/01 Through 12/31/01^ $ 195 1.02% (0.50%) 1.07% (0.55%) 55%
Year Ended 5/31/01 $ 339 0.99% (0.35%) 0.99% (0.35%) 117%
Year Ended 5/31/00 $ 529 0.99% (0.47%) 0.99% (0.47%) 132%
Year Ended 5/31/99 $ 286 1.07% (0.42%) 1.07% (0.42%) 116%
6/16/97* Through 5/31/98 $ 189 1.19% (0.37%) 1.25% (0.43%) 73%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
117
<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.
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING LOGO]
ASSET MANAGEMENT
JPMorgan Fleming Asset Management is a premier global wealth manager that has
been working with affluent investors for over a hundred years. We have a keen
understanding of the unique needs of the affluent investor's financial needs.
The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the
foundation from which our investment products have been built. Our investment
professionals are based in 44 countries across the globe. This local insight
provides us with a global view of every investment decision we make which we
believe is crucial in light of the ever-increasing rise of globalization in our
market place. JPMorgan Fleming Asset Management is dedicated to working as an
EXPERIENCED PARTNER with your financial advisor to help provide you with the
WEALTH SOLUTIONS your portfolio needs.
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.
THE FINANCIAL INFORMATION IN THIS REPORT HAS BEEN TAKEN FROM THE BOOKS AND
RECORDS OF THE FUNDS WITHOUT EXAMINATION BY INDEPENDENT AUDITORS, WHO EXPRESS NO
OPINION THERETO.
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.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
393 Manley Street U.S. POSTAGE
West Bridgewater, MA 02379-1039 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2003 All rights reserved.
August 2003. SAN-SMC-603
<Page>
JP MORGAN FUNDS
[GRAPHIC]
SEMI-ANNUAL REPORT JUNE 30 2003(UNAUDITED)
U.S. EQUITY LARGE CAP FUNDS
DISCIPLINED EQUITY FUND
DISCIPLINED EQUITY VALUE FUND
EQUITY GROWTH FUND
EQUITY INCOME FUND
U.S. EQUITY FUND
[JP MORGAN FLEMING LOGO]
ASSET MANAGEMENT
<Page>
[JP MORGAN FLEMING LOGO]
ASSET MANAGEMENT
JPMorgan Fleming Asset Management is a premier global wealth manager that has
been working with affluent investors for over a hundred years. We have a keen
understanding of the unique needs of the affluent investor's financial needs.
The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the
foundation from which our investment products have been built. Our investment
professionals are based in 44 countries across the globe. This local insight
provides us with a global view of every investment decision we make which we
believe is crucial in light of the ever-increasing rise of globalization in our
market place. JPMorgan Fleming Asset Management is dedicated to working as an
EXPERIENCED PARTNER with your financial advisor to help provide you with the
WEALTH SOLUTIONS your portfolio needs.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
Disciplined Equity Fund 2
Disciplined Equity Value Fund 5
Equity Growth Fund 8
Equity Income Fund 11
U.S. Equity Fund 14
Portfolio of Investments 17
Financial Statements 34
Notes to Financial Statements 41
Financial Highlights 64
</Table>
HIGHLIGHTS
- - Quicker than expected war sparks relief rally
- - Liquidity and positive Q1 earnings support investor sentiment
- - Economic data remains mixed
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 LARGE CAP EQUITY FUNDS
PRESIDENT'S LETTER AUGUST 4, 2003
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan U.S. Equity
Funds for the six months 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, 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 11.76% year to date, while the S&P Small Cap 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 accommodative 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.
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
[SIDENOTE]
[PHOTO OF GEORGE C.W. GATCH]
From an economic perspective, we expect the accommodative fiscal and monetary
policies, combined with a weak dollar, to start delivering growth later this
year and in 2004.
<Page>
JPMORGAN DISCIPLINED EQUITY FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/3/1997
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $ 969.8
Primary Benchmark S&P 500 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Disciplined Equity Fund, which seeks to provide a consistently high
total return from a broadly diversified portfolio of equity securities with
risk characteristics similar to the S&P 500 Index, returned 12.18%
(Institutional Shares) during the six months ended June 30, 2003. This
compares with a return of 11.76% from the S&P 500 Index, the Fund's
benchmark.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: Amidst a backdrop of a quick end to major war activity in Iraq,
better-than-expected first quarter earnings results, substantial government
tax cuts and the expectation of most investors that the pace of the economic
recovery would strengthen in the second half of the year, the equity markets
performed solidly in the first six months of 2003.
The Fund outpaced the run up in the S&P 500 Index during the first half of
the year, with stock selection within the Health Services & Systems,
Pharmaceuticals and Finance sectors contributing notably to performance. At
the stock level, an overweight position in Capital One Financial benefited
returns, as the credit card stock rebounded strongly following news of a
management restructuring, along with its announcement of record earnings for
the first quarter. Driving earnings were sharp gains in interest revenues and
improving credit quality in the company's managed loan portfolio. A position
in Countrywide Financial, a mortgage originator, positively impacted
performance as low interest rates prompted a historically strong rate of home
refinancings. PG&E also rose during the period, as the California Public
Utility Commission was able to reach a long-awaited settlement on the
restructuring of this utility. The terms of the settlement were better than
expected and implied interest cost savings from the refinancing of higher
cost company debt.
Alternatively, stock picking within the Systems Hardware, Energy and Software
& Services sectors dragged on performance. At the stock level, a position in
Freddie Mac undermined performance as concerns about an earnings restatement
and the dismissal of three senior executives pressured the stock. An
overweight in Jones Apparel also negatively impacted performance as the stock
came under pressure owing to a licensing dispute with Ralph Lauren. Lastly,
an overweight in Anadarko, a position taken in line with our view that there
are long-term supply problems in the U.S. natural gas industry that likely
will lead to elevated natural gas prices and increased drilling in the Gulf
of Mexico, also dragged on performance.
Q: HOW WAS THE FUND MANAGED?
A: Keeping to our discipline, the Fund continued to focus on overweighting
companies that our team of equity research analysts determined were
attractively priced relative to their future earnings prospects. Style
characteristics and sector weightings were also kept in line with the S&P 500
index, in order to minimize volatility relative to it.
2
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 22.60%
Finance & Insurance 18.80%
Technology 16.10%
Industrial Products & Services 12.30%
Pharmaceuticals 11.00%
Energy 5.90%
Health Services & Systems 4.40%
Telecommunications 3.70%
Utilities 2.80%
Short-Term Investments 2.00%
REITs 0.40%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Microsoft Corp. 3.5%
2. Citigroup, Inc. 3.4%
3. General Electric Co. 3.0%
4. Pfizer, Inc. 2.7%
5. The Coca-Cola Co. 2.3%
6. Procter & Gamble Co. 2.3%
7. Verizon Communications, Inc. 2.1%
8. Wal-Mart Stores, Inc. 2.0%
9. Exxon Mobil Corp. 2.0%
10. Cisco Systems, Inc. 1.8%
</Table>
Top 10 equity holdings comprised 25.1% of the Portfolio's market value of
investments ($242,889 in thousands). As of June 30, 2003 the Fund held 215
equity holdings. Portfolio holdings are subject to change at any time.
3
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (1/3/97)
-------------------------------------------------
CLASS A SHARES
Without Sales Charge (0.77%) (12.65%) (3.12%) 4.68%
With Sales Charge* (6.49%) (14.36%) (4.26%) 3.73%
-------------------------------------------------
CLASS B SHARES
Without CDSC (1.21%) (12.86%) (3.26%) 4.56%
With CDSC** (6.13%) (13.68%) (3.61%) 4.56%
-------------------------------------------------
INSTITUTIONAL SHARES (0.27%) (12.23%) (2.75%) 5.02%
-------------------------------------------------
SELECT SHARES (0.51%) (12.52%) (3.04%) 4.75%
-------------------------------------------------
ULTRA SHARES (0.23%) (12.22%) (2.74%) 5.02%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the 5 year period and 0%
for the period since inception.
[CHART]
LIFE OF FUND PERFORMANCE (01/03/97 TO 06/30/03)
<Table>
<Caption>
JPMORGAN DISCIPLINED EQUITY LIPPER LARGE CAP
FUND (INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
Jan-97 $ 3,000,000 $ 3,000,000 $ 3,000,000
Jan-97 $ 3,141,000 $ 3,023,400 $ 2,996,400
Feb-97 $ 3,164,872 $ 3,023,400 $ 2,996,400
Mar-97 $ 3,033,213 $ 2,899,138 $ 3,000,001
Apr-97 $ 3,206,713 $ 3,072,217 $ 3,166,201
May-97 $ 3,431,183 $ 3,259,315 $ 3,000,002
Jun-97 $ 3,583,870 $ 3,405,332 $ 3,130,202
Jul-97 $ 3,883,123 $ 3,676,397 $ 3,000,003
Aug-97 $ 3,683,919 $ 3,470,518 $ 2,847,303
Sep-97 $ 3,858,169 $ 3,660,703 $ 3,000,004
Oct-97 $ 3,737,794 $ 3,538,435 $ 2,907,604
Nov-97 $ 3,897,024 $ 3,702,265 $ 3,000,005
Dec-97 $ 3,950,803 $ 3,765,944 $ 3,054,605
Jan-98 $ 4,020,732 $ 3,807,746 $ 3,000,006
Feb-98 $ 4,319,070 $ 4,082,284 $ 3,212,706
Mar-98 $ 4,544,526 $ 4,291,297 $ 3,000,007
Apr-98 $ 4,614,511 $ 4,334,639 $ 3,030,307
May-98 $ 4,562,829 $ 4,260,084 $ 3,000,008
Jun-98 $ 4,724,353 $ 4,433,043 $ 3,142,508
Jul-98 $ 4,681,361 $ 4,386,053 $ 3,000,009
Aug-98 $ 3,993,201 $ 3,751,829 $ 2,550,908
Sep-98 $ 4,256,353 $ 3,992,322 $ 3,000,010
Oct-98 $ 4,617,292 $ 4,316,897 $ 3,225,011
Nov-98 $ 4,935,423 $ 4,578,501 $ 3,000,011
Dec-98 $ 5,228,587 $ 4,842,223 $ 3,199,212
Jan-99 $ 5,407,405 $ 5,044,628 $ 3,000,012
Feb-99 $ 5,212,739 $ 4,887,740 $ 2,907,312
Mar-99 $ 5,426,461 $ 5,083,250 $ 3,000,013
Apr-99 $ 5,739,568 $ 5,279,971 $ 3,080,413
May-99 $ 5,615,019 $ 5,155,364 $ 3,000,014
Jun-99 $ 5,903,631 $ 5,441,487 $ 3,167,415
Jul-99 $ 5,714,715 $ 5,271,712 $ 3,000,015
Aug-99 $ 5,685,570 $ 5,245,354 $ 2,969,415
Sep-99 $ 5,521,825 $ 5,101,631 $ 3,000,016
Oct-99 $ 5,813,930 $ 5,424,564 $ 3,183,917
Nov-99 $ 5,900,557 $ 5,534,683 $ 3,000,017
Dec-99 $ 6,186,734 $ 5,860,676 $ 3,199,518
Jan-00 $ 5,855,744 $ 5,566,470 $ 3,000,018
Feb-00 $ 5,714,035 $ 5,461,264 $ 2,999,118
Mar-00 $ 6,294,581 $ 5,995,375 $ 3,000,019
Apr-00 $ 6,081,824 $ 5,814,915 $ 2,901,918
May-00 $ 5,926,130 $ 5,695,709 $ 3,000,020
Jun-00 $ 6,078,431 $ 5,835,823 $ 3,109,821
Jul-00 $ 5,979,961 $ 5,744,784 $ 3,000,021
Aug-00 $ 6,356,100 $ 6,101,535 $ 3,207,022
Sep-00 $ 5,963,293 $ 5,779,374 $ 3,000,022
Oct-00 $ 5,969,853 $ 5,755,101 $ 2,965,222
Nov-00 $ 5,471,967 $ 5,301,599 $ 3,000,023
Dec-00 $ 5,514,101 $ 5,327,577 $ 3,036,623
Jan-01 $ 5,739,076 $ 5,516,706 $ 3,000,024
Feb-01 $ 5,193,864 $ 5,013,582 $ 2,720,722
Mar-01 $ 4,860,418 $ 4,695,721 $ 3,000,025
Apr-01 $ 5,279,872 $ 5,060,579 $ 3,228,027
May-01 $ 5,334,255 $ 5,094,485 $ 3,000,026
Jun-01 $ 5,214,768 $ 4,970,689 $ 2,920,225
Jul-01 $ 5,163,663 $ 4,921,976 $ 3,000,027
Aug-01 $ 4,829,574 $ 4,613,860 $ 2,823,325
Sep-01 $ 4,382,838 $ 4,241,522 $ 3,000,028
Oct-01 $ 4,474,878 $ 4,322,535 $ 3,070,829
Nov-01 $ 4,829,736 $ 4,654,073 $ 3,000,029
Dec-01 $ 4,868,857 $ 4,695,029 $ 3,033,929
Jan-02 $ 4,758,820 $ 4,626,482 $ 3,000,030
Feb-02 $ 4,652,699 $ 4,537,190 $ 2,949,630
Mar-02 $ 4,827,640 $ 4,707,789 $ 3,000,031
Apr-02 $ 4,504,188 $ 4,422,497 $ 2,843,129
May-02 $ 4,462,750 $ 4,389,770 $ 3,000,032
Jun-02 $ 4,120,457 $ 4,077,219 $ 2,792,730
Jul-02 $ 3,799,885 $ 3,759,196 $ 3,000,033
Aug-02 $ 3,820,405 $ 3,784,006 $ 3,024,633
Sep-02 $ 3,389,081 $ 3,372,685 $ 3,000,034
Oct-02 $ 3,672,747 $ 3,669,481 $ 3,233,137
Nov-02 $ 3,897,519 $ 3,885,614 $ 3,000,035
Dec-02 $ 3,662,889 $ 3,657,528 $ 2,841,933
Jan-03 $ 3,572,781 $ 3,561,701 $ 3,000,036
Feb-03 $ 3,517,403 $ 3,508,275 $ 2,960,136
Mar-03 $ 3,556,095 $ 3,542,306 $ 3,000,037
Apr-03 $ 3,855,518 $ 3,834,192 $ 3,221,140
May-03 $ 4,071,427 $ 4,036,253 $ 3,000,038
Jun-03 $ 4,121,374 $ 4,087,917 $ 3,029,738
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 1/3/97.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional Disciplined Equity Fund, which are similar to the expenses
of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan
Disciplined Equity Fund, which are similar to the expenses of the Select Shares.
The returns presented prior to 12/31/97 are based on the historical expenses of
the J.P. Morgan Institutional Disciplined Equity Fund which are lower than the
expenses of the Select Shares.
Returns for the Class A and B Shares prior to 9/28/01 (offering date of the
Class A and B Shares) are calculated using the historical expenses of the Select
Shares, which are lower than the expenses of the Class A and B Shares.
Returns for the Ultra Shares prior to 3/24/03 (offering date of the Ultra
Shares) are calculated using the historical expenses of the Institutional
Shares, which are higher than the expenses of the Ultra Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Disciplined Equity Fund, S&P 500 Index and
Lipper Large-Cap Core Funds Index from January 3, 1997 to June 30, 2003. The
performance of the Fund assumes reinvestment of all dividends and capital gains
and does not include a sales charge. The performance of the indices reflects an
initial investment at the end of the month following the Fund's inception. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The S&P 500 Index is an unmanaged broad-based index
that replicates the U.S. stock markets. The Lipper Large-Cap Core Funds Index
represents the total returns of the funds in the indicated category, as defined
by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
4
<Page>
JPMORGAN DISCIPLINED EQUITY VALUE FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 9/28/2001
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $ 25.6
Primary Benchmark RUSSELL 1000
VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Disciplined Equity Value Fund, which seeks to provide high total
return from a broadly diversified portfolio of equity securities with risk
characteristics similar to the Russell 1000 Value Index, returned 11.38%
during the six months ended June 30, 2003. This compares with a gain of
11.57% for the Russell 1000 Value Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Amidst a backdrop of a quick end to formal war activity in Iraq,
better-than-expected first quarter earnings results, substantial government
tax cuts and the expectation of most investors that the pace of the economic
recovery would strengthen in the second half of the year, the equity markets
performed solidly in the first six months of 2003.
Stock selection within the Health Services & Systems, Finance and Retail
sectors contributed notably to performance. At the stock level, an overweight
position in Capital One Financial benefited returns, as the credit card stock
rebounded strongly following news of a management restructuring, along with
its announcement of record earnings for the first quarter. Driving earnings
were sharp gains in interest revenues and improving credit quality in the
company's managed loan portfolio. PG&E rose during the period, as the
California Public Utility Commission was able to reach a long-awaited
settlement on the restructuring of this utility. The terms of the settlement
were better than expected and implied interest cost savings from the
refinancing of higher cost company debt.
Alternatively, stock picking within the Capital Markets, Energy and Systems
Hardware sectors dragged on performance. At the stock level, undermining
performance was a position in Freddie Mac, which declined 13% amidst concerns
about an earnings restatement and the dismissal of three senior executives.
Additionally, an overweight in Jones Apparel negatively impacted performance
as the stock came under pressure owing to a licensing dispute with Ralph
Lauren.
Q: HOW WAS THE FUND MANAGED?
A: Keeping to our discipline, the Fund continued to focus on overweighting
companies that were attractively priced relative to their future earnings
prospects, as forecasted by our team of equity research analysts. Style
characteristics and sector weightings also were kept in line with the Russell
1000 Value index, in order to minimize volatility relative to it.
5
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 31.30%
Consumer Goods & Services 19.10%
Industrial Products & Services 11.80%
Energy 10.40%
Telecommunications 6.90%
Technology 6.40%
Utilities 6.30%
Pharmaceuticals 3.20%
REITs 2.40%
Health Services & Systems 1.90%
Short-Term Investments 0.30%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 5.1%
2. Exxon Mobil Corp. 4.3%
3. Verizon Communications, Inc. 3.2%
4. U.S. Bancorp 2.1%
5. Morgan Stanley 2.0%
6. Altria Group, Inc. 1.9%
7. SBC Communications, Inc. 1.9%
8. Wachovia Corp. 1.8%
9. Bank of America Corp. 1.7%
10. ChevronTexaco Corp. 1.6%
</Table>
Top 10 equity holdings comprised 25.6% of the Portfolio's market value of
investments ($6,535 in thousands). As of June 30, 2003 the Fund held 223 equity
holdings. Portfolio holdings are subject to change at any time.
6
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR (9/28/01)
--------------------------------------------
INSTITUTIONAL SHARES (1.20%) (0.72%)
</Table>
[CHART]
LIFE OF FUND PERFORMANCE (09/28/01 TO 06/30/03)
<Table>
<Caption>
JPMORGAN DISCIPLINED EQUITY VALUE LIPPER LARGE-CAP VALUE
FUND (INSTITUTIONAL SHARES) RUSSELL 1000 VALUE INDEX FUNDS INDEX
Sep-01 $ 3,000,000 $ 3,000,000 $ 3,000,000
Sep-01 $ 3,000,000 $ 2,788,800 $ 2,766,000
Oct-01 $ 2,979,900 $ 2,764,816 $ 2,783,979
Nov-01 $ 3,159,886 $ 2,925,452 $ 2,962,432
Dec-01 $ 3,228,140 $ 2,994,493 $ 3,007,165
Jan-02 $ 3,180,040 $ 2,971,435 $ 2,951,532
Feb-02 $ 3,178,132 $ 2,976,190 $ 2,935,299
Mar-02 $ 3,322,102 $ 3,116,963 $ 3,064,745
Apr-02 $ 3,181,577 $ 3,010,051 $ 2,934,187
May-02 $ 3,191,758 $ 3,025,102 $ 2,938,002
Jun-02 $ 2,998,337 $ 2,851,461 $ 2,733,223
Jul-02 $ 2,725,489 $ 2,586,275 $ 2,497,073
Aug-02 $ 2,747,838 $ 2,605,931 $ 2,513,803
Sep-02 $ 2,439,255 $ 2,316,151 $ 2,223,207
Oct-02 $ 2,622,443 $ 2,487,778 $ 2,386,391
Nov-02 $ 2,783,199 $ 2,644,508 $ 2,536,017
Dec-02 $ 2,659,904 $ 2,529,736 $ 2,415,303
Jan-03 $ 2,602,450 $ 2,468,517 $ 2,357,819
Feb-03 $ 2,536,868 $ 2,402,607 $ 2,298,873
Mar-03 $ 2,540,166 $ 2,406,692 $ 2,297,494
Apr-03 $ 2,762,430 $ 2,618,481 $ 2,491,403
May-03 $ 2,939,502 $ 2,787,635 $ 2,644,873
Jun-03 $ 2,962,142 $ 2,822,480 $ 2,675,024
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 9/28/01.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan Disciplined Equity Value Fund, Russell 1000
Value Index and Lipper Large-Cap Value Funds Index from September 28, 2001 to
June 30, 2003. The performance of the Fund assumes reinvestment of all dividends
and capital gains and does not include a sales charge. The performance of the
indices reflects an initial investment at the end of the month following the
Fund's inception. The performance of the indices does not include a sales charge
and has been adjusted to reflect reinvestment of all dividends and capital gains
of the securities included in the benchmark. The Russell 1000 Value Index
measures the performance of those Russell 1000 companies with lower
price-to-book ratios and lower forecasted growth values. The Lipper Large-Cap
Value Funds Index represents the total returns of the funds in the indicated
category, as defined by Lipper, Inc. Investors cannot invest directly in an
index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
7
<Page>
JPMORGAN EQUITY GROWTH FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 3/29/1988
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $ 68.2
Primary Benchmark RUSSELL 1000
GROWTH INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Equity Growth Fund, which seeks to provide capital appreciation and
secondarily, current income returned 10.53% (Select Shares) during the six
months ended June 30, 2003. This compares with a return of 13.09% from the
Russell 1000 Growth Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund's large cap, quality, growth bias was a key factor in our relative
underperformance. Stocks in the bottom quintile of market capitalization in
the Russell 1000 Growth Index delivered a return of 24%, in stark contrast to
the 10.4% return for the top quintile. Investor preference for beta was
clearly reflected by the fact that the top performing sectors for the index
were Utilities, Telecommunications and Network Technology.
In terms of sector weightings, the Pharmaceuticals and Capital Markets
sectors performed the best. The fund was roughly 4% overweight the
Pharmaceuticals sector, and within it, our top performers were Amgen, Teva
Pharmaceutical, and Gilead Sciences. Stock price performance benefited from
above average growth rates and generally positive news flow from the Biotech
and Generic industries.
The Capital Markets sector contributed to performance, largely on the
strength of Goldman Sachs and American Express. Goldman posted second-quarter
earnings per share that exceeded the First Call consensus by 14%, on higher
than expected income from fixed income and equity trading, and a lower tax
rate. American Express benefited from core franchise building and from
effectively managing expenses.
The Retail sector was the primary detractor to performance over the six month
period, reflecting an almost 3% underweight and the Fund's not holding a few
key beaten down industry heavyweights (Home Depot and Target Corp) that
outperformed. Investors became more confident in the turnaround at Home Depot
and Target's credit card focus, and multiple disparity relative to Wal-Mart,
became attractive. However, we chose to maintain an overweight position in
Wal-Mart (WMT). This reflected our belief that consumer spending would remain
challenged. WMT's heavy exposure to food and its status as the low cost
provider offered defensive positioning and enhanced visibility.
The Software Services and Systems Hardware sectors were also relatively large
detractors to Fund performance. However, the Fund's underperformance was far
more broadly based, with only Automatic Data Processing being a top ten
detractor. We chose to offset the sector overweights with overweight
positions in some of the more defensive names in the sectors (Dell, IBM and
Microsoft) and were therefore impacted on the downside by investor preference
for some of the more aggressive names. These included Veritas and Sun
Microsystems.
Q: HOW WAS THE FUND MANAGED?
A: The Fund essentially chose to barbell an overweight position in Technology
(for the most part, the mega-cap names) with an almost equal overweight in
Consumer Staples, seeking a balance of growth and earnings stability.
8
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Technology 29.30%
Consumer Goods & Services 23.20%
Pharmaceuticals 23.10%
Finance & Insurance 12.60%
Industrial Products & Services 5.80%
Health Services & Systems 3.30%
Energy 2.30%
Short-Term Investments 0.40%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Microsoft Corp. 6.7%
2. Pfizer, Inc. 5.8%
3. General Electric Co. 5.8%
4. Wal-Mart Stores, Inc. 5.0%
5. Intel Corp. 4.4%
6. Johnson & Johnson 3.9%
7. The Coca-Cola Co. 3.4%
8. Cisco Systems, Inc. 3.3%
9. Amgen, Inc. 3.2%
10. International Business Machines 3.0%
</Table>
Top 10 equity holdings comprised 44.5% of the Portfolio's market value of
investments ($30,344 in thousands). As of June 30, 2003 the Fund held 57 equity
holdings. Portfolio holdings are subject to change at any time.
9
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
------------------------------------------------
CLASS A SHARES
Without Sales Charge 0.64% (21.71%) (5.80%) 6.71%
With Sales Charge* (5.15%) (23.24%) (6.91%) 6.08%
------------------------------------------------
CLASS B SHARES
Without CDSC (0.08%) (22.14%) (6.11%) 6.53%
With CDSC** (5.08%) (22.74%) (6.39%) 6.53%
------------------------------------------------
CLASS C SHARES
Without CDSC (0.04%) (22.16%) (6.13%) 6.53%
With CDSC*** (1.04%) (22.16%) (6.13%) 6.53%
------------------------------------------------
SELECT SHARES 0.95% (21.51%) (5.56%) 6.85%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the 5 year period and 0%
for the ten year period.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
<Table>
<Caption>
JPMORGAN EQUITY GROWTH LIPPER LARGE-CAP GROWTH
FUND (SELECT SHARES) RUSSELL 1000 GROWTH INDEX FUNDS INDEX
6/30/1993 $ 1,000,000.00 $ 1,000,000.00 $ 1,000,000.00
7/31/1993 $ 981,800.00 $ 982,100.00 $ 993,200.00
8/31/1993 $ 1,016,457.54 $ 1,022,366.10 $ 1,034,417.80
9/30/1993 $ 1,010,968.67 $ 1,014,698.35 $ 1,049,934.07
10/31/1993 $ 1,015,416.93 $ 1,042,906.97 $ 1,061,903.32
11/30/1993 $ 998,865.64 $ 1,036,023.78 $ 1,040,452.87
12/31/1993 $ 1,024,136.94 $ 1,053,946.99 $ 1,072,810.95
1/31/1994 $ 1,048,921.05 $ 1,078,293.17 $ 1,111,861.27
2/28/1994 $ 1,037,382.92 $ 1,058,668.23 $ 1,093,849.12
3/31/1994 $ 989,455.83 $ 1,007,534.56 $ 1,040,359.90
4/30/1994 $ 985,596.95 $ 1,012,269.97 $ 1,045,457.66
5/31/1994 $ 994,368.76 $ 1,027,555.25 $ 1,051,730.41
6/30/1994 $ 977,862.24 $ 997,242.37 $ 1,012,500.86
7/31/1994 $ 1,004,851.24 $ 1,031,348.06 $ 1,041,559.64
8/31/1994 $ 1,040,623.94 $ 1,088,794.14 $ 1,094,991.65
9/30/1994 $ 1,023,037.40 $ 1,073,877.66 $ 1,068,930.85
10/31/1994 $ 1,040,122.12 $ 1,099,221.18 $ 1,096,295.47
11/30/1994 $ 1,007,670.31 $ 1,064,046.10 $ 1,055,842.17
12/31/1994 $ 1,014,824.77 $ 1,081,922.07 $ 1,064,077.74
1/31/1995 $ 1,024,770.05 $ 1,104,967.01 $ 1,072,377.55
2/28/1995 $ 1,057,255.27 $ 1,151,265.13 $ 1,109,267.33
3/31/1995 $ 1,085,272.53 $ 1,184,882.07 $ 1,140,770.53
4/30/1995 $ 1,097,427.58 $ 1,210,830.99 $ 1,171,913.56
5/31/1995 $ 1,124,424.30 $ 1,253,088.99 $ 1,210,703.90
6/30/1995 $ 1,176,147.82 $ 1,301,458.23 $ 1,272,570.87
7/31/1995 $ 1,229,544.93 $ 1,355,598.89 $ 1,341,798.73
8/31/1995 $ 1,230,651.52 $ 1,357,090.05 $ 1,349,312.80
9/30/1995 $ 1,250,465.01 $ 1,419,651.90 $ 1,399,372.30
10/31/1995 $ 1,243,337.36 $ 1,420,645.66 $ 1,391,395.88
11/30/1995 $ 1,273,550.46 $ 1,475,908.77 $ 1,435,224.85
12/31/1995 $ 1,276,861.69 $ 1,484,321.45 $ 1,435,798.94
1/31/1996 $ 1,312,613.82 $ 1,534,046.22 $ 1,478,011.43
2/29/1996 $ 1,340,703.75 $ 1,562,119.27 $ 1,511,266.69
3/31/1996 $ 1,346,736.92 $ 1,564,150.02 $ 1,512,022.32
4/30/1996 $ 1,390,236.52 $ 1,605,287.17 $ 1,548,008.45
5/31/1996 $ 1,428,189.98 $ 1,661,311.69 $ 1,593,674.70
6/30/1996 $ 1,406,767.13 $ 1,663,637.52 $ 1,579,331.63
7/31/1996 $ 1,320,954.33 $ 1,566,148.37 $ 1,494,837.39
8/31/1996 $ 1,360,582.96 $ 1,606,554.99 $ 1,539,682.51
9/30/1996 $ 1,434,326.56 $ 1,723,512.20 $ 1,646,844.41
10/31/1996 $ 1,457,992.95 $ 1,733,853.27 $ 1,667,429.97
11/30/1996 $ 1,555,970.07 $ 1,864,065.65 $ 1,775,312.69
12/31/1996 $ 1,538,854.40 $ 1,827,529.96 $ 1,731,284.93
1/31/1997 $ 1,676,427.99 $ 1,955,639.81 $ 1,841,048.40
2/28/1997 $ 1,681,960.20 $ 1,942,341.46 $ 1,814,537.30
3/31/1997 $ 1,589,452.39 $ 1,837,260.79 $ 1,721,632.99
4/30/1997 $ 1,719,310.65 $ 1,959,254.91 $ 1,816,150.64
5/31/1997 $ 1,829,862.32 $ 2,100,713.11 $ 1,939,467.27
6/30/1997 $ 1,909,644.32 $ 2,184,741.64 $ 2,020,730.95
7/31/1997 $ 2,078,074.95 $ 2,377,872.80 $ 2,213,912.83
8/31/1997 $ 1,943,207.88 $ 2,238,767.24 $ 2,093,254.58
9/30/1997 $ 2,067,573.19 $ 2,348,914.59 $ 2,208,802.23
10/31/1997 $ 1,991,072.98 $ 2,262,004.75 $ 2,132,156.79
11/30/1997 $ 2,079,675.73 $ 2,358,139.95 $ 2,179,490.67
12/31/1997 $ 2,111,078.83 $ 2,384,551.12 $ 2,209,131.75
1/31/1998 $ 2,160,055.86 $ 2,455,849.19 $ 2,248,233.38
2/28/1998 $ 2,294,843.35 $ 2,640,529.05 $ 2,419,998.41
3/31/1998 $ 2,383,424.30 $ 2,745,886.16 $ 2,532,528.33
4/30/1998 $ 2,424,180.86 $ 2,783,779.39 $ 2,575,074.81
5/31/1998 $ 2,396,545.19 $ 2,704,720.06 $ 2,517,393.13
6/30/1998 $ 2,580,839.52 $ 2,870,519.40 $ 2,661,388.02
7/31/1998 $ 2,566,644.90 $ 2,851,573.97 $ 2,660,057.33
8/31/1998 $ 2,191,658.08 $ 2,423,552.72 $ 2,225,669.97
9/30/1998 $ 2,342,663.32 $ 2,609,681.56 $ 2,387,476.17
10/31/1998 $ 2,523,751.20 $ 2,819,499.96 $ 2,541,468.39
11/30/1998 $ 2,705,966.04 $ 3,034,063.91 $ 2,716,067.26
12/31/1998 $ 2,984,409.94 $ 3,307,736.47 $ 3,014,834.66
1/31/1999 $ 3,221,073.65 $ 3,501,900.60 $ 3,210,497.43
2/28/1999 $ 3,077,413.76 $ 3,341,863.75 $ 3,078,545.99
3/31/1999 $ 3,239,285.73 $ 3,517,979.97 $ 3,253,407.40
4/30/1999 $ 3,145,670.37 $ 3,522,553.34 $ 3,264,468.98
5/31/1999 $ 3,084,015.23 $ 3,414,410.95 $ 3,156,415.06
6/30/1999 $ 3,337,521.28 $ 3,653,419.72 $ 3,375,785.91
7/31/1999 $ 3,249,076.97 $ 3,537,240.97 $ 3,269,786.23
8/31/1999 $ 3,257,524.57 $ 3,594,898.00 $ 3,270,440.19
9/30/1999 $ 3,215,828.26 $ 3,519,405.14 $ 3,237,408.74
10/31/1999 $ 3,454,121.13 $ 3,785,120.23 $ 3,485,717.99
11/30/1999 $ 3,601,266.69 $ 3,989,138.21 $ 3,657,912.46
12/31/1999 $ 3,934,383.86 $ 4,404,008.59 $ 4,064,306.54
1/31/2000 $ 3,775,041.31 $ 4,197,460.58 $ 3,901,327.84
2/29/2000 $ 3,991,728.68 $ 4,402,716.41 $ 4,106,537.69
3/31/2000 $ 4,209,677.07 $ 4,717,950.90 $ 4,394,816.63
4/30/2000 $ 4,020,662.57 $ 4,493,376.44 $ 4,054,657.83
5/31/2000 $ 3,671,669.06 $ 4,266,910.26 $ 3,821,109.54
6/30/2000 $ 4,009,829.78 $ 4,590,342.06 $ 4,073,684.88
7/31/2000 $ 3,891,539.80 $ 4,398,924.80 $ 3,990,989.07
8/31/2000 $ 4,171,730.66 $ 4,797,027.49 $ 4,336,209.63
9/30/2000 $ 3,656,104.75 $ 4,343,228.69 $ 4,005,356.83
10/31/2000 $ 3,470,009.02 $ 4,137,793.97 $ 3,793,473.46
11/30/2000 $ 3,068,528.98 $ 3,527,883.14 $ 3,284,389.32
12/31/2000 $ 3,004,396.72 $ 3,416,402.04 $ 3,264,026.10
1/31/2001 $ 3,154,616.56 $ 3,652,475.42 $ 3,359,009.26
2/28/2001 $ 2,706,976.47 $ 3,032,285.09 $ 2,839,034.63
3/31/2001 $ 2,448,730.91 $ 2,702,372.47 $ 2,544,058.93
4/30/2001 $ 2,731,314.46 $ 3,044,222.59 $ 2,817,290.86
5/31/2001 $ 2,695,261.11 $ 2,999,472.52 $ 2,795,879.45
6/30/2001 $ 2,659,144.61 $ 2,929,884.76 $ 2,715,358.12
7/31/2001 $ 2,611,811.84 $ 2,856,637.64 $ 2,618,148.30
8/31/2001 $ 2,420,104.85 $ 2,622,964.68 $ 2,419,169.03
9/30/2001 $ 2,171,318.07 $ 2,361,192.80 $ 2,175,800.63
10/31/2001 $ 2,285,529.40 $ 2,485,155.43 $ 2,266,096.35
11/30/2001 $ 2,434,545.92 $ 2,723,978.86 $ 2,473,670.78
12/31/2001 $ 2,437,467.37 $ 2,718,803.30 $ 2,485,049.66
1/31/2002 $ 2,407,974.02 $ 2,670,680.48 $ 2,428,887.54
2/28/2002 $ 2,335,975.59 $ 2,559,847.24 $ 2,328,331.60
3/31/2002 $ 2,378,256.75 $ 2,648,417.96 $ 2,421,930.53
4/30/2002 $ 2,158,030.18 $ 2,432,307.05 $ 2,260,629.95
5/31/2002 $ 2,120,264.65 $ 2,373,445.22 $ 2,219,486.49
6/30/2002 $ 1,920,535.72 $ 2,153,901.54 $ 2,038,820.29
7/31/2002 $ 1,830,462.59 $ 2,035,436.95 $ 1,885,297.12
8/31/2002 $ 1,843,275.83 $ 2,041,543.27 $ 1,895,666.26
9/30/2002 $ 1,636,644.61 $ 1,829,835.23 $ 1,711,976.20
10/31/2002 $ 1,811,438.26 $ 1,997,631.12 $ 1,843,798.36
11/30/2002 $ 1,904,546.18 $ 2,106,102.49 $ 1,920,131.61
12/31/2002 $ 1,753,896.58 $ 1,960,570.81 $ 1,786,298.44
1/31/2003 $ 1,706,190.59 $ 1,912,928.94 $ 1,745,034.95
2/28/2003 $ 1,698,683.35 $ 1,904,129.46 $ 1,726,363.07
3/31/2003 $ 1,747,095.83 $ 1,939,546.27 $ 1,758,818.70
4/30/2003 $ 1,871,139.63 $ 2,082,878.74 $ 1,887,564.23
5/31/2003 $ 1,931,577.44 $ 2,186,814.39 $ 1,980,054.87
6/30/2003 $ 1,939,253.00 $ 2,216,992.43 $ 1,996,489.33
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 3/29/88.
Returns for the Class A Shares prior to 8/13/98 (offering date of the Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
Returns for the Class B and C Shares prior to 2/16/01 (offering date of the
Class B and C Shares) are calculated using the historical expenses of the Class
A Shares, which are lower than the expenses of the Class B and C Shares.
JPMorgan Equity Growth Fund, formerly Chase Equity Growth Fund, is the successor
to the AVESTA Trust Equity Growth Fund. Effective 12/31/97, the AVESTA Trust was
converted from a Texas Trust to Mutual Fund Investment Trust ("MFIT"), a
Massachusetts business trust.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Equity Growth Fund, Russell 1000 Growth Index, and Lipper
Large-Cap Growth Funds Index from June 30, 1993 to June 30, 2003. The
performance of the fund assumes reinvestment of all dividend and capital gains
and does not include a sales charge. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
Russell 1000 Growth Index measures the performance of those Russell 1000
companies with higher price-to-book ratios and higher forecasted growth values.
The Lipper Large-Cap Growth Funds Index represents the total returns of the
funds in the indicated category, as defined by Lipper, Inc. Investors cannot
invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
10
<Page>
JPMORGAN EQUITY INCOME FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 3/29/1988
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $ 65.2
Primary Benchmark RUSSELL 1000
VALUE INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Equity Income Fund, which seeks to invest in securities that provide
both capital appreciation and current income, rose 9.25% (Select shares)
during the six months ended June 30, 2003. This compares to a gain of 11.6%
from the Russell 1000 Value Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund's underperformance was attributable to its emphasis on lower
volatility, higher quality names across most industry sectors. Additionally,
the Fund's consumer discretionary holdings, which produced positive absolute
returns, did not keep pace with the index. A lack of exposure to Comcast,
Ford, McDonalds, and AOL Time Warner, hindered performance in the sector.
Although the Fund's financial holdings out-performed the benchmark, the top
detractor for the period was Freddie Mac. The Board of this
government-sponsored entity announced a management reconfiguration in June
with the appointment of a new Chief Executive, Financial and Operating
Officers. Freddie Mac at the same time further delayed the release of its
previously announced financial restatement. We are awaiting final
restatements to prior year's earnings. Although the news surrounding Freddie
Mac has been dramatic, its current valuation (it has a P/E of nine) discounts
a lot of the negative news and makes it one of the cheapest stocks in the
index.
The top contributor for the period was Citigroup, which posted strong
first-quarter earnings, beating consensus Wall Street expectations. Credit
cards and retail banking segments remained the company's primary growth
drivers.
Q: HOW WAS THE FUND MANAGED?
A: The Fund maintained its conservative investment style and continues to invest
only in stocks that have high dividend yields. Despite the market's climb we
are still finding high quality companies with attractive valuations,
determined by such factors as price to earnings and cash flow return on
investment, in which to invest. New positions added during the period
included Kraft Foods, Brookfield Properties, and IPC Holdings. After such a
strong market rebound, the Fund continued to take a cautious approach by
emphasizing high quality companies, with strong balance sheets and less
cyclical demand patterns.
11
<Page>
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Finance & Insurance 29.30%
Utilities 13.30%
Energy 11.90%
REITs 11.80%
Consumer Goods & Services 9.30%
Telecommunications 9.20%
Industrial Products & Services 7.80%
Technology 3.30%
Pharmaceuticals 3.20%
Short-Term Investments 0.90%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. ExxonMobil Corp. 5.0%
2. ChevronTexaco Corp. 3.1%
3. Citigroup, Inc. 3.1%
4. Bank of America Corp. 2.9%
5. Verizon Communications, Inc. 2.8%
6. Alltel Corp. 2.5%
7. ConocoPhillips 2.5%
8. SBC Communications, Inc. 2.2%
9. Sun Trust Banks, Inc. 1.9%
10. Altria Group, Inc. 1.9%
</Table>
Top 10 equity holdings comprised 27.9% of the Portfolio's market value of
investments ($18,131 in thousands). As of June 30, 2003 the Fund held 84 equity
holdings. Portfolio holdings are subject to change at any time.
12
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------------
CLASS A SHARES
Without Sales Charge (3.75%) (10.86%) (2.45%) 7.77%
With Sales Charge* (9.28%) (12.60%) (3.59%) 7.14%
-----------------------------------------------
CLASS B SHARES
Without CDSC (4.22%) (11.20%) (2.68%) 7.65%
With CDSC** (8.94%) (11.84%) (2.94%) 7.65%
-----------------------------------------------
CLASS C SHARES
Without CDSC (4.25%) (11.21%) (2.68%) 7.65%
With CDSC*** (5.19%) (11.21%) (2.68%) 7.65%
-----------------------------------------------
SELECT SHARES (3.39%) (10.55%) (2.15%) 7.94%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the ten year period.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN YEAR FUND PERFORMANCE (06/30/93 TO 06/30/03)
<Table>
<Caption>
JPMORGAN EQUITY INCOME
FUND (SELECT SHARES) RUSSELL 1000 GROWTH INDEX LIPPER EQUITY INCOME FUNDS INDEX
Jun-93 $ 1,000,000 $ 1,000,000 $ 1,000,000
Jul-93 $ 1,012,300 $ 1,011,200 $ 1,008,100
Aug-93 $ 1,053,804 $ 1,047,704 $ 1,042,174
Sep-93 $ 1,047,060 $ 1,049,381 $ 1,043,008
Oct-93 $ 1,055,436 $ 1,048,646 $ 1,055,837
Nov-93 $ 1,016,174 $ 1,027,044 $ 1,037,254
Dec-93 $ 1,038,022 $ 1,046,558 $ 1,055,924
Jan-94 $ 1,076,117 $ 1,086,118 $ 1,088,869
Feb-94 $ 1,039,099 $ 1,048,972 $ 1,061,865
Mar-94 $ 998,782 $ 1,009,951 $ 1,019,391
Apr-94 $ 999,881 $ 1,029,342 $ 1,032,745
May-94 $ 1,005,480 $ 1,041,179 $ 1,044,518
Jun-94 $ 992,006 $ 1,016,191 $ 1,029,164
Jul-94 $ 1,021,171 $ 1,047,794 $ 1,058,186
Aug-94 $ 1,040,267 $ 1,077,866 $ 1,093,424
Sep-94 $ 1,006,043 $ 1,042,081 $ 1,072,758
Oct-94 $ 1,030,188 $ 1,056,566 $ 1,078,551
Nov-94 $ 985,889 $ 1,013,881 $ 1,038,213
Dec-94 $ 1,003,241 $ 1,025,540 $ 1,046,207
Jan-95 $ 1,024,008 $ 1,057,127 $ 1,064,934
Feb-95 $ 1,058,210 $ 1,098,883 $ 1,099,225
Mar-95 $ 1,087,311 $ 1,122,949 $ 1,125,167
Apr-95 $ 1,120,909 $ 1,158,434 $ 1,152,171
May-95 $ 1,154,536 $ 1,207,204 $ 1,187,543
Jun-95 $ 1,169,660 $ 1,223,501 $ 1,203,337
Jul-95 $ 1,219,020 $ 1,266,079 $ 1,236,308
Aug-95 $ 1,224,628 $ 1,283,931 $ 1,251,515
Sep-95 $ 1,275,572 $ 1,330,409 $ 1,290,437
Oct-95 $ 1,257,587 $ 1,317,238 $ 1,272,113
Nov-95 $ 1,304,117 $ 1,384,022 $ 1,325,669
Dec-95 $ 1,341,154 $ 1,418,761 $ 1,358,413
Jan-96 $ 1,372,001 $ 1,463,027 $ 1,389,520
Feb-96 $ 1,379,821 $ 1,474,146 $ 1,399,664
Mar-96 $ 1,404,520 $ 1,499,206 $ 1,417,300
Apr-96 $ 1,413,509 $ 1,504,903 $ 1,430,339
May-96 $ 1,437,680 $ 1,523,714 $ 1,451,508
Jun-96 $ 1,443,287 $ 1,524,933 $ 1,453,685
Jul-96 $ 1,384,401 $ 1,467,291 $ 1,406,150
Aug-96 $ 1,414,165 $ 1,509,255 $ 1,437,929
Sep-96 $ 1,480,914 $ 1,569,324 $ 1,490,844
Oct-96 $ 1,517,344 $ 1,630,057 $ 1,526,028
Nov-96 $ 1,608,082 $ 1,748,236 $ 1,613,164
Dec-96 $ 1,581,227 $ 1,725,858 $ 1,602,840
Jan-97 $ 1,680,370 $ 1,809,562 $ 1,661,504
Feb-97 $ 1,684,907 $ 1,836,163 $ 1,684,433
Mar-97 $ 1,624,418 $ 1,770,061 $ 1,629,857
Apr-97 $ 1,724,158 $ 1,844,404 $ 1,678,427
May-97 $ 1,811,573 $ 1,947,506 $ 1,775,104
Jun-97 $ 1,901,245 $ 2,031,054 $ 1,842,203
Jul-97 $ 2,044,789 $ 2,183,789 $ 1,953,104
Aug-97 $ 1,927,623 $ 2,106,046 $ 1,890,605
Sep-97 $ 2,016,679 $ 2,233,251 $ 1,986,458
Oct-97 $ 1,959,002 $ 2,170,944 $ 1,928,255
Nov-97 $ 2,034,032 $ 2,266,899 $ 1,992,273
Dec-97 $ 2,072,068 $ 2,333,093 $ 2,038,295
Jan-98 $ 2,090,510 $ 2,299,963 $ 2,037,479
Feb-98 $ 2,219,494 $ 2,454,750 $ 2,147,503
Mar-98 $ 2,317,818 $ 2,604,981 $ 2,244,785
Apr-98 $ 2,357,684 $ 2,622,434 $ 2,243,663
May-98 $ 2,311,002 $ 2,583,622 $ 2,216,066
Jun-98 $ 2,392,349 $ 2,616,693 $ 2,234,016
Jul-98 $ 2,364,120 $ 2,570,639 $ 2,176,378
Aug-98 $ 2,060,330 $ 2,188,128 $ 1,913,907
Sep-98 $ 2,199,197 $ 2,313,726 $ 2,012,282
Oct-98 $ 2,358,858 $ 2,493,040 $ 2,131,208
Nov-98 $ 2,498,031 $ 2,609,216 $ 2,221,358
Dec-98 $ 2,614,439 $ 2,697,929 $ 2,278,225
Jan-99 $ 2,626,465 $ 2,719,513 $ 2,275,263
Feb-99 $ 2,611,232 $ 2,681,168 $ 2,233,171
Mar-99 $ 2,683,302 $ 2,736,668 $ 2,280,290
Apr-99 $ 2,828,469 $ 2,992,272 $ 2,442,191
May-99 $ 2,765,394 $ 2,959,357 $ 2,408,000
Jun-99 $ 2,887,901 $ 3,045,179 $ 2,483,852
Jul-99 $ 2,824,367 $ 2,955,955 $ 2,421,011
Aug-99 $ 2,838,489 $ 2,846,289 $ 2,364,601
Sep-99 $ 2,738,574 $ 2,746,669 $ 2,280,894
Oct-99 $ 2,864,548 $ 2,904,877 $ 2,357,761
Nov-99 $ 2,883,454 $ 2,882,219 $ 2,344,557
Dec-99 $ 2,956,117 $ 2,896,054 $ 2,373,630
Jan-00 $ 2,885,466 $ 2,801,642 $ 2,283,669
Feb-00 $ 2,790,534 $ 2,593,480 $ 2,155,099
Mar-00 $ 3,034,985 $ 2,909,885 $ 2,354,445
Apr-00 $ 2,998,262 $ 2,876,130 $ 2,336,551
May-00 $ 2,951,189 $ 2,906,330 $ 2,371,833
Jun-00 $ 2,998,703 $ 2,773,510 $ 2,320,839
Jul-00 $ 2,954,622 $ 2,808,179 $ 2,334,300
Aug-00 $ 3,112,990 $ 2,964,314 $ 2,471,090
Sep-00 $ 2,959,831 $ 2,991,586 $ 2,465,653
Oct-00 $ 2,990,317 $ 3,065,179 $ 2,517,432
Nov-00 $ 2,820,467 $ 2,951,461 $ 2,428,818
Dec-00 $ 2,842,185 $ 3,099,329 $ 2,550,502
Jan-01 $ 2,854,975 $ 3,111,416 $ 2,571,671
Feb-01 $ 2,654,555 $ 3,024,919 $ 2,485,778
Mar-01 $ 2,505,635 $ 2,918,139 $ 2,394,798
Apr-01 $ 2,684,537 $ 3,061,128 $ 2,519,088
May-01 $ 2,688,564 $ 3,130,003 $ 2,562,920
Jun-01 $ 2,592,313 $ 3,060,517 $ 2,499,360
Jul-01 $ 2,606,830 $ 3,054,090 $ 2,496,611
Aug-01 $ 2,443,903 $ 2,931,621 $ 2,414,222
Sep-01 $ 2,290,671 $ 2,725,235 $ 2,247,882
Oct-01 $ 2,316,784 $ 2,701,798 $ 2,259,347
Nov-01 $ 2,466,449 $ 2,858,773 $ 2,375,929
Dec-01 $ 2,488,647 $ 2,926,240 $ 2,417,745
Jan-02 $ 2,445,593 $ 2,903,708 $ 2,394,051
Feb-02 $ 2,447,305 $ 2,908,353 $ 2,397,642
Mar-02 $ 2,567,223 $ 3,045,919 $ 2,488,513
Apr-02 $ 2,411,393 $ 2,941,444 $ 2,403,655
May-02 $ 2,412,116 $ 2,956,151 $ 2,405,818
Jun-02 $ 2,221,800 $ 2,786,468 $ 2,254,973
Jul-02 $ 2,007,841 $ 2,527,326 $ 2,073,899
Aug-02 $ 2,038,761 $ 2,546,534 $ 2,089,246
Sep-02 $ 1,794,110 $ 2,263,359 $ 1,871,755
Oct-02 $ 1,913,239 $ 2,431,074 $ 1,985,184
Nov-02 $ 1,997,995 $ 2,584,232 $ 2,099,133
Dec-02 $ 1,964,429 $ 2,472,076 $ 2,020,626
Jan-03 $ 1,906,086 $ 2,412,252 $ 1,964,452
Feb-03 $ 1,869,679 $ 2,347,845 $ 1,915,930
Mar-03 $ 1,870,988 $ 2,351,836 $ 1,918,613
Apr-03 $ 1,995,970 $ 2,558,798 $ 2,065,578
May-03 $ 2,122,714 $ 2,724,096 $ 2,189,513
Jun-03 $ 2,146,895 $ 2,758,147 $ 2,212,503
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 3/29/88.
Returns for the Class A Shares prior to 8/24/98 (offering date of the Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
Returns for the Class B and C Shares prior to 2/16/01 (offering date of the
Class B and C Shares) are calculated using the historical expenses of the Class
A Shares, which are lower than the expenses of the Class B and C Shares.
JPMorgan Equity Income Fund, formerly Chase Equity Income Fund, is the successor
to the AVESTA Trust Equity Fund. Effective 12/31/97, the AVESTA Trust was
converted from a Texas Trust to Mutual Fund Investment Trust ("MFIT"), a
Massachusetts business trust.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Equity Income Fund, Russell 1000 Value Index, and Lipper
Equity Income Funds Index from June 30, 1993 to June 30, 2003. The performance
of the Fund assumes reinvestment of all dividends and does not include a sales
charge. The performance of the indices does not include a sales charge and has
been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The Russell 1000 Value Index measures the
performance of those Russell 1000 companies with lower price-to-book ratios and
lower forecasted growth values. The Lipper Equity Income Funds Index represents
the total returns of the funds in the indicated category, as defined by Lipper,
Inc. Investors cannot invest directly in an index.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
13
<Page>
JPMORGAN U.S. EQUITY FUND
AS OF JUNE 30, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 9/17/1993
Fiscal Year End DECEMBER 31
Net Assets as of 6/30/2003
(In Millions) $ 426.5
Primary Benchmark S&P 500 INDEX
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan U.S. Equity Fund, which seeks to provide high total return from a
portfolio of selected equity securities, returned 14.93% (Institutional
shares) during the six months ended June 30, 2003. This compares with a
return of 11.76% from the S&P 500 Index, the Fund's benchmark.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Amidst a backdrop of a quick end to formal war activity in Iraq,
better-than-expected first quarter earnings results, substantial government
tax cuts and the expectation of most investors that the pace of the economic
recovery would strengthen in the second half of the year, the equity markets
performed solidly in the first six months of 2003.
The Fund outpaced the run up in the S&P 500 Index during the first half of
the year, with stock selection within the Capital Markets, Pharmaceuticals
and Semiconductors sectors contributing notably to performance. At the stock
level, an overweight position in Capital One Financial benefited returns, as
the credit card stock rebounded strongly following news of a management
restructuring, along with its announcement of record earnings for the first
quarter.
Driving earnings were sharp gains in interest revenues and improving credit
quality in the company's managed loan portfolio. A position in Countrywide
Financial, a mortgage originator, positively impacted performance as low
interest rates prompted a historically strong rate of home refinancings.
Alternatively, stock picking within the Retail, Energy and Consumer Cyclicals
sectors dragged on performance. At the stock level, undermining performance
was a position in Freddie Mac, which declined amidst concerns about an
earnings restatement and the dismissal of three senior executives.
Additionally, an overweight in Jones Apparel negatively impacted performance
as the stock came under pressure owing to a licensing dispute with Ralph
Lauren.
Q: HOW WAS THE FUND MANAGED?
A: Keeping to our discipline, the fund continued to focus on overweighting
companies that were attractively priced relative to their future earnings
prospects, as forecasted by our team of equity research analysts. Style
characteristics and sector weightings relative to the S&P 500 Index were also
controlled, in order keep volatility in line with it.
14
<Page>
SEMI-ANNUAL REPORT JUNE 30 2003
(Unaudited)
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
Consumer Goods & Services 23.40%
Finance & Insurance 19.70%
Technology 15.20%
Industrial Products & Services 11.30%
Pharmaceuticals 11.10%
Energy 6.30%
Health Services & Systems 4.50%
Telecommunications 3.90%
Utilities 2.90%
Short-Term Investments 1.70%
</Table>
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
<Table>
1. Citigroup, Inc. 4.0%
2. Microsoft Corp. 3.0%
3. General Electric Co. 3.0%
4. Pfizer, Inc. 2.9%
5. Procter & Gamble Co. 2.3%
6. The Coca-Cola Co. 2.3%
7. Viacom, Inc., Class B 2.2%
8. AMBAC Financial Group, Inc. 2.0%
9. Freddie Mac 1.9%
10. Home Depot 1.8%
</Table>
Top 10 equity holdings comprised 25.4% of the Portfolio's market value of
investments ($108,376 in thousands). As of June 30, 2003 the Fund held 114
equity holdings. Portfolio holdings are subject to change at any time.
15
<Page>
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-----------------------------------------------
CLASS A SHARES
Without Sales Charge 1.77% (10.61%) (2.66%) 8.29%
With Sales Charge* (4.14%) (12.36%) (3.81%) 7.65%
-----------------------------------------------
CLASS B SHARES
Without CDSC 1.08% (11.01%) (2.93%) 8.14%
With CDSC** (3.92%) (11.51%) (3.08%) 8.14%
-----------------------------------------------
CLASS C SHARES
Without CDSC 1.10% (11.01%) (2.92%) 8.14%
With CDSC*** 0.10% (11.01%) (2.92%) 8.14%
-----------------------------------------------
INSTITUTIONAL SHARES 2.22% (10.21%) (2.32%) 8.59%
-----------------------------------------------
SELECT SHARES 2.05% (10.36%) (2.50%) 8.38%
</Table>
* Sales Charge for Class A Shares is 5.75%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, 2% CDSC for the five year period and 0%
for the ten year period.
*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.
[CHART]
TEN-YEAR FUND PERFORMANCE (6/30/93 TO 6/30/03)
<Table>
<Caption>
JPMORGAN U.S. EQUITY LIPPER LARGE-CAP
FUND (INSTITUTIONAL SHARES) S&P 500 INDEX CORE FUNDS INDEX
6/30/1993 $ 3,000,000.00 $ 3,000,000.00 $ 3,000,000.00
7/31/1993 $ 3,003,300.00 $ 2,988,000.00 $ 2,988,600.00
8/31/1993 $ 3,112,019.46 $ 3,101,245.20 $ 3,098,879.34
9/30/1993 $ 3,072,185.61 $ 3,077,365.61 $ 3,098,879.34
10/31/1993 $ 3,152,369.66 $ 3,141,067.08 $ 3,146,911.97
11/30/1993 $ 3,158,359.16 $ 3,111,226.94 $ 3,097,190.76
12/31/1993 $ 3,221,842.18 $ 3,148,872.79 $ 3,168,116.43
1/31/1994 $ 3,361,670.13 $ 3,255,934.46 $ 3,270,129.78
2/28/1994 $ 3,290,066.55 $ 3,167,698.64 $ 3,208,651.34
3/31/1994 $ 3,154,844.82 $ 3,029,586.98 $ 3,061,053.38
4/30/1994 $ 3,229,299.16 $ 3,068,365.69 $ 3,090,439.49
5/31/1994 $ 3,262,238.01 $ 3,118,686.89 $ 3,114,853.96
6/30/1994 $ 3,160,782.41 $ 3,042,279.06 $ 3,032,621.82
7/31/1994 $ 3,267,300.77 $ 3,142,065.81 $ 3,123,600.47
8/31/1994 $ 3,382,309.76 $ 3,270,890.51 $ 3,235,113.01
9/30/1994 $ 3,303,501.94 $ 3,190,753.69 $ 3,167,175.63
10/31/1994 $ 3,333,894.16 $ 3,262,545.65 $ 3,218,167.16
11/30/1994 $ 3,179,534.86 $ 3,143,788.99 $ 3,104,887.68
12/31/1994 $ 3,211,012.26 $ 3,190,317.07 $ 3,133,763.13
1/31/1995 $ 3,282,296.73 $ 3,272,946.28 $ 3,188,917.36
2/28/1995 $ 3,422,122.57 $ 3,400,591.19 $ 3,298,616.12
3/31/1995 $ 3,546,345.62 $ 3,500,908.63 $ 3,380,751.66
4/30/1995 $ 3,624,010.59 $ 3,604,185.43 $ 3,455,128.20
5/31/1995 $ 3,757,374.18 $ 3,748,352.85 $ 3,566,728.84
6/30/1995 $ 3,816,364.95 $ 3,835,314.63 $ 3,660,533.81
7/31/1995 $ 3,934,290.63 $ 3,962,647.08 $ 3,785,358.01
8/31/1995 $ 3,963,404.38 $ 3,972,553.70 $ 3,791,036.05
9/30/1995 $ 4,071,605.32 $ 4,140,195.46 $ 3,932,820.80
10/31/1995 $ 3,966,557.90 $ 4,125,290.76 $ 3,914,729.82
11/30/1995 $ 4,189,478.45 $ 4,306,391.02 $ 4,067,795.76
12/31/1995 $ 4,264,889.07 $ 4,389,504.37 $ 4,129,219.47
1/31/1996 $ 4,375,776.18 $ 4,538,747.52 $ 4,250,618.53
2/29/1996 $ 4,466,792.33 $ 4,580,957.87 $ 4,302,476.07
3/31/1996 $ 4,550,768.02 $ 4,624,935.07 $ 4,341,628.60
4/30/1996 $ 4,648,154.46 $ 4,692,921.61 $ 4,404,582.22
5/31/1996 $ 4,712,298.99 $ 4,813,998.99 $ 4,492,233.41
6/30/1996 $ 4,658,578.78 $ 4,832,292.19 $ 4,498,522.53
7/31/1996 $ 4,413,071.68 $ 4,618,704.87 $ 4,314,532.96
8/31/1996 $ 4,566,646.57 $ 4,716,159.54 $ 4,412,472.86
9/30/1996 $ 4,776,255.65 $ 4,981,679.33 $ 4,641,038.95
10/31/1996 $ 4,845,033.73 $ 5,119,173.68 $ 4,733,395.63
11/30/1996 $ 5,257,346.10 $ 5,506,183.20 $ 5,040,119.67
12/31/1996 $ 5,170,074.16 $ 5,397,160.78 $ 4,947,381.46
1/31/1997 $ 5,467,870.43 $ 5,734,483.33 $ 5,218,003.23
2/28/1997 $ 5,490,288.70 $ 5,779,212.30 $ 5,211,741.63
3/31/1997 $ 5,305,815.00 $ 5,541,686.67 $ 4,988,679.08
4/30/1997 $ 5,524,414.58 $ 5,872,525.36 $ 5,265,051.91
5/31/1997 $ 5,901,179.65 $ 6,230,162.16 $ 5,584,640.56
6/30/1997 $ 6,082,345.87 $ 6,509,273.42 $ 5,827,013.96
7/31/1997 $ 6,613,942.89 $ 7,027,411.59 $ 6,287,348.06
8/31/1997 $ 6,379,147.92 $ 6,633,876.54 $ 5,967,322.04
9/30/1997 $ 6,666,847.49 $ 6,997,412.97 $ 6,274,639.13
10/31/1997 $ 6,403,507.02 $ 6,763,699.38 $ 6,081,380.24
11/30/1997 $ 6,551,428.03 $ 7,076,858.66 $ 6,280,241.38
12/31/1997 $ 6,647,734.02 $ 7,198,580.63 $ 6,394,541.77
1/31/1998 $ 6,688,285.20 $ 7,278,484.88 $ 6,457,847.73
2/28/1998 $ 7,185,893.62 $ 7,803,263.64 $ 6,915,709.14
3/31/1998 $ 7,497,761.40 $ 8,202,790.73 $ 7,258,036.74
4/30/1998 $ 7,656,713.94 $ 8,285,638.92 $ 7,331,342.91
5/31/1998 $ 7,583,975.16 $ 8,143,125.93 $ 7,205,976.95
6/30/1998 $ 7,688,634.02 $ 8,473,736.84 $ 7,548,260.85
7/31/1998 $ 7,520,252.93 $ 8,383,915.23 $ 7,487,119.94
8/31/1998 $ 6,320,020.56 $ 7,171,601.09 $ 6,366,298.08
9/30/1998 $ 6,829,414.22 $ 7,631,300.72 $ 6,682,703.10
10/31/1998 $ 7,338,888.52 $ 8,251,725.47 $ 7,183,905.83
11/30/1998 $ 7,912,055.72 $ 8,751,780.03 $ 7,611,348.23
12/31/1998 $ 8,294,999.21 $ 9,255,882.56 $ 8,116,741.75
1/31/1999 $ 8,545,508.19 $ 9,642,778.45 $ 8,400,827.71
2/28/1999 $ 8,205,396.96 $ 9,342,888.04 $ 8,141,242.14
3/31/1999 $ 8,575,460.37 $ 9,716,603.57 $ 8,468,520.07
4/30/1999 $ 9,094,275.72 $ 10,092,636.12 $ 8,695,476.41
5/31/1999 $ 8,998,785.82 $ 9,854,449.91 $ 8,465,046.28
6/30/1999 $ 9,518,915.64 $ 10,401,371.88 $ 8,937,395.86
7/31/1999 $ 9,154,341.17 $ 10,076,849.08 $ 8,675,530.17
8/31/1999 $ 8,927,313.51 $ 10,026,464.83 $ 8,587,039.76
9/30/1999 $ 8,555,937.27 $ 9,751,739.70 $ 8,354,330.98
10/31/1999 $ 8,927,264.95 $ 10,369,024.82 $ 8,866,451.47
11/30/1999 $ 9,148,661.12 $ 10,579,516.02 $ 9,083,679.53
12/31/1999 $ 9,529,245.42 $ 11,202,649.52 $ 9,687,744.22
1/31/2000 $ 9,132,828.81 $ 10,640,276.51 $ 9,296,359.35
2/29/2000 $ 8,901,768.24 $ 10,439,175.28 $ 9,293,570.45
3/31/2000 $ 9,874,731.51 $ 11,460,126.63 $ 10,101,181.72
4/30/2000 $ 9,420,493.86 $ 11,115,176.82 $ 9,770,873.08
5/31/2000 $ 9,218,895.29 $ 10,887,315.69 $ 9,521,715.81
6/30/2000 $ 9,441,992.56 $ 11,155,143.66 $ 9,870,210.61
7/31/2000 $ 9,420,275.98 $ 10,981,123.42 $ 9,716,235.33
8/31/2000 $ 10,113,608.29 $ 11,663,051.18 $ 10,386,655.56
9/30/2000 $ 9,672,654.97 $ 11,047,242.08 $ 9,834,085.49
10/31/2000 $ 9,672,654.97 $ 11,000,843.66 $ 9,720,010.09
11/30/2000 $ 8,805,985.08 $ 10,133,977.18 $ 8,864,649.21
12/31/2000 $ 8,921,343.49 $ 10,183,633.67 $ 8,972,797.93
1/31/2001 $ 9,353,136.51 $ 10,545,152.66 $ 9,226,728.11
2/28/2001 $ 8,381,345.63 $ 9,583,434.74 $ 8,367,719.72
3/31/2001 $ 7,772,021.80 $ 8,975,844.98 $ 7,853,941.73
4/30/2001 $ 8,481,607.39 $ 9,673,268.13 $ 8,450,841.30
5/31/2001 $ 8,574,056.91 $ 9,738,079.03 $ 8,498,166.01
6/30/2001 $ 8,404,290.59 $ 9,501,443.71 $ 8,272,114.80
7/31/2001 $ 8,342,939.26 $ 9,408,329.56 $ 8,152,169.13
8/31/2001 $ 7,802,316.80 $ 8,819,368.13 $ 7,672,006.37
9/30/2001 $ 7,084,503.65 $ 8,107,645.12 $ 7,089,701.09
10/31/2001 $ 7,284,995.11 $ 8,262,501.14 $ 7,257,018.03
11/30/2001 $ 7,963,956.65 $ 8,896,234.98 $ 7,732,352.71
12/31/2001 $ 8,090,583.56 $ 8,974,521.85 $ 7,819,728.30
1/31/2002 $ 7,811,458.43 $ 8,843,493.83 $ 7,696,176.59
2/28/2002 $ 7,578,676.97 $ 8,672,814.40 $ 7,566,880.83
3/31/2002 $ 7,938,664.12 $ 8,998,912.22 $ 7,824,154.77
4/30/2002 $ 7,371,843.51 $ 8,453,578.14 $ 7,414,951.48
5/31/2002 $ 7,270,849.25 $ 8,391,021.66 $ 7,360,822.33
6/30/2002 $ 6,685,545.89 $ 7,793,580.92 $ 6,852,189.51
7/31/2002 $ 6,149,365.11 $ 7,185,681.61 $ 6,343,071.83
8/31/2002 $ 6,188,106.11 $ 7,233,107.11 $ 6,395,085.02
9/30/2002 $ 5,477,711.52 $ 6,446,868.36 $ 5,774,122.26
10/31/2002 $ 5,890,730.97 $ 7,014,192.78 $ 6,222,771.56
11/30/2002 $ 6,334,892.09 $ 7,427,328.74 $ 6,500,929.45
12/31/2002 $ 5,945,929.71 $ 6,991,344.54 $ 6,158,330.47
1/31/2003 $ 5,789,551.76 $ 6,808,171.31 $ 5,996,982.21
2/28/2003 $ 5,703,866.40 $ 6,706,048.74 $ 5,917,222.35
3/31/2003 $ 5,788,283.62 $ 6,771,097.41 $ 5,966,927.02
4/30/2003 $ 6,320,805.71 $ 7,329,035.84 $ 6,406,689.54
5/31/2003 $ 6,751,884.66 $ 7,715,276.03 $ 6,717,413.98
6/30/2003 $ 6,837,197.00 $ 7,814,032.00 $ 6,783,916.00
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The Fund commenced operations on 9/17/93.
Returns for the Institutional Shares prior to 9/10/01 (offering date of the
Institutional Shares) are calculated using the historical expenses of the J.P.
Morgan Institutional U.S. Equity Fund, which are similar to the expenses of the
Institutional Shares. The returns presented prior to 9/17/93 are based on the
historical expenses of the J.P. Morgan U.S. Equity Fund which are higher than
the expenses of the Institutional Shares.
Returns for the Select Shares prior to 9/10/01 (offering date of the Select
Shares) are calculated using the historical expenses of the J.P. Morgan U.S.
Equity Fund, which are similar to the expenses of the Select Shares.
Returns for the Class A, Class B, and Class C Shares prior to 9/10/01 (offering
date of the Class A, Class B, and Class C Shares) are calculated using the
historical expenses of the J.P. Morgan U.S. Equity Fund-Advisor Series, which
are similar to the expenses of the Class A Shares, but are lower than Class B
and C Shares. The returns presented prior to 9/15/00 are based on the historical
expenses of the J.P. Morgan U.S. Equity Fund which are lower than the expenses
of the Class A, Class B, and Class C Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan U.S. Equity Fund, S&P 500 Index and Lipper
Large-Cap Core Funds Index from June 30, 1993 to June 30, 2003. The performance
of the Fund assumes reinvestment of all dividends and capital gains and does not
include a sales charge. The performance of the indices does not include a sales
charge and has been adjusted to reflect reinvestment of all dividends and
capital gains of the securities included in the benchmark. The S&P 500 Index is
an unmanaged broad-based index that replicates the U.S. stock markets. The
Lipper Large-Cap Core Funds Index represents the total returns of the funds in
the indicated category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
16
<Page>
JPMORGAN DISCIPLINED EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2003 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.0%
COMMON STOCKS -- 98.0%
AEROSPACE -- 2.1%
3 Goodrich Corp. $ 59
42 Lockheed Martin Corp. 2,007
33 Northrop Grumman Corp. 2,865
121 Raytheon Co. 3,977
58 The Boeing Co. 1,991
138 United Technologies Corp. 9,746
----------------------------------------------------------
20,645
----------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.4%
196 Monsanto Co. 4,250
APPAREL -- 1.2%
143 Jones Apparel Group, Inc.* 4,184
135 Nike, Inc., Class B 7,243
----------------------------------------------------------
11,427
----------------------------------------------------------
AUTOMOTIVE -- 0.9%
6 Dana Corp. 71
28 Ford Motor Co. 308
1 General Motors Corp. 18
67 Harley-Davidson, Inc. 2,655
45 Johnson Controls, Inc. 3,877
48 Lear Corp.* 2,186
----------------------------------------------------------
9,115
----------------------------------------------------------
BANKING -- 5.1%
37 Bank of America Corp. 2,956
1 City National Corp. 49
2 Compass Bancshares, Inc. 70
62 GreenPoint Financial Corp. 3,174
43 Hibernia Corp., Class A 775
131 Mellon Financial Corp. 3,632
48 National Commerce Financial Corp. 1,054
44 North Fork Bancorporation, Inc. 1,488
59 SouthTrust Corp. 1,591
110 SunTrust Banks, Inc. 6,516
610 U.S. Bancorp 14,952
282 Wachovia Corp. 11,257
17 Wells Fargo & Co. 847
----------------------------------------------------------
48,361
----------------------------------------------------------
BIOTECHNOLOGY -- 1.5%
149 Amgen, Inc.* $ 9,873
32 Gilead Sciences, Inc.* 1,751
31 Human Genome Sciences, Inc.* 399
76 MedImmune, Inc.* 2,768
----------------------------------------------------------
14,791
----------------------------------------------------------
BUSINESS SERVICES -- 1.5%
4 BearingPoint, Inc.* 37
119 Cendant Corp.* 2,171
21 Cintas Corp. 734
61 Computer Sciences Corp.* 2,306
44 Concord EFS, Inc.* 645
219 First Data Corp. 9,074
1 Moody's Corp. 32
----------------------------------------------------------
14,999
----------------------------------------------------------
CHEMICALS -- 0.9%
86 Air Products & Chemicals, Inc. 3,561
77 Eastman Chemical Co. 2,432
49 Praxair, Inc. 2,957
----------------------------------------------------------
8,950
----------------------------------------------------------
COMPUTER NETWORKS -- 1.9%
1,042 Cisco Systems, Inc.* 17,396
100 Juniper Networks, Inc.* 1,232
----------------------------------------------------------
18,628
----------------------------------------------------------
COMPUTER SOFTWARE -- 4.3%
11 Affiliated Computer Services, Inc., Class A* 494
32 Electronic Arts, Inc.* 2,331
1,313 Microsoft Corp. 33,616
184 Oracle Corp.* 2,216
306 Siebel Systems, Inc.* 2,920
----------------------------------------------------------
41,577
----------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 3.9%
328 Dell Computer Corp.* 10,467
281 EMC Corp.* 2,945
158 Hewlett-Packard Co. 3,368
196 International Business Machines Corp. 16,178
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- CONTINUED
67 NCR Corp.* $ 1,727
743 Sun Microsystems, Inc.* 3,418
----------------------------------------------------------
38,103
----------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.3%
136 Masco Corp. 3,244
CONSUMER PRODUCTS -- 4.8%
313 Altria Group, Inc. 14,209
13 Black & Decker Corp. 565
18 Fortune Brands, Inc. 924
248 Procter & Gamble Co. 22,099
254 The Gillette Co. 8,092
----------------------------------------------------------
45,889
----------------------------------------------------------
DIVERSIFIED -- 3.9%
1,010 General Electric Co. 28,979
443 Tyco International LTD (Bermuda) 8,404
----------------------------------------------------------
37,383
----------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.3%
99 Carnival Corp. 3,215
ENVIRONMENTAL SERVICES -- 0.5%
207 Waste Management, Inc. 4,996
FINANCIAL SERVICES -- 10.1%
192 Capital One Financial Corp. 9,452
80 CIT Group, Inc. 1,977
772 Citigroup, Inc. 33,041
141 Countrywide Financial Corp. 9,775
185 E*TRADE Group, Inc.* 1,575
118 Fannie Mae 7,931
173 Freddie Mac 8,804
0^^ Golden West Financial Corp. 8
72 Goldman Sachs Group, Inc. 6,022
26 MBNA Corp. 546
18 Merrill Lynch & Co., Inc. 831
301 Morgan Stanley 12,880
105 Washington Mutual, Inc. 4,332
----------------------------------------------------------
97,174
----------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 3.4%
78 Archer Daniele Midland Co. $ 1,004
19 Kellogg Co. 663
53 Kraft Foods, Inc., Class A 1,738
138 PepsiCo, Inc. 6,119
57 Sysco Corp. 1,706
476 The Coca-Cola Co. 22,101
----------------------------------------------------------
33,331
----------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 4.4%
125 Aetna, Inc. 7,501
91 Anthem, Inc.* 7,036
59 Bakler International, Inc. 1,537
4 Becton, Dickinson & Co. 136
148 CIGNA Corp. 6,933
262 Guidant Corp. 11,621
57 Medtronic, Inc. 2,729
58 SL Jude Medical, Inc.* 3,324
13 Tanel Healthcare Corp.* 154
14 UnitedHealth Group, Inc. 719
7 WellPoint Health Networks, Inc.* 556
----------------------------------------------------------
42,246
----------------------------------------------------------
INDUSTRIAL COMPONENTS -- 0.0%^
10 SPX Corp.* 445
INSURANCE -- 3.8%
12 APLAC, Inc.+ 372
106 AMBAC Financial Group, Inc. 7,002
108 American International Group, Inc. 5,932
175 AON Corp. 4,219
11 Hartford Financial Services Group, Inc. 529
95 MBIA, Inc. 4,651
18 Protective Life Corp. 490
195 The Allstate Corp. 6,948
43 Torchmark Corp. 1,594
330 Travelers Property Casually Corp., Class A 5,241
----------------------------------------------------------
36,978
----------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.7%
66 eBay, Inc.* 6,865
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MACHINERY & ENGINEERING EQUIPMENT -- 0.4%
77 Ingersoll-Rand Co., LTD (Bermuda), Class A $ 3,629
MANUFACTURING -- 1.0%
28 3M Co. 3,599
11 Cooper Industries LTD, Class A 471
6 Eaton Corp. 448
200 Honeywell International, Inc. 5,372
----------------------------------------------------------
9,890
----------------------------------------------------------
METALS/MINING -- 0.8%
290 Alcoa, Inc. 7,385
MULTI-MEDIA -- 4.3%
440 AOL Time Warner, Inc.* 7,072
87 Comcast Corp., Class A* 2,614
210 Comcast Corp., Special Class A* 6,054
49 Fox Entertainment Group, Inc., Class A* 1,402
1 Knight Ridder, Inc. 48
81 Liberty Media Corp., Class A* 936
25 The E.W. Scripps Co., Class A 2,236
99 The Walt Disney Co. 1,947
83 Tribune Co. 4,019
352 Viacom, Inc., Class B* 15,346
----------------------------------------------------------
41,674
----------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.1%
18 Pitney Bowes, Inc. 688
OIL & GAS -- 5.9%
110 Anadarko Petroleum Corp. 4,892
94 Baker Hughes, Inc. 3,162
103 ChevronTexaco Corp. 7,429
189 ConocoPhillips 10,357
67 Cooper Cameron Corp.* 3,365
32 Devon Energy Corp. 1,693
19 Diamond Offshore Drilling, Inc. 390
10 ENSCO International, Inc. 280
534 Exxon Mobil Corp. 19,169
130 Rowan Companies, Inc.* 2,901
61 Transocean, Inc.* 1,345
22 Valero Energy Corp. 788
----------------------------------------------------------
55,771
----------------------------------------------------------
PACKAGING -- 0.0%^
32 Smurfit-Stone Container Corp.* $ 417
PAPER/FOREST PRODUCTS -- 0.2%
36 Bowater, Inc. 1,344
56 Georgia-Pacific Corp. 1,069
----------------------------------------------------------
2,413
----------------------------------------------------------
PHARMACEUTICALS -- 9.6%
165 Abbott Laboratories 7,199
301 Bristol-Myers Squibb Co. 8,183
152 Eli Lilly & Co. 10,449
134 Forest Laboratories, Inc.* 7,320
147 Johnson & Johnson 7,595
258 Merck & Co., Inc. 15,633
776 Pfizer, Inc. 26,496
2 Watson Pharmaceuticals, Inc.* 89
201 Wyeth 9,160
----------------------------------------------------------
92,124
----------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT -- 0.1%
20 Eastman Kodak Co. 547
PIPELINES -- 0.1%
176 Dynegy, Inc., Class A* 737
83 El Paso Corp. 667
----------------------------------------------------------
1,404
----------------------------------------------------------
PRINTING & PUBLISHING -- 0.1%
13 The McGraw-Hill Companies, Inc. 787
REAL ESTATE INVESTMENT TRUST -- 0.4%
26 CarrAmerica Realty Corp. 720
6 Developers Diversified Realty Corp. 156
11 Equity Office Properties Trust 292
9 Highwoods Properties, Inc. 207
40 ProLogis 1,088
11 The Mills Corp. 369
18 The Rouse Co. 674
----------------------------------------------------------
3,506
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
RESTAURANTS/FOOD SERVICES -- 0.5%
21 McDonald's Corp. $ 472
19 Wendy's International, Inc. 562
145 Yum! Brands, Inc.* 4,274
----------------------------------------------------------
5,308
----------------------------------------------------------
RETAILING -- 6.8%
126 Abercrombie & Fitch Co., Class A* 3,585
63 Bed Bath & Beyond, Inc.* 2,433
217 CVS Corp. 6,083
48 Family Dollar Stores 1,827
363 Home Depot, Inc. 12,032
89 Kohl's Corp.* 4,547
17 Kroger Co.* 284
99 Lowe's Companies, Inc. 4,239
180 Target Corp. 6,815
112 The Gap, Inc. 2,103
367 Wal-Mart Stores, Inc. 19,691
56 Walgreen Co. 1,674
----------------------------------------------------------
65,313
----------------------------------------------------------
SEMI-CONDUCTORS -- 3.0%
237 Altera Corp.* 3,879
63 Analog Devices, Inc.* 2,176
136 Applied Materials, Inc.* 2,162
629 Intel Corp. 13,079
8 Intersil Corp., Class A* 210
78 Maxim Integrated Products, Inc. 2,667
34 Novellus Systems, Inc.* 1,260
25 QLogic Corp.* 1,223
112 Xilinx, Inc.* 2,822
----------------------------------------------------------
29,478
----------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.3%
60 Burlington Northern Santa Fe Corp. 1,709
34 CSX Corp. 1,029
95 FedEx Corp. 5,894
25 Norfolk Southern Corp. 480
29 Union Pacific Corp. 1,665
34 United Parcel Service, Inc., Class B 2,191
----------------------------------------------------------
12,968
----------------------------------------------------------
STEEL -- 0.2%
130 United States Steel Corp. $ 2,122
TELECOMMUNICATIONS -- 3.7%
405 AT&T Wireless Services, Inc.* 3,321
88 BellSouth Corp. 2,349
13 Nextel Communications, Inc., Class A* 237
139 Qwest Communications International, Inc.* 665
319 SBC Communications, Inc. 8,140
7 Sprint Corp. -- FON Group 95
178 Sprint Corp. -- PCS Group* 1,024
515 Verizon Communications, Inc. 20,301
----------------------------------------------------------
36,132
----------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.6%
600 Lucent Technologies, Inc.* 1,219
13 Motorola, Inc. 120
138 QUALCOMM, Inc. 4,936
----------------------------------------------------------
6,275
----------------------------------------------------------
TOYS & GAMES -- 0.2%
2 Hasbro, Inc. 26
89 Mattel, Inc. 1,692
----------------------------------------------------------
1,718
----------------------------------------------------------
UTILITIES -- 2.8%
81 American Electric Power Co., Inc. 2,410
15 Dominion Resources, Inc. 990
74 DTE Energy Co. 2,871
223 Edison International* 3,666
25 FirstEnergy Corp. 954
8 Pepco Holdings, Inc. 161
284 PG&E Corp.* 6,013
93 Pinnacle West Capital Corp. 3,479
21 Progress Energy, Inc. 926
28 Public Service Enterprise Group, Inc. 1,200
19 SCANA Corp. 648
274 Xcel Energy, Inc. 4,116
----------------------------------------------------------
27,434
----------------------------------------------------------
Total Common Stocks 949,595
(Cost $805,394)
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 2.0%
U.S. TREASURY SECURITIES -- 0.2%
U.S. Treasury Notes & Bonds,
$ 1,200 3.00%, 11/30/03@+ $ 1,210
350 3.00%, 02/29/04@+ 355
Total U.S. Treasury Securities 1,565
(Cost $1,563)
----------------------------------------------------------
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
MONEY MARKET FUND -- 1.8%
17,293 JPMorgan Prime Money Market Fund (a)+ $ 17,293
(Cost $17,293)
Total Short-Term Investments 18,858
(Cost $18,856)
Total Investments -- 100.0% $ 968,453
(Cost $824,250)
----------------------------------------------------------
</Table>
FUTURE CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
VALUE AT APPRECIATION
NUMBER OF 6/30/03 (DEPRECIATION)
CONTRACTS DESCRIPTION EXPIRATION DATE (USD) (USD)
- ------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
77 S & P 500 Index September, 2003 $ 18,736 $ (441)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
JPMORGAN DISCIPLINED EQUITY VALUE
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2003 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.7%
COMMON STOCKS -- 99.7%
AEROSPACE -- 2.7%
0^^ Goodrich Corp. $ 2
2 Lockheed Martin Corp. 71
1 Northrop Grumman Corp. 95
9 Raytheon Co. 280
1 The Boeing Co. 38
3 United Technologies Corp. 212
----------------------------------------------------------
698
----------------------------------------------------------
AGRICULTURAL PRODUCTION/SERVICES -- 0.6%
7 Monsanto Co. 147
APPAREL -- 1.2%
4 Jones Apparel Group, Inc.* 102
4 Nike, Inc., Class B 214
----------------------------------------------------------
316
----------------------------------------------------------
AUTOMOTIVE -- 1.6%
0^^ Dana Corp. 2
4 Delphi Corp. 36
7 Ford Motor Co. 75
1 General Motors Corp. 32
0^^ Harley-Davidson, Inc. 12
2 Johnson Controls, Inc. 172
2 Lear Corp.* 78
----------------------------------------------------------
407
----------------------------------------------------------
BANKING -- 12.6%
3 AmSouth Bancorp 63
0^^ Astoria Financial Corp. 8
6 Bank of America Corp. 443
4 Bank One Corp. 138
1 City National Corp. 27
1 Compass Bancshares, Inc. 49
2 First Tennessee National Corp. 66
1 FirstMerit Corp. 25
2 FleetBoston Financial Corp. 56
3 GreenPoint Financial Corp. 173
4 Hibernia Corp., Class A 73
2 Marshall & Ilsley Corp. 49
4 Mellon Financial Corp. 111
2 National Commerce Financial Corp. 53
4 North Fork Bancorporation, Inc. 126
3 PNC Financial Services Group, Inc. $ 132
6 SouthTrust Corp. 160
5 SunTrust Banks, Inc. 273
21 U.S. Bancorp 524
12 Wachovia Corp. 460
4 Wells Fargo & Co. 197
----------------------------------------------------------
3,206
----------------------------------------------------------
BIOTECHNOLOGY -- 0.2%
0^^ Gilead Sciences, Inc.* 17
1 Human Genome Sciences, Inc.* 18
1 MedImmune, Inc.* 25
----------------------------------------------------------
60
----------------------------------------------------------
BROADCASTING/CABLE -- 0.1%
1 Cox Communications, Inc., Class A* 29
BUSINESS SERVICES -- 1.0%
1 BearingPoint, Inc.* 13
6 Cendant Corp.* 112
1 Computer Sciences Corp.* 53
2 First Data Corp. 66
----------------------------------------------------------
244
----------------------------------------------------------
CHEMICALS -- 2.2%
4 Air Products & Chemicals, Inc. 166
2 Eastman Chemical Co. 76
1 PPG Industries, Inc. 66
3 Praxair, Inc. 187
2 Rohm & Haas Co. 59
----------------------------------------------------------
554
----------------------------------------------------------
COMPUTER NETWORKS -- 0.6%
9 Cisco Systems, Inc.* 144
2 Juniper Networks, Inc.* 21
----------------------------------------------------------
165
----------------------------------------------------------
COMPUTER SOFTWARE -- 0.4%
1 Electronic Arts, Inc.* (l) 44
1 Microsoft Corp. 26
4 Siebel Systems, Inc.* (l) 34
----------------------------------------------------------
104
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COMPUTERS/COMPUTER HARDWARE -- 3.4%
2 Dell Computer Corp.* $ 54
2 EMC Corp.* 18
12 Hewlett-Packard Co. 245
5 International Business Machines Corp. 404
2 NCR Corp.* 56
21 Sun Microsystems, Inc.* 95
----------------------------------------------------------
872
----------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.3%
0^^ American Standard Companies, Inc.* 7
3 Masco Corp. 81
----------------------------------------------------------
88
----------------------------------------------------------
CONSUMER PRODUCTS -- 4.3%
11 Altria Group, Inc. 496
0^^ Black & Decker Corp. 17
1 Fortune Brands, Inc. 47
0^^ Newell Rubbermaid, Inc. 8
4 Procter & Gamble Co. 393
4 The Gillette Co. 140
----------------------------------------------------------
1,101
----------------------------------------------------------
DIVERSIFIED -- 0.5%
6 Tyco International LTD (Bermuda) 116
ENTERTAINMENT/LEISURE -- 0.1%
1 Harrah's Entertainment, Inc.* 28
ENVIRONMENTAL SERVICES -- 0.5%
6 Waste Management, Inc. 137
FINANCIAL SERVICES -- 13.8%
4 Capital One Financial Corp. (l) 211
3 CIT Group, Inc. 84
30 Citigroup, Inc. 1,293
4 Countrywide Financial Corp. 306
7 E*TRADE Group, Inc.* 57
0^^ Fannie Mae 7
4 Freddie Mac 213
1 Golden West Financial Corp. 40
3 Goldman Sachs Group, Inc. $ 268
3 MBNA Corp. 56
4 Merrill Lynch & Co., Inc. 187
12 Morgan Stanley 504
6 Washington Mutual, Inc. 260
3,486
FOOD/BEVERAGE PRODUCTS -- 2.6%
3 Archer Daniels Midland Co. 44
0^^ H.J. Heinz Co. 10
0^^ Hershey Foods Corp. 7
3 Kellogg Co. 86
2 Kraft Foods, Inc., Class A 68
3 Sysco Corp. 90
8 The Coca-Cola Co. 348
----------------------------------------------------------
653
----------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 1.9%
3 Aetna, Inc. 157
1 Anthem, Inc.* 39
5 CIGNA Corp. 210
2 Guidant Corp. 67
----------------------------------------------------------
473
----------------------------------------------------------
HOTELS/OTHER LODGING -- 0.0%^
0^^ Marriott International, Inc., Class A 4
INDUSTRIAL COMPONENTS -- 0.1%
0^^ SPX Corp.* 18
INSURANCE -- 5.1%
3 AMBAC Financial Group, Inc. 192
2 American International Group, Inc. 88
6 AON Corp. 142
2 Hartford Financial Services Group, Inc. 111
0^^ Jefferson-Pilot Corp. 4
1 John Hancock Financial Services, Inc. 25
4 MBIA, Inc. 171
1 Protective Life Corp. 29
1 SAFECO Corp. 18
7 The Allstate Corp. 252
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
INSURANCE -- CONTINUED
2 Torchmark Corp. $ 67
10 Travelers Property Casualty Corp., Class A 156
0^^ Travelers Property Casualty Corp., Class B 3
3 UnumProvident Corp. 34
----------------------------------------------------------
1,292
----------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.0%^
0^^ eBay, Inc.* 10
MACHINERY & ENGINEERING EQUIPMENT -- 0.5%
1 Deere & Co. 59
1 Ingersoll-Rand Co., LTD (Bermuda), Class A 67
----------------------------------------------------------
126
----------------------------------------------------------
MANUFACTURING -- 1.2%
2 Cooper Industries LTD, Class A 66
1 Eaton Corp. 55
6 Honeywell International, Inc. 161
0^^ ITT Industries, Inc. 26
----------------------------------------------------------
308
----------------------------------------------------------
METALS/MINING -- 0.8%
8 Alcoa, Inc. 209
MULTI-MEDIA -- 5.9%
22 AOL Time Warner, Inc.* 356
8 Comcast Corp., Special Class A* 234
2 Fox Entertainment Group, Inc., Class A* 49
1 Gannett Co., Inc. 61
0^^ Knight Ridder, Inc. 21
11 Liberty Media Corp., Class A* 128
1 The E.W. Scripps Co., Class A 62
7 The Walt Disney Co. 134
2 Tribune Co. 106
8 Viacom, Inc., Class B* 363
----------------------------------------------------------
1,514
----------------------------------------------------------
OFFICE/BUSINESS EQUIPMENT -- 0.1%
1 Pitney Bowes, Inc. 23
OIL & GAS -- 10.1%
5 Anadarko Petroleum Corp. $ 236
6 ChevronTexaco Corp. 412
7 ConocoPhillips 395
1 Cooper Cameron Corp.* 60
4 Devon Energy Corp. 230
0^^ Diamond Offshore Drilling, Inc. (l) 8
0^^ ENSCO International, Inc. 3
31 Exxon Mobil Corp. 1,102
3 Rowan Companies, Inc.* 65
1 Transocean, Inc.* 13
2 Valero Energy Corp. 58
----------------------------------------------------------
2,582
----------------------------------------------------------
PACKAGING -- 0.0%^
1 Smurfit-Stone Container Corp.* 10
PAPER/FOREST PRODUCTS -- 0.9%
2 Bowater, Inc. 78
2 Georgia-Pacific Corp. 42
1 Temple-Inland, Inc. 39
1 Weyerhaeuser Co. 59
----------------------------------------------------------
218
----------------------------------------------------------
PHARMACEUTICALS -- 3.0%
8 Bristol-Myers Squibb Co. 220
0^^ Eli Lilly & Co. 21
1 Forest Laboratories, Inc.* 55
5 Merck & Co., Inc. 315
5 Schering-Plough Corp. 87
1 Watson Pharmaceuticals, Inc.* 24
1 Wyeth 32
----------------------------------------------------------
754
----------------------------------------------------------
PIPELINES -- 0.3%
9 Dynegy, Inc., Class A* 37
4 El Paso Corp. 35
----------------------------------------------------------
72
----------------------------------------------------------
PRINTING & PUBLISHING -- 0.0%^
0^^ The McGraw-Hill Companies, Inc. 6
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
REAL ESTATE INVESTMENT TRUST -- 2.4%
1 Archstone-Smith Trust $ 19
1 Arden Realty, Inc. 23
1 Camden Property Trust 17
1 CarrAmerica Realty Corp. 31
0^^ Chelsea Property Group, Inc. 16
1 Developers Diversified Realty Corp. 28
2 Duke Realty Corp. 50
7 Equity Office Properties Trust 181
1 Equity Residential 29
1 General Growth Properties, Inc. 69
1 Highwoods Properties, Inc. 13
2 ProLogis 66
1 The Rouse Co. 50
1 United Dominion Realty Trust, Inc. 24
----------------------------------------------------------
616
----------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 0.9%
4 McDonald's Corp. 97
1 Wendy's International, Inc. 17
4 Yum! Brands, Inc.* 128
----------------------------------------------------------
242
----------------------------------------------------------
RETAILING -- 1.8%
3 Abercrombie & Fitch Co., Class A* 82
7 CVS Corp. 194
1 Family Dollar Stores 19
1 Federated Department Stores, Inc. 26
3 Home Depot, Inc. 83
1 Kohl's Corp.* 51
1 Kroger Co.* 15
----------------------------------------------------------
470
----------------------------------------------------------
SEMI-CONDUCTORS -- 0.5%
5 Altera Corp.* 74
1 QLogic Corp.* 43
1 Xilinx, Inc.* 15
----------------------------------------------------------
132
----------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.2%
2 Burlington Northern Santa Fe Corp. 68
1 CSX Corp. 39
1 FedEx Corp. $ 68
2 Norfolk Southern Corp. 42
1 Union Pacific Corp. 82
----------------------------------------------------------
299
----------------------------------------------------------
STEEL -- 0.1%
2 United States Steel Corp. 38
TELECOMMUNICATIONS -- 6.9%
12 AT&T Wireless Services, Inc.* 94
9 BellSouth Corp. 226
3 General Motors -- Hughes Electronics
Corp., Class H* 35
3 Qwest Communications International, Inc.* 12
19 SBC Communications, Inc. 480
6 Sprint Corp. -- FON Group 82
2 Sprint Corp. -- PCS Group* (l) 9
1 Tellabs, Inc.* 7
21 Verizon Communications, Inc. 821
----------------------------------------------------------
1,766
----------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 0.5%
21 Lucent Technologies, Inc.* (l) 43
6 Motorola, Inc. 55
1 QUALCOMM, Inc. 18
----------------------------------------------------------
116
----------------------------------------------------------
TOYS & GAMES -- 0.3%
1 Hasbro, Inc. 23
4 Mattel, Inc. 66
----------------------------------------------------------
89
----------------------------------------------------------
UTILITIES -- 6.3%
1 Ameren Corp. 49
4 American Electric Power Co., Inc. 131
2 Constellation Energy Group, Inc. 72
3 Dominion Resources, Inc. 185
3 DTE Energy Co. 116
7 Edison International* 115
1 Entergy Corp. 69
5 FirstEnergy Corp. 185
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
UTILITIES -- CONTINUED
2 NiSource, Inc. $ 42
1 Pepco Holdings, Inc. 21
8 PG&E Corp.* 163
3 Pinnacle West Capital Corp. 94
2 PPL Corp. 65
1 Progress Energy, Inc. 48
3 Public Service Enterprise Group, Inc. 106
1 SCANA Corp. 24
0^^ TXU Corp. 2
9 Xcel Energy, Inc. 129
----------------------------------------------------------
1,616
----------------------------------------------------------
WHOLESALING -- 0.2%
1 W.W. Grainger, Inc. 42
----------------------------------------------------------
Total Common Stocks 25,456
(Cost $23,154)
----------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.3%
MONEY MARKET FUND -- 0.3%
82 JPMorgan Prime Money Market Fund (a) $ 82
(Cost $82)
----------------------------------------------------------
Total Investments -- 100.0% $ 25,538
(Cost $23,236)
----------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -----------------------------------------------------------------------
MONEY MARKET FUNDS (c)
172 Merrill Lynch Premier Institution
Money Market Fund $ 172
173 Reserve Primary Money Market Fund 173
----------------------------------------------------------
$ 345
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
JPMORGAN EQUITY GROWTH FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2003 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.6%
COMMON STOCKS -- 99.6%
BANKING -- 1.5%
18 Fifth Third Bancorp $ 1,032
BIOTECHNOLOGY -- 5.5%
33 Amgen, Inc.* 2,205
3 Genentech, Inc.* 209
13 Gilead Sciences, Inc.* 717
10 IDEC Pharmaceuticals Corp.* 337
7 MedImmune, Inc.* 266
----------------------------------------------------------
3,734
----------------------------------------------------------
BUSINESS SERVICES -- 1.9%
32 First Data Corp. 1,326
COMPUTER NETWORKS -- 3.3%
134 Cisco Systems, Inc.* 2,244
COMPUTER SOFTWARE -- 8.8%
10 Affiliated Computer Services, Inc., Class A* 457
179 Microsoft Corp. 4,595
78 Oracle Corp.* 942
----------------------------------------------------------
5,994
----------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 5.4%
50 Dell Computer Corp.* 1,598
25 International Business Machines Corp. 2,063
----------------------------------------------------------
3,661
----------------------------------------------------------
CONSUMER PRODUCTS -- 5.3%
6 Alberto-Culver Co., Class B 296
25 Colgate-Palmolive Co. 1,449
21 Procter & Gamble Co. 1,887
----------------------------------------------------------
3,632
----------------------------------------------------------
CONSUMER SERVICES -- 0.5%
8 Weight Watchers International, Inc.* 346
DIVERSIFIED -- 5.8%
137 General Electric Co. 3,926
ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.0%
14 Emerson Electric Co. 705
FINANCIAL SERVICES -- 8.5%
39 American Express Co. $ 1,610
23 Citigroup, Inc. 980
23 Fannie Mae 1,551
15 Goldman Sachs Group, Inc. 1,256
6 Legg Mason, Inc. 409
----------------------------------------------------------
5,806
----------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 5.7%
19 PepsiCo, Inc. 843
50 The Coca-Cola Co. 2,321
14 Unilever NV, N.Y. Registered Shares 756
(The Netherlands)
----------------------------------------------------------
3,920
----------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 3.3%
9 Cardinal Health, Inc. 579
34 Medtronic, Inc. 1,650
----------------------------------------------------------
2,229
----------------------------------------------------------
INSURANCE -- 2.6%
17 AMBAC Financial Group, Inc. 1,140
12 American International Group, Inc. 640
----------------------------------------------------------
1,780
----------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 1.4%
19 InterActiveCorp* 764
4 Symantec Corp.* 184
----------------------------------------------------------
948
----------------------------------------------------------
MULTI-MEDIA -- 3.1%
21 Comcast Corp., Special Class A* 619
24 The Walt Disney Co. 478
24 Viacom, Inc., Class B* 1,052
----------------------------------------------------------
2,149
----------------------------------------------------------
OIL & GAS -- 2.3%
13 Anadarko Petroleum Corp. 596
10 Baker Hughes, Inc. 342
17 Exxon Mobil Corp. 625
----------------------------------------------------------
1,563
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PHARMACEUTICALS -- 17.8%
40 Abbott Laboratories $ 1,729
12 Eli Lilly & Co. 838
6 Forest Laboratories, Inc.* 318
51 Johnson & Johnson 2,621
19 Merck & Co., Inc. 1,150
115 Pfizer, Inc. 3,934
14 Teva Pharmaceutical Industries LTD
(Israel), ADR 786
15 Wyeth 683
----------------------------------------------------------
12,059
----------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 2.0%
46 Yum! Brands, Inc.* 1,366
RETAILING -- 6.4%
17 Bed Bath & Beyond, Inc.* 656
6 Kohl's Corp.* 324
64 Wal-Mart Stores, Inc. 3,419
----------------------------------------------------------
4,399
----------------------------------------------------------
SEMI-CONDUCTORS -- 5.9%
11 Altera Corp.* 175
145 Intel Corp. 3,016
26 Linear Technology Corp. 831
----------------------------------------------------------
4,022
----------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.6%
46 Nokia OYJ (Finland), ADR 760
10 QUALCOMM, Inc. 358
----------------------------------------------------------
1,118
----------------------------------------------------------
Total Common Stocks 67,959
(Cost $74,397)
----------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.4%
MONEY MARKET FUND -- 0.4%
275 JPMorgan Prime Money Market Fund (a) $ 275
(Cost $275)
----------------------------------------------------------
Total Investments -- 100.0% $ 68,234
(Cost $74,672)
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
JPMORGAN EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2003 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 99.1%
COMMON STOCKS -- 99.1%
AGRICULTURAL PRODUCTION/SERVICES -- 1.6%
22 Monsanto Co. $ 483
15 UST, Inc. 529
----------------------------------------------------------
1,012
----------------------------------------------------------
APPAREL -- 1.4%
26 VF Corp. 887
APPLIANCES & HOUSEHOLD DURABLES -- 0.5%
6 Whirlpool Corp. (l) 350
AUTOMOTIVE -- 1.1%
22 Genuine Parts Co. 688
BANKING -- 15.8%
24 Bank of America Corp. 1,889
17 BB&T Corp. 593
29 Compass Bancshares, Inc. 1,013
16 New York Community Bancorp, Inc. 477
20 North Fork Bancorporation, Inc. 674
4 PNC Financial Services Group, Inc. 195
38 SouthTrust Corp. 1,020
21 SunTrust Banks, Inc. 1,240
23 TCF Financial Corp. 896
40 The Bank of New York Co., Inc. 1,136
50 U.S. Bancorp 1,223
----------------------------------------------------------
10,356
----------------------------------------------------------
BUSINESS SERVICES -- 1.5%
21 Deluxe Corp. 945
CHEMICALS -- 0.8%
11 PPG Industries, Inc. 543
COMPUTERS/COMPUTER HARDWARE -- 1.2%
36 Hewlett-Packard Co. 757
CONSTRUCTION MATERIALS -- 0.8%
14 Vulcan Materials Co. 515
CONSUMER PRODUCTS -- 2.8%
27 Altria Group, Inc. $ 1,227
12 Fortune Brands, Inc. 611
----------------------------------------------------------
1,838
----------------------------------------------------------
DIVERSIFIED -- 1.2%
28 General Electric Co. 792
ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.7%
9 Emerson Electric Co. 439
FINANCIAL SERVICES -- 6.7%
22 Charter One Financial, Inc. 670
47 Citigroup, Inc. 2,007
18 Freddie Mac 914
18 Washington Mutual, Inc. 756
----------------------------------------------------------
4,347
----------------------------------------------------------
FOOD/BEVERAGE PRODUCTS -- 2.6%
25 Kellogg Co. 866
15 Kraft Foods, Inc., Class A 488
18 Sara Lee Corp. 339
----------------------------------------------------------
1,693
----------------------------------------------------------
INSURANCE -- 6.7%
18 Chubb Corp. 1,062
17 Hartford Financial Services Group, Inc. 861
15 IPC Holdings LTD (Bermuda) 496
14 Marsh & McLennan Companies, Inc. 710
15 SAFECO Corp. 540
19 The Allstate Corp. 663
----------------------------------------------------------
4,332
----------------------------------------------------------
MANUFACTURING -- 2.1%
10 Cooper Industries LTD, Class A 425
4 Eaton Corp. 314
23 Honeywell International, Inc. 613
----------------------------------------------------------
1,352
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OIL & GAS -- 11.9%
28 ChevronTexaco Corp. $ 2,023
30 ConocoPhillips 1,633
91 Exxon Mobil Corp. 3,261
25 Questar Corp. 837
----------------------------------------------------------
7,754
----------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.4%
20 Plum Creek Timber Co., Inc. 517
11 Rayonier, Inc. 371
----------------------------------------------------------
888
----------------------------------------------------------
PHARMACEUTICALS -- 3.2%
5 Eli Lilly & Co. 352
14 Merck & Co., Inc. 859
13 Schering-Plough Corp. 243
14 Wyeth 638
----------------------------------------------------------
2,092
----------------------------------------------------------
REAL ESTATE -- 1.2%
17 Brascan Corp. (Canada), Class A 425
18 Brookfield Properties Corp. (Canada) 380
----------------------------------------------------------
805
----------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 10.6%
6 AMB Property Corp. 161
16 Boston Properties, Inc. 714
19 Chelsea Property Group, Inc. 777
14 Cousins Properties, Inc. 391
9 iStar Financial, Inc. 329
13 Kimco Realty Corp. 504
16 Manufactured Home Communities, Inc. 548
40 ProLogis 1,102
11 PS Business Parks, Inc. 378
19 Public Storage, Inc. 647
18 Regency Centers Corp. 633
22 Shurgard Storage Centers, Inc., Class A 711
----------------------------------------------------------
6,895
----------------------------------------------------------
RETAILING -- 0.9%
27 The May Department Stores Co. 597
TELECOMMUNICATIONS -- 9.2%
34 Alltel Corp. $ 1,649
42 BellSouth Corp. 1,116
55 SBC Communications, Inc. 1,403
46 Verizon Communications, Inc. 1,799
----------------------------------------------------------
5,967
----------------------------------------------------------
UTILITIES -- 13.2%
27 AGL Resources, Inc. 687
8 Consolidated Edison, Inc. 329
16 Dominion Resources, Inc. 1,034
37 DPL, Inc. 595
11 DTE Energy Co. 433
26 Energy East Corp. 534
11 Entergy Corp. 570
15 FirstEnergy Corp. 561
27 KeySpan Corp. 960
17 Pepco Holdings, Inc. 326
20 Pinnacle West Capital Corp. 760
13 PPL Corp. 559
17 SCANA Corp. 576
12 Sempra Energy 337
14 Wisconsin Energy Corp. 412
----------------------------------------------------------
8,673
----------------------------------------------------------
Total Common Stocks 64,517
(Cost $60,592)
----------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.9%
MONEY MARKET FUND -- 0.9%
576 JPMorgan Prime Money Market Fund (a) 576
(Cost $576)
----------------------------------------------------------
Total Investments -- 100.0% $ 65,093
(Cost $61,168)
----------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -----------------------------------------------------------------------
MONEY MARKET FUNDS (c)
----------------------------------------------------------
150 Merrill Lynch Premier Institution Money
Market Fund $ 150
205 Reserve Primary Money Market Fund 205
----------------------------------------------------------
$ 355
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
JPMORGAN U.S. EQUITY FUND
PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2003 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.3%
COMMON STOCKS -- 98.3%
AEROSPACE -- 1.6%
46 Lockheed Martin Corp. $ 2,202
67 Raytheon Co. 2,186
33 United Technologies Corp. 2,330
----------------------------------------------------------
6,718
----------------------------------------------------------
APPAREL -- 1.4%
79 Jones Apparel Group, Inc.* 2,306
66 Nike, Inc., Class B 3,504
----------------------------------------------------------
5,810
----------------------------------------------------------
AUTOMOTIVE -- 0.9%
59 General Motors Corp. 2,115
21 Johnson Controls, Inc. 1,840
----------------------------------------------------------
3,955
----------------------------------------------------------
BANKING -- 3.1%
80 Mellon Financial Corp. 2,228
61 North Fork Bancorporation, Inc. 2,078
35 SunTrust Banks, Inc. 2,050
285 U.S. Bancorp 6,988
----------------------------------------------------------
13,344
----------------------------------------------------------
BIOTECHNOLOGY -- 2.0%
79 Amgen, Inc.* 5,216
10 Genentech, Inc.* (l) 733
10 Gilead Sciences, Inc.* (l) 569
55 Human Genome Sciences, Inc.* 696
31 MedImmune, Inc.* 1,128
----------------------------------------------------------
8,342
----------------------------------------------------------
BUSINESS SERVICES -- 1.8%
185 Accenture LTD (Bermuda), Class A* (l) 3,350
106 First Data Corp. 4,401
----------------------------------------------------------
7,751
----------------------------------------------------------
CHEMICALS -- 1.2%
65 Eastman Chemical Co. 2,062
53 Praxair, Inc. 3,185
----------------------------------------------------------
5,247
----------------------------------------------------------
COMPUTER NETWORKS -- 1.6%
337 Cisco Systems, Inc.* 5,631
82 Juniper Networks, Inc.* 1,010
----------------------------------------------------------
6,641
----------------------------------------------------------
COMPUTER SOFTWARE -- 3.5%
508 Microsoft Corp. $ 13,018
73 SAP AG (Germany), ADR* (l) 2,142
----------------------------------------------------------
15,160
----------------------------------------------------------
COMPUTERS/COMPUTER HARDWARE -- 4.1%
185 Dell Computer Corp.* 5,912
62 International Business Machines Corp. 5,132
240 Seagate Technology (Cayman Islands)* 4,244
520 Sun Microsystems, Inc.* 2,391
----------------------------------------------------------
17,679
----------------------------------------------------------
CONSUMER PRODUCTS -- 4.9%
149 Altria Group, Inc. 6,789
109 Procter & Gamble Co. 9,763
133 The Gillette Co. 4,239
----------------------------------------------------------
20,791
----------------------------------------------------------
DIVERSIFIED -- 4.8%
440 General Electric Co. 12,632
404 Tyco International LTD (Bermuda) 7,674
----------------------------------------------------------
20,306
----------------------------------------------------------
ENTERTAINMENT/LEISURE -- 0.7%
90 Carnival Corp. 2,913
ENVIRONMENTAL SERVICES -- 0.5%
90 Waste Management, Inc. 2,160
FINANCIAL SERVICES -- 11.9%
132 Capital One Financial Corp. (l) 6,505
104 CIT Group, Inc. 2,558
402 Citigroup, Inc. 17,209
79 Countrywide Financial Corp. 5,497
363 E*TRADE Group, Inc.* 3,081
164 Freddie Mac 8,319
50 Goldman Sachs Group, Inc. 4,229
68 Morgan Stanley 2,911
16 Washington Mutual, Inc. 677
----------------------------------------------------------
50,986
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FOOD/BEVERAGE PRODUCTS -- 2.8%
51 PepsiCo, Inc. $ 2,262
209 The Coca-Cola Co. 9,718
----------------------------------------------------------
11,980
----------------------------------------------------------
HEALTH CARE/HEALTH CARE SERVICES -- 4.5%
25 Anthem, Inc.* 1,951
27 Boston Scientific Corp.* 1,644
114 CIGNA Corp. 5,358
90 Guidant Corp. 3,987
31 HCA, Inc. 996
57 Medtronic, Inc. 2,749
45 Omnicare, Inc. 1,514
20 St. Jude Medical, Inc.* 1,144
----------------------------------------------------------
19,343
----------------------------------------------------------
INSURANCE -- 4.6%
127 AMBAC Financial Group, Inc. 8,417
47 American International Group, Inc. 2,582
171 AON Corp. 4,115
295 Travelers Property Casualty Corp., Class A 4,683
----------------------------------------------------------
19,797
----------------------------------------------------------
INTERNET SERVICES/SOFTWARE -- 0.4%
15 eBay, Inc.* (l) 1,604
MACHINERY & ENGINEERING EQUIPMENT -- 1.0%
87 Ingersoll-Rand Co., LTD (Bermuda), Class A 4,122
MANUFACTURING -- 0.6%
100 Honeywell International, Inc. 2,696
METALS/MINING -- 0.7%
110 Alcoa, Inc. 2,815
MULTI-MEDIA -- 4.4%
249 AOL Time Warner, Inc.* 4,011
68 Comcast Corp., Class A* 2,040
41 Comcast Corp., Special Class A* 1,168
26 Fox Entertainment Group, Inc., Class A* 748
17 The E.W. Scripps Co., Class A $ 1,482
213 Viacom, Inc., Class B* 9,313
----------------------------------------------------------
18,762
----------------------------------------------------------
OIL & GAS -- 6.2%
70 Anadarko Petroleum Corp. 3,096
104 Baker Hughes, Inc. 3,493
34 ChevronTexaco Corp. 2,488
64 ConocoPhillips 3,486
32 Cooper Cameron Corp.* 1,597
53 Devon Energy Corp. 2,807
212 Exxon Mobil Corp. 7,617
94 Rowan Companies, Inc.* 2,098
----------------------------------------------------------
26,682
----------------------------------------------------------
PHARMACEUTICALS -- 9.2%
130 Bristol-Myers Squibb Co. 3,531
69 Eli Lilly & Co. 4,786
84 Forest Laboratories, Inc.* 4,604
65 Johnson & Johnson 3,353
88 Merck & Co., Inc. 5,347
357 Pfizer, Inc. 12,177
118 Wyeth 5,396
----------------------------------------------------------
39,194
----------------------------------------------------------
RESTAURANTS/FOOD SERVICES -- 1.1%
84 Darden Restaurants, Inc. 1,595
64 McDonald's Corp. 1,416
64 Yum! Brands, Inc.* 1,894
----------------------------------------------------------
4,905
----------------------------------------------------------
RETAILING -- 6.8%
49 Abercrombie & Fitch Co., Class A* 1,395
99 CVS Corp. 2,769
68 Family Dollar Stores 2,582
36 Federated Department Stores, Inc. 1,330
236 Home Depot, Inc. 7,810
39 Kohl's Corp.* 1,988
99 Target Corp. 3,752
135 Wal-Mart Stores, Inc. 7,235
----------------------------------------------------------
28,861
----------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SEMI-CONDUCTORS -- 2.6%
111 Altera Corp.* $ 1,827
39 Analog Devices, Inc.* 1,362
211 Intel Corp. 4,393
35 Intersil Corp., Class A* 924
36 Maxim Integrated Products, Inc. 1,224
42 Novellus Systems, Inc.* 1,520
----------------------------------------------------------
11,250
----------------------------------------------------------
SHIPPING/TRANSPORTATION -- 1.0%
28 FedEx Corp. 1,706
39 United Parcel Service, Inc., Class B 2,510
----------------------------------------------------------
4,216
----------------------------------------------------------
TELECOMMUNICATIONS -- 3.9%
34 AT&T Corp. 664
165 AT&T Wireless Services, Inc.* 1,354
184 SBC Communications, Inc. 4,714
369 Sprint Corp. -- PCS Group* (l) 2,120
194 Verizon Communications, Inc. 7,647
----------------------------------------------------------
16,499
----------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.1%
276 Lucent Technologies, Inc.* (l) 559
121 Nokia OYJ (Finland), ADR 1,992
65 QUALCOMM, Inc. 2,328
----------------------------------------------------------
4,879
----------------------------------------------------------
TOYS & GAMES -- 0.5%
115 Mattel, Inc. 2,172
UTILITIES -- 2.9%
147 PG&E Corp.* $ 3,103
164 Pinnacle West Capital Corp. 6,144
202 Xcel Energy, Inc. 3,038
----------------------------------------------------------
12,285
----------------------------------------------------------
Total Common Stocks 419,865
(Cost $360,677)
----------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.7%
U.S. TREASURY SECURITY -- 0.2%
$ 1,030 U.S. Treasury Note, 3.00%, 11/30/03@+ 1,039
(Cost $1,036)
<Caption>
SHARES
- -----------------------------------------------------------------------
MONEY MARKET FUND -- 1.5%
6,277 JPMorgan Prime Money Market Fund (a)+ 6,277
(Cost $6,277)
----------------------------------------------------------
Total Short-Term Investments 7,316
(Cost $7,313)
----------------------------------------------------------
Total Investments -- 100.0% $ 427,181
(Cost $367,990)
----------------------------------------------------------
<Caption>
SHARES COLLATERAL INVESTMENTS VALUE
- -----------------------------------------------------------------------
MONEY MARKET FUNDS (c)
5,828 Merrill Lynch Premier Institution
Money Market Fund $ 5,828
5,829 Reserve Primary Money Market Fund 5,829
----------------------------------------------------------
$ 11,657
----------------------------------------------------------
</Table>
FUTURE CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
VALUE AT APPRECIATION/
NUMBER OF 6/30/03 (DEPRECIATION)
CONTRACTS DESCRIPTION EXPIRATION DATE (USD) (USD)
- ------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
28 S&P 500 Index September, 2003 $ 6,813 $ (174)
</Table>
Abbreviations:
^ -- Amount rounds to less than 0.1%.
* -- Non-income producing security.
^^ -- Amount rounds to less than one thousand.
+ -- All or a portion of this security is segregated with the custodian for
futures contracts, TBA, when issued, delayed delivery securities or
swaps.
@ -- Security is fully or partially segregated 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.
(c) -- Investment of cash collateral for portfolio securities on loan.
(l) -- Security, or portion of a security, has been delivered to counterparty as
part of security lending transaction.
ADR -- American Depositary Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
(Amounts in thousands, except per share amounts) AS OF JUNE 30, 2003
<Table>
<Caption>
DISCIPLINED DISCIPLINED EQUITY EQUITY
EQUITY EQUITY VALUE GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
ASSETS:
Investment securities, at value $ 968,453 $ 25,538 $ 68,234 $ 65,093 $ 427,181
Investments held as collateral for
securities lending program -- 345 -- 355 11,657
Cash 157 5 -- 30 66
Receivables:
Investment securities sold 276 1,375 -- 262 1,446
Fund shares sold 1,337 --^ 32 4 65
Interest and dividends 1,244 37 60 150 399
Securities lending (net) 1 --^ -- --^ --^
Expense reimbursements 1 3 6 5 10
- ----------------------------------------------------------------------------------------------------------------
Total Assets 971,469 27,303 68,332 65,899 440,824
- ----------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Distributions 185 -- --^ 130 139
Investment securities purchased 283 1,375 -- -- 1,706
Collateral for securities
lending program -- 345 -- 355 11,657
Fund shares redeemed 845 -- 2 52 435
Variation margin 3 -- -- -- --
Accrued liabilities:
Investment advisory fees 229 -- 20 16 142
Administration fees --^ -- 6 3 --
Shareholder servicing fees 88 -- 10 11 55
Distribution fees 1 -- 6 7 30
Custodian fees 45 10 18 15 44
Trustees' fees - deferred
compensation plan 2 -- 23 25 47
Other 22 15 37 50 44
- ----------------------------------------------------------------------------------------------------------------
Total Liabilities 1,703 1,745 122 664 14,299
- ----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
DISCIPLINED DISCIPLINED EQUITY EQUITY
EQUITY EQUITY VALUE GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
NET ASSETS:
Paid in capital 1,341,008 29,230 135,280 81,621 476,513
Accumulated undistributed
(overdistributed) net investment income 348 9 (23) 2 75
Accumulated net realized gain (loss)
on investments and futures (515,352) (5,983) (60,609) (20,313) (109,080)
Net unrealized appreciation
(depreciation) of investments and futures 143,762 2,302 (6,438) 3,925 59,017
- ----------------------------------------------------------------------------------------------------------------
Total Net Assets $ 969,766 $ 25,558 $ 68,210 $ 65,235 $ 426,525
- ----------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 102 -- 723 560 5,251
Class B 37 -- 350 325 3,205
Class C -- -- 35 115 570
Institutional 61,495 1,785 -- -- 7,721
Select 5,578 -- 1,577 1,606 32,296
Ultra 15,245 -- -- -- --
Net Asset Value:
Class A (and redemption price) $ 11.76 $ -- $ 25.25 $ 25.05 $ 8.71
Class B* $ 11.74 $ -- $ 24.83 $ 25.03 $ 8.66
Class C* $ -- $ -- $ 24.81 $ 25.01 $ 8.66
Institutional (and redemption price) $ 11.76 $ 14.32 $ -- $ -- $ 8.70
Select (and redemption price) $ 11.77 $ -- $ 25.62 $ 25.04 $ 8.70
Ultra Shares (and redemption
price) $ 11.76 $ -- $ -- $ -- $ --
Class A Maximum Public Offering
Price Per Share (net asset value per
share/94.25%) $ 12.48 $ -- $ 26.79 $ 26.58 $ 9.24
- ----------------------------------------------------------------------------------------------------------------
Cost of investments $ 824,250 $ 23,236 $ 74,672 $ 61,168 $ 367,990
- ----------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
JPMORGAN FUNDS
STATEMENT OF OPERATIONS (Unaudited)
(Amounts in thousands) FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
DISCIPLINED DISCIPLINED EQUITY EQUITY
EQUITY EQUITY VALUE GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
INVESTMENT INCOME:
Interest $ 10 $ -- $ -- $ -- $ 8
Dividend 8,541 392 396 1,194 3,208
Dividend income from affiliated
investments* 68 1 4 4 53
Securities lending (net) 13 1 -- 1 12
Foreign taxes withheld -- -- (5) -- --
- ----------------------------------------------------------------------------------------------------------------
Total investment income 8,632 394 395 1,199 3,281
- ----------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,482 57 162 126 755
Administration fees 764 24 49 47 283
Shareholder servicing fees 534 16 81 79 415
Distribution fees 4 -- 57 57 129
Custodian fees 113 24 10 34 60
Printing and postage 54 2 7 2 24
Professional fees 39 26 22 27 32
Registration expenses 62 3 18 20 53
Transfer agent fees 50 6 102 91 180
Trustees' fees 5 --^ --^ --^ 2
Other 22 3 34 6 9
- ----------------------------------------------------------------------------------------------------------------
Total expenses 3,129 161 542 489 1,942
- ----------------------------------------------------------------------------------------------------------------
Less amounts waived 791 85 112 97 306
Less earnings credits --^ --^ -- --^ --^
Less expense reimbursements 11 3 38 39 47
- ----------------------------------------------------------------------------------------------------------------
Net expenses 2,327 73 392 353 1,589
- ----------------------------------------------------------------------------------------------------------------
Net investment income (loss) 6,305 321 3 846 1,692
- ----------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
DISCIPLINED DISCIPLINED EQUITY EQUITY
EQUITY EQUITY VALUE GROWTH INCOME U.S. EQUITY
FUND FUND FUND FUND FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on transactions from:
Investments (56,577) (2,812) (8,541) (765) (12,513)
Futures 1,290 (1) -- -- 1,039
Change in net unrealized
appreciation/depreciation of:
Investments 173,741 5,705 15,063 5,554 65,294
Futures (318) -- -- -- (10)
- ----------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and futures 118,136 2,892 6,522 4,789 53,810
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 124,441 $ 3,213 $ 6,525 $ 5,635 $ 55,502
- ----------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 9 $ --^ $ 1 $ 1 $ 7
- ----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
JPMORGAN FUNDS
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
(Amounts in thousands) FOR THE PERIODS INDICATED
<Table>
<Caption>
DISCIPLINED EQUITY FUND DISCIPLINED EQUITY VALUE FUND
--------------------------- ---------------------------------
1/1/03 1/1/03
THROUGH YEAR ENDED THROUGH YEAR ENDED
6/30/03 12/31/02 6/30/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 6,305 $ 12,035 $ 321 $ 615
Net realized gain (loss) on
investments and futures (55,287) (192,436) (2,813) (3,169)
- -----------------------------------------------------------------------------------------------------------
Change in net unrealized appreciation
(depreciation) of investments
and futures 173,423 (143,492) 5,705 (5,141)
- -----------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 124,441 (323,893) 3,213 (7,695)
- -----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (5,958) (12,444) (313) (679)
Net realized gain on investment
transactions -- -- -- (94)
- -----------------------------------------------------------------------------------------------------------
Total distributions to shareholders (5,958) (12,444) (313) (773)
- -----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) from capital
share transactions (139,949) 31,126 (14,120) 18,012
- -----------------------------------------------------------------------------------------------------------
Total increase (decrease) in net
assets (21,466) (305,211) (11,220) 9,544
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 991,232 1,296,443 36,778 27,234
- -----------------------------------------------------------------------------------------------------------
End of period $ 969,766 $ 991,232 $ 25,558 $ 36,778
- -----------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 348 $ 1 $ 9 $ 1
- -----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND EQUITY INCOME FUND
--------------------------- ---------------------------------
1/1/03 1/1/03
THROUGH YEAR ENDED THROUGH YEAR ENDED
6/30/03 12/31/02 6/30/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) $ 3 $ (132) $ 846 $ 920
Net realized gain (loss)
on investments and futures (8,541) (17,649) (765) (19,323)
Change in net unrealized appreciation
(depreciation) of investments
and futures 15,063 (14,593) 5,554 (2,718)
- -----------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 6,525 (32,374) 5,635 (21,121)
- -----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- (820) (984)
Net realized gain on investment
transactions -- -- -- (1,815)
- -----------------------------------------------------------------------------------------------------------
Total distributions to shareholders -- -- (820) (2,799)
- -----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) from capital share
transactions (5,929) (35,293) (6,796) (22,644)
- -----------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets 596 (67,667) (1,981) (46,564)
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 67,614 135,281 67,216 113,780
- -----------------------------------------------------------------------------------------------------------
End of period $ 68,210 $ 67,614 $ 65,235 $ 67,216
- -----------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (23) $ (26) $ 2 $ (24)
- -----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
------------------------------
1/1/03 THROUGH YEAR ENDED
6/30/03 12/31/02
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income $ 1,692 $ 2,223
Net realized gain (loss) on portfolio
and investments (11,474) (48,552)
Change in net unrealized appreciation
(depreciation) of portfolio
and investments 65,284 (85,270)
- -------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 55,502 (131,599)
- -------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,630) (2,461)
Net realized gain on investment
transactions -- --
- -------------------------------------------------------------------------
Total distributions to shareholders (1,630) (2,461)
- -------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) from capital
share transactions 27,341 (33,060)
- -------------------------------------------------------------------------
Total increase (decrease) in
net assets 81,213 (167,120)
- -------------------------------------------------------------------------
NET ASSETS:
Beginning of period 345,312 512,432
- -------------------------------------------------------------------------
End of period $ 426,525 $ 345,312
- -------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 75 $ 13
- -------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. ORGANIZATION
J.P. Morgan Institutional Funds ("JPMIF"), J.P. Morgan Series Trust ("JPMST"),
and J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") were organized as
Massachusetts business trusts. The Trusts are registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as open-end management
investment companies. The Trusts were organized on the following dates:
<Table>
<Caption>
TRUST DATE
JPMIF November 4, 1992
----------------------
JPMST August 15, 1996
----------------------
JPMMFIT September 23, 1997
</Table>
The following are five separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan Disciplined Equity Fund ("DEF") Class A, Class B, Institutional, Select and Ultra
JPMorgan Disciplined Equity Value Fund ("DEVF") Institutional
JPMorgan Equity Growth Fund ("EGF") Class A, Class B, Class C and Select
JPMorgan Equity Income Fund ("EIF") Class A, Class B, Class C and Select
JPMorgan U.S. Equity Fund ("USEF") Class A, Class B, Class C, Institutional and Select
</Table>
JPMMFIT was formerly named Mutual Fund Investment Trust. The name change went
into effect on May 1, 2003.
DEF and USEF are separate series of JPMIF. DEVF is a separate series of JPMST.
EGF and EIF are separate series of JPMMFIT.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Institutional Class, Select Class and the Ultra
Class. All classes of shares have equal rights as to earnings, assets and voting
privileges except that each class may bear different transfer agent,
distribution and shareholder servicing fees and each class has exclusive voting
rights with respect to its distribution plan and shareholder servicing
agreements.
During the six months ended June 30, 2003, DEF Institutional Class relieved
securities of the fund (Redemption in-kind) in exchange for the redemption of
shares. Cash and securities were transferred at a market value of (in thousands)
$167,788, which resulted in no realized gain or loss to the Fund for federal tax
purposes.
Beginning July 18, 2003, DEF, Class B will no longer be offered for sale.
41
<Page>
2. REORGANIZATIONS
Prior to the open of business on March 24, 2003, DEF acquired all the net assets
of JPMorgan SmartIndex(TM) Fund ("SF") and USEF acquired all the net assets of
JPMorgan Core Equity Fund ("CEF") and JPMorgan Focus Fund ("FF"). DEF and USEF
are hereafter collectively referred to as the "Acquiring Funds". CEF, FF and SF
are hereafter collectively referred to as the "Target Funds". These
reorganizations were pursuant to Reorganization Plans approved by the Target
Funds' shareholders on February 13, 2003. The transactions were structured for
tax purposes to qualify as tax-free reorganizations under the Internal Revenue
Code. Under each Reorganization Plan, shareholders of the Target Funds received
shares in the Acquiring Funds with a value equal to their holdings in the Target
Funds on the same date. Shareholders of the Acquiring Funds retained the same
amount of shares that they currently owned prior to the Reorganization Plans.
The reorganization of SF into DEF resulted in the creation of a new share class.
The DEF-Ultra Class assumed all of the net assets of the SmartIndex(TM) Fund.
42
<Page>
ANNUAL REPORT JUNE 30 2003
The following is a summary of Shares Outstanding, Net Assets, Net Asset Values
Per Share and Net Unrealized Appreciation (Depreciation) immediately before and
after the reorganization (amounts in thousands, except per share amounts):
JPMORGAN DISCIPLINED EQUITY FUND REORGANIZATION
<Table>
<Caption>
NET
NET ASSET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUND
JPMorgan SmartIndex(TM) Fund
Institutional 17,766 $ 186,589 $ 10.50 $ 4,742
ACQUIRING FUND
JPMorgan Disciplined Equity Fund $ 21,666
Class A 207 $ 2,227 $ 10.75
Class B 33 $ 354 $ 10.74
Institutional Class 81,334 $ 875,880 $ 10.77
Select Class 5,690 $ 61,307 $ 10.77
POST REORGANIZATION
JPMorgan Disciplined Equity Fund $ 26,408
Class A 207 $ 2,227 $ 10.75
Class B 33 $ 354 $ 10.74
Institutional Class 81,334 $ 875,880 $ 10.77
Select Class 5,690 $ 61,307 $ 10.77
Ultra Class 17,321 $ 186,589 $ 10.77
</Table>
43
<Page>
<Table>
<Caption>
NET
NET ASSET UNREALIZED
SHARES VALUE APPRECIATION
OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION)
TARGET FUNDS
JPMorgan Focus Fund $ (1,015)
Class A 756 $ 3,466 $ 4.58
Class B 1,012 $ 4,512 $ 4.46
Class C 229 $ 1,021 $ 4.46
Select Class 8 $ 38 $ 4.63
JPMorgan Core Equity Fund $ (3,567)
Class A 679 $ 11,566 $ 17.03
Class B 646 $ 10,842 $ 16.78
Class C 181 $ 3,045 $ 16.78
Select Class 1,805 $ 31,030 $ 17.19
ACQUIRING FUND
JPMorgan U.S. Equity Fund $ 13,511
Class A 3,657 $ 28,544 $ 7.81
Class B 1,370 $ 10,643 $ 7.77
Class C 76 $ 594 $ 7.77
Institutional Class 10,698 $ 83,440 $ 7.80
Select Class 28,662 $ 223,532 $ 7.80
POST REORGANIZATION
JPMorgan U.S. Equity Fund $ 8,929
Class A 5,582 $ 43,576 $ 7.81
Class B 3,346 $ 25,997 $ 7.77
Class C 600 $ 4,660 $ 7.77
Institutional Class 10,698 $ 83,440 $ 7.80
Select Class 32,646 $ 254,600 $ 7.80
</Table>
44
<Page>
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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 Systems equity securities quotes
by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing
Price. Securities for which sale prices are not available and other
over-the-counter securities are valued at the mean between the bid and asked
quotations. Fixed income securities, (other than convertible bonds), with a
maturity of 61 days or more held by the Funds will be valued each day based on
readily available market quotations received from independent or affiliated
commercial pricing services. Such pricing services will generally provide
bidside quotations. Convertible bonds are valued at the last sale price on the
primary exchange on which the bond is principally traded. When valuations are
not readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is reasonably possible
that the estimated values may differ significantly from the values that would
have been used had a ready market for the investments existed, and such
differences could have been material. Short-term investments with 60 days or
less to maturity at time of purchase are valued at amortized cost, which
approximates market value.
Trading in securities on most foreign exchanges and over-the-counter markets is
normally completed before the close of the domestic market and may also take
place on days when the domestic market is closed. If events materially affecting
the value of foreign securities occur between the time when the exchange on
which they are traded closes and the time when the Funds' net assets are
calculated, such securities will be valued at fair value in accordance with
procedures adopted by the Trustees.
B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled.
Index futures contracts are used to control the asset mix of the portfolios in
the most efficient manner. Short index futures contracts are used for hedging
purposes, i.e., to reduce the exposure to equities. Long index futures contracts
are used to gain exposure to equities, when it is anticipated that this will be
more efficient than buying stocks directly.
Use of long futures contracts subjects the Fund to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities up to the notional
value of the futures contract. Use of short futures contracts subject the Fund
to unlimited risk.
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, The Funds 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
45
<Page>
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. SECURITIES ON LOAN -- For all the Funds, the Board of Trustees has approved
the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB",
an affiliate of the Funds) acting as lending agent to certain borrowers. By
lending investment securities, the Funds attempt to increase their net
investment income through the receipt of interest (after rebates and fees) on
collateral received in connection with the loan. The net amount of interest
earned, after the rebate and fee, is included in the Statement of Operations as
Securities lending (net).
The loans are secured by collateral at least equal, at all times to the value of
the securities loaned plus accrued interest. Gain or loss on the value of the
securities loaned that may occur during the term of the loan will be for the
account of the Funds. The Funds also continue to receive interest or dividends
on the securities loaned. The Funds have the right under the lending agreement
to recover the securities from the borrower on demand.
JPMCB invests the cash collateral on behalf of the Funds in accordance with
investment guidelines contained in the securities lending agreement. At June 30,
2003, the market value of securities loaned and the amount of collateral
received were as follows (amounts in thousands):
<Table>
<Caption>
MARKET VALUE OF MARKET VALUE OF
SECURITIES LOANED COLLATERAL RECEIVED
FUND
DEF $ -- $ --
DEVF 334 345
EGF -- --
EIF 350 355
USEF 11,397 11,657
</Table>
JPMCB as lending agent receives a fee of 0.06% of the average dollar value of
loans of U.S. securities outstanding during a given month and 0.1142% of the
average dollar value of loans on non-U.S. securities outstanding during a given
month from the Funds as detailed below (amounts in thousands):
<Table>
FUND
DEF $ 8
DEVF --^
EGF --
EIF --^
USEF 6
</Table>
^ Amount rounds to less than one thousand.
Risks of delay in recovery of securities or even loss of rights in the
collateral may occur should the borrower of the securities fail financially.
Risks may also arise to the extent that the value of the securities loaned
increases above the value of the securities received. JPMCB will indemnify the
Fund from any loss resulting from a borrower's failure to return a loaned
security when due.
E. 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.
F. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class,
46
<Page>
investment income, realized and unrealized gains and losses and expenses other
than class specific expenses are allocated daily to each class of shares based
upon the proportion of net assets of each class at the beginning of each day.
G. 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.
H. 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.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to separate Investment Advisory
Agreements, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM"), and J.P.
Morgan Investment Management, Inc. ("JPMIM") (collectively, the "Advisors") act
as the investment advisors to the Funds. JPMFAM, a direct wholly owned
subsidiary of JPMCB and an indirect wholly owned subsidiary of J.P. Morgan Chase
& Co. ("JPMorgan"), is the Advisor for EGF and EIF. JPMIM, a wholly owned
subsidiary of JPMorgan, is the Advisor for DEF, DEVF and USEF. The Advisors
supervise the investments of each respective Fund and for such services are paid
a fee. The fee is accrued daily and paid monthly based on each Fund's respective
average daily net assets. The annual fee for each Fund is as follows:
<Table>
<Caption>
INVESTMENT
ADVISORY FEE (%)
FUND
DEF 0.25%*
DEVF 0.35%
EGF 0.50%
EIF 0.40%
USEF 0.40%
</Table>
* Effective March 21, 2003, the Investment Advisor fee was changed from 0.35%
to 0.25%.
The Advisors waived fees as outlined in Note 4.F.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or 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 Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
47
<Page>
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
DEF 0.25 0.75 n/a
DEVF n/a n/a n/a
EGF 0.25 0.75 0.75
EIF 0.25 0.75 0.75
USEF 0.25 0.75 0.75
</Table>
In addition, JPMFD receives the contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in 4.F.
C. SHAREHOLDER SERVICING FEE -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JPMCB under which JPMCB
provides account administration and personal account maintenance service to the
shareholders. JPMCB may obtain the services of one or more Shareholder Servicing
Agents. For these services JPMCB or the Shareholder Servicing Agent will receive
a fee that is computed daily and paid monthly equal to a percentage of the
average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DEF 0.25 0.25 n/a 0.10 0.25 0.05
DEVF n/a n/a n/a 0.10 n/a n/a
EGF 0.25 0.25 0.25 n/a 0.25 n/a
EIF 0.25 0.25 0.25 n/a 0.25 n/a
USEF 0.25 0.25 0.25 0.10 0.25 n/a
</Table>
In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and JPMIF and JPMST are
parties to separate servicing and operating agreements (the "Schwab Agreements")
whereby Schwab makes shares of the Funds available to customers of investment
advisors and other financial intermediaries who are Schwab's clients. The Funds
are not responsible for payments to Schwab under the Schwab Agreements; however,
in the event the servicing agreement with Schwab is terminated for reasons other
than a breach by Schwab and the relationships between Schwab, JPMIF, JPMST and
JPMCB are terminated, the Funds would be responsible for the ongoing payments to
Schwab with respect to pre-termination shares.
The Shareholder Servicing Agents waived fees as outlined in Note 4.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
portfolio accounting services for all the Funds, except for EGF. Compensation
for such services
48
<Page>
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 FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate equal to 0.15% of the first $25 billion of
the average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion for
all the Funds except.
BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
The Administrator has contractually agreed to reimburse the Funds to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets as shown in the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DEF 0.95 1.45 n/a 0.45 0.75 0.35
DEVF n/a n/a n/a 0.45 n/a n/a
EGF 1.25 1.98 1.98 n/a 1.00 n/a
EIF 1.25 1.75 1.75 n/a 0.90 n/a
USEF 1.05 1.75 1.75 0.64 0.79 n/a
</Table>
The expense limitation percentages in the table above are due to expire as
follows:
<Table>
<Caption>
INSTITUTIONAL SELECT ULTRA
CLASS A CLASS B CLASS C CLASS CLASS CLASS
FUND
DEF 4/30/04 4/30/04 n/a 4/30/05 4/30/05 4/30/05
DEVF n/a n/a n/a 4/30/05 n/a n/a
EGF 4/30/04 4/30/04 4/30/04 n/a 4/30/04 n/a
EIF 4/30/04 4/30/04 4/30/04 n/a 4/30/04 n/a
USEF 4/30/05 4/30/04 4/30/04 4/30/05 4/30/05 n/a
</Table>
The Administrator waived fees and reimbursed expenses as outlined in Note 4.F.
49
<Page>
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended June 30, 2003, the
Funds' vendors waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands):
<Table>
<Caption>
CONTRACTUAL WAIVERS
---------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
DEF $ -- $ 554 $ 221 $ -- $ 775 $ 11
DEVF 45 24 16 -- 85 3
EGF 49 16 25 22 112 38
EIF 31 35 13 18 97 39
USEF -- 179 127 -- 306 47
- ----------------------------------------------------------------------------------------------
Total $ 125 $ 808 $ 402 $ 40 $ 1,375 $ 138
</Table>
<Table>
<Caption>
VOLUNTARY WAIVERS
---------------------------------------------------------------
INVESTMENT SHAREHOLDER
ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL
FUND
DEF $ -- $ 16 $ -- $ -- $ 16
</Table>
G. OTHER-- Certain officers of the Trust(s) are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain Funds purchased securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate were
affiliated with the Advisors.
For the six months ended June 30, 2003, USEF incurred approximately (in
thousands) $2 as brokerage commissions with brokers/dealers affiliated with
JPMCB.
50
<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the six months ended June 30, 2003, are
as follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
DEF
Class A $ 3 $ 3 $ 12
Class B -^ 1 2
Institutional 429 -- 17
Select 78 -- 17
Ultra 24 -- 2
$ 534 $ 4 $ 50
DEVF
Institutional $ 16 $ -- $ 6
EGF
Class A $ 22 $ 22 $ 65
Class B 10 31 30
Class C 1 4 3
Select 48 -- 4
$ 81 $ 57 $ 102
EIF
Class A $ 18 $ 18 $ 49
Class B 10 29 27
Class C 3 10 9
Select 48 -- 6
$ 79 $ 57 $ 91
USEF
Class A $ 46 $ 46 $ 74
Class B 24 72 38
Class C 4 11 6
Institutional 38 -- 10
Select 303 -- 52
$ 415 $ 129 $ 180
</Table>
^ Amount rounds to less than one thousand.
51
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the six months ended June 30, 2003, and the
year ended December 31, 2002, are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 6/30/03 YEAR ENDED 12/31/02
--------------------------------- ----------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
DEF
Class A $ 5 $ -- $ 16 $ --
Class B --^ -- 1 --
Institutional 5,020 -- 11,734 --
Select 291 -- 693 --
Ultra 642 -- -- --
----------------------------------------------------------------------
$ 5,958 $ -- $ 12,444 $ --
DEVF
Institutional $ 313 $ -- $ 679 $ 94
EIF
Class A $ 166 $ -- $ 204 $ 427
Class B 66 -- 66 234
Class C 24 -- 21 66
Select 564 -- 693 1,088
----------------------------------------------------------------------
$ 820 $ -- $ 984 $ 1,815
USEF
Class A $ 109 $ -- $ 127 $ --
Class B 1 -- 2 --
Class C --^ -- -- --
Institutional 393 -- 655 --
Select 1,127 -- 1,677 --
----------------------------------------------------------------------
$ 1,630 $ -- $ 2,461 $ --
----------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
52
<Page>
7. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2003, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
FUND
DEF $ 290,994 $ 631,335 $ -- $ --
DEVF 9,960 24,022 -- --
EGF 9,964 15,833 -- --
EIF 5,127 11,906 -- --
USEF 156,234 190,189 -- --
</Table>
8. 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>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
DEF $ 824,250 $ 156,227 $ (12,465) $ 143,762
DEVF 23,236 2,981 (679) 2,302
EGF 74,672 3,802 (10,240) (6,438)
EIF 61,168 5,911 (1,986) 3,925
USEF 367,990 75,353 (16,336) 59,017
</Table>
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Funds. The commitment fee is included in
Other expenses on the Statement of Operations. This agreement will expire on
April 15, 2004.
Prior to April 17, 2003, the Funds could borrow money for temporary or emergency
purposes. The Funds had entered into an agreement, enabling them to participate
with other JPMorgan Funds in an unsecured line of credit with a syndicate of
banks, which permitted borrowings up to $400 million, collectively. Interest was
charged to the Fund based on its borrowings at an annual rate equal to the sum
of the Federal Funds Rate plus 0.50%.
53
<Page>
The Funds also paid a commitment fee of 0.09% per annum on the average daily
amount of the available commitment, which was allocated on a pro-rata basis to
the Fund. This agreement expired on April 16, 2003.
The Funds had no borrowings outstanding at June 30, 2003, nor at anytime during
the period then ended.
10. 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.
11. SUBSEQUENT EVENT
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.
54
<Page>
12. CAPITAL SHARE TRANSACTIONS
<Table>
<Caption>
DISCIPLINED EQUITY FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 242 $ 865
In-kind transfer -- --
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 2 6
Shares redeemed (1,437) (19)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (1,193) $ 852
- ----------------------------------------------------------------------------
SHARES
Shares sold 21 68
In-kind transfer -- --
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions --^ 1
Shares redeemed (125) (2)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (104) 67
- ----------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 94 $ 473
In-kind transfer -- --
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions --^ 1
Shares redeemed (31) (111)
- ----------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 63 $ 363
- ----------------------------------------------------------------------------
SHARES
Shares sold 9 36
In-kind transfer -- --
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions --^ --^
Shares redeemed (3) (10)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 6 26
- ----------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
55
<Page>
<Table>
<Caption>
DISCIPLINED EQUITY FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 40,437 $ 257,802
In-kind transfer (167,788) 197,097
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 4,707 10,768
Shares redeemed (175,252) (397,621)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (297,896) $ 68,046
- ----------------------------------------------------------------------------
SHARES
Shares sold 3,742 20,776
In-kind transfer (14,076) 16,846
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 426 954
Shares redeemed (16,178) (32,930)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (26,086) 5,646
- ----------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 11,431 $ 39,336
In-kind transfer -- --
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 262 637
Shares redeemed (17,740) (78,108)
- ----------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (6,047) $ (38,135)
- ----------------------------------------------------------------------------
SHARES
Shares sold 1,084 3,323
In-kind transfer -- --
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 23 56
Shares redeemed (1,663) (6,524)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (556) (3,145)
- ----------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
56
<Page>
<Table>
<Caption>
DISCIPLINED EQUITY FUND
-----------------------
3/24/03**
THROUGH
6/30/03
ULTRA SHARES
AMOUNT
Shares sold $ 4,180
In-kind transfer --
Shares issued in connection with
Fund Reorganization (Note 2) 186,589
Shares issued in reinvestment
of distributions 641
Shares redeemed (26,286)
- ------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 165,124
- ------------------------------------------------------------
SHARES
Shares sold 334
In-kind transfer --
Shares issued in connection with
Fund Reorganization (Note 2) 17,321
Shares issued in reinvestment
of distributions 54
Shares redeemed (2,464)
- ------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 15,245
- ------------------------------------------------------------
</Table>
** Commencement of offering of class of shares.
<Table>
<Caption>
DISCIPLINED EQUITY VALUE FUND
------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 3 $ 2,471
In-kind transfer -- 14,783
Shares issued in reinvestment
of distributions 312 773
Shares redeemed (14,435) (15)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (14,120) $ 18,012
- ----------------------------------------------------------------------------
SHARES
Shares sold --^ 186
In-kind transfer -- 900
Shares issued in reinvestment
of distributions 24 57
Shares redeemed (1,070) (1)
- ----------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (1,046) 1,142
- ----------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
57
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND EQUITY INCOME FUND
------------------------------------- -------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 3,122 $ 13,641 $ 613 $ 2,132
Shares issued in reinvestment
of distributions -- -- 143 536
Shares redeemed (4,543) (19,524) (2,787) (10,468)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,421) $ (5,883) $ (2,031) $ (7,800)
- ---------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 131 470 26 77
Shares issued in reinvestment
of distributions -- -- 6 21
Shares redeemed (192) (677) (116) (380)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (61) (207) (84) (282)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 280 $ 887 $ 360 $ 650
Shares issued in reinvestment
of distributions -- -- 35 256
Shares redeemed (824) (3,529) (1,096) (3,804)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (544) $ (2,642) $ (701) $ (2,898)
- ---------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 12 32 14 25
Shares issued in reinvestment
of distributions -- -- 3 11
Shares redeemed (36) (137) (48) (144)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (24) (105) (31) (108)
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
58
<Page>
<Table>
<Caption>
EQUITY GROWTH FUND EQUITY INCOME FUND
------------------------------------- -------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
CLASS C SHARES
AMOUNT
Shares sold $ 20 $ 109 $ 379 $ 380
Shares issued in reinvestment
of distributions -- -- 12 75
Shares redeemed (280) (794) (370) (661)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (260) $ (685) $ 21 $ (206)
- ---------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1 4 16 15
Shares issued in reinvestment
of distributions -- -- 1 3
Shares redeemed (12) (30) (17) (26)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (11) (26) --^ (8)
- ---------------------------------------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 3,111 $ 5,297 $ 792 $ 13,820
Shares issued in reinvestment
of distributions -- -- 422 1,656
Shares redeemed (6,815) (31,380) (5,299) (27,216)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (3,704) $ (26,083) $ (4,085) $ (11,740)
- ---------------------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 127 191 34 537
Shares issued in reinvestment
of distributions -- -- 18 65
Shares redeemed (285) (1,134) (223) (1,034)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (158) (943) (171) (432)
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
59
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 2,269 $ 14,197
Shares issued in connection with
Fund Reorganization (Note 2) 15,032 --
Shares issued in reinvestment
of distributions 77 89
Shares redeemed (6,369) (27,001)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 11,009 $ (12,715)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 284 1,566
Shares issued in connection with
Fund Reorganization (Note 2) 1,925 --
Shares issued in reinvestment
of distributions 10 11
Shares redeemed (793) (2,943)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,426 (1,366)
- --------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 346 $ 756
Shares issued in connection with
Fund Reorganization (Note 2) 15,354 --
Shares issued in reinvestment
of distributions 1 1
Shares redeemed (2,148) (3,790)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 13,553 $ (3,033)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 42 85
Shares issued in connection with
Fund Reorganization (Note 2) 1,976 --
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (272) (432)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1,746 (347)
- --------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
60
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
CLASS C SHARES
AMOUNT
Shares sold $ 78 $ 90
Shares issued in connection with
Fund Reorganization (Note 2) 4,066 --
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (348) (452)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 3,796 $ (362)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 10 11
Shares issued in connection with
Fund Reorganization (Note 2) 524 --
Shares issued in reinvestment
of distributions --^ --
Shares redeemed (44) (55)
- --------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 490 (44)
- --------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 6,415 $ 25,783
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 332 539
Shares redeemed (29,049) (11,587)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (22,302) $ 14,735
- --------------------------------------------------------------------------------------
SHARES
Shares sold 844 2,997
Shares issued in connection with
Fund Reorganization (Note 2) -- --
Shares issued in reinvestment
of distributions 41 66
Shares redeemed (3,566) (1,332)
- --------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (2,681) 1,731
- --------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
61
<Page>
<Table>
<Caption>
U.S. EQUITY FUND
-------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
SELECT SHARES
AMOUNT
Shares sold $ 12,002 $ 32,907
Shares issued in connection with
Fund Reorganization (Note 2) 31,068 --
Shares issued in reinvestment
of distributions 999 1,535
Shares redeemed (22,784) (66,127)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 21,285 $ (31,685)
- --------------------------------------------------------------------------------------
SHARES
Shares sold 1,515 3,767
Shares issued in connection with
Fund Reorganization (Note 2) 3,984 --
Shares issued in reinvestment
of distributions 122 188
Shares redeemed (2,954) (7,601)
- --------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2,667 (3,646)
- --------------------------------------------------------------------------------------
</Table>
62
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
63
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS (Unaudited)
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 $ 10.54 0.04@ 1.20 1.24 0.02 -- 0.02
Year Ended 12/31/02 $ 14.17 0.07@ (3.62) (3.55) 0.08 -- 0.08
9/28/01** Through 12/31/01 $ 12.85 0.01@ 1.39 1.40 0.08 -- 0.08
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 22.87 --@+ 2.38 2.38 -- -- --
Year Ended 12/31/02 $ 31.87 (0.06)@ (8.94) (9.00) -- -- --
Year Ended 12/31/01 $ 43.12 (0.18)@ (8.03) (8.21) -- 3.04 3.04
Year Ended 12/31/00 $ 67.85 (0.42)@ (16.14) (16.56) -- 8.17 8.17
Year Ended 12/31/99 $ 52.30 (0.29)@ 16.75 16.46 -- 0.91 0.91
8/13/98** Through 12/31/98 $ 45.57 (0.02)@ 8.53 8.51 -- 1.78 1.78
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 23.25 0.30@ 1.78 2.08 0.28 -- 0.28
Year Ended 12/31/02 $ 30.57 0.25@ (6.71) (6.46) 0.29 0.57 0.86
Year Ended 12/31/01 $ 35.35 0.10@ (4.62) (4.52) 0.09 0.17 0.26
Year Ended 12/31/00 $ 49.83 0.17@ (2.66) (2.49) 0.18 11.81 11.99
Year Ended 12/31/99 $ 46.23 0.20@ 5.63 5.83 0.23 2.00 2.23
8/24/98** Through 12/31/98 $ 40.49 0.06 5.89 5.95 0.07 0.14 0.21
U.S. EQUITY FUND+
1/1/03 Through 6/30/03 $ 7.61 0.03@ 1.09 1.12 0.02 -- 0.02
Year Ended 12/31/02 $ 10.45 0.03 (2.84) (2.81) 0.03 -- 0.03
6/1/01 Through 12/31/01^ $ 11.16 0.02@ (0.69) (0.67) 0.02 0.02 0.04
9/15/00** Through 5/3/01 $ 12.86 0.03 (1.72) (1.69) 0.01 -- 0.01
</Table>
+ Prior to open of business on September 10, 2001, the class underwent a split
of shares in connection with the USEF reorganization. Prior periods have
been restated to reflect the split.
^ The Fund changed its fiscal year end from May 31 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
+ Amount less than $.005.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
64
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN(1)(a) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 $ 11.76 11.81% $ 1 0.95% 0.76% 2.20%
Year Ended 12/31/02 $ 10.54 (25.07%) $ 2 0.95% 0.60% 2.23%
9/28/01** Through 12/31/01 $ 14.17 10.93% $ 2 0.95% 0.42% 11.02%!!
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 25.25 10.41% $ 18 1.25% (0.03%) 2.16%
Year Ended 12/31/02 $ 22.87 (28.24%) $ 18 1.25% (0.20%) 2.26%
Year Ended 12/31/01 $ 31.87 (19.06%) $ 32 1.24% (0.50%) 1.58%
Year Ended 12/31/00 $ 43.12 (23.85%) $ 24 1.24% (0.65%) 1.64%
Year Ended 12/31/99 $ 67.85 31.54% $ 15 1.24% (0.48%) 2.34%
8/13/98** Through 12/31/98 $ 52.30 18.80% $ 1 1.25% (0.19%) 5.88%!!
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 25.05 9.05% $ 14 1.25% 2.56% 2.03%
Year Ended 12/31/02 $ 23.25 (21.34%) $ 15 1.25% 0.95% 1.91%
Year Ended 12/31/01 $ 30.57 (12.76%) $ 28 1.25% 0.30% 1.55%
Year Ended 12/31/00 $ 35.35 (4.09%) $ 5 1.25% 0.34% 1.94%
Year Ended 12/31/99 $ 49.83 12.70% $ 4 1.24% 0.42% 3.33%!!
8/24/98** Through 12/31/98 $ 46.23 14.70% $ 1 1.18% 0.57% 37.61%!!
U.S. EQUITY FUND+
1/1/03 Through 6/30/03 $ 8.71 14.80% $ 46 1.05% 0.70% 1.53%
Year Ended 12/31/02 $ 7.61 (26.89%) $ 29 1.05% 0.30% 1.44%
6/1/01 Through 12/31/01^ $ 10.45 (5.96%) $ 54 1.05% 0.30% 1.44%
9/15/00** Through 5/3/01 $ 11.16 (13.10%) $ 3 1.05% 0.22% 7.05%!!
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE(a) ~ (g)(e)
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 (0.49%) 29%
Year Ended 12/31/02 (0.68%) 74%
9/28/01** Through 12/31/01 (9.65%)!! 33%
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 (0.94%) 15%
Year Ended 12/31/02 (1.21%) 50%
Year Ended 12/31/01 (0.84%) 98%
Year Ended 12/31/00 (1.05%) 58%
Year Ended 12/31/99 (1.58%) 15%
8/13/98** Through 12/31/98 (4.82%)!! 35%
EQUITY INCOME FUND
1/1/03 Through 6/30/03 1.78% 8%
Year Ended 12/31/02 0.29% 167%
Year Ended 12/31/01 0.00% 4%
Year Ended 12/31/00 (0.35%) 15%
Year Ended 12/31/99 (1.67%) 16%
8/24/98** Through 12/31/98 (35.86%)!! 3%
U.S. EQUITY FUND+
1/1/03 Through 6/30/03 0.22% 42%
Year Ended 12/31/02 (0.09%) 83%
6/1/01 Through 12/31/01^ (0.09%) 48%
9/15/00** Through 5/3/01 (5.78%)!! 81%
</Table>
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
~ Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
(g) Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio turnover
reflects the rate of the Fund.
(e) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
65
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 $ 10.53 0.01@ 1.21 1.22 0.01 -- 0.01
Year Ended 12/31/02 $ 14.18 0.01@ (3.62) (3.61) 0.04 -- 0.04
9/28/01** Through 12/31/01 $ 12.85 --@ 1.40 1.40 0.07 -- 0.07
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 22.58 (0.09)@ 2.34 2.25 -- -- --
Year Ended 12/31/02 $ 31.68 (0.26)@ (8.84) (9.10) -- -- --
2/16/01** Through 12/3/01 $ 41.84 (0.36)@ (6.76) (7.12) -- 3.04 3.04
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 23.21 0.24@ 1.78 2.02 0.20 -- 0.20
Year Ended 12/31/02 $ 30.54 0.12@ (6.70) (6.58) 0.18 0.57 0.75
2/16/01** Through 12/31/01 $ 34.41 (0.06)@ (3.64) (3.70) -- 0.17 0.17
U.S. EQUITY FUND
1/1/03 Through 6/30/03 $ 7.58 --@+ 1.08 1.08 --+ -- --+
Year Ended 12/31/02 $ 10.43 (0.04) (2.81) (2.85) -- -- --
9/10/01** Through 12/31/01^ $ 9.67 (0.01)@ 0.79 0.78 -- 0.02 0.02
</Table>
^ The Fund changed its fiscal year end from May 31 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
+ Amount less than $.005.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate.
* Amount rounds to less than one million.
SEE NOTES TO FINANCIAL STATEMENTS.
66
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN(1)(a) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 $ 11.74 11.62% $ 1 1.45% 0.25% 2.69%
Year Ended 12/31/02 $ 10.53 (25.45%) $ --* 1.45% 0.14% 2.67%
9/28/01** Through 12/31/01 $ 14.18 10.86% $ --* 1.45% (0.12%) 11.52%!!
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 24.83 9.96% $ 9 1.98% (0.76%) 2.66%
Year Ended 12/31/02 $ 22.58 (28.72%) $ 9 1.98% (0.92%) 2.75%
2/16/01** Through 12/3/01 $ 31.68 (17.07%) $ 15 1.99% (1.24%) 2.10%
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 25.03 8.78% $ 8 1.75% 2.05% 2.52%
Year Ended 12/31/02 $ 23.21 (21.74%) $ 8 1.75% 0.45% 2.42%
2/16/01** Through 12/31/01 $ 30.54 (10.74%) $ 14 1.75% (0.20%) 2.06%
U.S. EQUITY FUND
1/1/03 Through 6/30/03 $ 8.66 14.26% $ 28 1.75% 0.01% 2.03%
Year Ended 12/31/02 $ 7.58 (27.31%) $ 11 1.75% (0.40%) 1.93%
9/10/01** Through 12/31/01^ $ 10.43 8.07% $ 19 1.75% (0.40%) 1.85%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE(a) ~ (g)(e)
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 (0.99%) 29%
Year Ended 12/31/02 (1.08%) 74%
9/28/01** Through 12/31/01 (10.19%)!! 33%
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 (1.44%) 15%
Year Ended 12/31/02 (1.69%) 50%
2/16/01** Through 12/3/01 (1.35%) 98%
EQUITY INCOME FUND
1/1/03 Through 6/30/03 1.28% 8%
Year Ended 12/31/02 (0.22%) 167%
2/16/01** Through 12/31/01 (0.51%) 4%
U.S. EQUITY FUND
1/1/03 Through 6/30/03 (0.27%) 42%
Year Ended 12/31/02 (0.58%) 83%
9/10/01** Through 12/31/01^ (0.50%) 48%
</Table>
~ Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
(g) Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio turnover
reflects the rate of the Fund.
(e) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
67
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 22.56 (0.09)@ 2.34 2.25 -- -- --
Year Ended 12/31/02 $ 31.64 (0.28)@ (8.80) (9.08) -- -- --
2/16/01** Through 12/31/01 $ 41.84 (0.37)@ (6.79) (7.16) -- 3.04 3.04
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 23.20 0.24@ 1.78 2.02 0.21 -- 0.21
Year Ended 12/31/02 $ 30.53 0.13@ (6.71) (6.58) 0.18 0.57 0.75
2/16/01** Through 12/31/01 $ 34.41 (0.05)@ (3.66) (3.71) -- 0.17 0.17
U.S. EQUITY FUND
1/3/03 Through 6/30/03 $ 7.58 --@+ 1.08 1.08 --+ -- --+
Year Ended 12/31/02 $ 10.44 (0.05) (2.81) (2.86) -- -- --
9/10/01** Through 12/31/01^ $ 9.67 (0.01)@ 0.80 0.79 -- 0.02 0.02
</Table>
^ The Fund changed its fiscal year end from May 31 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
(g) Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio turnover
reflects the rate of the Fund.
(e) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
+ Amount rounds to less than $0.005.
SEE NOTES TO FINANCIAL STATEMENTS.
68
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN(1) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 24.81 9.97% $ 1 1.98% (0.76%) 2.66%
Year Ended 12/31/02 $ 22.56 (28.70%) $ 1 1.98% (0.92%) 2.56%
2/16/01** Through 12/31/01 $ 31.64 (17.17%) $ 2 1.99% (1.25%) 2.10%
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 25.01 8.77% $ 3 1.75% 2.06% 2.52%
Year Ended 12/31/02 $ 23.20 (21.74%) $ 3 1.75% 0.48% 2.41%
2/16/01** Through 12/31/01 $ 30.53 (10.76%) $ 4 1.75% (0.20%) 2.06%
U.S. EQUITY FUND
1/3/03 Through 6/30/03 $ 8.66 14.27% $ 5 1.75% 0.03% 2.03%
Year Ended 12/31/02 $ 7.58 (27.37%) $ 1 1.75% (0.42%) 1.93%
9/10/01** Through 12/31/01^ $ 10.44 8.18% $ 1 1.75% (0.39%) 1.85%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE(a) (g)(e)
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 (1.44%) 15%
Year Ended 12/31/02 (1.50%) 50%
2/16/01** Through 12/31/01 (1.36%) 98%
EQUITY INCOME FUND
1/1/03 Through 6/30/03 1.29% 8%
Year Ended 12/31/02 (0.18%) 167%
2/16/01** Through 12/31/01 (0.51%) 4%
U.S. EQUITY FUND
1/3/03 Through 6/30/03 (0.25%) 42%
Year Ended 12/31/02 (0.60%) 83%
9/10/01** Through 12/31/01^ (0.49%) 48%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 $ 10.55 0.07@ 1.21 1.28 0.07 -- 0.07
Year Ended 12/31/02 $ 14.19 0.13@ (3.63) (3.50) 0.14 -- 0.14
6/1/01 Through 12/31/01^ $ 15.65 0.07@ (1.44) (1.37) 0.09 -- 0.09
Year Ended 5/31/01 $ 17.54 0.14 (1.89) (1.75) 0.14 -- 0.14
Year Ended 5/31/00 $ 17.57 0.17 0.81 0.98 0.18 0.83 1.01
Year Ended 5/31/99 $ 14.96 0.17 3.18 3.35 0.15 0.59 0.74
Year Ended 5/31/98 $ 11.47 0.12 3.62 3.74 0.12 0.13 0.25
DISCIPLINED EQUITY VALUE FUND
1/1/03 Through 6/30/03 $ 12.99 0.13@ 1.34 1.47 0.14 -- 0.14
Year Ended 12/31/02 $ 16.12 0.23 (3.05) (2.82) 0.27 0.04 0.31
9/28/01* Through 12/31/01 $ 15.00 0.06@ 1.08 1.14 0.02 -- 0.02
U.S. EQUITY FUND
1/1/03 Through 6/30/03 $ 7.61 0.04@ 1.09 1.13 0.04 -- 0.04
Year Ended 12/31/02 $ 10.44 0.06 (2.82) (2.76) 0.07 -- 0.07
6/1/01 Through 12/31/01^ $ 11.12 0.03@ (0.66) (0.63) 0.03 0.02 0.05
Year Ended 5/31/01 $ 12.79 0.08 (0.96) (0.88) 0.08 0.71 0.79
Year Ended 5/31/00 $ 15.08 0.11 0.26 0.37 0.11 2.55 2.66
Year Ended 5/31/99 $ 16.73 0.16 2.39 2.55 0.17 4.03 4.20
Year Ended 5/31/98 $ 15.66 0.15 3.81 3.96 0.18 2.71 2.89
</Table>
** Commencement of offering of class of shares.
* Commencement of operations.
^ The Fund changed its fiscal year end from May 31 to December 31.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
~ Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
(e) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
70
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN(a) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 $ 11.76 12.18% $ 723 0.45% 1.26% 0.60%
Year Ended 12/31/02 $ 10.55 (24.76%) $ 924 0.45% 1.09% 0.65%
6/1/01 Through 12/31/01^ $ 14.19 (8.73%) $ 1,162 0.45% 0.86% 0.60%
Year Ended 5/31/01 $ 15.65 (9.99%) $ 1,210 0.45% 0.85% 0.55%
Year Ended 5/31/00 $ 17.54 5.54% $ 1,476 0.45% 1.04% 0.55%
Year Ended 5/31/99 $ 17.57 23.07% $ 1,008 0.45% 1.14% 0.60%
Year Ended 5/31/98 $ 14.96 32.98% $ 296 0.45% 1.27% 0.72%
DISCIPLINED EQUITY VALUE FUND
1/1/03 Through 6/30/03 $ 14.32 11.38% $ 26 0.45% 1.98% 1.00%
Year Ended 12/31/02 $ 12.99 (17.61%) $ 37 0.45% 1.77% 1.27%
9/28/01* Through 12/31/01 $ 16.12 7.61% $ 27 0.44% 1.50% 0.99%
U.S. EQUITY FUND
1/1/03 Through 6/30/03 $ 8.70 14.93% $ 67 0.64% 1.07% 0.76%
Year Ended 12/31/02 $ 7.61 (26.50%) $ 79 0.64% 0.74% 0.77%
6/1/01 Through 12/31/01^ $ 10.44 (5.63%) $ 90 0.65% 0.55% 0.70%
Year Ended 5/31/01 $ 11.12 (6.99%) $ 151 0.62% 0.57% 0.64%
Year Ended 5/31/00 $ 12.79 2.45% $ 241 0.60% 0.76% 0.63%
Year Ended 5/31/99 $ 15.08 18.66% $ 278 0.60% 0.89% 0.63%
Year Ended 5/31/98 $ 16.73 28.53% $ 379 0.60% 0.89% 0.63%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE(a) ~ (e)
DISCIPLINED EQUITY FUND
1/1/03 Through 6/30/03 1.11% 29%
Year Ended 12/31/02 0.89% 74%
6/1/01 Through 12/31/01^ 0.71% 33%
Year Ended 5/31/01 0.75% 72%
Year Ended 5/31/00 0.94% 56%
Year Ended 5/31/99 0.99% 51%
Year Ended 5/31/98 1.00% 61%
DISCIPLINED EQUITY VALUE FUND
1/1/03 Through 6/30/03 1.43% 30%
Year Ended 12/31/02 0.95% 65%
9/28/01* Through 12/31/01 0.95% 22%
U.S. EQUITY FUND
1/1/03 Through 6/30/03 0.95% 42%
Year Ended 12/31/02 0.61% 83%
6/1/01 Through 12/31/01^ 0.50% 48%
Year Ended 5/31/01 0.55% 81%
Year Ended 5/31/00 0.73% 89%
Year Ended 5/31/99 0.86% 84%
Year Ended 5/31/98 0.86% 106%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
71
<Page>
SELECT CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DISCIPLINED EQUITY FUND+
1/1/03 Through 6/30/03 $ 10.55 0.05@ 1.22 1.27 0.05 -- 0.05
Year Ended 12/31/02 $ 14.19 0.10@ (3.64) (3.54) 0.10 -- 0.10
6/1/01 Through 12/31/01 ^ $ 15.70 0.05@ (1.44) (1.39) 0.12 -- 0.12
Year Ended 5/31/01 $ 17.85 0.09 (1.94) (1.85) 0.11 0.19 0.30
Year Ended 5/31/00 $ 17.42 0.12 0.78 0.90 0.12 0.35 0.47
Year Ended 5/31/99 $ 14.30 0.11 3.14 3.25 0.09 0.04 0.13
12/31/97** Through 5/31/98 $ 12.41 0.03 1.88 1.91 0.02 -- 0.02
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 23.18 0.03@ 2.41 2.44 -- -- --
Year Ended 12/31/02 $ 32.21 0.02@ (9.05) (9.03) -- -- --
Year Ended 12/31/01 $ 43.44 (0.10)@ (8.09) (8.19) -- 3.04 3.04
Year Ended 12/31/00 $ 68.09 (0.26)@ (16.22) (16.48) -- 8.17 8.17
Year Ended 12/31/99 $ 52.36 (0.14)@ 16.78 16.64 -- 0.91 0.91
Year Ended 12/31/98 $ 38.36 0.03 15.78 15.81 0.03 1.78 1.81
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 23.26 0.34@ 1.79 2.13 0.35 -- 0.35
Year Ended 12/31/02 $ 30.57 0.35@ (6.72) (6.37) 0.37 0.57 0.94
Year Ended 12/31/01 $ 35.33 0.22@ (4.62) (4.40) 0.19 0.17 0.36
Year Ended 12/31/00 $ 49.80 0.29@ (2.66) (2.37) 0.29 11.81 12.10
Year Ended 12/31/99 $ 46.14 0.32@ 5.65 5.97 0.31 2.00 2.31
Year Ended 12/31/98 $ 36.97 0.33 9.32 9.65 0.34 0.14 0.48
U.S. EQUITY FUND+
1/1/03 Through 6/30/03 $ 7.61 0.04@ 1.09 1.13 0.04 -- 0.04
Year Ended 12/31/02 $ 10.44 0.05 (2.83) (2.78) 0.05 -- 0.05
6/1/01 Through 12/31/01^ $ 11.21 0.03@ (0.68) (0.65) 0.04 0.08 0.12
Year Ended 5/31/01 $ 12.66 0.05 (0.94) (0.89) 0.05 0.51 0.56
Year Ended 5/31/00 $ 14.62 0.09 0.24 0.33 0.09 2.20 2.29
Year Ended 5/31/99 $ 14.96 0.10 2.28 2.38 0.11 2.61 2.72
Year Ended 5/31/98 $ 14.36 0.10 3.45 3.55 0.13 2.82 2.95
</Table>
+ Prior to open of business on September 10, 2001, the class underwent a split
of shares in connection with the USEF reorganization. Prior periods have
been restated to reflect the split.
^ The Fund changed its fiscal year end from May 31 to December 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
72
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- ----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN(a) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
DISCIPLINED EQUITY FUND+
1/1/03 Through 6/30/03 $ 11.77 12.09% $ 66 0.69% 1.01% 0.80%
Year Ended 12/31/02 $ 10.55 (24.98%) $ 65 0.73% 0.77% 0.84%
6/1/01 Through 12/31/01 ^ $ 14.19 (8.88%) $ 132 0.72% 0.56% 0.77%
Year Ended 5/31/01 $ 15.70 (10.43%) $ 128 0.77% 0.53% 0.77%
Year Ended 5/31/00 $ 17.85 5.19% $ 160 0.75% 0.76% 0.78%
Year Ended 5/31/99 $ 17.42 22.86% $ 121 0.75% 0.89% 0.86%
12/31/97** Through 5/31/98 $ 14.30 15.33% $ 18 0.75% 1.00% 3.28%
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 $ 25.62 10.53% $ 40 1.00% 0.21% 1.20%
Year Ended 12/31/02 $ 23.18 (28.03%) $ 40 1.00% 0.06% 1.15%
Year Ended 12/31/01 $ 32.21 (18.86%) $ 86 1.00% (0.28%) 1.05%
Year Ended 12/31/00 $ 43.44 (23.65%) $ 179 1.00% (0.40%) 1.02%
Year Ended 12/31/99 $ 68.09 31.85% $ 320 1.00% (0.24%) 1.03%
Year Ended 12/31/98 $ 52.36 41.38% $ 179 1.00% 0.05% 1.09%
EQUITY INCOME FUND
1/1/03 Through 6/30/03 $ 25.04 9.25% $ 40 0.90% 2.90% 1.11%
Year Ended 12/31/02 $ 23.26 (21.06%) $ 41 0.90% 1.30% 1.07%
Year Ended 12/31/01 $ 30.57 (12.43%) $ 68 0.92% 0.69% 0.98%
Year Ended 12/31/00 $ 35.33 (3.85%) $ 97 1.00% 0.59% 1.03%
Year Ended 12/31/99 $ 49.80 13.06% $ 170 1.00% 0.66% 1.09%
Year Ended 12/31/98 $ 46.14 26.20% $ 128 1.00% 0.82% 1.10%
U.S. EQUITY FUND+
1/1/03 Through 6/30/03 $ 8.70 14.84% $ 281 0.79% 0.95% 0.92%
Year Ended 12/31/02 $ 7.61 (26.62%) $ 225 0.79% 0.57% 0.92%
6/1/01 Through 12/31/01^ $ 10.44 (5.76%) $ 348 0.79% 0.44% 0.85%
Year Ended 5/31/01 $ 11.21 (7.10%) $ 312 0.79% 0.41% 0.79%
Year Ended 5/31/00 $ 12.66 2.20% $ 387 0.78% 0.59% 0.78%
Year Ended 5/31/99 $ 14.62 18.39% $ 441 0.79% 0.70% 0.79%
Year Ended 5/31/98 $ 14.96 28.35% $ 448 0.78% 0.71% 0.78%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
-----------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
-----------------------------------------
NET INVESTMENT
INCOME (LOSS)
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE(a) ~ (g)(e)
DISCIPLINED EQUITY FUND+
1/1/03 Through 6/30/03 0.90% 29%
Year Ended 12/31/02 0.66% 74%
6/1/01 Through 12/31/01 ^ 0.51% 33%
Year Ended 5/31/01 0.53% 72%
Year Ended 5/31/00 0.73% 56%
Year Ended 5/31/99 0.78% 51%
12/31/97** Through 5/31/98 (1.53%) 61%
EQUITY GROWTH FUND
1/1/03 Through 6/30/03 0.01% 15%
Year Ended 12/31/02 (0.09%) 50%
Year Ended 12/31/01 (0.33%) 98%
Year Ended 12/31/00 (0.42%) 58%
Year Ended 12/31/99 (0.27%) 15%
Year Ended 12/31/98 (0.04%) 35%
EQUITY INCOME FUND
1/1/03 Through 6/30/03 2.69% 8%
Year Ended 12/31/02 1.13% 167%
Year Ended 12/31/01 0.63% 4%
Year Ended 12/31/00 0.56% 15%
Year Ended 12/31/99 0.57% 16%
Year Ended 12/31/98 0.72% 3%
U.S. EQUITY FUND+
1/1/03 Through 6/30/03 0.82% 42%
Year Ended 12/31/02 0.44% 83%
6/1/01 Through 12/31/01^ 0.38% 48%
Year Ended 5/31/01 0.41% 81%
Year Ended 5/31/00 0.59% 89%
Year Ended 5/31/99 0.70% 84%
Year Ended 5/31/98 0.71% 106%
</Table>
# Short periods have been annualized.
~ Prior to September 10, 2001, DEF invested all of its investable assets in
the Disciplined Equity Portfolio ("DEP"). The portfolio rate disclosed prior
to September 10, 2001, is the turnover rate of DEP.
(g) Portfolio turnover reflects the rate of the Fund for the period January 1,
1999 to August 11, 1999. From August 11, 1999 to September 9, 2001, all of
the Fund's investable assets were invested in The Equity Growth Portfolio,
and the portfolio turnover rate is disclosed at the Portfolio level.
Effective the opening of business September 10, 2001, the portfolio turnover
reflects the rate of the Fund.
(e) Prior to September 10, 2001, USEF invested all of its investable assets in
The U.S. Equity Portfolio ("USEP"). The portfolio turnover rate disclosed
prior to September 10, 2001, is the turnover rate of USEP.
SEE NOTES TO FINANCIAL STATEMENTS.
73
<Page>
ULTRA CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
DISCIPLINED EQUITY FUND
3/24/03 **Through 6/30/03 $ 10.77 0.04@ 0.99 1.03 0.04 -- 0.04
</Table>
# Short periods have been annualized.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
~ Prior to September 10, 2001, DEF invested all of its investable assets in
The Disciplined Equity Portfolio ("DEP"). The portfolio turnover rate
disclosed prior to September 10, 2001, is the turnover rate of DEP.
** Commencement of offering of class of shares.
SEE NOTES TO FINANCIAL STATEMENTS.
74
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------------- -----------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN(a) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
DISCIPLINED EQUITY FUND
3/24/03 **Through 6/30/03 $ 11.76 9.59% $ 179 0.35% 1.22% 0.51%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
--------------------------------------
NET INVESTMENT
INCOME (LOSS) PORTFOLIO
WITHOUT WAIVERS, TURNOVER
AND REIMBURSEMENTS RATE(a) ~
DISCIPLINED EQUITY FUND
3/24/03 **Through 6/30/03 1.06% 29%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
75
<Page>
JPMORGAN FUNDS
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
A Special Meeting of Shareholders was held on February 13, 2003 at 522 Fifth
Avenue, New York, New York 10036 for purposes of approving an Agreement and Plan
of Reorganization (the "Reorganization Plan") between the following series of
J.P. Morgan Institutional Funds and J.P. Morgan Series Trust:
<Table>
<Caption>
TARGET FUND
ACQUIRING FUND
JPMorgan Disciplined Equity Fund JPMorgan SmartIndex(TM) Fund ("SF")
</Table>
Under the Reorganization Plan, the Target Fund transferred all of its assets and
liabilities to the Acquiring Fund in a tax-free reorganization. In exchange,
shareholders of the Target Fund received shares of the Acquiring Fund with a
value equal to their respective holdings in the Target Fund. A majority of
shareholders of approved the Reorganization Plan by the following votes:
<Table>
<Caption>
FOR AGAINST ABSTAIN
SF 160,748,475 54,874,836 14,092,828
</Table>
A Special Meeting of Shareholders was held on February 13, 2003 at 522 Fifth
Avenue, New York, New York 10036 for purposes of approving an Agreement and Plan
of Reorganization (the "Reorganization Plan") between the following series of
J.P. Morgan Institutional Funds, J.P. Morgan Mutual Fund Investment Trust, and
the J.P. Morgan Mutual Fund Group:
<Table>
<Caption>
TARGET FUND
ACQUIRING FUND
JPMorgan U.S. Equity Fund JPMorgan Core Equity Fund ("CEF")
JPMorgan Focus Fund ("FF")
</Table>
Under the Reorganization Plan, the Target Fund transferred all of its assets and
liabilities to the Acquiring Fund in a tax-free reorganization. In exchange,
shareholders of the Target Fund received shares of the Acquiring Fund with a
value equal to their respective holdings in the Target Fund. A majority of
shareholders of approved the Reorganization Plan by the following votes:
<Table>
<Caption>
FOR AGAINST ABSTAIN
CEF 2,373,137 34,067 48,453
FF 1,009,198 72,338 73,392
</Table>
76
<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
TAXFREE FUNDS
CALIFORNIA BOND FUND
INTERMEDIATE TAX FREE INCOME FUND
NEW JERSEY TAX FREE INCOME FUND
NEW YORK INTERMEDIATE TAX FREE INCOME FUND
TAX FREE INCOME FUND
MONEY MARKET FUNDS
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
CALIFORNIA TAX FREE MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
LIQUID ASSETS MONEY MARKET FUND
NEW YORK TAX FREE MONEY MARKET FUND
PRIME MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
TREASURY PLUS MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
FUNDS MAY BE REGISTERED UNDER SEPARATE REGISTRANTS.
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Fleming Asset Management is a premier global wealth manager that has
been working with affluent investors for over a hundred years. We have a keen
understanding of the unique needs of the affluent investor's financial needs.
The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the
foundation from which our investment products have been built. Our investment
professionals are based in 44 countries across the globe. This local insight
provides us with a global view of every investment decision we make which we
believe is crucial in light of the ever-increasing rise of globalization in our
market place. JPMorgan Fleming Asset Management is dedicated to working as an
EXPERIENCED PARTNER with your financial advisor to help provide you with the
WEALTH SOLUTIONS your portfolio needs.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with The JPMorgan Chase Bank (Chase). Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
funds. It is not authorized for distribution to prospective investors in the
funds unless preceded or accompanied by a prospectus.
The financial information in this report has been taken from the books and
records of the funds without examination by independent auditors, who express no
opinion thereto.
To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The
prospectus contains more complete information, including charges and expenses.
Please read it carefully before you invest or send money.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
393 Manley Street U.S. POSTAGE
West Bridgewater, MA 02379-1039 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2003 All rights reserved, August 2003. SAN-LCE-603
<Page>
ITEM 2. CODE OF ETHICS.
(a) Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR
AFTER JULY 15, 2003.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving on
its audit committee; or
(ii) Does not have an audit committee financial expert serving
on its audit committee.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is "independent."
In order to be considered "independent" for purposes of this Item, a
member of an audit committee may not, other than in his or her
capacity as a member of the audit committee, the board of directors,
or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C.80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an
audit committee financial expert.
NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR
AFTER JULY 15, 2003.
2
<Page>
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for
each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees
billed in each of the last two fiscal years for assurance and related services
by the principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
(c) Disclose, under the caption TAX FEES, the aggregate fees billed in each
of the last two fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning. Registrants shall
describe the nature of the services comprising the fees disclosed under this
category.
(d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in
each of the last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through
(c) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs
(b) through (d) of this Item that were approved by the audit committee pursuant
to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended on
the principal accountant's engagement to audit the registrant's financial
statements for the most recent fiscal year that were attributed to work
performed by persons other than the principal accountant's full-time, permanent
employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the registrant for
each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant's audit committee of the board of
directors has considered whether the provision of nonaudit services that were
rendered to the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled
by, or under common control with the investment adviser that provides ongoing
services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR
AFTER DECEMBER 15, 2003.
ITEMS 5-6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report
on this Form N-CSR must, unless it invests exclusively in non-voting securities,
describe the policies and procedures that it uses to determine how to vote
proxies relating to portfolio securities, including the procedures that the
company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
NOT APPLICABLE
3
<Page>
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive officer
or officers and principal financial officer or officers, or persons performing
similar functions, about the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-2(c) under the Act (17 CFR
270.30a-2(c))) based on their evaluation of these controls and procedures as of
a date within 90 days of the filing date of the report that includes the
disclosure required by this paragraph.
REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER,
FOLLOWING AN EVALUATION WITHIN 90 DAYS PRIOR TO THE FILING DATE OF THIS REPORT
OF THE DISCLOSURE CONTROLS AND PROCEDURES AS DEFINED IN RULE 30a-2(c) UNDER THE
ACT CONCLUDE AS FOLLOWS:
1. THE DISCLOSURE CONTROLS AND PROCEDURES REFLECT A CUMULATIVE PROCESS INVOLVING
THE REGISTRANT'S SERVICE PROVIDERS;
2. THE CUMULATIVE PROCESS SEEKS TO ENSURE THAT THE INFORMATION REQUIRED TO BE
DISCLOSED BY THE REGISTRANT IN FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND
REPORTED WITHIN THE TIME PERIOD SPECIFIED IN THE COMMISSION'S RULES AND FORMS
AND THAT THE INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THESE
REPORTS IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT INCLUDING
ITS PRINCIPAL EXECUTIVE AND FINANCIAL OFFICER, AS APPROPRIATE TO ALLOW TIMELY
DECISIONS REGARDING REQUIRED DISCLOSURE; AND THAT
3. THIS PROCESS IS EFFECTIVE WITH REGARDS TO ITS PURPOSE.
(b) 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 HALF-YEAR
(THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT
HAS MATERIALLY AFFECTED OR IS REASONABLY LIKELY TO MATERIALLY AFFECT, THE
REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
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.
4
<Page>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Institutional Funds
--------------------------------------------------------------------
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