<Page>
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OMB APPROVAL
OMB Number: 3235-0570
Expires: November 30, 2005
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hours per response. . . . . 5.0
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07843
---------------------------------
J.P. MORGAN MUTUAL FUND SELECT GROUP
- ----------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 FIFTH AVENUE, NEW YORK, NY 10036
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(Address of principal executive offices) (Zip code)
BISYS FUND SERVICES, 3435 STELZER ROAD, COLUMBUS, OH 43219
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(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
-----------------------------
Date of fiscal year end: DECEMBER 31, 2003
------------------------------------------------------
Date of reporting period: 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 (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>
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
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ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
officer or officers and principal financial officer or officers, or persons
performing similar functions, about the effectiveness of the registrant's
disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act
(17 CFR 270.30a-2(c))) based on their evaluation of these controls and
procedures as of a date within 90 days of the filing date of the report that
includes the disclosure required by this paragraph.
REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER,
FOLLOWING AN EVALUATION WITHIN 90 DAYS PRIOR TO THE FILING DATE OF THIS REPORT
OF THE DISCLOSURE CONTROLS AND PROCEDURES AS DEFINED IN RULE 30A-2(C) UNDER THE
ACT CONCLUDE AS FOLLOWS:
1.THE DISCLOSURE CONTROLS AND PROCEDURES REFLECT A CUMULATIVE PROCESS INVOLVING
THE REGISTRANT'S SERVICE PROVIDERS;
2. THE CUMULATIVE PROCESS SEEKS TO ENSURE THAT THE INFORMATION REQUIRED TO BE
DISCLOSED BY THE REGISTRANT IN FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND
REPORTED WITHIN THE TIME PERIOD SPECIFIED IN THE COMMISSION'S RULES AND FORMS
AND THAT THE INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THESE
REPORTS IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT INCLUDING
ITS PRINCIPAL EXECUTIVE AND FINANCIAL OFFICER, AS APPROPRIATE TO ALLOW TIMELY
DECISIONS REGARDING REQUIRED DISCLOSURE; AND THAT
3. THIS PROCESS IS EFFECTIVE WITH REGARDS TO ITS PURPOSE.
(b) Disclose whether or not there were significant changes in the
registrant's internal controls or in other factors that could significantly
affect these controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
THERE WAS NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL 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.
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SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. MORGAN MUTUAL FUND SELECT GROUP
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By (Signature and Title)* /s/ DAVID WEZDENKO
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David Wezdenko, Treasurer
Date AUGUST 25, 2003
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ DAVID WEZDENKO
-----------------------------------------------------
David Wezdenko, Treasurer
Date AUGUST 25, 2003
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By (Signature and Title)* /s/ GEORGE C.W. GATCH
-----------------------------------------------------
George C.W. Gatch, President
Date AUGUST 25, 2003
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* Print the name and title of each signing officer under his or her signature.
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